Doubleline Opportunistic Credit Fund

As filed with the Securities and Exchange Commission on August 25, 2017

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT

INVESTMENT COMPANY

Investment Company Act file number 811-22592

DoubleLine Opportunistic Credit Fund

(Exact name of registrant as specified in charter)

333 South Grand Avenue, Suite 1800

Los Angeles, CA 90071

(Address of principal executive offices) (Zip code)

Ronald R. Redell

c/o DoubleLine Capital LP

333 South Grand Avenue, Suite 1800

Los Angeles, CA 90071

(Name and address of agent for service)

(213) 633-8200

Registrant’s telephone number, including area code

Date of fiscal year end: September 30, 2017

Date of reporting period: June 30, 2017


Item 1. Schedule of Investments.


 

DoubleLine Opportunistic Credit Fund

Schedule of Investments

June 30, 2017 (Unaudited)

 

 

Principal Amount
$/Shares

  

Security Description

   Rate     

Maturity

   Value $  

Asset Backed Obligations - 3.9% 

        
2,000,000    Citi Held For Asset Issuance, Series 2015-PM1-C      5.01%     12/15/2021      2,020,996  
5,000,000    Coinstar Funding LLC, Series 2017-1A-A2      5.22%     04/25/2047      5,088,401  
5,000,000    Jimmy John’s Funding LLC, Series 2017-1A-A2II      4.85%     07/30/2047      5,025,000  
4,146,860    SoFi Professional Loan Program, Series 2013-A-A      3.61%  #^¥@          12/17/2043      831,416  
           

 

 

 

Total Asset Backed Obligations (Cost $14,604,535)

                   12,965,813  
           

 

 

 

Collateralized Loan Obligations - 7.8% 

 

     
1,000,000    ALM Ltd., Series 2015-12A-C1R      4.36%  #^     04/16/2027      1,001,077  
1,500,000    Apidos Ltd., Series 2014-18A-D      6.35%  #^     07/22/2026      1,505,714  
1,000,000    ARES Ltd., Series 2014-1A-SUB      8.79%  #^@     04/17/2026      561,543  
1,000,000    Atrium Corporation, Series 2017-9A-DR      4.80%  #^     05/28/2030      999,502  
500,000    Babson Ltd., Series 2014-3A-D2      5.39%  #^     01/15/2026      502,560  
750,000    Babson Ltd., Series 2014-3A-E2      7.66%  #^     01/15/2026      755,520  
1,000,000    Babson Ltd., Series 2015-2A-D      4.96%  #^     07/20/2027      1,001,959  
2,000,000    Babson Ltd., Series 2016-2A-E      8.06%  #^     07/20/2028      2,026,287  
1,000,000    Babson Ltd., Series 2017-1A-D      0.00%  #^     07/18/2029      1,000,000  
1,000,000    Barings Ltd., Series 2016-3A-C      5.11%  #^     01/15/2028      1,010,068  
1,900,000    BlueMountain Ltd., Series 2013-1A-DR      8.66%  #^     01/20/2029      1,956,808  
1,000,000    Brookside Mill Ltd., Series 2013-1A-D      4.21%  #^     04/17/2025      982,228  
500,000    Cent Ltd., Series 2014-22A-C      4.93%  #^     11/07/2026      500,001  
1,000,000    Galaxy Ltd., Series 2015-21A-E1      6.76%  #^     01/20/2028      992,510  
500,000    Halcyon Loan Advisors Funding Ltd., Series 2014-3A-D      4.80%  #^     10/22/2025      501,103  
2,000,000    Jay Park Ltd., Series 2016-1A-D      8.16%  #^     10/20/2027      2,023,518  
581,441    LCM LP, Series 11A-INC      4.52%  ^@     04/19/2022      10,149  
1,000,000    Octagon Investment Partners Ltd., Series 2012-1A-CR      5.16%  #^     07/15/2029      1,009,282  
500,000    Octagon Investment Partners Ltd., Series 2014-1A-C      4.83%  #^     11/14/2026      501,865  
1,000,000    Octagon Investment Partners Ltd., Series 2014-1A-D      7.78%  #^     11/14/2026      1,019,276  
2,000,000    Octagon Investment Partners Ltd., Series 2017-1A-SUB      0.00%  #^     03/17/2030      1,935,429  
1,000,000    TCI-Cent Ltd., Series 2016-1A-D      7.92%  #^     12/21/2029      1,017,431  
2,000,000    TCI-Symphony Ltd., Series 2016-1A-D      4.96%  #^     10/13/2029      2,015,000  
1,000,000    Voya Ltd., Series 2017-3A-C      0.00%  #^     07/20/2030      1,000,000  
           

 

 

 

Total Collateralized Loan Obligations (Cost $25,801,415)

           25,828,830  
           

 

 

 

Non-Agency Commercial Mortgage Backed Obligations - 8.6% 

 

     
591,000    Banc of America Commercial Mortgage Trust, Series 2007-4-B      6.16%  #^     02/10/2051      589,948  
450,000    Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-T26-AJ      5.57%     01/12/2045      442,459  
600,000    Citigroup Commercial Mortgage Trust, Series 2015-GC27-D      4.58%  #^     02/10/2048      493,801  
4,905,179    Citigroup Commercial Mortgage Trust, Series 2015-GC27-XA      1.57%  #I/O     02/10/2048      398,009  
528,000    Citigroup Commercial Mortgage Trust, Series 2016-GC36-D      2.85%     02/10/2049      395,467  
864,000    Commercial Mortgage Pass-Through Certificates, Series 2012-CR4-E      4.72%  #^     10/15/2045      586,569  
1,127,250    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-E      3.75%     08/10/2047      759,856  
1,288,300    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-F      3.75%     08/10/2047      776,761  
2,415,590    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-G      3.75%  ^¥     08/10/2047      762,121  
5,000    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-V      0.00%  #^¥     08/10/2047       
566,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-C      4.64%     10/10/2048      551,117  
5,297,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-XD      1.39%  #^I/O     10/10/2048      444,275  
543,000    Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-D      4.50%  #^     02/10/2048      431,287  
550,000    Commercial Mortgage Pass-Through Certificates, Series 2015-LC19-D      2.87%     02/10/2048      446,233  
1,500,000    Commercial Mortgage Pass-Through Certificates, Series 2015-LC23-E      3.80%  #^     10/10/2048      1,120,006  
549,000    Commercial Mortgage Pass-Through Certificates, Series 2016-CR28-E      4.30%  #^     02/10/2049      417,165  
591,000    GMAC Commercial Mortgage Securities Trust, Series 2004-C3-E      5.14%  #^     12/10/2041      588,051  
500,000    GS Mortgage Securities Corporation, Series 2014-GC26-C      4.64%     11/10/2047      501,223  
650,000    GS Mortgage Securities Corporation, Series 2014-GC26-D      4.64%  #^     11/10/2047      567,954  
543,000    GS Mortgage Securities Corporation, Series 2015-GC28-D      4.47%  #^     02/10/2048      431,440  
28,890,660    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-CBX-XA      1.83%  #I/O     06/15/2045      1,522,471  
441,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9-AMS      5.34%       05/15/2047      437,840  
190,381    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX-AM      5.46%     01/15/2049      190,246  
10,765,000    JPMBB Commercial Mortgage Securities Trust, Series 2013-C14-XC      1.12%  #^I/O     08/15/2046      538,830  
564,000    JPMBB Commercial Mortgage Securities Trust, Series 2013-C15-D      5.23%  #^     11/15/2045      546,649  
557,000    JPMBB Commercial Mortgage Securities Trust, Series 2013-C17-E      3.87%  #^     01/15/2047      389,336  
3,488,650    JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-E      4.00%  #^     04/15/2047      2,584,420  
1,938,200    JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-F      3.75%  #^     04/15/2047      1,040,484  
6,202,105    JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-NR      3.75%  #^¥     04/15/2047      1,929,121  
5,436,358    JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-XA      1.30%  #I/O     01/15/2048      290,293  
500,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-D      3.98%  #^     02/15/2048      398,845  
775,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-C      4.82%     11/15/2048      748,427  
16,358,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-XD      0.50%  #^I/O     11/15/2048      542,763  
553,000    LB-UBS Commercial Mortgage Trust, Series 2007-C7-AJ      6.50%     09/15/2045      559,512  
5,577,444    LSTAR Commercial Mortgage Trust, Series 2016-4-XA      2.11%  #^I/O     03/10/2049      486,262  
569,000    Merrill Lynch Mortgage Trust, Series 2007-C1-AM      6.02%     06/12/2050      571,845  
500,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C15-D      5.06%  #^     04/15/2047      465,169  
500,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-C      4.00%       12/15/2047      473,144  
1,050,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26-D      3.06%     10/15/2048      831,032  
804,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-D      3.24%  #^     12/15/2047      592,170  
525,000    Morgan Stanley Capital, Inc., Series 2014-CPT-G      3.56%  #^     07/13/2029      515,397  
304,206    Wachovia Bank Commercial Mortgage Trust, Series 2007-C30-AJ      5.41%     12/15/2043      309,739  
554,000    Wachovia Bank Commercial Mortgage Trust, Series 2007-C33-AJ      6.17%     02/15/2051      564,576  
467,000    Wells Fargo Commercial Mortgage Trust, Series 2012-LC5-E      4.93%  #^     10/15/2045      382,940  
747,000    Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4-D      3.75%     12/15/2048      666,790  
           

 

 

 

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $29,839,752)

                   28,282,043  
           

 

 

 

Non-Agency Residential Collateralized Mortgage Obligations - 52.4% 

 

     
2,600,413    Adjustable Rate Mortgage Trust, Series 2006-1-2A1      3.76%     03/25/2036      2,105,506  
1,429,426    Banc of America Alternative Loan Trust, Series 2005-8-2CB1      6.00%       09/25/2035      1,455,337  
1,409,145    Banc of America Funding Corporation, Series 2006-A-4A1      3.49%     02/20/2036      1,320,878  
14,241,239    BCAP LLC Trust, Series 2007-AB1-A5      5.04%     03/25/2037      10,234,996  
1,352,754    BCAP LLC Trust, Series 2010-RR6-6A2      9.30%  #^     07/26/2037      1,213,796  
5,269,567    BCAP LLC Trust, Series 2010-RR6A-2216      3.27%  #^     06/26/2036      4,861,033  
2,373,133    Chase Mortgage Finance Trust, Series 2007-S1-A7      6.00%       02/25/2037      1,957,846  
2,409,460    Chase Mortgage Finance Trust, Series 2007-S3-1A5      6.00%       05/25/2037      1,940,471  
2,886,918    ChaseFlex Trust, Series 2007-1-1A1      6.50%       02/25/2037      2,211,559  
2,621,210    CHL Mortgage Pass-Through Trust, Series 2007-4-1A35      5.48%  #I/FI/O     05/25/2037      629,574  
2,621,210    CHL Mortgage Pass-Through Trust, Series 2007-4-1A36      1.52%     05/25/2037      1,579,591  
7,000,000    CIM Trust, Series 2016-1RR-B2      12.32%  #^     07/26/2055      6,197,272  
7,000,000    CIM Trust, Series 2016-2RR-B2      10.14%  #^     02/27/2056      6,205,947  
7,000,000    CIM Trust, Series 2016-3RR-B2      11.02%  #^     02/27/2056      6,234,199  
6,010,000    CIM Trust, Series 2017-3RR-B2      16.78%  #^     01/29/2057      6,672,615  
1,875,000    Citicorp Mortgage Securities, Inc., Series 2006-2-1A14      5.50%       04/25/2036      1,867,966  
714,382    Citigroup Mortgage Loan Trust, Inc., Series 2006-8-A4      16.32%  #^I/F     10/25/2035      878,029  
3,883,472    Citigroup Mortgage Loan Trust, Inc., Series 2010-9-3A7      9.83%     01/25/2036      3,802,696  
5,860,374    Citigroup Mortgage Loan Trust, Inc., Series 2010-9-4A3      6.99%  #^     09/25/2035      6,105,538  
3,301,744    CitiMortgage Alternative Loan Trust, Series 2007-A4-1A6      5.75%       04/25/2037      2,902,781  
2,623,164    CitiMortgage Alternative Loan Trust, Series 2007-A6-1A16      6.00%       06/25/2037      2,424,101  
1,735,230    Countrywide Alternative Loan Trust, Series 2005-85CB-2A5      2.32%     02/25/2036      1,463,980  
366,453    Countrywide Alternative Loan Trust, Series 2005-85CB-2A6      17.17%  #I/F     02/25/2036      463,951  
3,192,658    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-11-7A1      6.00%       12/25/2035      2,655,455  
3,828,061    Credit Suisse Mortgage Capital Certificates, Series 2006-5-3A3      6.50%       06/25/2036      2,006,767  
1,183,033    Credit Suisse Mortgage Capital Certificates, Series 2006-9-2A1      5.50%       11/25/2036      1,118,874  
762,996    Credit Suisse Mortgage Capital Certificates, Series 2006-9-6A14      6.00%       11/25/2036      743,068  
1,674,331    First Horizon Asset Securities, Inc., Series 2007-AR3-2A2      2.94%     11/25/2037      1,514,174  
846,977    IndyMac Mortgage Loan Trust, Series 2005-AR1-2A1      3.69%     11/25/2035      805,320  
2,289,193    IndyMac Mortgage Loan Trust, Series 2005-AR23-6A1      3.19%     11/25/2035      1,930,438  
571,824    JP Morgan Alternative Loan Trust, Series 2006-S1-2A5      5.50%       02/25/2021      569,775  
4,238,234    JP Morgan Resecuritization Trust, Series 2011-1-1A10      6.00%  #^     12/26/2036      4,142,567  
4,010,740    JP Morgan Resecuritization Trust, Series 2011-1-2A10      6.00%  #^     06/26/2037      3,948,775  
1,707,226    Lehman Mortgage Trust, Series 2007-10-1A1      6.00%       01/25/2038      1,684,852  
2,196,843    Lehman Mortgage Trust, Series 2007-4-1A3      5.75%       05/25/2037      1,793,705  
837,842    Lehman XS Trust, Series 2005-2-1A2      1.92%     08/25/2035      818,151  
1,294,472    MASTR Asset Securitization Trust, Series 2007-2-A3      6.25%       01/25/2038      1,180,284  
6,500,000    Nationstar HECM Loan Trust, Series 2016-2A-M2      6.54%  #^     06/25/2026      6,571,890  
4,250,000    Nationstar HECM Loan Trust, Series 2016-2A-M2      4.70%     05/25/2027      4,257,650  
3,250,000    Nationstar HECM Loan Trust, Series 2016-3A-M2      5.68%     08/25/2026      3,315,572  
2,228,711    Nomura Resecuritization Trust, Series 2010-2RA-A2      5.50%  #^     01/26/2036      2,152,495  
1,977,300    RBSGC Structured Trust, Series 2008-B-A1      6.00%     06/25/2037      1,739,970  
1,862,139    Residential Accredit Loans, Inc., Series 2005-AS14-3A1      6.00%       09/25/2035      1,779,238  
2,842,238    Residential Accredit Loans, Inc., Series 2005-QS13-2A3      5.75%       09/25/2035      2,592,428  
2,196,881    Residential Accredit Loans, Inc., Series 2006-QS10-A1      6.00%       08/25/2036      1,901,575  
2,408,192    Residential Accredit Loans, Inc., Series 2006-QS6-1A5      5.75%       06/25/2036      2,161,653  
4,471,296    Residential Accredit Loans, Inc., Series 2006-QS7-A3      6.00%       06/25/2036      4,098,389  
1,112,346    Residential Accredit Loans, Inc., Series 2007-QS1-1A1      6.00%       01/25/2037      967,196  
4,716,347    Residential Accredit Loans, Inc., Series 2007-QS3-A1      6.50%       02/25/2037      4,449,430  
1,888,396    Residential Accredit Loans, Inc., Series 2007-QS6-A1      1.55%     04/25/2037      1,482,771  
1,999,228    Residential Accredit Loans, Inc., Series 2007-QS6-A102      5.75%       04/25/2037      1,797,169  
430,186    Residential Accredit Loans, Inc., Series 2007-QS6-A2      45.45%  #I/F     04/25/2037      843,858  
1,925,128    Residential Asset Securitization Trust, Series 2006-A6-1A12      5.88%  #I/FI/O     07/25/2036      632,454  
1,903,484    Residential Asset Securitization Trust, Series 2006-A6-1A9      6.00%       07/25/2036      916,689  
4,208,355    Residential Asset Securitization Trust, Series 2007-A2-1A2      6.00%       04/25/2037      3,865,543  
2,632,958    Residential Asset Securitization Trust, Series 2007-A7-A1      6.00%       07/25/2037      2,018,860  
1,232,413    Residential Asset Securitization Trust, Series 2007-A8-1A3      6.00%       08/25/2037      1,038,308  
2,256,393    Residential Funding Mortgage Securities Trust, Series 2006-S5-A9      6.00%       06/25/2036      2,234,256  
1,319,805    Residential Funding Mortgage Securities Trust, Series 2007-S2-A4      6.00%       02/25/2037      1,247,693  
1,513,681    Residential Funding Mortgage Securities Trust, Series 2007-S6-1A10      6.00%       06/25/2037      1,385,025  
5,000,000    Springleaf Mortgage Loan Trust, Series 2013-2A-B2      6.00%  #^     12/25/2065      5,003,525  
1,602,265    Structured Adjustable Rate Mortgage Loan Trust, Series 2006-1-2A2      3.11%     02/25/2036      1,418,804  
6,541,000    Structured Asset Securities Corporation, Series 2005-11H-A3      5.50%       06/25/2035      6,414,179  
4,781,454    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-8-A4      4.54%     10/25/2036      3,184,415  
3,347,218    Wells Fargo Alternative Loan Trust, Series 2007-PA3-2A1      6.00%       07/25/2037      3,322,899  
           

 

 

 

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $165,329,275)

                   172,435,801  
           

 

 

 

US Government and Agency Obligations - 4.2% 

 

     
14,000,000    United States Treasury Notes      1.25%  ‡     12/31/2018      13,979,490  
           

 

 

 

Total US Government and Agency Obligations (Cost $13,995,206)

           13,979,490  
           

 

 

 

US Government / Agency Mortgage Backed Obligations - 47.7% 

 

     
589,996    Federal Home Loan Mortgage Corporation, Series 2016-KF22-B      6.03%  #^     07/25/2023      596,608  
980,417    Federal Home Loan Mortgage Corporation, Series 3211-SI      22.79%  #I/FI/O     09/15/2036      744,249  
2,053,539    Federal Home Loan Mortgage Corporation, Series 3236-ES      5.54%  #I/FI/O     11/15/2036      384,668  
1,308,173    Federal Home Loan Mortgage Corporation, Series 3256-S      5.53%  #I/FI/O     12/15/2036      250,807  
1,008,820    Federal Home Loan Mortgage Corporation, Series 3292-SD      4.94%  #I/FI/O     03/15/2037      144,820  
8,791,907    Federal Home Loan Mortgage Corporation, Series 3297-BI      5.60%  #I/FI/O     04/15/2037      1,752,386  
5,979,471    Federal Home Loan Mortgage Corporation, Series 3311-BI      5.60%  #I/FI/O     05/15/2037      1,145,785  
6,275,606    Federal Home Loan Mortgage Corporation, Series 3311-IA      5.25%  #I/FI/O     05/15/2037      1,153,145  
1,504,709    Federal Home Loan Mortgage Corporation, Series 3314-SH      5.24%  #I/FI/O     11/15/2036      214,229  
200,976    Federal Home Loan Mortgage Corporation, Series 3317-DS      12.10%  #I/F     05/15/2037      255,131  
1,014,789    Federal Home Loan Mortgage Corporation, Series 3330-KS      5.39%  #I/FI/O     06/15/2037      159,053  
278,994    Federal Home Loan Mortgage Corporation, Series 3339-AI      5.39%  #I/FI/O     07/15/2037      38,261  
4,198,026    Federal Home Loan Mortgage Corporation, Series 3339-TI      4.98%  #I/FI/O     07/15/2037      736,960  
2,992,926    Federal Home Loan Mortgage Corporation, Series 3374-SD      5.29%  #I/FI/O     10/15/2037      494,423  
796,156    Federal Home Loan Mortgage Corporation, Series 3382-SU      5.14%  #I/FI/O     11/15/2037      115,861  
7,267,954    Federal Home Loan Mortgage Corporation, Series 3404-SA      4.84%  #I/FI/O     01/15/2038      1,114,644  
719,330    Federal Home Loan Mortgage Corporation, Series 3423-GS      4.49%  #I/FI/O     03/15/2038      84,394  
5,920,113    Federal Home Loan Mortgage Corporation, Series 3435-S      4.82%  #I/FI/O     04/15/2038      882,475  
603,661    Federal Home Loan Mortgage Corporation, Series 3508-PS      5.49%  #I/FI/O     02/15/2039      81,389  
1,835,192    Federal Home Loan Mortgage Corporation, Series 3725-CS      4.84%  #I/FI/O     05/15/2040      215,739  
4,245,117    Federal Home Loan Mortgage Corporation, Series 3728-SV      3.29%  #I/FI/O     09/15/2040      353,773  
15,860,270    Federal Home Loan Mortgage Corporation, Series 3736-SN      4.89%  #I/FI/O     10/15/2040      2,686,636  
6,008,160    Federal Home Loan Mortgage Corporation, Series 3753-SB      4.84%  #I/FI/O     11/15/2040      1,063,432  
6,967,365    Federal Home Loan Mortgage Corporation, Series 3780-SM      5.34%  #I/FI/O     12/15/2040      1,256,536  
2,419,693    Federal Home Loan Mortgage Corporation, Series 3815-ST      4.69%  #I/FI/O     02/15/2041      334,938  
1,174,966    Federal Home Loan Mortgage Corporation, Series 3905-SC      17.50%  #I/F‡     08/15/2041      1,988,439  
2,400,245    Federal Home Loan Mortgage Corporation, Series 3924-SJ      4.84%  #I/FI/O     09/15/2041      350,831  
9,705,206    Federal Home Loan Mortgage Corporation, Series 3960-ES      4.79%  #I/FI/O     11/15/2041      1,307,093  
7,736,548    Federal Home Loan Mortgage Corporation, Series 3997-LZ      3.50%  ‡     02/15/2042      7,967,467  
4,742,850    Federal Home Loan Mortgage Corporation, Series 4064-SA      4.84%  #I/FI/O     06/15/2042      930,827  
3,032,694    Federal Home Loan Mortgage Corporation, Series 4155-GS      4.20%  #I/F‡     01/15/2033      2,846,308  
14,220,757    Federal Home Loan Mortgage Corporation, Series 4217-CS      3.89%  #I/F‡     06/15/2043      12,793,175  
3,436,518    Federal Home Loan Mortgage Corporation, Series 4225-BS      9.07%  #I/F‡     12/15/2040      3,724,168  
5,792,980    Federal Home Loan Mortgage Corporation, Series 4291-MS      4.74%  #I/FI/O     01/15/2054      980,042  
12,574,566    Federal Home Loan Mortgage Corporation, Series 4302-GS      4.99%  #I/FI/O     02/15/2044      2,161,512  
53,154    Federal National Mortgage Association, Series 2005-104-SI      5.48%  #I/FI/O     12/25/2033      226  
325,219    Federal National Mortgage Association, Series 2005-72-WS      5.53%  #I/FI/O     08/25/2035      44,029  
3,329,863    Federal National Mortgage Association, Series 2005-90-SP      5.53%  #I/FI/O     09/25/2035      411,241  
1,310,543    Federal National Mortgage Association, Series 2006-117-SQ      5.33%  #I/FI/O     12/25/2036      168,679  
714,171    Federal National Mortgage Association, Series 2006-119-HS      5.43%  #I/FI/O     12/25/2036      111,508  
8,729,386    Federal National Mortgage Association, Series 2006-123-CI      5.52%  #I/FI/O     01/25/2037      1,704,640  
3,932,085    Federal National Mortgage Association, Series 2006-60-YI      5.35%  #I/FI/O     07/25/2036      901,760  
4,081,473    Federal National Mortgage Association, Series 2007-15-BI      5.48%  #I/FI/O     03/25/2037      743,687  
1,541,029    Federal National Mortgage Association, Series 2007-20-S      5.52%  #I/FI/O     03/25/2037      204,781  
843,574    Federal National Mortgage Association, Series 2007-21-SD      5.26%  #I/FI/O     03/25/2037      116,599  
1,864,434    Federal National Mortgage Association, Series 2007-30-IE      5.52%  #I/FI/O     04/25/2037      412,668  
4,552,531    Federal National Mortgage Association, Series 2007-32-SA      4.88%  #I/FI/O     04/25/2037      681,287  
2,172,703    Federal National Mortgage Association, Series 2007-40-SA      4.88%  #I/FI/O     05/25/2037      310,480  
475,140    Federal National Mortgage Association, Series 2007-48-SE      4.88%  #I/FI/O     05/25/2037      57,534  
1,066,100    Federal National Mortgage Association, Series 2007-64-LI      5.34%  #I/FI/O     07/25/2037      152,097  
375,968    Federal National Mortgage Association, Series 2007-68-SA      5.43%  #I/FI/O     07/25/2037      42,443  
10,849,170    Federal National Mortgage Association, Series 2007-75-PI      5.32%  #I/FI/O     08/25/2037      2,080,380  
5,948,538    Federal National Mortgage Association, Series 2008-33-SA      4.78%  #I/FI/O     04/25/2038      887,196  
4,754,169    Federal National Mortgage Association, Series 2008-42-SC      4.68%  #I/FI/O     05/25/2038      737,795  
996,714    Federal National Mortgage Association, Series 2008-5-GS      5.03%  #I/FI/O     02/25/2038      185,323  
3,244,719    Federal National Mortgage Association, Series 2008-62-SD      4.83%  #I/FI/O     07/25/2038      547,618  
2,126,150    Federal National Mortgage Association, Series 2008-68-SB      4.88%  #I/FI/O     08/25/2038      365,347  
808,072    Federal National Mortgage Association, Series 2009-111-SE      5.03%  #I/FI/O     01/25/2040      106,737  
2,154,550    Federal National Mortgage Association, Series 2009-12-CI      5.38%  #I/FI/O     03/25/2036      447,545  
397,559    Federal National Mortgage Association, Series 2009-26-SM      5.13%  #I/FI/O     08/25/2038      9,345  
713,350    Federal National Mortgage Association, Series 2009-47-SA      4.88%  #I/FI/O     07/25/2039      86,692  
622,897    Federal National Mortgage Association, Series 2009-48-WS      4.73%  #I/FI/O     07/25/2039      70,078  
294,330    Federal National Mortgage Association, Series 2009-67-SA      3.93%  #I/FI/O     07/25/2037      25,113  
892,729    Federal National Mortgage Association, Series 2009-87-SA      4.78%  #I/FI/O     11/25/2049      121,078  
1,856,192    Federal National Mortgage Association, Series 2009-91-SD      4.93%  #I/FI/O     11/25/2039      280,810  
332,945    Federal National Mortgage Association, Series 2010-109-BS      43.44%  #I/F     10/25/2040              1,326,593  
651,255    Federal National Mortgage Association, Series 2010-115-SD      5.38%  #I/FI/O     11/25/2039      102,934  
1,260,404    Federal National Mortgage Association, Series 2010-11-SC      3.58%  #I/FI/O     02/25/2040      125,349  
3,923,394    Federal National Mortgage Association, Series 2010-134-SE      5.43%  #I/FI/O     12/25/2025      455,180  
10,646,265    Federal National Mortgage Association, Series 2010-142-SC      5.38%  #I/FI/O     12/25/2040      2,049,773  
4,159,369    Federal National Mortgage Association, Series 2010-150-MS      5.31%  #I/FI/O     01/25/2041      757,317  
1,987,324    Federal National Mortgage Association, Series 2010-15-SL      3.73%  #I/FI/O     03/25/2040      232,289  
476,427    Federal National Mortgage Association, Series 2010-19-SA      4.18%  #I/FI/O     03/25/2050      57,305  
1,699,620    Federal National Mortgage Association, Series 2010-31-SB      3.78%  #I/FI/O     04/25/2040      219,888  
2,678,884    Federal National Mortgage Association, Series 2010-39-SL      4.45%  #I/FI/O     05/25/2040      358,817  
733,509    Federal National Mortgage Association, Series 2010-8-US      3.58%  #I/FI/O     02/25/2040      75,624  
917,707    Federal National Mortgage Association, Series 2010-9-GS      3.53%  #I/FI/O     02/25/2040      93,103  
2,436,497    Federal National Mortgage Association, Series 2011-114-S      4.78%  #I/FI/O     09/25/2039      362,055  
2,594,707    Federal National Mortgage Association, Series 2011-146-US      5.30%  #I/F‡     01/25/2042      2,447,165  
157,371    Federal National Mortgage Association, Series 2011-40-SA      6.96%  #I/F     09/25/2040      180,169  
3,266,648    Federal National Mortgage Association, Series 2011-55-BZ      3.50%       06/25/2041      3,359,729  
2,155,120    Federal National Mortgage Association, Series 2011-58-SA      5.33%  #I/FI/O     07/25/2041      409,525  
1,439,266    Federal National Mortgage Association, Series 2011-5-PS      5.18%  #I/FI/O     11/25/2040      192,416  
4,949,433    Federal National Mortgage Association, Series 2012-22-AZ      4.00%  ‡     03/25/2042      5,236,056  
990,763    Federal National Mortgage Association, Series 2012-29-SG      4.78%  #I/FI/O     04/25/2042      114,984  
8,642,705    Federal National Mortgage Association, Series 2012-56-SN      4.83%  #I/FI/O     06/25/2042      1,230,183  
8,105,276    Federal National Mortgage Association, Series 2012-76-SC      4.78%  #I/FI/O     07/25/2042      1,353,075  
792,061    Federal National Mortgage Association, Series 2012-82-SC      5.69%  #I/F‡     08/25/2042      806,319  
6,666,782    Federal National Mortgage Association, Series 2013-17-MS      4.14%  #I/F     03/25/2043      5,733,837  
4,134,825    Federal National Mortgage Association, Series 2013-18-BS      3.94%  #I/F‡     03/25/2043      3,776,123  
2,668,267    Federal National Mortgage Association, Series 2013-41-SC      4.18%  #I/F‡     05/25/2043      2,289,667  
3,415,891    Federal National Mortgage Association, Series 2013-51-SH      4.18%  #I/F‡     05/25/2033      3,165,136  
10,316,596    Federal National Mortgage Association, Series 2013-55-KS      4.18%  #I/F‡     06/25/2043      9,146,548  
3,790,794    Federal National Mortgage Association, Series 2013-61-ZN      3.00%  ‡     06/25/2033      3,738,547  
10,296,143    Federal National Mortgage Association, Series 2013-83-US      3.78%  #I/F‡     08/25/2043      9,388,348  
506,405    Federal National Mortgage Association, Series 374-19      6.50%  I/O     09/25/2036      119,330  
1,308,912    Government National Mortgage Association, Series 2009-104-SD      5.18%  #I/FI/O     11/16/2039      229,861  
379,823    Government National Mortgage Association, Series 2010-98-IA      5.80%  #I/O     03/20/2039      44,767  
887,343    Government National Mortgage Association, Series 2011-56-BS      4.93%  #I/FI/O     11/16/2036      13,457  
1,831,784    Government National Mortgage Association, Series 2011-56-KS      4.93%  #I/FI/O     08/16/2036      54,461  
1,729,435    Government National Mortgage Association, Series 2011-69-SB      4.14%  #I/FI/O     05/20/2041      237,858  
9,900,991    Government National Mortgage Association, Series 2011-70-WS      7.28%  #I/F‡     12/20/2040      10,354,340  
2,583,096    Government National Mortgage Association, Series 2011-71-SG      4.19%  #I/FI/O     05/20/2041      353,913  
3,004,608    Government National Mortgage Association, Series 2011-72-AS      4.17%  #I/FI/O     05/20/2041      404,836  
3,489,520    Government National Mortgage Association, Series 2011-89-SA      4.24%  #I/FI/O     06/20/2041      448,932  
1,651,006    Government National Mortgage Association, Series 2012-34-LI      6.00%  #I/FI/O     12/16/2039      382,449  
8,973,700    Government National Mortgage Association, Series 2013-119-TZ      3.00%  ‡     08/20/2043      8,626,013  
6,858,664    Government National Mortgage Association, Series 2013-188-MS      4.38%  #I/FI/O     12/16/2043      950,555  
53,924,971    Government National Mortgage Association, Series 2013-39-HS      3.54%  #I/FI/O     03/20/2041      5,754,350  
9,802,824    Government National Mortgage Association, Series 2014-39-SK      4.99%  #I/FI/O     03/20/2044      1,554,980  
13,035,849    Government National Mortgage Association, Series 2014-59-DS      5.08%  #I/FI/O    04/16/2044      2,196,000  
8,701,543    Government National Mortgage Association, Series 2014-63-SD      4.34%  #I/FI/O            04/20/2044      1,682,095  
9,056,537    Government National Mortgage Association, Series 2014-69-ST      4.93%  #I/FI/O    12/16/2039      1,390,197  
          

 

 

 

Total US Government / Agency Mortgage Backed Obligations (Cost $152,873,854)

                  156,907,368  
          

 

 

 

Short Term Investments - 1.7% 

 

    
1,835,590    BlackRock Liquidity Funds FedFund - Institutional Shares      0.86%  ◆         1,835,590  
1,835,591    Fidelity Institutional Money Market Government Portfolio - Class I      0.81%  ◆         1,835,591  
1,835,591    Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class      0.84%  ◆         1,835,591  
          

 

 

 

Total Short Term Investments (Cost $5,506,772)

          5,506,772  
          

 

 

 

Total Investments - 126.3%  (Cost $407,950,809)

 

       415,906,117  
Liabilities in Excess of Other Assets - (26.3)%            (86,729,059
          

 

 

 

NET ASSETS - 100.0% 

          $ 329,177,058  
          

 

 

 

 

  # Variable rate security. Rate disclosed as of June 30, 2017.  
  ^ 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, 2017, the value of these securities amounted to $132,749,172 or 40.3%  of net assets.  
  ¥ Illiquid security. At June 30, 2017, the value of these securities amounted to $3,522,658 or 1.1% of net assets.  
  @ Security pays interest at rates that represent residual cashflows available after more senior tranches have been paid. The interest rate disclosed reflects the estimated rate in effect as of June 30, 2017.  
  I/O Interest only security  
  I/F Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates  
  All or partial amount transferred for the benefit of the counterparty as collateral for reverse repurchase agreements.  
  Seven-day yield as of June 30, 2017  

The cost basis of investments for federal income tax purposes at June 30, 2017 was as follows+:

 

Tax Cost of Investments

     $ 406,858,417  
  

 

 

 

Gross Tax Unrealized Appreciation

     26,828,726  

Gross Tax Unrealized Depreciation

         (17,781,026)  
  

 

 

 

Net Tax Unrealized Appreciation (Depreciation)

     $ 9,047,700  
  

 

 

 

 

  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:

 

Non-Agency Residential Collateralized Mortgage Obligations

     52.4%  

US Government / Agency Mortgage Backed Obligations

     47.7%  

Non-Agency Commercial Mortgage Backed Obligations

     8.6%  

Collateralized Loan Obligations

     7.8%  

US Government and Agency Obligations

     4.2%  

Asset Backed Obligations

     3.9%  

Short Term Investments

     1.7%  

Other Assets and Liabilities

     (26.3)%  
  

 

 

 
                 100.0%  
  

 

 

 


Reverse Repurchase Agreements

 

Counterparty    Rate         Trade Date          Maturity Date          Principal          Principal &    
Interest      
 

JP Morgan Securities LLC

     1.87     06/20/2017        07/20/2017          $ 24,423,000      $ 24,435,656  

Goldman Sachs

     1.53     06/29/2017        07/31/2017            18,988,000        18,988,807  

Goldman Sachs

     1.22     05/24/2017        08/23/2017            14,034,000        14,051,597  

Bank of America Merrill Lynch

     1.85     06/25/2017        09/25/2017            13,985,000        13,988,593  

JP Morgan Securities LLC

     1.67     06/20/2017        07/20/2017            7,632,000        7,635,531  

Bank of America Merrill Lynch

     2.05     06/25/2017        09/25/2017            2,815,000        2,815,802  
          

 

 

 
           $     81,877,000      $     81,915,986  
          

 

 

 

The weighted average daily balance of reverse repurchase agreements during the reporting period ended June 30, 2017 was $69,463,758, at a weighted average interest rate of 1.35%. Total market value of underlying collateral (refer to the Schedule of Investments for positions transferred for the benefit of the counterparty as collateral) for open reverse repurchase agreements at June 30, 2017 was $98,841,043.


 

Summary of Fair Value Disclosure

June 30, 2017 (Unaudited)

 

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

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.


The Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells to a financial institution a security that it holds with an agreement to repurchase the same security at an agreed-upon price and date. A reverse repurchase agreement involves the risk that the market value of the security may decline below the repurchase price of the security. The Fund will segregate assets determined to be liquid by the Adviser or otherwise cover its obligations under reverse repurchase agreements. Due to the short term nature of the reverse repurchase agreements, face value approximates fair value at June 30, 2017.

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, 20171:

 

Category

      
  

 

 

 

Investments in Securities

  

Level 1

  

Money Market Funds

     $ 5,506,772  

 

  

 

 

 

Total Level 1

     5,506,772  

Level 2

  

US Government / Agency Mortgage Backed Obligations

     156,907,368  

Non-Agency Residential Collateralized Mortgage Obligations

     152,144,640  

Collateralized Loan Obligations

     25,828,830  

Non-Agency Commercial Mortgage Backed Obligations

     19,453,375  

US Government and Agency Obligations

     13,979,490  

Asset Backed Obligations

     12,134,397  

 

  

 

 

 

Total Level 2

     380,448,100  

Level 3

  

Non-Agency Residential Collateralized Mortgage Obligations

     20,291,161  

Non-Agency Commercial Mortgage Backed Obligations

     8,828,668  

Asset Backed Obligations

     831,416  

 

  

 

 

 

Total Level 3

     29,951,245  

 

  

 

 

 

Total

     $       415,906,117  

 

  

 

 

 

Certain of the Fund’s assets/liabilities are held at face value, which approximates fair value for financial statement purposes. The following is a summary of such assets/liabilities as of June 30, 2017.

 

Other Financial Instruments

  

Level 1

     $ -  

Total Level 1

     -  

Level 2

  

Reverse Repurchase Agreements

     81,877,000  

 

  

 

 

 

Total Level 2

     81,877,000  

Level 3

     -  

 

  

 

 

 

Total

     $         81,877,000  

 

  

 

 

 

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

1 There were no transfers into or out of Level 1 during the period ended June 30, 2017.


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

 

     Balance as
of 9/30/2016
    Net
Realized
Gain
(Loss)
    Net Change in
Unrealized
Appreciation
(Depreciation)3
    Net Accretion
(Amortization)
    Purchases 1     Sales 2    

Transfers
Into

Level 34

    Transfers
Out of
Level 34
    Balance as
of 6/30/2017
    Net Change in
Unrealized
Appreciation
(Depreciation)
on securities
held at
6/30/20173
 

Investments in Securities

 

Non-Agency Residential Collateralized Mortgage Obligations

  $ 9,986,031     $ 35,831     $ 617,795     $ 152,622     $ 7,566     $ (396,146   $ 9,887,462     $             -     $ 20,291,161     $ 617,795  

Non-Agency Commercial Mortgage Backed Obligations

    7,860,895       -       (162,175     172,376       957,573       -       -       -       8,828,668       (159,509

Asset Backed Obligations

    1,107,087       -       (275,671     -       -       -       -       -       831,416       (275,671
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 18,954,013     $ 35,831     $ 179,949     $ 324,998     $ 965,139     $ (396,146   $ 9,887,462     $ -     $ 29,951,245     $ 182,615  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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, 2017 may be due to a security that was not held or categorized as Level 3 at either period end.

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

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

 

     

Fair Value

as of
6/30/2017 *

    

Valuation

Techniques

   Unobservable
Input
   Input Values     

Impact to valuation from an

increase to input

Non-Agency Residential Collateralized Mortgage Obligations

   $ 20,291,161      Market Comparables    Market Quotes      $88.00 - $102.02      Significant changes in the market quotes would result in direct and proportional changes in the fair value of the security

Non-Agency Commercial Mortgage Backed Obligations

     8,828,668      Market Comparables    Yields      9.27% - 24.93%      Increase in yields would result in the decrease in the fair value of the security

Asset Backed Obligations

     831,416      Market Comparables    Market Quotes      $20.05      Significant changes in the market quotes would result in direct and proportional changes in the fair value of the security

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


Item 2. Controls and Procedures.

 

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

 

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

Item 3. Exhibits.

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


SIGNATURES

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

(Registrant)  DoubleLine Opportunistic Credit Fund

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

Ronald R. Redell, President and Chief Executive Officer

Date                      August  23, 2017                                                 

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 23, 2017                                                         

By (Signature and Title)            /s/ Susan Nichols                                                   

Susan Nichols, Treasurer and Principal Financial and Accounting Officer

Date                       August 23, 2017