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Total Return Bond Fund – Statistics

Portfolio Composition – As of June 30, 2019

Statistics

# of Issues 2,382
Ending Market Value $52,852,302,314
Average Market Price $100.71
Duration 3.54
Weighted Average Life 5.40

Sector Breakdown

Cash 3.36%
Treasury 8.23%
TIPS 0.00%
Agency Pass Throughs 20.40%
Agency CMO 23.64%
Non Agency Residential MBS 26.81%
Commercial MBS 8.04%
Collateralized Loan Obligations 5.18%
Asset-Backed Securities 4.36%
Total 100.00%

Figures shown represent the net assets invested in a particular asset class as a percentage of total net assets.

Portfolio Characteristics – As of June 30, 2019

Weighted Average Life Breakdown

(Percent of Portfolio)
Cash 3.36%
0 to 3 years 17.89%
3 to 5 years 26.37%
5 to 10 years 47.40%
10+ years 4.98%
Total 100.00%

Current Quality Credit Distribution1

Cash 3.36%
Government 8.75%
Agency 44.48%
Investment Grade 17.32%
Below Investment Grade 10.31%
Unrated Securities 15.78%
Total 100.00%

Duration Breakdown

(Percent of Portfolio)
Cash 3.36%
Less than 0 6.86%
0 to 3 years 33.78%
3 to 5 years 36.80%
5 to 10 years 16.09%
10+ years 3.11%
Total 100.00%

Non-Agency Residential MBS Breakdown*

(Percent of Sector)
Prime 16.80%
Alt-A 36.55%
Subprime 43.57%
Not Rated 3.08%
Total 100.00%

* There are no industry standard definitions for non-agency Mortgage securities. These definitions are DoubleLine’s based on Vichara and Loan Performance data. Prime is defined as FICO > 725 and LTV < 75 ; Alt-A defined as FICO 675-725; or FICO > 725 and LTV >= 75 ; Subprime defined as FICO < 675. NA = Not available in Vichara or Loan Performance.

1. Credit Distribution is determined from the highest available credit rating from any Nationally Recognized Statistical Rating Agency (NRSRO”, generally S&P, Moody’s, or Fitch) and is subject to change. DoubleLine chooses to display credit ratings using S&P’s rating convention, although the rating itself might be sourced from another NRSRO. The firm evaluates a bond issuer’s financial strength, or its ability to pay a bond’s principal and interest in a timely fashion. The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the fund itself. Ratings are expressed as letters ranging from ‘AAA’, which is the highest grade, to ‘D’, which is the lowest grade. In limited situations when the rating agency has not issued a formal rating, the rating agency will classify the security as unrated.

Sector Allocations are subject to change at any time and should not be considered a recommendation to buy or sell any security. Portfolio holdings generally are made available fifteen days after month-end by calling (877) DLine11. The source for the information in this report is DoubleLine Capital, which maintains its data on a trade date basis.

©2019 DoubleLine

Mutual fund investing involves risk; Principal loss is possible. Investments in debt securities typically decrease when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in Asset-Backed and Mortgage-Backed securities include additional risks that investors should be aware of including credit risk, prepayment risk, possible illiquidity and default, as well as increased susceptibility to adverse economic developments. Investments in lower rated and non-rated securities present a great risk of loss to principal and interest than higher rated securities. The Total Return Bond Fund intends to invest more than 50% of its net assets in mortgage-backed securities of any maturity or type. The Fund therefore potentially is more likely to react to any volatility or changes in the mortgage-backed securities marketplace.

The fund's investment objectives, risks, charges and expenses must be considered carefully before investing. The statutory prospectus and summary prospectus (if available) contain this and other important information about the investment company and may be obtained by clicking here. In addition, a free hard-copy is available by calling 1 (877) 354-6311/1 (877) DLINE11. Please read the prospectuses carefully before investing.

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