Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the
Funds annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds website (www.doublelinefunds.com), and
you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already
elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a Fund electronically anytime by contacting
your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by calling 877-DLine11 (877-354-6311) or by sending an e-mail request to DoubleLine at fundinfo@doubleline.com.
Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest through a financial
intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can call 877-DLINE11 (877-354-6311) or send an email request to
fundinfo@doubleline.com to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial
intermediary or all funds held with the fund complex if you invest directly with the Fund.
On
behalf of the team at DoubleLine, I am pleased to deliver the Semi-Annual Report for the DoubleLine Yield Opportunities Fund (NYSE: DLY, the Fund) for the commencement date through March 31, 2020. On the following pages, you will find
specific information regarding the Funds operations and holdings. In addition, we discuss the Funds investment performance and the main drivers of that performance during the reporting period.
If you have any questions regarding the Fund, please do not hesitate to call us at 877-DLine11 (877-354-6311), or visit our website www.doublelinefunds.com where
our investment management team offers deeper insights and analysis on relevant capital market activity impacting investors today. We value the trust that you have placed with us, and we will continue to strive to offer thoughtful investment
solutions to our shareholders.
Ronald R. Redell, CFA
For the period since
inception on February 26, 2020 through March 31, 2020, the DoubleLine Yield Opportunities Fund underperformed the Bloomberg Barclays U.S. Aggregate Bond Index (the Index) return of 0.13%. In the weeks after the Funds
inception of investment operations, market risks, including those arising out of the COVID-19 pandemic, began to stoke fears of a global recession and caused significant declines in risk assets of all types.
The primary driver of the Funds underperformance relative to the Index was asset allocation. The Index maintained a roughly 40% allocation to U.S. Treasuries and a 27% allocation to Agency MBS. These were two of the top absolute performing
sectors in the fixed income landscape during March, amidst a nearly universal flight-to-quality. The Fund, which invests in higher yielding securities, did not maintain
a large allocation to U.S. Treasuries or Agency MBS, leading to underperformance. Given that the market selloff followed soon after proximity of the Funds inception date, the Fund preserved a large cash allocation over this period in order to
maintain the ability to take advantage of the new and still-developing dislocations in the market.
Opinions expressed herein are as of March 31, 2020 and are subject to change at any time, are not guaranteed and should not be considered investment advice.
Fund holdings and sector allocations are subject to change at any time and are not recommendations to buy or sell any security. Please refer to the Schedule of Investments for a complete list of Fund holdings.
This document is not an offer to sell securities or the solicitation of an offer to buy securities, nor shall there
be any sale or offer of these securities, in any jurisdiction where such sale or offer is not permitted.
The Funds shares are only offered through
broker/dealers on the secondary market. Unlike an open-end mutual fund, a closed-end fund offers a fixed number of shares for sale. After the initial public offering,
shares are bought and sold in the secondary marketplace, and the market price of the shares is determined by supply and demand, not by NAV, often at a lower price than the NAV. A closed-end fund is not
required to buy its shares back from investors upon request.
The performance shown assumes the reinvestment of all dividends and distributions and does not reflect any reductions for taxes. Total return
does not reflect broker commissions or sales charges in connection with the purchase or sale of Fund shares. Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and
principal value of an investment will fluctuate so that an investors shares, when sold, may be worth more or less than original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current
to the most recent month-end may be obtained by calling (877) 354-6311 or by visiting https://doublelinefunds.com/yield-opportunities-fund/.
An investment cannot be made directly in an index. The performance of any index mentioned in this commentary has not been adjusted for ongoing management,
distribution and operating expenses applicable to mutual fund investments.
This commentary may include statements that constitute forward-looking
statements under the U.S. securities laws. Forward-looking statements include, among other things, projections, estimates, and information about possible or future results related to a Fund and market or regulatory developments. The views
expressed above are not guarantees of future performance or economic results and involve certain risks, uncertainties and assumptions that could cause actual outcomes and results to differ materially from the views expressed herein.
DoubleLine has no obligation to provide revised assessments in the event of changed circumstances. While we have gathered this information from sources believed to
be reliable, DoubleLine cannot guarantee the accuracy of the information provided. Securities discussed are not recommendations and are presented as examples of issue selection or portfolio management processes. They have been picked for comparison
or illustration purposes only. No security presented within is either offered for sale or purchase. DoubleLine reserves the right to change its investment perspective and outlook without notice as market conditions dictate or as additional
information becomes available.
Investment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management
decision making, economic or market conditions or other unanticipated factors. The views and forecasts expressed in this material are as of the date indicated, are subject to change without notice, may not come to pass and do not represent a
recommendation or offer of any particular security, strategy, or investment. Past performance is no guarantee of future results.
Quasar Distributors, LLC provides filing
administration for DoubleLine Capital LP.
|
|
|
|
|
|
|
|
ASSETS
|
|
|
|
|
|
Investments in Securities, at Value *
|
|
|
$
|
291,656,871
|
|
Short Term Investments, at Value*
|
|
|
|
618,788,572
|
|
Interest Receivable
|
|
|
|
3,862,437
|
|
Receivable for Investments Sold
|
|
|
|
156,556
|
|
Prepaid Expenses and Other Assets
|
|
|
|
2,292
|
|
Total Assets
|
|
|
|
914,466,728
|
|
|
|
LIABILITIES
|
|
|
|
|
|
Net Unrealized Depreciation on Swaps
|
|
|
|
59,528,163
|
|
Payable for Investments Purchased
|
|
|
|
31,783,934
|
|
Upfront Receipts for Swaps
|
|
|
|
9,164,907
|
|
Investment Advisory Fees Payable
|
|
|
|
978,749
|
|
Professional Fees Payable
|
|
|
|
123,528
|
|
Accrued Expenses
|
|
|
|
28,645
|
|
Administration, Fund Accounting and Custodian Fees
Payable
|
|
|
|
28,026
|
|
Trustees Fees Payable (See Note 7)
|
|
|
|
9,554
|
|
Total Liabilities
|
|
|
|
101,645,506
|
|
Commitments and Contingencies (See Note 2 and Note
8)
|
|
|
|
|
|
Net Assets
|
|
|
$
|
812,821,222
|
|
|
|
NET ASSETS CONSIST OF:
|
|
|
|
|
|
Capital Stock ($0.00001 par value)
|
|
|
$
|
470
|
|
Additional Paid-in
Capital
|
|
|
|
940,099,530
|
|
Undistributed (Accumulated) Net Investment Income
(Loss)
|
|
|
|
995,597
|
|
Accumulated Net Realized Gain (Loss) on Investments
|
|
|
|
524,447
|
|
Net Unrealized Appreciation (Depreciation) on:
|
|
|
|
|
|
Investments in Securities
|
|
|
|
(69,270,659
|
)
|
Swaps
|
|
|
|
(59,528,163
|
)
|
Total Distributable Earnings (Loss) (See Note 5)
|
|
|
|
(127,278,778
|
)
|
Net Assets
|
|
|
$
|
812,821,222
|
|
|
|
*Identified Cost:
|
|
|
|
|
|
Investments in Securities
|
|
|
$
|
360,999,354
|
|
Short Term Investments
|
|
|
|
618,716,748
|
|
|
|
Shares Outstanding and Net Asset Value Per Share:
|
|
|
|
|
|
Shares Outstanding (unlimited authorized)
|
|
|
|
47,005,000
|
|
Net Asset Value per Share
|
|
|
$
|
17.29
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
|
|
Semi-Annual Report
|
|
March 31, 2020
|
|
15
|
|
|
|
Statement of Operations
|
|
(Unaudited)
For the Period Ended March 31, 20201
|
|
|
|
|
|
|
|
|
INVESTMENT INCOME
|
|
|
|
|
|
Income:
|
|
|
|
|
|
Interest
|
|
|
$
|
2,234,926
|
|
Total Investment Income
|
|
|
|
2,234,926
|
|
|
|
Expenses:
|
|
|
|
|
|
Investment Advisory Fees
|
|
|
|
1,046,625
|
|
Professional Fees
|
|
|
|
123,528
|
|
Administration, Fund Accounting and Custodian Fees
|
|
|
|
28,025
|
|
Shareholder Reporting Expenses
|
|
|
|
21,488
|
|
Transfer Agent Expenses
|
|
|
|
4,251
|
|
Trustees Fees
|
|
|
|
9,554
|
|
Insurance Expenses
|
|
|
|
2,254
|
|
Miscellaneous Expenses
|
|
|
|
2,252
|
|
Registration Fees
|
|
|
|
1,352
|
|
Total Expenses
|
|
|
|
1,239,329
|
|
|
|
Net Investment Income
(Loss)
|
|
|
|
995,597
|
|
|
|
REALIZED & UNREALIZED GAIN (LOSS)
|
|
|
|
|
|
|
|
Net Realized Gain (Loss) on:
|
|
|
|
|
|
|
|
Investments in Securities
|
|
|
|
2,221
|
|
|
|
Swaps
|
|
|
|
522,226
|
|
|
|
Net Change in Unrealized Appreciation (Depreciation) on:
|
|
|
|
|
|
|
|
Investments in Securities
|
|
|
|
(69,270,659
|
)
|
Swaps
|
|
|
|
(59,528,163
|
)
|
Net Realized and Unrealized Gain (Loss) on
Investments
|
|
|
|
(128,274,375
|
)
|
|
|
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS
|
|
|
$
|
(127,278,778
|
)
|
1
|
Commenced operations on February 26, 2020.
|
|
|
|
|
|
|
|
16
|
|
DoubleLine Yield Opportunities Fund
|
|
|
|
The accompanying notes are an integral part of these financial statements.
|
|
|
|
Statement of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
Period Ended
March 31, 20201
(Unaudited)
|
|
|
OPERATIONS
|
|
|
|
|
|
Net Investment Income (Loss)
|
|
|
$
|
995,597
|
|
Net Realized Gain (Loss) on Investments
|
|
|
|
524,447
|
|
Net Change in Unrealized Appreciation (Depreciation) on
Investments
|
|
|
|
(128,798,822
|
)
|
Net Increase (Decrease) in Net Assets Resulting from
Operations
|
|
|
|
(127,278,778
|
)
|
|
|
NET SHARE TRANSACTIONS
|
|
|
|
|
|
Increase (Decrease) in Net Assets Resulting from Net Share
Transactions
|
|
|
|
940,100,000
|
|
|
|
Total Increase (Decrease) in Net
Assets
|
|
|
$
|
812,821,222
|
|
|
|
NET ASSETS
|
|
|
|
|
|
Beginning of Period
|
|
|
$
|
|
|
End of Period
|
|
|
$
|
812,821,222
|
|
1
|
Commenced operations on February 26, 2020.
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
|
|
Semi-Annual Report
|
|
March 31, 2020
|
|
17
|
|
|
|
Statement of Cash Flows
|
|
(Unaudited)
For the Period Ended March 31, 20201
|
|
|
|
|
|
|
|
|
CASH FLOWS PROVIDED BY (USED IN) OPERATING ACTIVITIES
|
|
|
|
|
|
Net Increase (Decrease) in Net Assets Resulting from
Operations
|
|
|
$
|
(127,278,778
|
)
|
Adjustments to Reconcile the Change in Net Assets from
Operations to Net Cash Provided By (Used In) Operating activities:
|
|
|
|
|
|
Purchases of Long Term Investments
|
|
|
|
(362,396,608
|
)
|
Proceeds from Disposition of Long Term Investments
|
|
|
|
1,465,785
|
|
Net (Purchases of) Proceeds from Disposition of Short Term
Investments
|
|
|
|
(618,632,234
|
)
|
Net Amortization (Accretion) of Premiums/Discounts
|
|
|
|
(150,824
|
)
|
Net Upfront (Payments) Receipts
|
|
|
|
9,164,907
|
|
Net Realized (Gain) Loss on Investments in
Securities
|
|
|
|
|
|
Investments in Securities
|
|
|
|
(2,221
|
)
|
Net Change in Unrealized (Appreciation) Depreciation
on:
|
|
|
|
|
|
Investments in Securities
|
|
|
|
69,270,659
|
|
Swaps
|
|
|
|
59,528,163
|
|
(Increase) Decrease in:
|
|
|
|
|
|
Receivable for Investments Sold
|
|
|
|
(156,556
|
)
|
Interest Receivable
|
|
|
|
(3,862,437
|
)
|
Prepaid Expenses and Other Assets
|
|
|
|
(2,292
|
)
|
Increase (Decrease) in:
|
|
|
|
|
|
Payable for Investments Purchased
|
|
|
|
31,783,934
|
|
Investment Advisory Fees Payable
|
|
|
|
978,749
|
|
Trustee Fees Payable
|
|
|
|
9,554
|
|
Accrued Expenses
|
|
|
|
28,645
|
|
Administration, Fund Accounting and Custodian Fees
Payable
|
|
|
|
28,026
|
|
Professional Fees Payable
|
|
|
|
123,528
|
|
Net Cash Provided By (Used In) Operating Activities
|
|
|
|
(940,100,000
|
)
|
|
|
CASH FLOWS PROVIDED BY (USED IN) FINANCING ACTIVITIES
|
|
|
|
|
|
Proceeds from fund shares sold
|
|
|
|
940,100,000
|
|
Net Cash Provided By (Used In) Financing Activities
|
|
|
|
940,100,000
|
|
|
|
NET CHANGE IN CASH
|
|
|
|
|
|
Cash at Beginning of Period
|
|
|
|
|
|
Cash at End of Period
|
|
|
$
|
|
|
1
|
Commenced operations on February 26, 2020.
|
|
|
|
|
|
|
|
18
|
|
DoubleLine Yield Opportunities Fund
|
|
|
|
The accompanying notes are an integral part of these financial statements.
|
|
|
|
Financial Highlights
|
|
(Unaudited)
|
|
|
|
|
|
|
|
Period Ended
March 31, 20201
(Unaudited)
|
|
|
|
Net Asset Value, Beginning of
Period
|
|
$
|
20.00
|
|
|
|
Income (Loss) from Investment Operations:
|
|
|
|
|
|
|
Net Investment Income (Loss)2
|
|
|
0.02
|
|
Net Gain (Loss) on Investments (Realized and
Unrealized)
|
|
|
(2.73
|
)
|
Total from Investment Operations
|
|
|
(2.71
|
)
|
Net Asset Value, End of Period
|
|
$
|
17.29
|
|
Market Price, End of Period
|
|
$
|
19.00
|
|
Total Return on Net Asset Value3
|
|
|
(13.55
|
)%6
|
Total Return on Market Price4
|
|
|
(5.00
|
)%6
|
|
|
Supplemental Data:
|
|
|
|
|
|
|
Net Assets, End of Period (000s)
|
|
$
|
812,821
|
|
Ratios to Average Net Assets:
|
|
|
|
|
Expenses, including interest expense
|
|
|
1.55%
|
5
|
Net Investment Income (Loss)
|
|
|
1.24%
|
5
|
Portfolio Turnover Rate
|
|
|
1%
|
6
|
1
|
Commenced operations on February 26, 2020.
|
2
|
Calculated based on average shares outstanding during the period.
|
3
|
Total return on Net Asset Value is computed based upon the Net Asset Value of common stock on the first business day and the
closing Net Asset Value on the last business day of the period. Dividends and distributions are assumed to be reinvested at the prices obtained under the Funds dividend reinvestment plan.
|
4
|
Total return on Market Price is computed based upon the New York Stock Exchange market price of the Funds shares and
excludes the effect of brokerage commissions. Dividends and distributions are assumed to be reinvested at the prices obtained under the Funds dividend reinvestment plan.
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
|
|
Semi-Annual Report
|
|
March 31, 2020
|
|
19
|
|
|
|
Notes to Financial Statements
|
|
(Unaudited)
March 31, 2020
|
1. Organization
DoubleLine Yield Opportunities Fund (the Fund) is organized as a non-diversified, limited term, closed-end management investment company registered
under the Investment Company Act of 1940, as amended (the 1940 Act), and the rules and regulations thereunder. The Fund was organized as a Massachusetts business trust on September 17, 2019 and commenced operations on February 26, 2020.
The Fund is listed on the New York Stock Exchange (NYSE) under the symbol DLY. The Funds investment objective is to seek a high level of total return, with an emphasis on current income.
The Fund has a limited term and intends to terminate as of the first business day following the twelfth anniversary of the effective date of the Funds
initial registration statement, February 25, 2032 (the Dissolution Date); provided that the Funds Board of Trustees (the Board) may, by a vote of the majority of the Board and seventy-five percent (75%) of the
Continuing Trustees, as such term is defined in the Funds Second Amended and Restated Agreement and Declaration of Trust (a Board Action Vote), without shareholder approval, extend the Dissolution Date (i) once for up to one
year, and (ii) once for up to an additional six months, to a date up to and including the eighteenth month after the initial Dissolution Date, which later date shall then become the Dissolution Date. At the Dissolution Date, each holder of
common shares of beneficial interest (Common Shareholder) would be paid a pro rata portion of the Funds net assets as determined as of the Dissolution Date. The Board may, by a Board Action Vote, cause the Fund to conduct a tender
offer, as of a date within twelve months preceding the Dissolution Date (as may be extended as described above), to all Common Shareholders to purchase 100% of the then outstanding common shares of the Fund at a price equal to the net asset value
(NAV) per common share on the expiration date of the tender offer (an Eligible Tender Offer). In an Eligible Tender Offer, the Fund will offer to purchase all Common Shares held by each Common Shareholder; provided that if
the number of properly tendered Common Shares would result in the Fund having aggregate net assets below $200 million (the Dissolution Threshold), the Eligible Tender Offer will be canceled, no Common Shares will be repurchased
pursuant to the Eligible Tender Offer, and the Fund will terminate as otherwise scheduled.
The Fund sold and issued 5,000 shares of beneficial interest at
$20.00 per share to DoubleLine Asset Management Company LLC (DAMCO), a wholly owned subsidiary of DoubleLine Capital LP (the Adviser or DoubleLine Capital). The Fund issued 46,000,000 common shares of beneficial
interest in its initial public offering at $20.00 per share. During the period, the Fund issued an additional 1,000,000 common shares at $20.00 per share in connection with the underwriters over-allotment option.
2. Significant Accounting Policies
The Fund is an investment company that applies the accounting and reporting guidance issued in Topic 946, Financial ServicesInvestment
Companies, by the Financial Accounting Standards Board (FASB). The following is a summary of the significant accounting policies of the Fund. These policies are in conformity with accounting principles generally accepted in the
United States of America (US GAAP).
A. 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 1Unadjusted quoted market prices in active markets for identical securities
|
|
|
|
Level 2Quoted prices for identical or similar assets in markets that are not active, or inputs derived from
observable market data
|
|
|
|
Level 3Significant unobservable inputs (including the reporting entitys estimates and assumptions)
|
|
|
|
|
|
|
|
20
|
|
DoubleLine Yield Opportunities Fund
|
|
|
|
|
|
|
|
|
|
(Unaudited)
March 31, 2020
|
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. Assets and liabilities may be transferred between levels.
|
|
|
|
|
|
|
|
|
|
Fixed-income class
|
|
|
|
|
Examples of Inputs
|
|
|
|
All
|
|
|
|
|
|
Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other
relationships observed in the markets among comparable securities; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data (collectively referred
to as standard inputs)
|
|
|
|
Corporate bonds and notes;
convertible securities
|
|
|
|
|
|
Standard inputs and underlying equity of the issuer
|
|
|
|
US bonds and notes of government and government
agencies
|
|
|
|
|
|
Standard inputs
|
|
|
|
Residential and commercial mortgage-backed obligations;
asset-backed obligations (including collateralized loan obligations)
|
|
|
|
|
|
Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics,
credit enhancements and specific deal information, trustee reports
|
|
|
|
Bank loans
|
|
|
|
|
|
Standard inputs
|
Investments in registered open-end management investment companies will be valued based upon the net asset value
(NAV) of such investments and are categorized as Level 1 of the fair value hierarchy.
Over-the-counter financial derivative instruments, such as
forward currency exchange contracts, options contracts, or swap agreements, derive their values from underlying asset prices, indices, reference rates, other inputs or a combination of these factors. These instruments are normally valued on the
basis of evaluations provided by independent pricing services or broker dealer quotations. Depending on the instrument and the terms of the transaction, the value of the derivative instruments can be estimated by a pricing service provider using a
series of techniques, such as simulation pricing models. The pricing models use issuer details and other inputs that are observed from actively quoted markets such as indices, spreads, interest rates, curves, dividends and exchange rates.
Derivatives that use similar valuation techniques and inputs as described above are normally categorized as Level 2 of the fair value hierarchy.
The
Funds holdings in whole loans, securitizations and certain other types of alternative lending-related instruments may be valued based on prices provided by a third-party pricing service.
Senior secured floating rate loans for which an active secondary market exists to a reliable degree will be valued at the mean of the last available bid/ask
prices in the market for such loans, as provided by an independent pricing service. Where an active secondary market does not exist to a reliable degree in the judgment of the Adviser, such loans will be valued at fair value based on certain
factors.
In respect of certain commercial real estate-related, residential real estate-related and certain other investments for which a limited market may
exist, the Fund may value such investments based on appraisals conducted by an independent valuation advisor or a similar pricing agent. However, an independent valuation firm may not be retained to undertake an evaluation of an asset unless the
NAV, market price and other aspects of an investment exceed certain significance thresholds.
Securities may be fair valued by the Adviser in accordance with
the fair valuation procedures approved by the Board. The Advisers valuation committee is generally responsible for overseeing the day to day valuation processes and reports periodically to the Board. The Advisers 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 or third party vendor prices 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.
|
|
|
|
|
|
|
|
|
Semi-Annual Report
|
|
March 31, 2020
|
|
21
|
|
|
|
Notes to Financial Statements (Cont.)
|
|
(Unaudited)
March 31, 2020
|
The following is a
summary of the fair valuations according to the inputs used to value the Funds investments as of March 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Category
|
|
|
|
|
|
|
|
Investments in Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Money Market Funds
|
|
|
|
|
|
|
|
$
|
478,827,942
|
|
|
|
|
Total Level 1
|
|
|
|
|
|
|
|
|
478,827,942
|
|
|
|
|
Level 2
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Short Term Investments
|
|
|
|
|
|
|
|
|
139,960,630
|
|
|
|
|
Non-Agency Commercial Mortgage Backed Obligations
|
|
|
|
|
|
|
|
|
71,077,884
|
|
|
|
|
US Corporate Bonds
|
|
|
|
|
|
|
|
|
67,314,818
|
|
|
|
|
Bank Loans
|
|
|
|
|
|
|
|
|
42,803,440
|
|
|
|
|
Foreign Corporate Bonds
|
|
|
|
|
|
|
|
|
38,842,216
|
|
|
|
|
Asset Backed Obligations
|
|
|
|
|
|
|
|
|
28,782,549
|
|
|
|
|
Collateralized Loan Obligations
|
|
|
|
|
|
|
|
|
18,708,438
|
|
|
|
|
US Government and Agency Mortgage Backed Obligations
|
|
|
|
|
|
|
|
|
15,954,489
|
|
|
|
|
Non-Agency Residential Collateralized Mortgage Obligations
|
|
|
|
|
|
|
|
|
7,504,364
|
|
|
|
|
Foreign Government Bonds, Foreign Agencies and Foreign
Government Sponsored Corporations
|
|
|
|
|
|
|
|
|
668,673
|
|
|
|
|
Total Level 2
|
|
|
|
|
|
|
|
|
431,617,501
|
|
|
|
|
Total Level 3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
|
|
|
|
$
|
910,445,443
|
|
See the Schedule of Investments for further disaggregation of investment categories.
B. Federal Income Taxes. The Fund has elected to be
taxed as a regulated investment company and intends to distribute substantially all of its taxable income to its shareholders and otherwise comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated
investment companies. Therefore, no provision for federal income taxes has been made.
The Fund may be subject to a nondeductible 4% excise tax
calculated as a percentage of certain undistributed amounts of net investment income and net capital gains.
The Fund has followed the authoritative guidance
on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation
processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination
by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired. The Fund identifies its major tax jurisdictions as U.S. Federal, the Commonwealth of Massachusetts and the
State of California.
C. Security Transactions, Investment Income. Investment securities transactions are accounted for on trade date. Gains and losses realized on sales of securities are determined on a specific identification basis. Interest income, including non-cash interest,
is recorded on an accrual basis. Discounts/premiums on debt securities purchased, which may include residual and subordinate notes, are accreted/amortized over the life of the respective securities using the effective interest method except for
certain deep discount bonds where management does not expect the par value above the bonds cost to be fully realized. Dividend income and corporate action transactions, if any, are recorded on the ex-date. Non-cash dividends included in
dividend income, if any, are recorded at the fair market value of securities received. Paydown gains and losses on mortgage-related and other asset-backed securities are recorded as components of interest income on the Statement of Operations.
D. Dividends and Distributions to Shareholders. Dividends from net investment income will be declared and paid monthly. The Fund will distribute any net realized long or short-term capital gains at least annually. Distributions are recorded on the ex-dividend date.
|
|
|
|
|
|
|
22
|
|
DoubleLine Yield Opportunities Fund
|
|
|
|
|
|
|
|
|
|
(Unaudited)
March 31, 2020
|
Income and capital
gain distributions are determined in accordance with income tax regulations which may differ from US GAAP. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications between paid-in capital, undistributed (accumulated) net investment income (loss), and/or undistributed (accumulated) realized gain (loss). Undistributed (accumulated) net investment income or loss may include temporary
book and tax basis differences which will reverse in a subsequent period. Any taxable income or capital gain remaining at fiscal year end is distributed in the following year.
E. Use of Estimates. The preparation of financial
statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, as
well as the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates.
F. Share Valuation. The NAV per share of the Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash and
other assets, minus all liabilities (including estimated accrued expenses), by the total number of shares outstanding, rounded to the nearest cent. The Funds NAV is typically calculated on days when the NYSE opens for regular trading.
G. Unfunded Loan Commitments. The Fund
may enter into certain credit agreements, of which all or a portion may be unfunded. As of March 31, 2020, the Fund had no outstanding unfunded loan commitments. The Fund may also enter into certain credit agreements designed to provide standby
short term or bridge financing to a borrower. Typically the borrower is not economically incented to draw on the bridge loan and as such the likelihood of funding is remote. As of March 31, 2020, the Fund had no outstanding bridge loan
commitments. The Fund is obligated to fund these commitments at the borrowers discretion. The Fund generally will maintain with its custodian liquid investments having an aggregate value at least equal to the par value of unfunded loan
commitments and bridge loans.
H. Guarantees and Indemnifications. Under the Funds organizational documents, each Trustee and officer of the Fund is indemnified, to the extent permitted by the 1940 Act, against certain liabilities that may arise out of performance of their
duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Funds maximum exposure under these arrangements is unknown as this would involve future
claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts.
3. Related Party Transactions
The Adviser provides the Fund with investment management services under an Investment Management Agreement (the Agreement). Under the Agreement, the
Adviser manages the investment of the assets of the Fund, places orders for the purchase and sale of its portfolio securities and is responsible for providing certain resources to assist with the day-to-day management of the Funds business affairs. As compensation for its services, the Adviser is entitled to a monthly fee at the annual rate of 1.35% of the average daily total managed assets of
the Fund. Total managed assets means the total assets of the Fund (including assets attributable to any reverse repurchase agreements, dollar roll transactions or similar transactions, borrowings, and/or preferred shares that may be outstanding)
minus accrued liabilities (other than liabilities in respect of reverse repurchase agreements, dollar roll transactions or similar transactions, and borrowings). For purposes of calculating total managed assets, the liquidation preference of any
preferred shares outstanding shall not be considered a liability. DAMCO, a wholly owned subsidiary of the Adviser, owned 5,000 shares of the Fund as of March 31, 2020. The Adviser has arrangements with DoubleLine Group LP to provide personnel and
other resources to the Fund.
4. Purchases and Sales of Securities
For the period ended March 31, 2020, purchases and sales of investments, excluding U.S. Government securities and short term investments, were $362,396,608 and
$1,465,785 respectively. There were no transactions in U.S. Government securities (defined as long-term U.S. Treasury bills, notes and bonds) during the period.
5. Income Tax Information
The amount and character of tax-basis distributions and composition of net assets, including undistributed (accumulated) net investment income (loss), are
finalized at fiscal year-end; accordingly, tax-basis balances have not been determined as of the date of this report.
|
|
|
|
|
|
|
|
|
Semi-Annual Report
|
|
March 31, 2020
|
|
23
|
|
|
|
Notes to Financial Statements (Cont.)
|
|
(Unaudited)
March 31, 2020
|
6. Share Transactions
Transactions in the Funds shares were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Period
Ended
March 31, 2020
|
|
|
|
|
|
|
|
|
Shares
|
|
Amount
|
|
|
|
|
Shares Sold
|
|
|
|
|
|
|
|
|
47,005,000
|
|
|
|
$
|
940,100,000
|
|
|
|
|
|
Increase (Decrease) in Net Assets Resulting from Net Share
Transactions
|
|
|
|
|
|
|
|
|
47,005,000
|
|
|
|
$
|
940,100,000
|
|
7. Trustees Fees
Trustees who are not affiliated with the Adviser and its affiliates received, as a group, fees of $9,554 from the Fund during the period ended March 31, 2020.
These trustees may elect to defer the cash payment of part or all of their compensation. These deferred amounts, which remain as liabilities of the Fund, are treated as if invested in shares of the Fund or other funds managed by the Adviser and its
affiliates. These amounts represent general, unsecured liabilities of the Fund and vary according to the total returns of the selected funds. Trustees Fees in the Funds Statement of Operations are shown as $9,554 which includes $9,462 in
current fees (either paid in cash or deferred) and an increase of $92 in the value of the deferred amounts. Certain trustees and officers of the Fund are also officers of the Adviser; such trustees and officers are not compensated by the Fund.
8. Bank Loans
The Fund
may make loans directly to borrowers and may acquire or invest in loans made by others (loans). The Fund may acquire a loan interest directly by acting as a member of the original lending syndicate. Alternatively, the Fund may acquire
some or all of the interest of a bank or other lending institution in a loan to a particular borrower by means of a novation, an assignment or a participation. The loans in which the Fund may invest include those that pay fixed rates of interest and
those that pay floating ratesi.e., rates that adjust periodically based on a known lending rate, such as a banks prime rate. The Fund may purchase and sell interests in bank loans on a when-issued and delayed delivery basis, with payment
delivery scheduled for a future date. Securities purchased on a delayed delivery basis are marked to market daily and no income accrues to the Fund prior to the date the Fund actually takes delivery of such securities. These transactions are subject
to market fluctuations and are subject, among other risks, to the risk that the value at delivery may be more or less than the trade purchase price.
9. Additional Disclosures about Derivative Instruments
The following disclosures provide information on the
Funds use of derivatives and certain related risks. The location and fair value amounts of these instruments on the Statement of Assets and Liabilities and the realized gains and losses and changes in unrealized gains and losses on the
Statement of Operations, each categorized by type of derivative contract, are included in the following tables.
The average volume of derivative activity
during the period ended March 31, 2020 is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Notional Balance
|
|
|
|
|
|
|
|
Credit Default Swaps - Sell Protection
|
|
|
|
|
|
|
|
|
(59,528,163
|
)
|
Credit Default Swap Agreements Credit default swap agreements typically involve one party making a stream of payments (generally referred to as the buyer of protection) to another party (the seller of protection) in exchange for the
right to receive a specified return in the event of a default or other credit event in respect of a referenced entity, obligation or index. As a seller of protection on credit default swap agreements, a Fund generally will receive from the buyer of
protection a fixed rate of income throughout the term of the swap. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Fund would be subject to investment exposure on the notional
amount of the swap. If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund typically will either (i) pay to the buyer of protection an amount equal to the notional
amount of the swap and take delivery of the referenced obligation, other deliverable obligations or the affected securities in the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional
amount of the swap less the recovery value of the referenced obligation or the affected securities in the referenced index. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement,
the Fund typically will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or the affected securities in the referenced index
or
|
|
|
|
|
|
|
24
|
|
DoubleLine Yield Opportunities Fund
|
|
|
|
|
|
|
|
|
|
(Unaudited)
March 31, 2020
|
(ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the affected
securities in the referenced index. Recovery values are typically estimated by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. An index credit default swap
references all the names in the index, and if there is a default with respect to a single name in the index, the credit event is generally settled based on that names weight in the index. Credit default swaps are considered to have credit risk
related contingent features since they require payment by the protection seller to the protection buyer upon occurrence of a defined credit event. A Funds maximum risk of loss from counterparty risk, as the protection buyer, is the fair value
of the contract, which may be mitigated by the posting of collateral by the counterparty to a Fund to cover a Funds exposure to the counterparty. Upfront premiums (received) paid including accretion (amortization) less any collateral held at
the counterparty are reflected in deposit at broker for swaps on the Statement of Assets and Liabilities. The marked-to-market value less a financing rate, if any, is included in net unrealized appreciation (depreciation) on swaps on the Statement
of Assets and Liabilities. At termination or maturity of the swap, the cumulative marked-to-market on the value less a financing rate, if any, is recorded in realized gain (loss) on swaps on the Statement of Operations.
The Funds derivative instrument holdings are summarized in the following tables.
The effect of derivative instruments on the Statement of Assets and Liabilities for the period ended March 31, 2020 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives not accounted
for as hedging instruments
|
|
|
|
|
Statement of Assets and Liabilities Location
|
|
|
|
Credit Risk
|
|
Total
|
|
|
|
|
Net Unrealized Appreciation (Depreciation) on:
|
|
|
|
|
|
|
|
|
|
|
|
|
Swaps
|
|
|
|
|
$
|
(59,528,163
|
)
|
|
|
$
|
(59,528,163
|
)
|
The effect of derivative instruments on the Statement of Operations for the period ended March 31, 2020 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives not
accounted
for as hedging instruments
|
|
|
|
|
Statement of Operations Location
|
|
|
|
Credit Risk
|
|
Total
|
|
|
|
|
Net Realized Gain (Loss) on:
|
|
|
|
|
|
|
|
|
|
|
|
|
Swaps
|
|
|
|
|
$
|
522,226
|
|
|
|
$
|
522,226
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives not
accounted
for as hedging instruments
|
|
|
|
|
Statement of Operations Location
|
|
|
|
Credit Risk
|
|
Total
|
|
|
|
|
Net Change in Unrealized Appreciation (Depreciation) on:
|
|
|
|
|
|
|
|
|
|
|
|
|
Swaps
|
|
|
|
|
$
|
(59,528,163
|
)
|
|
|
$
|
(59,528,163
|
)
|
10. Offsetting Assets and Liabilities
The Fund is subject to various Master Netting Arrangements, which govern the terms of certain transactions with select counterparties. The Master Netting
Arrangements are intended to allow the Fund to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single agreement with a counterparty. The Master Netting
Arrangements also specify collateral posting arrangements at pre-arranged exposure levels. Under the Master Netting Arrangements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral
already in place) governed under the relevant Master Netting Arrangement with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of Master Netting Arrangement.
As of March 31, 2020 the Fund held the following derivative instruments that were subject to offsetting on the Statement of Assets and Liabilities:
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Gross
Amounts of
Recognized
Liabilities
|
|
Gross Amounts
Offset in the
Statement of
Assets and
Liabilities
|
|
Net Amounts
presented in the
Statement of
Assets and
Liabilities
|
|
Gross Amounts not offset in the
Statement of Assets and Liabilities
|
|
Net
Amount
|
|
Financial
Instruments
|
|
Cash
Collateral
Pledged
|
|
|
|
|
|
|
|
Swap Contracts
|
|
|
$
|
59,528,163
|
|
|
|
$
|
|
|
|
|
$
|
59,528,163
|
|
|
|
$
|
59,528,163
|
|
|
|
$
|
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
Semi-Annual Report
|
|
March 31, 2020
|
|
25
|
|
|
|
Notes to Financial Statements (Cont.)
|
|
(Unaudited)
March 31, 2020
|
11. Principal Risks
Below are summaries of some, but not all, of the principal risks of investing in the Fund, each of which could adversely affect the Funds NAV, market price,
yield, and total return. The Funds prospectus provided additional information regarding these and other risks of investing in the Fund at the time of the initial public offering of the Funds shares.
|
|
|
No prior history: The Fund is a newly organized, non-diversified, limited term closed-end
management investment company with no history of operations and is subject to all of the business risks and uncertainties associated with any new business.
|
|
|
|
Market discount risk: The price of the Funds common shares will fluctuate with market
conditions and other factors. Shares of closed-end management investment companies frequently trade at a discount from their net asset value.
|
|
|
|
Limited term and tender offer risk: Unless the limited term provision of the Funds
Declaration of Trust is amended by shareholders in accordance with the Declaration of Trust, or unless the Fund completes a tender offer and converts to perpetual existence, the Fund will terminate on or about February 25, 2032 (the
Dissolution Date). The Fund is not a so called target date or life cycle fund whose asset allocation becomes more conservative over time as its target date, often associated with retirement, approaches. Because
the assets of the Fund will be liquidated in connection with the dissolution, the Fund will incur transaction costs in connection with dispositions of portfolio securities. The Fund does not limit its investments to securities having a maturity date
prior to the Dissolution Date and may be required to sell portfolio securities when it otherwise would not, including at times when market conditions are not favorable, which may cause the Fund to lose money.
|
|
|
|
Leverage risk: Leverage is a speculative technique that may expose the Fund to greater risk
and increased costs. When leverage is used, the NAV and market price of the Common Shares and the investment return to Common Shareholders will likely be more volatile. There can be no assurance that a leveraging strategy will be used by the Fund or
that it will be successful.
|
|
|
|
Liquidity risk: the risk that the Fund may be unable to sell a portfolio investment at a
desirable time or at the value the Fund has placed on the investment.
|
|
|
|
Portfolio management risk: the risk that an investment strategy may fail to produce the
intended results or that the securities held by the Fund will underperform other comparable funds because of the portfolio managers choice of investments.
|
|
|
|
Valuation risk: the risk that the Fund will not value its investments in a manner that
accurately reflects their market values or that the Fund will not be able to sell any investment at a price equal to the valuation ascribed to that investment for purposes of calculating the Funds net asset value. The valuation of the
Funds investments involves subjective judgment and some valuations may involve assumptions, projections, opinions, discount rates, estimated data points and other uncertain or subjective amounts, all of which may prove inaccurate. In addition,
the valuation of certain investments held by the Fund may involve the significant use of unobservable and non-market inputs. Certain securities in which the Fund may invest may be more difficult to value accurately, especially during periods of
market disruptions or extreme market volatility.
|
|
|
|
Investment and market risk: the risk that markets will perform poorly or that the returns
from the securities in which the Fund invests will underperform returns from the general securities markets or other types of investments. Markets may, in response to governmental actions or intervention, political, economic or market developments,
or other external factors, experience periods of high volatility and reduced liquidity. Certain securities may be difficult to value during such periods. The value of securities and other instruments traded in over-the-counter markets, like other
market investments, may move up or down, sometimes rapidly and unpredictably. Further, the value of securities and other instruments held by the Fund may decline in value due to factors affecting securities markets generally or particular
industries. These risks may be heightened for fixed income securities due to the current historically low interest rate environment.
|
|
|
|
Issuer non-diversification risk: As a non-diversified fund, the Fund may invest its assets
in a smaller number of issuers than may a diversified fund. Accordingly, the Fund may be more susceptible to any single economic, political, or regulatory occurrence than a diversified fund investing in a broader range of issuers. A decline in the
market value of one of the Funds investments may affect the Funds value more than if the Fund were a diversified fund. Some of the issuers in which the Fund invests also may present substantial credit or other risks. The Fund will be
subject to similar risks to the extent that it enters into derivatives transactions with a limited number of counterparties.
|
|
|
|
Credit risk: Credit risk is the risk that an issuer or counterparty will fail to pay its
obligations to the Fund when they are due. The Funds income might be reduced and the value of the investment might fall or be lost entirely. Changes in the financial condition of an issuer or counterparty, changes in specific economic, social
or political conditions that affect a particular type
|
|
|
|
|
|
|
|
26
|
|
DoubleLine Yield Opportunities Fund
|
|
|
|
|
|
|
|
|
|
(Unaudited)
March 31, 2020
|
|
of security, other instrument or an issuer, and changes in economic, social or political conditions generally can increase the risk of default by an issuer or counterparty, which can affect a
securitys or other instruments credit quality or value and an issuers or counterpartys ability to pay interest and principal when due. The values of lower-quality debt securities (including debt securities commonly referred
to as high yield securities and junk bonds) and floating rate loans, tend to be particularly sensitive to these changes. The values of securities also may decline for a number of other reasons that relate directly to the
issuer, such as management performance, financial leverage and reduced demand for the issuers goods and services, as well as the historical and prospective earnings of the issuer and the value of its assets.
|
|
|
|
Interest rate risk: Interest rate risk is the risk that debt instruments will change in
value because of changes in interest rates. The value of an instrument with a longer duration (whether positive or negative) will be more sensitive to changes in interest rates than a similar instrument with a shorter duration.
|
|
|
|
Debt securities risk: In addition to certain of the other risks described herein such as
interest rate risk and credit risk, debt securities generally also are subject to the following risks:
|
|
°
|
|
Redemption risk : Debt securities sometimes contain provisions that allow for redemption in
the event of tax or security law changes in addition to call features at the option of the issuer. In the event of a redemption, the Fund may not be able to reinvest the proceeds at comparable rates of return.
|
|
°
|
|
Extension risk: the risk that if interest rates rise, repayments of principal on certain
debt securities, including, but not limited to, floating rate loans and mortgage-related securities, may occur at a slower rate than expected and the expected maturity of those securities could lengthen as a result. Securities that are subject to
extension risk generally have a greater potential for loss when prevailing interest rates rise, which could cause their values to fall sharply.
|
|
°
|
|
Spread risk: Wider credit spreads and decreasing market values typically represent a
deterioration of the debt securitys credit soundness and a perceived greater likelihood or risk of default by the issuer.
|
|
°
|
|
Limited voting rights: Debt securities typically do not provide any voting rights, except
in some cases when interest payments have not been made and the issuer is in default. Even in such cases, such rights may be limited to the terms of the debenture or other agreements.
|
|
°
|
|
Prepayment/reinvestment risk: the risk that income may decline when the Fund invests
proceeds from investment income, sales of portfolio securities or matured, traded, pre-paid or called debt obligations, negatively effecting dividend levels and market price, NAV and/or overall return of the common shares.
|
|
|
|
Mortgage-backed securities risks: include the risks that borrowers may default on their
mortgage obligations or the guarantees underlying the mortgage-backed securities will default or otherwise fail and that, during periods of falling interest rates, mortgage-backed securities will be called or prepaid, which may result in the Fund
having to reinvest proceeds in other investments at a lower interest rate. During periods of rising interest rates, the average life of a mortgage-backed security may extend, which may lock in a below-market interest rate, increase the
securitys duration, and reduce the value of the security. Enforcing rights against the underlying assets or collateral may be difficult, or the underlying assets or collateral may be insufficient if the issuer defaults. The values of certain
types of mortgage-backed securities, such as inverse floaters and interest-only and principal-only securities, may be extremely sensitive to changes in interest rates and prepayment rates. The Fund may invest in mortgage-backed securities that are
subordinate in their right to receive payment of interest and repayment of principal to other classes of the issuers securities.
|
|
|
|
Foreign investing risk: the risk that investments in foreign securities or in issuers with
significant exposure to foreign markets, as compared to investments in U.S. securities or in issuers with predominantly domestic market exposure, may be more vulnerable to economic, political, and social instability and subject to less government
supervision, lack of transparency, inadequate regulatory and accounting standards, and foreign taxes. If the Fund buys securities denominated in a foreign currency, receives income in foreign currencies or holds various foreign currencies from time
to time, the value of the Funds assets, as measured in U.S. dollars, can be affected unfavorably by changes in exchange rates with respect to the U.S. dollar or with respect to other foreign currencies. Foreign markets are also subject to the
risk that a foreign government could restrict foreign exchange transactions or otherwise implement unfavorable currency regulations.
|
|
|
|
Foreign currency risk: the risk that fluctuations in exchange rates may adversely affect
the value of the Funds investments denominated in foreign currencies.
|
|
|
|
Emerging markets risk: the risk that investing in emerging markets, as compared to foreign
developed markets, increases the likelihood that the Fund will lose money, due to more limited information about the issuer and/or the security; higher brokerage costs; different accounting, auditing and financial reporting standards; less developed
legal systems and thinner
|
|
|
|
|
|
|
|
|
|
Semi-Annual Report
|
|
March 31, 2020
|
|
27
|
|
|
|
Notes to Financial Statements (Cont.)
|
|
(Unaudited)
March 31, 2020
|
|
trading markets; the possibility of currency blockages or transfer restrictions; an emerging market countrys dependence on revenue from particular commodities or international aid; and the
risk of expropriation, nationalization or other adverse political or economic developments.
|
|
|
|
Collateralized debt obligations (CDOs) risk: the risks of an investment in a
collateralized debt obligation (CDO) depend largely on the quality and type of the collateral and the tranche of the CDO in which the Fund invests. Normally, collateralized bond obligations (CBOs), Collateralized loan
obligations (CLOs) and other CDOs are privately offered and sold, and thus are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Fund as illiquid securities; however, an active dealer
market, or other relevant measures of liquidity, may exist for CDOs allowing a CDO potentially to be deemed liquid by the Adviser under liquidity policies approved by the Board. In addition to the risks associated with debt instruments (e.g.,
interest rate risk and credit risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral will not be adequate to make interest or other payments; (ii) the quality of the
collateral may decline in value or default; (iii) the possibility that the Fund may invest in CDOs that are subordinate to other classes of the issuers securities; and (iv) the complex structure of the security may not be fully
understood at the time of investment and may produce disputes with the issuer or unexpected investment results.
|
|
|
|
Asset-backed securities investment risk: Asset-backed securities involve the risk that
borrowers may default on the obligations backing them and that the values of and interest earned on such investments will decline as a result. Loans made to lower quality borrowers, including those of sub-prime quality, involve a higher risk of
default.
|
|
|
|
Credit default swaps risk: Credit default swaps provide exposure to one or more reference
obligations but involve greater risks than investing in the reference obligation directly, and expose the Fund to liquidity risk, counterparty risk and credit risk. A buyer of a credit default swap will lose its investment and recover nothing should
no event of default occur. When the Fund acts as a seller of a credit default swap, it is exposed to many of the same risks of leverage described herein since if an event of default occurs the seller must pay the buyer the full notional value of the
reference obligation(s).
|
|
|
|
U.S. Government securities risk: the risk that debt securities issued or guaranteed by
certain U.S. Government agencies, instrumentalities, and sponsored enterprises are not supported by the full faith and credit of the U.S. Government, and so investments in their securities or obligations issued by them involve greater risk than
investments in other types of U.S. Government securities.
|
|
|
|
Sovereign debt obligations risk: the risk that investments in debt obligations of sovereign
governments may lose value due to the government entitys unwillingness or inability to repay principal and interest when due in accordance with the terms of the debt or otherwise in a timely manner.
|
|
|
|
Loan risk: the risk that (i) if the Fund holds a loan through another financial
institution, or relies on a financial institution to administer the loan, its receipt of principal and interest on the loan may be subject to the credit risk of that financial institution; (ii) any collateral securing a loan may be insufficient
or unavailable to the Fund because, for example, the value of the collateral securing a loan can decline, be insufficient to meet the obligations of the borrower, or be difficult to liquidate, and the Funds rights to collateral may be limited
by bankruptcy or insolvency laws; (iii) investments in highly leveraged loans or loans of stressed, distressed, or defaulted issuers may be subject to significant credit and liquidity risk; (iv) a bankruptcy or other court proceeding could
delay or limit the ability of the Fund to collect the principal and interest payments on that borrowers loans or adversely affect the Funds rights in collateral relating to a loan; (v) there may be limited public information
available regarding the loan and the relevant borrower(s); (vi) the use of a particular interest rate benchmark, such as LIBOR, may limit the Funds ability to achieve a net return to shareholders that consistently approximates the average
published Prime Rate of U.S. banks; (vii) the prices of certain floating rate loans that include a feature that prevents their interest rates from adjusting if market interest rates are below a specified minimum level appreciate less than other
instruments in response to changes in interest rates should interest rates rise but remain below the applicable minimum level; (viii) if a borrower fails to comply with various restrictive covenants that may be found in loan
|
|
agreements, the borrower may default in payment of the loan; (ix) if the Fund invests in loans that contain fewer or less restrictive
constraints on the borrower than certain other types of loans (covenant lite loans), it may have fewer rights against the borrowers of such loans, including fewer protections against the possibility of default and fewer remedies in the
event of default; (x) the Funds investments in loans may be subject to risks associated with collateral impairment or access and risks associated with investing in unsecured loans; (xi) opportunities to invest in loans or certain
types of loans, such as senior loans, may be limited; (xii) transactions in loans may settle on a delayed basis, and the Fund may not receive the proceeds from the sale of a loan for a substantial period of time after the sale, which may result
in sale proceeds related to the sale of loans not being available to make additional investments or to meet the Funds redemption obligations until potentially a substantial period after the sale of the loans; (xiii) loans may be difficult
to value and may be illiquid, which may
|
|
|
|
|
|
|
|
28
|
|
DoubleLine Yield Opportunities Fund
|
|
|
|
|
|
|
|
|
|
(Unaudited)
March 31, 2020
|
|
adversely affect an investment in the Fund. Investments in loans through a purchase of a loan, loan origination or a direct assignment of a financial institutions interests with respect to
a loan may involve additional risks to the Fund. For example, if a loan is foreclosed, the Fund could become owner, in whole or in part, of any collateral, which could include, among other assets, real estate or other real or personal property, and
would bear the costs and liabilities associated with owning and holding or disposing of the collateral. In addition, it is conceivable that under emerging legal theories of lender liability, the Fund as holder of a partial interest in a loan could
be held liable as co-lender for acts of the agent lender.
|
|
|
|
Below investment grade/high yield securities risk: Debt instruments rated below investment
grade or debt instruments that are unrated and of comparable or lesser quality are predominantly speculative. These instruments, commonly known as junk bonds, have a higher degree of default risk and may be less liquid than higher-rated
bonds. These instruments may be subject to greater price volatility due to such factors as specific corporate developments, interest rate sensitivity, negative perceptions of high yield investments generally, general economic downturn, and less
secondary market liquidity.
|
|
|
|
Defaulted securities risk: the risk of the uncertainty of repayment of defaulted securities
(e.g., a security on which a principal or interest payment is not made when due) and obligations of distressed issuers. Because the issuer of such securities is in default and is likely to be in distressed financial condition, repayment of defaulted
securities and obligations of distressed issuers (including insolvent issuers or issuers in payment or covenant default, in workout or restructuring or in bankruptcy or insolvency proceedings) is subject to significant uncertainties.
|
|
|
|
Real estate risk: the risk that real estate-related investments may decline in value as a
result of factors affecting the real estate sector, such as the supply of real property in certain markets, changes in zoning laws, delays in completion of construction, changes in real estate values, changes in property taxes, levels of occupancy,
and local and regional market conditions. Along with the risks common to different types of real estate-related investments, real estate investment trusts (REITs), no matter the type, involve additional risk factors, including poor
performance by the REITs manager, adverse changes to the tax laws, and the possible failure by the REIT to qualify for the favorable tax treatment available to REITs under the Internal Revenue Code of 1986, as amended (the Code),
or the exemption from registration under the 1940 Act. REITs are not diversified and are heavily dependent on cash flow earned on the property interests they hold.
|
|
|
|
LIBOR risk: the terms of many investments, financings or other transactions to which the
Fund may be a party have been historically tied to the London Interbank Offered Rate, or LIBOR. LIBOR is the offered rate at which major international banks can obtain wholesale, unsecured funding, and LIBOR may be available for
different durations (e.g., 1 month or 3 months) and for different currencies. LIBOR may be a significant factor in determining the Funds payment obligations under a derivative investment, the cost of financing to the Fund or an
investments value or return to the Fund, and may be used in other ways that affect the Funds investment performance. In July 2017, the Financial Conduct Authority, the United Kingdoms financial regulatory body, announced that after
2021 it will cease its active encouragement of banks to provide the quotations needed to sustain LIBOR. That announcement suggests that LIBOR may cease to be published after that time. Various financial industry groups have begun planning for that
transition, but there are obstacles to converting certain securities and transactions to a new benchmark. Transition planning is at an early stage, and neither the effect of the transition process nor its ultimate success can yet be known. The
transition process might lead to increased volatility and illiquidity in markets for instruments whose terms currently include LIBOR, reduce the effectiveness of new hedges placed against existing LIBOR-based investments, increased costs for certain
LIBOR-related instruments or financing transactions and cause prolonged adverse market conditions for the Fund. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end
of 2021. There also remains uncertainty and risk regarding the willingness and ability of issuers to include enhanced provisions in new and existing contracts or instruments. All of the aforementioned may adversely affect the Funds performance
or NAV.
|
|
|
|
Derivatives risk: the risk that an investment in derivatives will not perform as
anticipated by the Adviser, may not be available at the time or price desired, cannot be closed out at a favorable time or price, will increase the Funds transaction costs, or will increase the Funds volatility; that derivatives may
create investment leverage; that, when a derivative is used as a substitute for or alternative to a direct cash investment, the transaction may not provide a return that corresponds precisely or at all with that of the underlying investment; or when
used for hedging purposes, derivative will not provide the anticipated protection, causing the Fund to lose money on both the derivatives transaction and the exposure the Fund sought to hedge.
|
|
|
|
Counterparty risk: the risk that the Fund will be subject to credit risk presented with
respect to the counterparties to derivative contracts and other instruments, such as repurchase and reverse repurchase agreements, entered into by the Fund. Subject to certain U.S. federal income tax limitations, the Fund is not subject to any limit
with respect to the number or the value of transactions they can enter into with a single counterparty.
|
|
|
|
|
|
|
|
|
|
Semi-Annual Report
|
|
March 31, 2020
|
|
29
|
|
|
|
Notes to Financial Statements (Cont.)
|
|
(Unaudited)
March 31, 2020
|
|
|
|
Unrated securities Risk: Unrated securities may be less liquid than comparable rated
securities and involve the risk that the Adviser may not accurately evaluate the securitys comparative credit rating and value. Some or all of the unrated instruments in which the Fund may invest will involve credit risk comparable to or
greater than that of rated debt securities of below investment grade quality.
|
|
|
|
Structured products and structured notes risk: the risk that an investment in a structured
product may decline in value due to changes in the underlying instruments on which the product is based. In addition to the general risks associated with fixed income securities discussed herein, structured products carry additional risks including,
but not limited to: (i) the possibility that distributions from underlying investments will not be adequate to make interest or other payments; (ii) the quality of the underlying investments may decline in value or default; (iii) the
possibility that the security may be subordinate to other classes of the issuers securities; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or
unexpected investment results.
|
|
|
|
Issuer risk: Issuer risk is the risk that the market price of securities may go up or down,
sometimes rapidly or unpredictably, including due to factors affecting securities markets generally, particular industries represented in those markets, or the issuer itself.
|
|
|
|
Market disruption and geopolitical risk: the risk that markets may, in response to
governmental actions or intervention, political, economic or market developments, or other external factors, experience periods of high volatility and reduced liquidity, which may cause the Fund to sell securities at times when it would otherwise
not do so, and potentially at unfavorable prices.
|
|
|
|
Tax risk: in order to qualify as a regulated investment company under the Code, the Fund
must meet requirements regarding, among other things, the source of its income. Certain investments do not give rise to qualifying income for this purpose. Any income the Fund derives from investments in instruments that do not generate qualifying
income must be limited to a maximum of 10% of the Funds annual gross income. If the Fund were to earn non-qualifying income in excess of 10% of its annual gross income, it could fail to qualify as a regulated investment company for that year.
If the Fund were to fail to qualify as a regulated investment company, the Fund would be subject to tax and shareholders of the Fund would be subject to the risk of diminished returns.
|
|
|
|
Operational Risk: An investment in the Fund, like any fund, can involve operational risks
arising from factors such as processing errors, human errors, inadequate or failed internal or external processes, failures in systems and technology, changes in personnel and errors caused by third-party service providers. The occurrence of any of
these failures, errors or breaches could result in investment losses to the Fund, a loss of information, regulatory scrutiny, reputational damage or other events, any of which could have a material adverse effect on the Fund. While the Fund seeks to
minimize such events through controls and oversight, there may still be failures that could cause losses to the Fund.
|
12. Subsequent Events
On April 14, 2020 the Fund issued an additional 900,000 common shares at $20.00 per share in connection with the underwriters over-allotment option.
In preparing these financial statements, the Fund has evaluated events and transactions for potential recognition or disclosure through the date the financial
statements were issued. The Fund has determined there are no subsequent events that would need to be disclosed in the Funds financial statements.
|
|
|
|
|
|
|
30
|
|
DoubleLine Yield Opportunities Fund
|
|
|
|
|
|
|
|
Evaluation of Advisory Agreement by the Board of Trustees
|
|
(Unaudited)
March 31, 2020
|
At the November 21,
2019 meeting (the Meeting) of the Board of Trustees (the Board or the Trustees) of DoubleLine Yield Opportunities Fund (the Fund), the Board, including the Trustees who are not interested
persons (as defined in the Investment Company Act of 1940, as amended) of the Fund (Independent Trustees) voting separately, approved an Investment Management Agreement (the Agreement) between the Fund and DoubleLine
Capital LP (the Adviser). In connection with its consideration of the Investment Management Agreement, the Board also formally considered and approved a proposed form of Investment Management Agreement between the Adviser and one or more
wholly-owned subsidiaries of the Fund that may be formed by the Fund (the Subsidiary Agreement and together with the Investment Management Agreement, the Agreements).
The Trustees determination to approve the Agreements was made on the basis of each Trustees business judgment after an evaluation of all of the
information provided to the Trustees. This summary describes a number, but not necessarily all, of the most important factors considered by the Board and the Independent Trustees. Individual Trustees may have given different weights to certain
factors and assigned various degrees of materiality to information received in connection with the approval process. No single factor was determined to be decisive. In all of their deliberations, the Board of Trustees and the Independent Trustees
were advised by counsel to the Fund and the Independent Trustees.
The Trustees considered a wide range of materials, including information previously or
contemporaneously provided to the Trustees in connection with their oversight of the existing DoubleLine funds (collectively with the Fund, the DoubleLine Funds Complex) and the annual consideration of the renewal of the advisory
contracts across the DoubleLine Funds Complex. The Trustees also discussed the nature, extent, and quality of the Advisers overall services to be provided to the Fund, including the expertise and experience of its investment personnel. The
Trustees considered the Advisers specific responsibilities in all aspects of day-to-day management of the Fund as well as the qualifications, experience, and responsibilities of the portfolio managers and other key personnel who would be
involved in the day-to-day activities of the Fund. The Trustees noted that the Fund had not commenced operations at the time of the Meeting and had no historical investment performance. However, the Trustees considered the performance and operations
of the other funds in the DoubleLine Funds Complex, including two other closed-end funds that the Adviser manages.
The Trustees considered the terms of the
proposed Agreements, and reviewed the proposed services the Adviser would provide under the Agreements. The Trustees considered that DoubleLine would provide or procure a variety of other services in addition to investment advisory services,
including, among others, a number of back-office services, valuation services, compliance services, and assistance with accounting. The Trustees also considered the structure of the Funds and the Advisers respective compliance programs,
including the policies and procedures of the Fund and the Adviser, with which they were familiar from their service as Trustees of the DoubleLine Funds Complex. The Board also considered the difficulty of managing debt-related funds, noting that
managing such funds requires a portfolio management team to balance a number of factors, which may include, among others, varying maturities, prepayments, collateral management, counter-party management, pay-downs, credit events, workouts and net
new issuances. The Trustees also noted that there were additional portfolio management challenges in managing a closed-end fund with a limited term that do not generally apply to most open-end funds, such as those associated with
less liquid holdings, management of the use of leverage, issues relating to trading of the Funds shares on a national exchange, and management of the Funds dividend payments. The Trustees concluded that it appeared the Adviser would
have, or have available to it, a sufficient quality and depth of personnel, resources, and investment methods, and would have compliance policies and procedures essential to performing its duties under the proposed Agreements and that, in the
Trustees view, the nature, overall quality, and extent of the management services to be provided appeared likely to be satisfactory and reliable.
The
Trustees considered the proposed structure and level of the Funds advisory fees. In this regard, the Trustees considered, among other information, that the Advisers management fee would be based on a percentage of the Funds total
managed assets (including assets attributable to any reverse repurchase agreements, dollar rolls, borrowings, and preferred shares that may be outstanding). The Trustees also considered comparative advisory fee and total expense information prepared
by Strategic Insight (Strategic Insight) that compared the Funds proposed and estimated management fee rate and estimated total expense ratio against a variety of groups of other closed-end funds, and they considered the
assumptions used in assembling that comparative information.
In evaluating the comparative management fee and total expense information that Strategic
Insight assembled, the Trustees considered the information provided by Strategic Insight and DoubleLine regarding the closed-end fund market generally, including recent structural changes in that market. The information provided by Strategic Insight
and DoubleLine included the recent trend towards fund sponsors assuming a greater portion of organizational and offering expenses of launching closed-end funds and assuming all of the sales and marketing related compensation for offerings of the
common shares of closed-end funds. They noted also the information they were provided regarding the trend of closed-end funds adopting limited terms. They noted that a limited term closed-end fund provides a funds shareholders a date certain
(subject to potential extension) on which they would receive their proportionate interests in the net asset value of the fund, but also limits the period during which a fund sponsor might expect to earn fees by managing the fund. In this regard, the
Trustees noted that the Fund was proposed to have a term of up to fifteen years (which was later reduced to twelve years), and that that term was subject to potential extension by the Board for
|
|
|
|
|
|
|
|
|
Semi-Annual Report
|
|
March 31, 2020
|
|
31
|
|
|
|
Evaluation of Advisory Agreement by the Board of Trustees (Cont.)
|
|
(Unaudited)
March 31, 2020
|
a limited period of time. They noted also that DoubleLine had undertaken to bear all of the Funds organizational and offering expenses as well as all of the sales- and marketing-related
compensation arising out of the offering of the Funds common shares.
The Trustees compared the Funds proposed management fees to peer groups
assembled by Strategic Insight both without regard to the Funds proposed term and arrangements with respect to organizational and offering expenses and with regard to those features. The Trustees noted that the advisory fee proposed for the
Fund, at 1.35%, was generally in line with or comparable to those closed-end funds that had recently launched with limited terms and organizational and offering expense arrangements similar to those of the Fund. The Trustees noted that the proposed
advisory fee was generally higher, and in some cases substantially higher, than the fees of closed-end funds that had not adopted the recent structural changes in the closed-end marketplace (or that were launched prior to when those changes began to
be adopted), though not unreasonably so in light of the complexity of the Funds proposed investment strategies and DoubleLines investment experience and expertise. The Trustees noted also that the Adviser expected that there would be
strong demand for the Fund, that the Adviser does not manage any other accounts with substantially similar investment strategies, and that management believed that the Advisers proposed advisory services qualify as premium quality
services justifying a relatively high fee. The Trustees also considered the Advisers representation that it believes the Fund represents good value to shareholders, in light of the expertise and experience of Messrs. Gundlach and Sherman,
with whom the Board was familiar. The Trustees also considered DoubleLines representation that it does not seek to price its advisory fees to be the lowest priced funds, but rather to set its fee at a level that recognizes the premium brand of
DoubleLine in the market and makes DoubleLines expertise available at a reasonable price. On the basis of these considerations and others, including the Advisers investment management expertise and historical performance record in
fixed-income investing, the Trustees concluded that the amount of the fee proposed was reasonable.
The Trustees discussed information provided by the
Adviser as to the estimated profitability to the Adviser from managing the Fund, including the assumptions used in the estimate and the difficulty in projecting the asset raise of a closed-end fund offering. In assessing profitability, the Trustees
reviewed financial information provided by the Adviser and took into account both the likely direct and indirect benefits to the Adviser from managing the Fund. In evaluating the estimated profitability of the Adviser, the Trustees considered the
Advisers estimated profitability first only after expenses associated with the performance of its obligations under the Investment Management Agreement and then, separately, after all of the organizational, offering, and other sponsorship
related expenses that the Adviser expected to assume. In respect of the latter analysis, the Trustees took into account the Advisers proposed undertaking to bear all of the Funds organizational expenses and all of the costs associated
with the initial public offering of the Funds common shares, and that, although those expenses were not strictly expenses of providing investment management services, they would reduce the profitability of the Fund to the Adviser for some
period. The Trustees also took into account the significant risks that the Adviser was taking as the sponsor of the Fund, including that the Adviser proposed to bear all of the sales-related compensation payable to the members of underwriting
syndicate. In considering whether to incorporate into their analysis the substantial sponsorship-related risks to be assumed by the Adviser, the Trustees considered the Advisers view that the proposed investment strategy would be appropriate
only in a registered investment company of the closed-end type and that conditions in the marketplace essentially required that the sponsor assume the organizational expenses, offering expenses, and sales- and marketing-related expense of the Fund
if the Funds common shares were to be made available to investors via an initial public offering, as proposed.
The Trustees considered the potential
benefits to Fund shareholders of those arrangements. In that regard, the Trustees noted that, in contrast to the initial investors in certain other closed-end funds, the initial investors in the Fund would not bear any of the organizational and
offering expenses of the Fund, and that, as a result, the initial investors would receive shares in the offering with a net asset value equal to the purchase price of those shares.
The Trustees concluded that, although the level of profitability of the management fee to the Adviser was potentially relatively high, it was not inappropriate
in light of the Advisers expertise and performance and the entrepreneurial and sponsorship risk the Adviser proposed to take and the resources that the Adviser would commit to support the Fund.
On the basis of these considerations and others and in the exercise of their business judgment, the Trustees determined to approve the Agreements for the
proposed initial term.
With respect to the Subsidiary Agreement, the Board considered that the Fund is expected to utilize any subsidiary to execute the
Funds investment strategy, and that the Adviser would provide investment management services to any subsidiary pursuant to the form of Subsidiary Agreement that is substantively identical to the Agreement. The Board noted that, while the
Subsidiary is proposed to pay a separate management fee to the Adviser for investment management services, the Adviser proposed also to enter into an arrangement with the Fund, which would provide that the Adviser would waive its management fee from
the Fund, or reimburse the Fund, in an amount equal to the management fee paid to the Adviser by the Subsidiary. The Trustees determined, therefore, that it was appropriate to consider the approval of the Agreements collectively.
|
|
|
|
|
|
|
32
|
|
DoubleLine Yield Opportunities Fund
|
|
|
|
|
|
|
|
Statement Regarding the Funds Liquidity Risk Management Program
|
|
(Unaudited)
March 31, 2020
|
The Fund has adopted
a liquidity risk management program. The programs principal objectives include mitigating the risk that the Fund is unable to meet its redemption obligations timely and supporting the Funds compliance with its limits on investments
in illiquid assets. Since the programs inception through the end of the period covered by this report, the program administrator determined that the program supported the Funds ability to honor redemption requests timely and the
Advisers management of the Funds liquidity profile. The program includes a number of elements that support the assessment and management of liquidity risk, including the periodic classification and re-classification of the Funds
investments into groupings based on the Advisers view of their liquidity. There can be no assurance that the program will achieve its objectives. Please refer to your Funds prospectus for more information regarding the Funds
exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
* *
* * *
|
|
|
|
|
|
|
|
|
Semi-Annual Report
|
|
March 31, 2020
|
|
33
|
|
|
|
Portfolio Managers
|
|
(Unaudited)
March 31, 2020
|
The portfolio
managers of the Fund are Jeffrey E. Gundlach (since the Funds inception) and Jeffrey J. Sherman (since the Funds inception).
Information About Proxy Voting
Information about how the Fund voted proxies relating to portfolio
securities held during the most recent twelve month period ended June 30th is available no later than the following August 31st
without charge, upon request, by calling 877-DLine11 (877-354-6311) and on the Securities and Exchange Commissions (the
SEC) website at www.sec.gov.
A description of the Funds proxy voting policies and procedures is available (i) without charge, upon
request, by calling 877-DLine11 (877-354-6311); and (ii) on the SECs website at www.sec.gov.
Information About Portfolio Holdings
The Fund intends to disclose its portfolio holdings on a quarterly basis by posting the holdings on the Funds website. The disclosure will be made by
posting the Annual, Semi-Annual and Part F of Form N-PORT filings on the Funds website.
The Fund is required to file its complete schedule of
portfolio holdings with the SEC for its first and third fiscal quarters on Part F of Form N-PORT. When available, the Funds Part F of Form N-PORT is available on the SECs website at www.sec.gov.
HouseholdingImportant Notice Regarding Delivery of Shareholder Documents
In an effort to conserve resources, the Fund intends to reduce the number of duplicate Annual and Semi-Annual Reports you receive by sending only one copy of
each to addresses where we reasonably believe two or more accounts are from the same family. If you would like to discontinue householding of your accounts, please call toll-free 877-DLine11 (877-354-6311) to request individual copies of these documents. We will begin sending individual copies thirty days after receiving your request to stop householding.
|
|
|
|
|
|
|
34
|
|
DoubleLine Yield Opportunities Fund
|
|
|
|
|
|
|
|
Dividend Reinvestment Plan
|
|
(Unaudited)
March 31, 2020
|
Unless the
registered owner of Common Shares elects to receive cash by contacting U.S. Bancorp Fund Services, LLC (the Plan Administrator), all dividends, capital gains and returns of capital, if any, declared on Common Shares will be automatically
reinvested by the Plan Administrator for shareholders in the Funds Automatic Dividend Reinvestment Plan (the Plan), in additional Common Shares. Common Shareholders who elect not to participate in the Plan will receive all
dividends and other distributions payable in cash directly to the shareholder of record (or, if the Common Shares are held in street or other nominee name, then to such nominee) by the Plan Administrator as dividend disbursing agent. Participation
in the Plan is completely voluntary and may be terminated or resumed at any time without penalty by providing notice in writing to the Plan Administrator at least 5 days prior to the dividend/distribution record date; otherwise such termination or
resumption will be effective with respect to any subsequently declared dividend or other distribution.
Whenever the Fund declares an income dividend, a
capital gain distribution or other distribution (collectively referred to as dividends) payable either in shares or cash, non-participants in the Plan will receive cash and participants in the Plan
will receive a number of Common Shares, determined in accordance with the following provisions. The Common Shares will be acquired by the Plan Administrator for the participants accounts, depending upon the circumstances described below,
either (i) through receipt of additional unissued but authorized Common Shares from the Fund (Newly Issued Common Shares) or (ii) by purchase of outstanding Common Shares on the open market
(Open- Market Purchases) on the New York Stock Exchange or elsewhere. If, on the payment date for any Dividend, the market price per Common Share plus estimated brokerage trading fees is equal to
or greater than the NAV per Common Share (such condition is referred to here as market premium), the Plan Administrator shall receive Newly Issued Common Shares, including fractions of shares from the Fund for each Plan
participants account. The number of Newly Issued Common Shares to be credited to each participants account will be determined by dividing the dollar amount of the Dividend by the NAV per Common Share on the date of issuance; provided
that, if the NAV per Common Share is less than or equal to 95% of the current market value on the date of issuance, the dollar amount of the Dividend will be divided by 95% of the market price per Common Share on the date of issuance for purposes of
determining the number of shares issuable under the Plan. If, on the payment date for any Dividend, the NAV per Common Share is greater than the market value plus estimated brokerage trading fees (such condition being referred to here as a
market discount), the Plan Administrator will seek to invest the Dividend amount in Common Shares acquired on behalf of the participants in Open-Market Purchases.
In the event of a market discount on the payment date for any Dividend, the Plan Administrator will have until the last business day before the next date on
which the Common Shares trade on an ex-dividend basis or in no event more than 30 days after the record date for such Dividend, whichever is sooner (the Last Purchase Date), to invest
the Dividend amount in Common Shares acquired in Open-Market Purchases. It is contemplated that the Fund will pay monthly Dividends. If, before the Plan Administrator has completed its Open-Market Purchases, the market price per Common Share exceeds
the NAV per Common Share, the average per Common Share purchase price paid by the Plan Administrator may exceed the NAV of the Common Shares, resulting in the acquisition of fewer Common Shares than if the Dividend had been paid in Newly Issued
Common Shares on the Dividend payment date. If the Plan Administrator is unable to invest the full Dividend amount in Open-Market Purchases during the purchase period or if the market discount shifts to a market premium during the purchase period,
the Plan Administrator may cease making Open-Market Purchases and may instead receive the Newly Issued Common Shares from the Fund for each participants account, in respect of the uninvested portion of the Dividend, at the NAV per Common Share
at the close of business on the Last Purchase Date provided that, if the NAV is less than or equal to 95% of the then current market price per Common Share, the dollar amount of the Dividend will be divided by 95% of the market price on the date of
issuance for purposes of determining the number of shares issuable under the Plan.
The Plan Administrator maintains all registered shareholders
accounts in the Plan and furnishes written confirmation of all transactions in the accounts, including information needed by shareholders for tax records. Common Shares in the account of each Plan participant will be held by the Plan Administrator
in non-certificated form in the name of the Plan participant, and each shareholder proxy will include those shares purchased or received pursuant to the Plan. The Plan Administrator will forward all proxy
solicitation materials to participants and vote proxies for shares held under the Plan in accordance with the instructions of the participants.
In the case
of Common Shares owned by a beneficial owner but registered with the Plan Administrator in the name of a nominee, such as a bank, a broker or other financial intermediary (each, a Nominee), the Plan Administrator will administer the Plan
on the basis of the number of Common Shares certified from time to time by the Nominee as participating in the Plan. The Plan Administrator will not take instructions or elections from a beneficial owner whose Common Shares are registered with the
Plan Administrator in the name of a Nominee. If a beneficial owners Common Shares are held through a Nominee and are not registered with the Plan Administrator as participating in the Plan, neither the beneficial owner nor the Nominee will be
participants in or have distributions reinvested under the Plan with respect to those Common Shares. If a beneficial owner of
|
|
|
|
|
|
|
|
|
Semi-Annual Report
|
|
March 31, 2020
|
|
35
|
|
|
|
Dividend Reinvestment Plan (Cont.)
|
|
(Unaudited)
March 31, 2020
|
Common Shares held in the name of a Nominee wishes to participate in the Plan, and the Shareholders Nominee is unable or unwilling to become a registered shareholder and a Plan participant
with respect to those Common Shares on the beneficial owners behalf, the beneficial owner may request that the Nominee arrange to have all or a portion of his or her Common Shares registered with the Plan Administrator in the beneficial
owners name so that the beneficial owner may be enrolled as a participant in the Plan with respect to those Common Shares. Please contact your Nominee for details or for other possible alternatives. Participants whose shares are registered
with the Plan Administrator in the name of one Nominee may not be able to transfer the shares to another firm or Nominee and continue to participate in the Plan.
There will be no brokerage charges with respect to Common Shares issued directly by the Fund as a result of dividends payable either in Common Shares or in cash.
However, each participant will pay a pro rata share of brokerage trading fees incurred in connection with Open-Market Purchases. The automatic reinvestment of Dividends will not relieve participants of any federal, state or local income tax that may
be payable (or required to be withheld) on such Dividends. Participants that request a sale of Common Shares through the Plan Administrator are subject to brokerage commissions.
The Fund reserves the right to amend or terminate the Plan. There is no direct service charge to participants with regard to purchases in the Plan; however, the
Fund reserves the right to amend the Plan to include a service charge payable by the participants.
All correspondence, questions, or requests for additional
information concerning the Plan should be directed to the Plan Administrator by calling toll-free 877-DLine11 (877-354-6311) or by writing to U.S. Bancorp Fund Services,
LLC at P.O. Box 701, Milwaukee, WI 53201. Be sure to include your name, address, daytime phone number, Social Security or tax I.D. number and a reference to DoubleLine Yield Opportunities Fund on all correspondence.
The Plan Administrator accepts instructions only from the registered owners of accounts. If you purchased or hold your Fund shares through an intermediary, in
most cases your intermediarys nominee will be the registered owner with the Fund. Accordingly, questions regarding your participation in the Plan or the terms of any reinvestments should be directed to your intermediary in the first instance.
|
|
|
|
|
|
|
36
|
|
DoubleLine Yield Opportunities Fund
|
|
|
|
|
|
|
|
Privacy Policy
|
|
(Unaudited)
March 31, 2020
|
What Does DoubleLine Do With Your Personal Information?
This notice provides information about how DoubleLine (we and our) collects, shares, and protects your personal information, and how you
might choose to limit our ability to share certain information about you. Please read this notice carefully.
Why do we need your
personal information?
All financial companies need to share customers personal information to run their everyday businesses, to
appropriately tailor the services offered to you (where applicable), and to comply with our regulatory obligations. Accordingly, information, confidential and proprietary, plays an important role in the success of our business. However, we recognize
that you have entrusted us with your personal and financial data, and we recognize our obligation to keep this information secure. Maintaining your privacy is important to us, and we hold ourselves to a high standard in its safekeeping and use. Most
importantly, DoubleLine does not sell its customers non-public personal information to any third parties. DoubleLine uses its customers non-public personal information primarily to complete financial transactions that its customers
request (where applicable), to make its customers aware of other financial products and services offered by a DoubleLine affiliated company, and to satisfy obligations we owe to regulatory bodies.
Information we may collect
We may
collect various types of personal data about you, including:
|
|
Your personal identification information, which may include your name and passport information, your IP address,
politically exposed person (PEP) status, and such other information as may be necessary for us to provide our services to you and to complete our customer due diligence process and discharge anti-money laundering obligations;
|
|
|
Your contact information, which may include postal address and e-mail address and your home and mobile telephone
numbers;
|
|
|
Your family relationships, which may include your marital status, the identity of your spouse and the number of
children that you have;
|
|
|
Your professional and employment information, which may include your level of education and professional
qualifications, your employment, employers name and details of directorships and other offices which you may hold; and
|
|
|
Financial information, risk tolerance, sources of wealth and your assets, which may include details of
shareholdings and beneficial interests in financial instruments, your bank details and your credit history.
|
Where
we obtain your personal information
DoubleLine may collect non-public information about you from the following sources:
|
|
Information we receive about you on applications or other forms;
|
|
|
Information you may give us orally;
|
|
|
Information about your transactions with us or others;
|
|
|
Information you submit to us in correspondence, including emails or other electronic communications; and
|
|
|
Information about any bank account you use for transfers between your bank account and any Fund account, including
information provided when effecting wire transfers.
|
Information Collected from Websites
Websites maintained by DoubleLine or its service providers may use a variety of technologies to collect information that help DoubleLine and its service providers
understand how the website is used. Information collected from your web browser (including small files stored on your device that are commonly referred to as cookies) allow the websites to recognize your web browser and help to
personalize and improve your user experience and enhance navigation of the website. You can change your cookie preferences by changing the setting on your web browser to delete or reject cookies. If you delete or reject cookies, some website pages
may not function properly. Our websites may contain links that are maintained or controlled by third parties, each of which has privacy policies which may differ, in some cases significantly, from the privacy policies described in this notice.
Please read the privacy policies of such third parties and understand that accessing their website is at your own risk. Please contact your DoubleLine representative if you would like to receive more information about the privacy policies of third
parties.
We also use web analytics services, which currently include but are not limited to Google Analytics and Adobe Analytics. Such web analytics
services use cookies and similar technologies to evaluate visitors use of the domain, compile statistical reports on domain activity, and provide other services related to our websites. For more information about Google Analytics, or to opt
out of Google Analytics, please go to https://tools.google. com/dlpage/gaoptout. For more information about Adobe Analytics, or to opt out of Adobe Analytics, please go to: http://www.adobe.com/privacy/opt-out.html.
|
|
|
|
|
|
|
|
|
Semi-Annual Report
|
|
March 31, 2020
|
|
37
|
|
|
|
Privacy Policy (Cont.)
|
|
(Unaudited)
March 31, 2020
|
How and why we may share your information
DoubleLine does not disclose any non-public personal information about our customers or former customers without the customers authorization, except that we
may disclose the information listed above, as follows:
|
|
It may be necessary for DoubleLine to provide information to nonaffiliated third parties in connection with our
performance of the services we have agreed to provide to the Funds or you. For example, it might be necessary to do so in order to process transactions and maintain accounts.
|
|
|
DoubleLine will release any of the non-public information listed above about a customer if directed to do so by
that customer or if DoubleLine is authorized by law to do so, such as in the case of a court order, legal investigation, or other properly executed governmental request.
|
|
|
In order to alert a customer to other financial products and services offered by an affiliate, DoubleLine may
share information with an affiliate, including companies using the DoubleLine name. Such products and services may include, for example, other investment products offered by a DoubleLine company. If you prefer that we not disclose non-public
personal information about you to our affiliates for this purpose, you may direct us not to make such disclosures (other than disclosures permitted by law) by calling 1 (213) 633-8200. If you limit this sharing and you have a joint account,
your decision will be applied to all owners of the account.
|
We will limit access to your personal account information to those agents and
vendors who need to know that information to provide products and services to you. Your information is not provided by us to nonaffiliated third parties for marketing purposes. We maintain physical, electronic, and procedural safeguards to guard
your non-public personal information.
Notice related to the California Consumer Privacy Act (CCPA) and to natural
persons residing in the State of California
DoubleLine collects and uses information that identifies, describes, references, links or
relates to, or is associated with, a particular consumer or device (Personal Information). Personal Information we collect from our customers, website visitors and consumers is covered under the Gramm-Leach-Bliley Act and is
therefore excluded from the scope of the California Consumer Privacy Act.
Notice to natural persons residing in the
European Economic Area (the EEA)
If you reside in the EEA, we may transfer your personal information outside the EEA, and will ensure
that it is protected and transferred in a manner consistent with legal requirements applicable to the information. This can be done in a number of different ways, for instance:
|
|
the country to which we send the personal information may have been assessed by the European Commission as
providing an adequate level of protection for personal data;
|
|
|
the recipient may have signed a contract based on standard contractual clauses approved by the European
Commission; or
|
|
|
where the recipient is located in the U.S., it may be a certified member of the EU-U.S. Privacy Shield scheme.
|
In other circumstances, the law may permit us to otherwise transfer your personal information outside the EEA. In all cases, however, any
transfer of your personal information will be compliant with applicable data protection law.
Retention of personal information and
security
Your personal information will be retained for as long as required:
|
|
for the purposes for which the personal information was collected;
|
|
|
in order to establish or defend legal rights or obligations or to satisfy any reporting or accounting obligations;
and/or
|
|
|
as required by data protection laws and any other applicable laws or regulatory requirements, including, but not
limited to, U.S. laws and regulations applicable to our business.
|
We will undertake commercially reasonable efforts to protect the
personal information that we hold with appropriate security measures.
Access To and Control of Your Personal Information
Depending on your country of domicile, you may have the following rights in respect of the personal information about you that we process:
|
|
the right to access and port personal information;
|
|
|
the right to rectify personal information;
|
|
|
the right to restrict the use of personal information;
|
|
|
the right to request that personal information is erased; and
|
|
|
the right to object to processing of personal information.
|
|
|
|
|
|
|
|
38
|
|
DoubleLine Yield Opportunities Fund
|
|
|
|
|
|
|
|
|
|
(Unaudited)
March 31, 2020
|
Although you have
the right to request that your personal information be deleted at any time, applicable laws or regulatory requirements may prohibit us from doing so. If you are an investor in the DoubleLine funds, certain of the rights described above that may
apply to direct clients of DoubleLine domiciled or resident outside the United States will not apply to you. In addition, if you invest in a DoubleLine fund through a financial intermediary, DoubleLine may not have access to personal information
about you.
If you wish to exercise any of the rights set out above, please contact privacy@doubleline.com.
Changes to DoubleLines Privacy Policy
As required by U.S. federal law, DoubleLine will notify customers of DoubleLines Privacy Policy annually. DoubleLine reserves the right to modify its
privacy policy at any time, but in the event that there is a change, that affects the content of this notice materially, DoubleLine will promptly inform its customers of that change, in accordance with applicable law.
|
|
|
|
|
|
|
|
|
Semi-Annual Report
|
|
March 31, 2020
|
|
39
|
Investment Adviser:
DoubleLine Capital LP
333 South Grand Avenue
18th Floor
Los
Angeles, CA 90071
Administrator and Transfer Agent:
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Custodian:
U.S. Bank National Association
1555 North Rivercenter Drive
Suite 302
Milwaukee, WI 53212
Independent Registered Public Accounting Firm:
Deloitte & Touche LLP
695 Town Center Drive Suite 1200
Costa Mesa, CA 92626
Legal Counsel:
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, MA 02199
Contact Information:
doubleline.com
fundinfo@doubleline.com
(877) DLine11 or (877) 354-6311
DL-SEMI-DLY
DoubleLine Capital LP || 333 South Grand Avenue, 18th Floor || Los Angeles, CA
90071 || (213) 633-8200
fundinfo@doubleline.com || www.doubleline.com