| RiverNorth/DoubleLine Strategic Opportunity Fund, Inc. | ||||||||
| SCHEDULE OF INVESTMENTS | ||||||||
| September 30, 2020 (Unaudited) | ||||||||
| Shares/Description | Value | |||||||
| CLOSED-END FUNDS - 11.46%(a) | ||||||||
| 79,732 | Ares Dynamic Credit Allocation Fund, Inc. | $ | 1,011,002 | |||||
| 19,606 | BlackRock Floating Rate Income Trust | 220,175 | ||||||
| 105,755 | BrandywineGLOBAL - Global Income Opportunities Fund, Inc. | 1,217,240 | ||||||
| 172,921 | Eaton Vance, Ltd. Duration Income Fund | 1,955,737 | ||||||
| 159,341 | Highland Income Fund | 1,368,739 | ||||||
| 307,596 | Invesco Dynamic Credit Opportunities Fund | 2,832,958 | ||||||
| 83,430 | Invesco High Income Trust II | 1,022,852 | ||||||
| 307,015 | Invesco Senior Income Trust | 1,123,675 | ||||||
| 175,578 | Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | 976,214 | ||||||
| 170,583 | NexPoint Credit Strategies Fund | 1,477,249 | ||||||
| 323,830 | Nuveen Credit Strategies Income Fund | 1,913,835 | ||||||
| 183,709 | PGIM Global High Yield Fund, Inc. | 2,434,144 | ||||||
| 107,386 | PGIM High Yield Bond Fund, Inc. | 1,483,001 | ||||||
| 69,732 | PIMCO Energy & Tactical Credit Opportunities Fund | 431,641 | ||||||
| 264,191 | Western Asset Global High Income Fund, Inc. | 2,546,801 | ||||||
| 200,042 | Western Asset High Income Opportunity Fund, Inc. | 980,206 | ||||||
| TOTAL CLOSED-END FUNDS | ||||||||
| (Cost $27,276,617) | 22,995,469 | |||||||
| BUSINESS DEVELOPMENT COMPANIES - 1.21%(a) | ||||||||
| 93,965 | Bain Capital Specialty Finance, Inc. | 958,443 | ||||||
| 302,430 | Oaktree Specialty Lending Corp. | 1,463,761 | ||||||
| TOTAL BUSINESS DEVELOPMENT COMPANIES | ||||||||
| (Cost $2,469,523) | 2,422,204 | |||||||
| COMMON STOCKS - 0.02%(a) | ||||||||
| 13,637 | McDermott International, Ltd.(b) | 32,729 | ||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $44,971) | 32,729 | |||||||
| PREFERRED STOCKS - 2.21%(a) | ||||||||
| 131,112 | First Eagle Alternative Capital BDC, Inc., 6.750%, 12/30/2022 | 3,237,679 | ||||||
| 48,198 | First Eagle Alternative Capital BDC, Inc., 6.125%, 10/30/2023 | 1,188,804 | ||||||
| TOTAL PREFERRED STOCKS | ||||||||
| (Cost $4,392,936) | 4,426,483 | |||||||
| Shares/Description | Rate | Maturity | Value | |||||||||
| BUSINESS DEVELOPMENT COMPANY NOTES - 5.95%(a) | ||||||||||||
| United States - 5.95% | ||||||||||||
| 2,000,000 | Bain Capital Specialty Finance, Inc.(c) | 8.50% | 06/10/2023 | 2,004,500 | ||||||||
| 25,441 | Capital Southwest Corp. | 5.95% | 12/15/2022 | 638,315 | ||||||||
| 235,511 | Oxford Square Capital Corp. | 6.50% | 03/30/2024 | 5,837,493 | ||||||||
| 78,502 | Portman Ridge Finance Corp. | 6.13% | 09/30/2022 | 1,935,859 | ||||||||
| 29,898 | Stellus Capital Investment Corp. | 5.75% | 09/15/2022 | 735,491 | ||||||||
| Shares/Description | Rate | Maturity | Value | |||||||||
| 31,195 | TriplePoint Venture Growth BDC Corp. | 5.75% | 07/15/2022 | $ | 780,187 | |||||||
| TOTAL BUSINESS DEVELOPMENT COMPANY NOTES | ||||||||||||
| (Cost $11,712,724) | 11,931,845 | |||||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||
| FOREIGN CORPORATE BONDS - 5.66%(a) | ||||||||||||
| Argentina - 0.09% | ||||||||||||
| $ | 150,000 | Banco Macro SA(d)(e) | 6.75% | 11/04/2026 | $ | 115,127 | ||||||
| 80,000 | Capex SA(e) | 6.88% | 05/15/2024 | 67,561 | ||||||||
| 182,688 | ||||||||||||
| Brazil - 0.35% | ||||||||||||
| 300,000 | CSN Islands XII Corp.(e)(f) | 7.00% | Perpetual Maturity | 262,878 | ||||||||
| 250,000 | Oi SA(g) | 10.00% (4.00%) | 07/27/2025 | 242,188 | ||||||||
| 200,000 | Unigel Luxembourg SA(e) | 8.75% | 10/01/2026 | 194,502 | ||||||||
| 699,568 | ||||||||||||
| British Virgin Islands - 0.09% | ||||||||||||
| 200,000 | C10 Capital SPV, Ltd.(d)(e)(f) | 3M US L + 4.71% | Perpetual Maturity | 177,200 | ||||||||
| Canada - 0.18% | ||||||||||||
| 250,000 | Canacol Energy, Ltd.(e) | 7.25% | 05/03/2025 | 257,346 | ||||||||
| 250,000 | Gran Tierra Energy, Inc.(h) | 7.75% | 05/23/2027 | 87,346 | ||||||||
| 344,692 | ||||||||||||
| Cayman Islands - 0.30% | ||||||||||||
| 250,000 | Banco BTG Pactual SA(d)(e) | 7.75% | 02/15/2029 | 258,437 | ||||||||
| 250,000 | Banco Mercantil del Norte SA/Grand Cayman(d)(e)(f) | 7.63% | Perpetual Maturity | 249,850 | ||||||||
| 250,000 | Latam Finance, Ltd.(e)(i) | 7.00% | 03/01/2026 | 93,125 | ||||||||
| 601,412 | ||||||||||||
| Chile - 0.34% | ||||||||||||
| 250,000 | AES Gener SA(d)(e) | 7.13% | 03/26/2079 | 256,007 | ||||||||
| 200,000 | Empresa Electrica Guacolda SA(e) | 4.56% | 04/30/2025 | 164,523 | ||||||||
| 250,000 | Geopark, Ltd.(e) | 6.50% | 09/21/2024 | 236,000 | ||||||||
| 656,530 | ||||||||||||
| China - 0.51% | ||||||||||||
| 200,000 | Agile Group Holdings, Ltd.(d)(f) | 6.88% | Perpetual Maturity | 200,990 | ||||||||
| 200,000 | Central China Real Estate, Ltd. | 7.25% | 07/16/2024 | 195,268 | ||||||||
| 250,000 | CIFI Holdings Group Co., Ltd.(d)(f) | 5.38% | Perpetual Maturity | 248,125 | ||||||||
| 200,000 | Ronshine China Holdings, Ltd. | 6.75% | 08/05/2024 | 188,500 | ||||||||
| 200,000 | Yuzhou Group Holdings Co., Ltd. | 8.30% | 05/27/2025 | 202,263 | ||||||||
| 1,035,146 | ||||||||||||
| Colombia - 0.34% | ||||||||||||
| 200,000 | Credivalores-Crediservicios SAS(h) | 8.88% | 02/07/2025 | 139,500 | ||||||||
| 250,000 | Gilex Holding Sarl(e) | 8.50% | 05/02/2023 | 254,846 | ||||||||
| 259,000 | Tecnoglass, Inc.(e) | 8.20% | 01/31/2022 | 268,978 | ||||||||
| 663,324 | ||||||||||||
| Dominican Republic - 0.12% | ||||||||||||
| 250,000 | Aeropuertos Dominicanos Siglo XXI SA(e) | 6.75% | 03/30/2029 | 233,390 | ||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||
| Great Britain - 0.09% | ||||||||||||
| $ | 250,000 | Vedanta Resources Finance II PLC(h) | 9.25% | 04/23/2026 | $ | 188,250 | ||||||
| Hong Kong - 0.25% | ||||||||||||
| 300,000 | Bangkok Bank PCL(d)(f)(h) | 5Y US TI + 4.729% | Perpetual Maturity | 300,888 | ||||||||
| 200,000 | RKP Overseas Finance, Ltd.(f) | 7.95% | Perpetual Maturity | 195,604 | ||||||||
| 496,492 | ||||||||||||
| India - 0.13% | ||||||||||||
| 250,000 | Network i2i, Ltd.(d)(f)(h) | 5.65% | Perpetual Maturity | 251,250 | ||||||||
| Indonesia - 0.21% | ||||||||||||
| 200,000 | Bayan Resources Tbk PT(e) | 6.13% | 01/24/2023 | 189,604 | ||||||||
| 226,750 | Star Energy Geothermal Wayang Windu, Ltd.(e) | 6.75% | 04/24/2033 | 250,251 | ||||||||
| 439,855 | ||||||||||||
| Ireland - 0.13% | ||||||||||||
| 250,000 | C&W Senior Financing DAC(e) | 6.88% | 09/15/2027 | 260,331 | ||||||||
| Luxembourg - 0.18% | ||||||||||||
| 200,000 | JSL Europe SA(e) | 7.75% | 07/26/2024 | 206,750 | ||||||||
| 200,000 | Puma International Financing SA(e) | 5.00% | 01/24/2026 | 169,987 | ||||||||
| 376,737 | ||||||||||||
| Mauritius - 0.09% | ||||||||||||
| 200,000 | UPL Corp., Ltd.(d)(f) | 5.25% | Perpetual Maturity | 189,220 | ||||||||
| Mexico - 0.87% | ||||||||||||
| 300,000 | Alpha Holding SA de CV(h) | 9.00% | 02/10/2025 | 228,450 | ||||||||
| 200,000 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand(d)(f) | 8.50% | Perpetual Maturity | 206,520 | ||||||||
| 200,000 | Braskem Idesa SAPI(h) | 7.45% | 11/15/2029 | 188,552 | ||||||||
| 250,000 | Credito Real SAB de CV SOFOM ER(d)(e)(f) | 9.13% | Perpetual Maturity | 190,628 | ||||||||
| 258,531 | Fermaca Enterprises S RL(e) | 6.38% | 03/30/2038 | 279,213 | ||||||||
| 250,000 | Mexarrend SAPI de CV(h) | 10.25% | 07/24/2024 | 185,313 | ||||||||
| 200,000 | Operadora de Servicios Mega SA de CV Sofom ER(h) | 8.25% | 02/11/2025 | 184,375 | ||||||||
| 200,000 | TV Azteca SAB de CV | 8.25% | 08/09/2024 | 125,229 | ||||||||
| 250,000 | Unifin Financiera SAB de CV(d)(e)(f) | 8.88% | Perpetual Maturity | 174,375 | ||||||||
| 1,762,655 | ||||||||||||
| Netherlands - 0.53% | ||||||||||||
| 250,000 | AES Andres BV / Dominican Power Partners / Empresa Generadora de Electricidad It(e) | 7.95% | 05/11/2026 | 255,003 | ||||||||
| 200,000 | Braskem Netherlands Finance BV(e) | 5.88% | 01/31/2050 | 184,302 | ||||||||
| 142,500 | Indo Energy Finance II BV(e) | 6.38% | 01/24/2023 | 139,286 | ||||||||
| 200,000 | Metinvest BV(e) | 7.75% | 10/17/2029 | 191,750 | ||||||||
| 250,000 | Petrobras Global Finance BV | 6.90% | 03/19/2049 | 278,400 | ||||||||
| 1,048,741 | ||||||||||||
| Peru - 0.31% | ||||||||||||
| 150,000 | Camposol SA(h) | 6.00% | 02/03/2027 | 154,079 | ||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||
| $ | 250,000 | Hunt Oil Co. of Peru LLC Sucursal Del Peru(e) | 6.38% | 06/01/2028 | $ | 250,313 | ||||||
| 300,000 | Peru LNG Srl(e) | 5.38% | 03/22/2030 | 230,850 | ||||||||
| 635,242 | ||||||||||||
| Singapore - 0.30% | ||||||||||||
| 200,000 | Indika Energy Capital III Pte, Ltd.(e) | 5.88% | 11/09/2024 | 180,000 | ||||||||
| 250,000 | Medco Oak Tree Pte, Ltd.(e) | 7.38% | 05/14/2026 | 240,887 | ||||||||
| 200,000 | TBLA International Pte, Ltd. | 7.00% | 01/24/2023 | 188,000 | ||||||||
| 608,887 | ||||||||||||
| Switzerland - 0.10% | ||||||||||||
| 200,000 | Walnut Bidco PLC(e) | 9.13% | 08/01/2024 | 205,786 | ||||||||
| Trinidad and Tobago - 0.15% | ||||||||||||
| 300,000 | Telecommunications Services of Trinidad & Tobago, Ltd.(e) | 8.88% | 10/18/2029 | 298,124 | ||||||||
| TOTAL FOREIGN CORPORATE BONDS | ||||||||||||
| (Cost $11,756,312) | 11,355,520 | |||||||||||
| U.S. CORPORATE BONDS - 2.00%(a) | ||||||||||||
| Aerospace/Defense - 0.18% | ||||||||||||
| 365,000 | Triumph Group, Inc.(h) | 6.25% | 09/15/2024 | 311,352 | ||||||||
| 90,000 | Triumph Group, Inc. | 7.75% | 08/15/2025 | 58,050 | ||||||||
| 369,402 | ||||||||||||
| Agriculture - 0.06% | ||||||||||||
| 127,656 | Pyxus Holdings, Inc. | 10.00% | 08/24/2024 | 111,699 | ||||||||
| Airlines - 0.51% | ||||||||||||
| 1,000,000 | JetBlue 2019-1 Class B Pass Through Trust | 8.00% | 11/15/2027 | 1,037,693 | ||||||||
| Chemicals - 0.24% | ||||||||||||
| 260,000 | Illuminate Buyer LLC / Illuminate Holdings IV, Inc.(h) | 9.00% | 07/01/2028 | 279,175 | ||||||||
| 200,000 | Sasol Financing USA LLC | 5.88% | 03/27/2024 | 193,500 | ||||||||
| 472,675 | ||||||||||||
| Commercial Services - 0.06% | ||||||||||||
| 110,000 | Sabre GLBL, Inc.(h) | 7.38% | 09/01/2025 | 111,265 | ||||||||
| Computers - 0.26% | ||||||||||||
| 175,000 | Dell International LLC / EMC Corp.(h) | 6.10% | 07/15/2027 | 206,869 | ||||||||
| 305,000 | Flexential Intermediate Corp.(h) | 11.25% | 08/01/2024 | 312,053 | ||||||||
| 518,922 | ||||||||||||
| Healthcare-Products - 0.10% | ||||||||||||
| 45,000 | Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA(h) | 7.38% | 06/01/2025 | 45,759 | ||||||||
| 145,000 | Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA(h) | 7.25% | 02/01/2028 | 151,072 | ||||||||
| 196,831 | ||||||||||||
| Healthcare-Services - 0.16% | ||||||||||||
| 305,000 | Radiology Partners, Inc.(h) | 9.25% | 02/01/2028 | 317,962 | ||||||||
| Internet - 0.08% | ||||||||||||
| 165,000 | Uber Technologies, Inc.(h) | 6.25% | 01/15/2028 | 169,641 | ||||||||
| Mining - 0.06% | ||||||||||||
| 100,000 | Freeport-McMoRan, Inc. | 5.45% | 03/15/2043 | 111,212 | ||||||||
| Oil & Gas - 0.15% | ||||||||||||
| 250,000 | Kosmos Energy, Ltd.(e) | 7.13% | 04/04/2026 | 220,585 | ||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||
| $ | 85,000 | PBF Holding Co. LLC / PBF Finance Corp.(h) | 9.25% | 05/15/2025 | $ | 87,248 | ||||||
| 307,833 | ||||||||||||
| Telecommunications - 0.14% | ||||||||||||
| 435,000 | Intelsat Jackson Holdings SA(h)(i) | 8.50% | 10/15/2024 | 281,619 | ||||||||
| TOTAL U.S. CORPORATE BONDS | ||||||||||||
| (Cost $3,933,601) | 4,006,754 | |||||||||||
| CONVERTIBLE CORPORATE BONDS - 2.93%(a) | ||||||||||||
| 1,724,093 | BlackRock Capital Investment Corp. | 5.00% | 06/15/2022 | 1,701,821 | ||||||||
| 997,837 | BlackRock TCP Capital Corp. | 4.63% | 03/01/2022 | 1,002,835 | ||||||||
| 500,000 | Goldman Sachs BDC, Inc. | 4.50% | 04/01/2022 | 506,250 | ||||||||
| 500,000 | Hercules Capital, Inc. | 4.38% | 02/01/2022 | 503,150 | ||||||||
| 1,648,448 | New Mountain Finance Corp. | 5.75% | 08/15/2023 | 1,656,773 | ||||||||
| 500,000 | Sixth Street Specialty Lending, Inc. | 4.50% | 08/01/2022 | 516,854 | ||||||||
| TOTAL CONVERTIBLE CORPORATE BONDS | ||||||||||||
| (Cost $5,177,221) | 5,887,683 | |||||||||||
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND FOREIGN AGENCIES - 0.24%(a) | ||||||||||||
| 250,000 | Dominican Republic International Bond(h) | 6.40% | 06/05/2049 | 252,125 | ||||||||
| 200,000 | Mexico Government International Bond | 5.00% | 04/27/2051 | 223,900 | ||||||||
| TOTAL FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND FOREIGN AGENCIES | ||||||||||||
| (Cost $439,464) | 476,025 | |||||||||||
| BANK LOANS - 3.71%(a)(d) | ||||||||||||
| Canada - 0.22% | ||||||||||||
| 290,000 | Kronos Acquisition Intermediate, Inc., First Lien - Initial Term Loan | 3M US L + 4.00%, 1.00% Floor | 05/15/2023 | 288,910 | ||||||||
| 169,565 | Titan Acquisition, Ltd., First Lien - Initial Term Loan | 3M US L + 3.00% | 03/28/2025 | 160,724 | ||||||||
| 449,634 | ||||||||||||
| Ireland - 0.09% | ||||||||||||
| 173,195 | ION Trading Technologies S.A.R.L., First Lien - 2018 Initial Dollar Term Loan | 3M US L + 4.00%, 1.00% Floor | 11/21/2024 | 170,694 | ||||||||
| Luxembourg - 0.11% | ||||||||||||
| 128,669 | Travelport Finance S.à r.l., First Lien - Initial (Priority) Term Loan | L + 8.00%, 1.00% Floor | 02/28/2025 | 124,045 | ||||||||
| 140,477 | Travelport Finance S.à r.l., First Lien - Initial Term Loan | 3M US L + 5.00% | 05/29/2026 | 106,411 | ||||||||
| 230,456 | ||||||||||||
| Netherlands - 0.01% | ||||||||||||
| 2,433 | Lealand Finance Co. BV, First Lien - Make-Whole Term Loan | 1M US L + 3.00% | 06/28/2024 | 2,129 | ||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||
| $ | 30,842 | Lealand Finance Co. BV, First Lien - Take-Back Term Loan | 1M US L + 4.00% | 06/30/2025 | $ | 23,440 | ||||||
| 25,569 | ||||||||||||
| United States - 3.28% | ||||||||||||
| 518,455 | Air Methods Corp., First Lien - Initial Term Loan | 3M US L + 3.50%, 1.00% Floor | 04/22/2024 | 456,565 | ||||||||
| 567,808 | American Tire Distributors, Inc., First Lien - Initial Term Loan | 1M US L + 7.50%, 1.00% Floor | 09/02/2024 | 487,909 | ||||||||
| 102,576 | Avaya, Inc., First Lien - Tranche B Term Loan | 1M US L + 4.25% | 12/15/2024 | 102,208 | ||||||||
| 127,424 | Avaya, Inc., First Lien - Tranche B-1 Term Loan | 1M US L + 4.25% | 12/15/2027 | 124,677 | ||||||||
| 470,820 | BI-LO LLC, First Lien - Initial Term Loan | 1M US L + 8.00%, 1.00% Floor | 05/31/2024 | 471,634 | ||||||||
| 248,958 | Castle US Holding Corp., First Lien - Initial Dollar Term Loan | 3M US L + 3.75% | 01/29/2027 | 240,024 | ||||||||
| 320,812 | Cengage Learning, Inc., First Lien - 2016 Refinancing Term Loan | 3M US L + 4.25%, 1.00% Floor | 06/07/2023 | 269,139 | ||||||||
| 242,170 | Cvent, Inc., First Lien Term Loan | 1M US L + 3.75% | 11/29/2024 | 220,114 | ||||||||
| 212,378 | Cyxtera DC Holdings, Inc., First Lien - Initial Term Loan | 3M US L + 3.00%, 1.00% Floor | 05/01/2024 | 184,255 | ||||||||
| 440,459 | Flexential Intermediate Corp., First Lien - Initial Term Loan | 3M US L + 3.50% | 08/01/2024 | 379,896 | ||||||||
| 118,779 | Global Medical Response, Inc., First Lien - 2018 New Term Loan | 3M US L + 4.25%, 1.00% Floor | 03/14/2025 | 115,512 | ||||||||
| 134,621 | Golden Nugget, Inc., First Lien - Initial B Term Loan | 2M US L + 2.50%, 0.75% Floor | 10/04/2023 | 120,932 | ||||||||
| 198,500 | Granite US Holdings Corp., First Lien - B Term Loan | 3M US L + 5.25% | 09/30/2026 | 188,575 | ||||||||
| 323,963 | Gulf Finance LLC, First Lien - Tranche B Term Loan | 1M US L + 5.25%, 1.00% Floor | 08/25/2023 | 229,879 | ||||||||
| 38,993 | Klockner Pentaplast of America, Inc., First Lien - Dollar Term Loan | 3M US L + 4.25%, 1.00% Floor | 06/30/2022 | 37,986 | ||||||||
| 128,375 | Lower Cadence Holdings LLC, First Lien - Initial Term Loan | 1M US L + 4.00% | 05/22/2026 | 119,164 | ||||||||
| 105,000 | Milano Acquisition Corp., First Lien - B Term Loan | L + 4.00%, 0.75% Floor | 08/17/2027 | 104,147 | ||||||||
| 370,301 | Minotaur Acquisition, Inc., First Lien - B Term Loan | 1M US L + 5.00% | 03/27/2026 | 354,256 | ||||||||
| 208,477 | Misys, Ltd., First Lien - Dollar Term Loan | 3M US L + 3.50%, 1.00% Floor | 06/13/2024 | 195,499 | ||||||||
| 445,000 | Mitchell International, Inc., Second Lien - Initial Term Loan | 1M US L + 7.25% | 12/01/2025 | 424,084 | ||||||||
| 204,425 | MLN US HoldCo LLC, First Lien - B Term Loan | 1M US L + 4.50% | 11/30/2025 | 175,677 | ||||||||
| 406,765 | MPH Acquisition Holdings LLC, First Lien - Initial Term Loan | 3M US L + 2.75%, 1.00% Floor | 06/07/2023 | 401,028 | ||||||||
| 49,041 | Northeast Foods LLC, First Lien Term Loan | 1M US L + 3.75% | 07/20/2025 | 47,253 | ||||||||
| 75,000 | Playtika Holding Corp., First Lien - B Term Loan | L + 6.00%, 1.00% Floor | 12/10/2024 | 75,207 | ||||||||
| 215,778 | Radiology Partners, Inc., First Lien - B Term Loan | 3M US L + 4.25% | 07/09/2025 | 207,632 | ||||||||
| 227,671 | Solenis Holdings LLC, First Lien - Initial Dollar Term Loan | 3M US L + 4.00% | 06/26/2025 | 223,141 | ||||||||
| 90,000 | Solenis Holdings LLC, Second Lien - Initial Term Loan | 3M US L + 8.50% | 06/26/2026 | 84,240 | ||||||||
| 386,000 | Team Health Holdings, Inc., First Lien - Initial Term Loan | 1M US L + 2.75%, 1.00% Floor | 02/06/2024 | 325,473 | ||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||
| $ | 100,000 | TIBCO Software, Inc., Second Lien | 1M US L + 7.25% | 03/03/2028 | $ | 98,438 | ||||||
| 110,000 | Vantage Specialty Chemicals, Inc., First Lien - Closing Date Term Loan | L + 3.50%, 1.00% Floor | 10/28/2024 | 99,825 | ||||||||
| 6,564,369 | ||||||||||||
| TOTAL BANK LOANS | ||||||||||||
| (Cost $7,621,641) | 7,440,722 | |||||||||||
| COLLATERALIZED LOAN OBLIGATIONS - 3.90%(a) | ||||||||||||
| Apidos CLO XXI | ||||||||||||
| 500,000 | Series 2018-21A(d)(h) | 3M US L + 8.25% | 07/18/2027 | 389,641 | ||||||||
| Apidos CLO XXIV | ||||||||||||
| 500,000 | Series 2018-24A(d)(h) | 3M US L + 5.80% | 10/20/2030 | 432,496 | ||||||||
| Apidos CLO XXXII | ||||||||||||
| 500,000 | Series 2020-32A(d)(h) | 3M US L + 6.75% | 01/20/2033 | 480,307 | ||||||||
| Apres Static CLO 2, Ltd. | ||||||||||||
| 500,000 | Series 2020-1A(d)(h) | 3M US L + 4.85% | 04/15/2028 | 501,381 | ||||||||
| Barings CLO, Ltd. | ||||||||||||
| 500,000 | Series 2018-4A(d)(h) | 3M US L + 5.82% | 10/15/2030 | 434,434 | ||||||||
| Canyon Capital CLO, Ltd. | ||||||||||||
| 500,000 | Series 2018-1A(d)(h) | 3M US L + 5.75% | 07/15/2031 | 421,683 | ||||||||
| Carlyle Global Market Strategies CLO, Ltd. | ||||||||||||
| 500,000 | Series 2017-3A(d)(h) | 3M US L + 5.50% | 10/15/2030 | 375,622 | ||||||||
| 500,000 | Series 2018-2RA(d)(h) | 3M US L + 5.35% | 05/15/2031 | 357,228 | ||||||||
| Chenango Park CLO, Ltd. | ||||||||||||
| 500,000 | Series 2018-1A(d)(h) | 3M US L + 5.80% | 04/15/2030 | 446,662 | ||||||||
| Dorchester Park CLO DAC | ||||||||||||
| 500,000 | Series 2018-1A(d)(h) | 3M US L + 5.00% | 04/20/2028 | 455,890 | ||||||||
| Fillmore Park CLO, Ltd. | ||||||||||||
| 500,000 | Series 2018-1A(d)(h) | 3M US L + 5.40% | 07/15/2030 | 438,977 | ||||||||
| Goldentree Loan Management US Clo 3, Ltd. | ||||||||||||
| 500,000 | Series 2018-3A(d)(h) | 3M US L + 2.85% | 04/20/2030 | 479,943 | ||||||||
| Myers Park CLO, Ltd. | ||||||||||||
| 500,000 | Series 2018-1A(d)(h) | 3M US L + 5.50% | 10/20/2030 | 439,960 | ||||||||
| Neuberger Berman CLO XXIII, Ltd. | ||||||||||||
| 500,000 | Series 2018-23A(d)(h) | 3M US L + 5.75% | 10/17/2027 | 456,992 | ||||||||
| THL Credit Wind River CLO, Ltd. | ||||||||||||
| 500,000 | Series 2018-2A(d)(h) | 3M US L + 5.75% | 07/15/2030 | 419,092 | ||||||||
| Voya CLO, Ltd. | ||||||||||||
| 500,000 | Series 2018-2A(d)(h) | 3M US L + 5.25% | 07/15/2031 | 425,501 | ||||||||
| 500,000 | Series 2018-4A(d)(h) | 3M US L + 5.95% | 07/14/2031 | 418,940 | ||||||||
| Webster Park CLO, Ltd. | ||||||||||||
| 500,000 | Series 2018-1A(d)(h) | 3M US L + 5.50% | 07/20/2030 | 442,202 | ||||||||
| TOTAL COLLATERALIZED LOAN OBLIGATIONS | ||||||||||||
| (Cost $8,844,662) | 7,816,951 | |||||||||||
| NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS - 31.59%(a) | ||||||||||||
| AmeriHome GMSR Issuer Trust | ||||||||||||
| 2,500,000 | Series 2019-GT1(h) | 4.68% | 11/25/2026 | 2,187,422 | ||||||||
| AREIT Trust | ||||||||||||
| 538,000 | Series 2019-CRE3(d)(h) | 1M US L + 2.65% | 07/14/2022 | 512,275 | ||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||
| Atrium Hotel Portfolio Trust | ||||||||||||
| $ | 433,000 | Series 2018-ATRM(d)(h) | 1M US L + 3.40% | 06/15/2021 | $ | 373,759 | ||||||
| Atrium XIII | ||||||||||||
| 500,000 | Series 2017-13A(d)(h) | 3M US L + 6.05% | 11/21/2030 | 434,629 | ||||||||
| Atrium XIV LLC | ||||||||||||
| 500,000 | Series 2018-14A(d)(h) | 3M US L + 5.65% | 08/23/2030 | 457,630 | ||||||||
| BAMLL Commercial Mortgage Securities Trust | ||||||||||||
| 730,000 | Series 2019-AHT(d)(h) | 2.68% | 03/15/2021 | 638,589 | ||||||||
| Bancorp Commercial Mortgage Trust | ||||||||||||
| 631,000 | Series 2019-CRE5(d)(h) | 1M US L + 2.35% | 02/15/2022 | 576,927 | ||||||||
| BBCMS Trust | ||||||||||||
| 682,000 | Series 2018-CBM(d)(h) | 1M US L + 3.55% | 07/15/2037 | 558,878 | ||||||||
| BB-UBS Trust | ||||||||||||
| 500,000 | Series 2012-TFT(d)(h) | 3.68% | 06/05/2030 | 403,029 | ||||||||
| Benchmark 2018-B4 Mortgage Trust | ||||||||||||
| 498,000 | Series 2018-B4(d)(h) | 2.96% | 07/15/2028 | 403,176 | ||||||||
| BF Mortgage Trust | ||||||||||||
| 315,000 | Series 2019-NYT(d)(h) | 1M US L + 3.00% | 12/15/2020 | 304,909 | ||||||||
| Blackbird Capital Aircraft Lease Securitization, Ltd. | ||||||||||||
| 2,312,500 | Series 2016-1A(h)(j) | 5.68% | 12/15/2024 | 1,561,432 | ||||||||
| BX Commercial Mortgage Trust | ||||||||||||
| 321,000 | Series 2019-IMC(d)(h) | 1M US L + 1.90% | 04/15/2021 | 295,398 | ||||||||
| BX Trust | ||||||||||||
| 325,000 | Series 2019-OC11(d)(h) | 4.08% | 12/09/2029 | 295,844 | ||||||||
| Carbon Capital VI Commercial Mortgage Trust | ||||||||||||
| 316,000 | Series 2019-FL2(d)(h) | 1M US L + 2.85% | 11/15/2021 | 277,144 | ||||||||
| Castlelake Aircraft Securitization Trust | ||||||||||||
| 368,642 | Series 2018-1(h) | 6.63% | 06/15/2025 | 192,805 | ||||||||
| Castlelake Aircraft Structured Trust | ||||||||||||
| 1,250,000 | Series 2019-1A(h) | 0.00% | 04/15/2039 | 483,037 | ||||||||
| CIM Trust | ||||||||||||
| 3,720,000 | Series 2016-3RR B2(d)(h) | 10.33% | 01/27/2057 | 3,551,565 | ||||||||
| Citigroup Commercial Mortgage Trust | ||||||||||||
| 196,000 | Series 2015-GC27(d)(h) | 4.57% | 01/10/2025 | 160,258 | ||||||||
| 138,000 | Series 2016-GC36(h) | 2.85% | 01/10/2026 | 93,081 | ||||||||
| 319,000 | Series 2018-TBR(d)(h) | 1M US L + 3.65% | 12/15/2036 | 271,406 | ||||||||
| 375,000 | Series 2020-555(h) | 3.62% | 12/10/2029 | 294,627 | ||||||||
| Citigroup COmmercial Mortgage Trust 2019-SMRT | ||||||||||||
| 320,000 | Series 2019-SMRT(d)(h) | 4.90% | 01/10/2024 | 322,078 | ||||||||
| CLNC 2019-FL1, Ltd. | ||||||||||||
| 326,000 | Series 2019-FL1(d)(h) | 1M US L + 1.55% | 12/19/2025 | 319,260 | ||||||||
| COMM Mortgage Trust | ||||||||||||
| 878,000 | Series 2018-HCLV(d)(h) | 1M US L + 2.18% | 09/15/2033 | 804,144 | ||||||||
| Commercial Mortgage Pass-Through Certificates | ||||||||||||
| 286,000 | Series 2015-CR25(d) | 4.69% | 08/10/2025 | 283,387 | ||||||||
| Commercial Mortgage Trust | ||||||||||||
| 500,000 | Series 2012-CR4(d)(h) | 4.75% | 11/15/2022 | 53,249 | ||||||||
| CSAIL 2016-C6 Commercial Mortgage Trust | ||||||||||||
| 428,000 | Series 2016-C6(d)(h) | 5.09% | 05/15/2026 | 388,910 | ||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||
| DBGS 2018-BIOD Mortgage Trust | ||||||||||||
| $ | 269,160 | Series 2018-BIOD(d)(h) | 1M US L + 2.00% | 05/15/2035 | $ | 265,833 | ||||||
| DBJPM 16-C1 Mortgage Trust | ||||||||||||
| 416,000 | Series 2016-C1(d) | 3.50% | 03/10/2026 | 377,866 | ||||||||
| Dryden 37 Senior Loan Fund | ||||||||||||
| 500,000 | Series 2017-37A(d)(h) | 3M US L + 5.15% | 01/15/2031 | 424,071 | ||||||||
| Dryden 38 Senior Loan Fund | ||||||||||||
| 500,000 | Series 2018-38A(d)(h) | 3M US L + 5.60% | 07/15/2030 | 430,910 | ||||||||
| Dryden 40 Senior Loan Fund | ||||||||||||
| 500,000 | Series 2018-40A(d)(h) | 3M US L + 5.75% | 08/15/2031 | 445,545 | ||||||||
| Fannie Mae-Aces | ||||||||||||
| 5,497,013 | Series 2019-M24(d)(k) | 1.15% | 03/25/2031 | 545,393 | ||||||||
| 19,961,391 | Series 2020-M10(d)(k) | 1.00% | 07/25/2032 | 1,579,736 | ||||||||
| FirstKey Homes 2020-SFR1 Trust | ||||||||||||
| 700,000 | Series 2020-SFR1(h) | 4.28% | 09/17/2025 | 722,447 | ||||||||
| Fontainebleau Miami Beach Trust | ||||||||||||
| 546,000 | Series 2019-FBLU(d)(h) | 4.10% | 12/10/2024 | 460,783 | ||||||||
| FREMF Mortgage Trust | ||||||||||||
| 94,301 | Series 2016-KF22(d)(h) | 1M US L + 5.05% | 07/25/2023 | 99,763 | ||||||||
| Government National Mortgage Association | ||||||||||||
| 12,112,673 | Series 2013-155(d)(k) | 0.11% | 09/16/2053 | 73,552 | ||||||||
| GPMT, Ltd. | ||||||||||||
| 999,000 | Series 2018-FL1(d)(h) | 1M US L + 2.95% | 04/19/2021 | 923,881 | ||||||||
| Great Wolf Trust | ||||||||||||
| 1,100,000 | Series 2019-WOLF(d)(h) | 1M US L + 3.13% | 12/15/2024 | 963,866 | ||||||||
| GS Mortgage Securities Corp. Trust 2018-RIVR | ||||||||||||
| 300,000 | Series 2018-RIVR(d)(h) | 1M US L + 1.55% | 07/15/2035 | 264,377 | ||||||||
| GS Mortgage Securities Trust | ||||||||||||
| 1,776,000 | Series 2014-GC26(d)(h) | 4.66% | 11/10/2047 | 1,107,760 | ||||||||
| 655,000 | Series 2018-TWR(d)(h) | 1M US L + 3.92% | 07/15/2021 | 579,370 | ||||||||
| Hawaii Hotel Trust | ||||||||||||
| 230,000 | Series 2019-MAUI(d)(h) | 1M US L + 2.75% | 05/15/2021 | 200,283 | ||||||||
| Highbridge Loan Management, Ltd. | ||||||||||||
| 500,000 | Series 2018-2015(d)(h) | 3M US L + 5.10% | 02/05/2031 | 410,735 | ||||||||
| HPLY Trust | ||||||||||||
| 188,506 | Series 2019-HIT(d)(h) | 1M US L + 3.90% | 11/15/2021 | 152,538 | ||||||||
| InSite Issuer LLC | ||||||||||||
| 3,000,000 | Series 2016-1A(h) | 6.41% | 11/15/2023 | 3,080,389 | ||||||||
| J.P. Morgan Chase Commercial Mortgage Securities Trust | ||||||||||||
| 500,000 | Series 2016-WIKI(d)(h) | 4.01% | 10/05/2021 | 442,918 | ||||||||
| JP Morgan BB Commercial Mortgage Securities Trust | ||||||||||||
| 1,062,000 | Series 2014-C23(d)(h) | 3.36% | 10/15/2024 | 655,835 | ||||||||
| 632,000 | Series 2015-C27(d)(h) | 3.95% | 02/15/2025 | 502,206 | ||||||||
| 290,000 | Series 2015-C28 | 3.99% | 03/15/2025 | 296,061 | ||||||||
| JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||||||
| 85,555 | Series 2006-LDP9 | 5.34% | 05/15/2047 | 67,588 | ||||||||
| 411,000 | Series 2011-C3(d)(h) | 5.85% | 03/15/2021 | 120,950 | ||||||||
| 320,000 | Series 2019-MFP(d)(h) | 1M US L + 3.00% | 07/15/2021 | 299,547 | ||||||||
| 109,000 | Series 2019-UES(h) | 4.34% | 05/05/2024 | 109,637 | ||||||||
| 525,000 | Series 2019-UES(d)(h) | 4.45% | 05/05/2024 | 491,375 | ||||||||
| JPMBB Commercial Mortgage Securities Trust | ||||||||||||
| 9,475,000 | Series 2013-C14(d)(h)(k) | 1.26% | 08/15/2023 | 266,257 | ||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||
| LCM Loan Income Fund I Income Note Issuer, Ltd. | ||||||||||||
| $ | 500,000 | Series 2018-27A(d)(h) | 3M US L + 5.60% | 07/16/2031 | $ | 411,213 | ||||||
| LCM XIV LP | ||||||||||||
| 500,000 | Series 2018-14A(d)(h) | 3M US L + 5.50% | 07/20/2031 | 358,380 | ||||||||
| LCM XVII LP | ||||||||||||
| 500,000 | Series 2018-17A(d)(h) | 3M US L + 6.00% | 10/15/2031 | 372,196 | ||||||||
| Legacy Mortgage Asset Trust | ||||||||||||
| 6,200,000 | Series 2019-GS3(h)(j) | 4.25% | 04/25/2059 | 6,253,573 | ||||||||
| Mello Warehouse Securitization Trust | ||||||||||||
| 3,000,000 | Series 2019-1(d)(h) | 1M US L + 5.50% | 05/14/2021 | 2,992,900 | ||||||||
| MFT Trust 2020-ABC | ||||||||||||
| 365,000 | Series 2020-ABC(d)(h) | 3.48% | 02/10/2030 | 315,851 | ||||||||
| Morgan Stanley Capital Barclays Bank Trust 2016-MART | ||||||||||||
| 302,000 | Series 2016-MART(h) | 3.31% | 09/13/2021 | 290,007 | ||||||||
| Morgan Stanley Capital I Trust | ||||||||||||
| 363,000 | Series 2007-IQ15(d)(h) | 6.35% | 06/11/2049 | 353,204 | ||||||||
| 210,000 | Series 2017-ASHF(d)(h) | 1M US L + 4.35% | 11/15/2034 | 153,467 | ||||||||
| 350,000 | Series 2018-SUN(d)(h) | 1M US L + 3.30% | 07/15/2035 | 314,755 | ||||||||
| Mosaic Solar Loan Trust 2020-1 | ||||||||||||
| 2,900,000 | Series 2020-1A(h) | 0.00% | 04/20/2046 | 1,022,824 | ||||||||
| Motel 6 Trust 2017-MTL6 | ||||||||||||
| 297,708 | Series 2017-MTL6(d)(h) | 1M US L + 4.25% | 08/15/2034 | 291,334 | ||||||||
| New Century Home Equity Loan Trust | ||||||||||||
| 2,057,576 | Series 2006-1(d) | 1M US L + 0.18% | 05/25/2036 | 1,913,819 | ||||||||
| Octagon Investment Partners 26, Ltd. | ||||||||||||
| 500,000 | Series 2018-1A(d)(h) | 3M US L + 8.09% | 07/15/2030 | 376,884 | ||||||||
| Octagon Investment Partners 29, Ltd. | ||||||||||||
| 500,000 | Series 2020-1A(d)(h) | 3M US L + 7.25% | 01/24/2033 | 472,132 | ||||||||
| Octagon Investment Partners 45, Ltd. | ||||||||||||
| 500,000 | Series 2019-1A(d)(h) | 3M US L + 7.69% | 10/15/2032 | 501,684 | ||||||||
| Octagon Investment Partners XVI, Ltd. | ||||||||||||
| 500,000 | Series 2018-1A(d)(h) | 3M US L + 5.75% | 07/17/2030 | 439,017 | ||||||||
| Octagon Investment Partners XXI, Ltd. | ||||||||||||
| 500,000 | Series 2019-1A(d)(h) | 3M US L + 7.00% | 02/14/2031 | 473,721 | ||||||||
| Octagon Investment Partners XXII, Ltd. | ||||||||||||
| 500,000 | Series 2018-1A(d)(h) | 3M US L + 1.90% | 01/22/2030 | 480,438 | ||||||||
| One Market Plaza Trust | ||||||||||||
| 319,000 | Series 2017-1MKT(h) | 4.14% | 02/10/2024 | 324,031 | ||||||||
| PR Mortgage Loan Trust | ||||||||||||
| 2,193,161 | Series 2014-1(d)(h) | 5.91% | 09/25/2047 | 2,171,988 | ||||||||
| Prosper Marketplace Issuance Trust Series 2018-1 | ||||||||||||
| 160,347 | Series 2018-1A(h) | 4.87% | 06/17/2024 | 160,678 | ||||||||
| PRPM LLC | ||||||||||||
| 4,000,000 | Series 2020-1A(h)(j) | 3.97% | 02/25/2023 | 3,874,583 | ||||||||
| RMAT LLC | ||||||||||||
| 577,536 | Series 2015-PR2(h)(j) | 9.85% | 11/25/2035 | 576,416 | ||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||
| Sofi Professional Loan Program 2018-C Trust | ||||||||||||
| $ | 50,000 | Series 2018-C(h) | 0.00% | 01/25/2048 | $ | 1,855,570 | ||||||
| SoFi Professional Loan Program Trust | ||||||||||||
| 20,000 | Series 2020-A(h) | 0.00% | 05/15/2046 | 1,212,886 | ||||||||
| SoFi Professional Loan Program, LLC | ||||||||||||
| 28,380 | Series 2019-B(h) | 0.00% | 08/17/2048 | 929,268 | ||||||||
| Trimaran CAVU, Ltd. | ||||||||||||
| 500,000 | Series 2019-2A(d)(h) | 3M US L + 4.72% | 11/26/2032 | 501,237 | ||||||||
| UBS-Barclays Commercial Mortgage Trust | ||||||||||||
| 333,000 | Series 2013-C5(d)(h) | 4.23% | 02/10/2023 | 176,447 | ||||||||
| VMC Finance LLC | ||||||||||||
| 457,988 | Series 2019-FL3(d)(h) | 1M US L + 2.65% | 09/15/2036 | 421,734 | ||||||||
| WAVE LLC | ||||||||||||
| 483,951 | Series 2019-1(h) | 6.41% | 09/15/2027 | 264,210 | ||||||||
| Wells Fargo Commercial Mortgage Trust | ||||||||||||
| 332,000 | Series 2016-C33(h) | 3.12% | 03/15/2059 | 287,363 | ||||||||
| TOTAL NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||||||
| (Cost $69,627,568) | 63,404,130 | |||||||||||
| U.S. GOVERNMENT / AGENCY MORTGAGE BACKED SECURITIES - 56.66%(a) | ||||||||||||
| Alternative Loan Trust | ||||||||||||
| 777,407 | Series 2005-48T1 | 5.50% | 11/25/2035 | 645,551 | ||||||||
| 555,138 | Series 2005-63(d) | 3.78% | 12/25/2035 | 531,491 | ||||||||
| 2,727,033 | Series 2005-64CB | 5.50% | 12/25/2035 | 2,434,582 | ||||||||
| 1,194,909 | Series 2006-26CB | 6.50% | 09/25/2036 | 908,299 | ||||||||
| 2,700,123 | Series 2007-14T2 | 6.00% | 07/25/2037 | 1,964,670 | ||||||||
| 2,259,389 | Series 2007-16CB | 6.25% | 08/25/2037 | 1,777,279 | ||||||||
| 2,453,313 | Series 2007-2CB | 5.75% | 03/25/2037 | 1,972,448 | ||||||||
| Banc of America Funding Trust | ||||||||||||
| 2,099,408 | Series 2006-D(d) | 3.17% | 05/20/2036 | 1,840,911 | ||||||||
| Banc of America Mortgage Trust | ||||||||||||
| 1,677,144 | Series 2007-3 | 6.00% | 09/25/2037 | 1,674,402 | ||||||||
| Bear Stearns ALT-A Trust | ||||||||||||
| 1,662,516 | Series 2005-10(d) | 3.46% | 01/25/2036 | 1,572,052 | ||||||||
| Bear Stearns ARM Trust | ||||||||||||
| 1,181,557 | Series 2006-2(d) | 3.55% | 07/25/2036 | 1,113,971 | ||||||||
| Chase Mortgage Finance Trust Series | ||||||||||||
| 3,245,585 | Series 2007-S4(d) | 1M US L + 0.60% | 06/25/2037 | 1,102,272 | ||||||||
| ChaseFlex Trust Series 2007-1 | ||||||||||||
| 2,679,082 | Series 2007-1 | 6.50% | 02/25/2037 | 1,469,180 | ||||||||
| CHL GMSR Issuer Trust | ||||||||||||
| 3,930,000 | Series 2018-GT1(d)(h) | 1M US L + 2.75% | 05/25/2023 | 3,781,003 | ||||||||
| CHL Mortgage Pass-Through Trust | ||||||||||||
| 1,867,700 | Series 2005-HYB1(d) | 1M US L + 0.60% | 03/25/2035 | 1,766,494 | ||||||||
| 2,251,055 | Series 2007-9 | 5.75% | 07/25/2037 | 1,750,176 | ||||||||
| 1,992,106 | Series 2007-HYB1(d) | 3.16% | 03/25/2037 | 1,827,811 | ||||||||
| Citigroup Mortgage Loan Trust | ||||||||||||
| 840,632 | Series 2007-AR5(d) | 4.03% | 04/25/2037 | 793,322 | ||||||||
| Citigroup Mortgage Loan Trust, Inc. | ||||||||||||
| 1,689,307 | Series 2005-5(d) | 2.91% | 10/25/2035 | 1,201,652 | ||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||
| CSFB Mortgage-Backed Pass-Through Certificates | ||||||||||||
| $ | 962,195 | Series 2005-9 | 5.50% | 10/25/2035 | $ | 736,519 | ||||||
| CSMC Mortgage-Backed Trust | ||||||||||||
| 1,974,882 | Series 2006-7 | 6.75% | 08/25/2036 | 1,607,183 | ||||||||
| 1,994,487 | Series 2007-1 | 6.00% | 02/25/2037 | 1,809,068 | ||||||||
| Fannie Mae REMICS | ||||||||||||
| 3,563,110 | Series 2011-101(d)(k) | 5.90% - 1M US L | 10/25/2041 | 650,274 | ||||||||
| 3,037,644 | Series 2011-124(d)(k) | 6.50% - 1M US L | 12/25/2041 | 569,920 | ||||||||
| 3,601,546 | Series 2012-20(d)(k) | 6.45% - 1M US L | 03/25/2042 | 675,588 | ||||||||
| 6,000,000 | Series 2013-109 | 0.00% | 07/25/2043 | 5,379,885 | ||||||||
| 4,381,899 | Series 2013-36 | 3.00% | 04/25/2043 | 4,832,871 | ||||||||
| 3,014,870 | Series 2014-38 | 3.00% | 09/25/2043 | 3,078,864 | ||||||||
| 1,058,252 | Series 2016-26(d) | 7.62% - 1M US L | 11/25/2042 | 1,214,587 | ||||||||
| Federal Home Loan Mortgage Corp. REMICS | ||||||||||||
| 2,030,212 | Series 2013-4170(d) | 4.05% - 1M US L | 01/15/2033 | 2,115,694 | ||||||||
| First Horizon Alternative Mortgage Securities Trust | ||||||||||||
| 508,549 | Series 2005-AA8(d) | 2.66% | 10/25/2035 | 469,535 | ||||||||
| FMC GMSR Issuer Trust | ||||||||||||
| 3,000,000 | Series 2019-GT1(d)(h) | 5.66% | 05/25/2024 | 2,683,200 | ||||||||
| Freddie Mac REMICS | ||||||||||||
| 4,428,070 | Series 2010-3770 | 4.00% | 12/15/2040 | 4,972,508 | ||||||||
| 6,064,504 | Series 2011-3966(d)(k) | 5.90% - 1M US L | 12/15/2041 | 1,079,120 | ||||||||
| 5,010,037 | Series 2017-4657 | 3.00% | 02/15/2047 | 5,246,958 | ||||||||
| Government National Mortgage Association | ||||||||||||
| 4,736,829 | Series 2017-17 | 3.50% | 02/20/2047 | 5,158,864 | ||||||||
| 6,804,786 | Series 2020-47(d)(k) | 6.00% - 1M US L | 05/20/2044 | 1,277,378 | ||||||||
| 15,203,218 | Series 2020-47(d)(k) | 5.37% - 1M US L | 07/20/2044 | 2,627,262 | ||||||||
| Homeward Opportunities Fund Trust 2020-BPL1 | ||||||||||||
| 1,000,000 | Series 2020-BPL1(h)(j) | 5.44% | 08/25/2025 | 1,002,247 | ||||||||
| IndyMac INDX Mortgage Loan Trust | ||||||||||||
| 1,223,388 | Series 2004-AR4(d) | 3.24% | 08/25/2034 | 1,231,200 | ||||||||
| 2,453,541 | Series 2007-FLX6(d) | 1M US L + 0.25% | 09/25/2037 | 2,068,920 | ||||||||
| Legacy Mortgage Asset Trust | ||||||||||||
| 5,900,000 | Series 2019-GS7(h)(j) | 4.50% | 11/25/2059 | 5,795,642 | ||||||||
| Luminent Mortgage Trust | ||||||||||||
| 1,851,743 | Series 2006-3(d) | 1M US L + 0.20% | 05/25/2036 | 1,678,807 | ||||||||
| 1,584,782 | Series 2006-3(d) | 1M US L + 0.21% | 05/25/2036 | 1,488,745 | ||||||||
| Nomura Asset Acceptance Corp. Alternative Loan Trust | ||||||||||||
| 2,041,825 | Series 2005-AP3(j) | 5.69% | 08/25/2035 | 1,279,586 | ||||||||
| 8,711,841 | Series 2006-AR1(d) | 1M US L + 0.54% | 02/25/2036 | 2,423,829 | ||||||||
| RALI Series Trust | ||||||||||||
| 1,732,463 | Series 2007-QA5(d) | 5.40% | 09/25/2037 | 1,645,274 | ||||||||
| Residential Asset Securitization Trust | ||||||||||||
| 2,521,164 | Series 2005-A15 | 5.75% | 02/25/2036 | 1,748,629 | ||||||||
| 2,315,183 | Series 2007-A5 | 6.00% | 05/25/2037 | 1,871,630 | ||||||||
| RFMSI Trust | ||||||||||||
| 1,162,172 | Series 2005-SA2(d) | 3.75% | 06/25/2035 | 970,477 | ||||||||
| 2,523,484 | Series 2006-S8 | 6.00% | 09/25/2036 | 2,373,012 | ||||||||
| Spruce Hill Mortgage Loan Trust 2020-SH1 | ||||||||||||
| 1,936,000 | Series 2020-SH1(d)(h) | 4.68% | 01/28/2050 | 1,774,196 | ||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||
| Structured Adjustable Rate Mortgage Loan Trust | ||||||||||||
| $ | 835,677 | Series 2005-22(d) | 3.92% | 12/25/2035 | $ | 798,799 | ||||||
| 2,187,195 | Series 2007-8(d) | 3.60% | 09/25/2037 | 2,089,885 | ||||||||
| Structured Asset Mortgage Investments II Trust | ||||||||||||
| 533,211 | Series 2005-AR7(d) | 2.55% | 03/25/2046 | 537,725 | ||||||||
| WaMu Mortgage Pass-Through Certificates Trust | ||||||||||||
| 1,440,022 | Series 2006-AR10(d) | 3.16% | 08/25/2046 | 1,338,141 | ||||||||
| 1,279,835 | Series 2006-AR6(d) | 3.16% | 08/25/2036 | 1,141,252 | ||||||||
| 1,526,708 | Series 2007-HY3(d) | 3.59% | 03/25/2037 | 1,456,190 | ||||||||
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | ||||||||||||
| 1,439,519 | Series 2005-8 | 5.50% | 10/25/2035 | 1,457,136 | ||||||||
| 1,205,117 | Series 2006-2 | 6.00% | 03/25/2036 | 1,237,120 | ||||||||
| TOTAL U.S. GOVERNMENT / AGENCY MORTGAGE BACKED SECURITIES | ||||||||||||
| (Cost $117,546,447) | 113,721,286 | |||||||||||
| Shares/Description | Value | |||||||
| SHORT-TERM INVESTMENTS - 4.45%(a) | ||||||||
| Money Market Fund - 4.45% | ||||||||
| 8,938,269 | State Street Institutional Trust (7 Day Yield 0.02%)(l) | 8,938,269 | ||||||
| TOTAL SHORT-TERM INVESTMENTS | ||||||||
| (Cost $8,938,269) | 8,938,269 | |||||||
| TOTAL INVESTMENTS - 131.99% | ||||||||
| (Cost $279,781,956) | $ | 264,856,070 | ||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS - (31.99)% | (64,197,195 | ) | ||||||
| NET ASSETS - 100.00% | $ | 200,658,875 | ||||||
Investment Abbreviations:
LIBOR - London Interbank Offered Rate
Reference Rates:
1M US L - 1 Month LIBOR as of September 30, 2020 was 0.15%
3M US L - 3 Month LIBOR as of September 30, 2020 was 0.23%
5Y US TI - 5 Year US Treasury Index as of September 30, 2020 was 0.24%
2M US L - 2 Month LIBOR as of September 30, 2020 was 0.19%
10Y US TI - 10 Year US Treasury Index as of September 30, 2020 was 0.69%
| (a) | All or a portion of the security has been pledged as collateral in connection with an open credit agreement. At September 30, 2020, the value of securities pledged amounted to $264,856,070, which represents approximately 131.99% of net assets. |
| (b) | Non-income producing security. |
| (c) | The Level 3 assets were a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs. |
| (d) | Variable rate investment. Interest rates reset periodically. Interest rate shown reflects the rate in effect at September 30, 2020. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (e) | Securities were purchased pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. These securities have been deemed liquid under procedures approved by the Fund's Board of Directors (The "Board"). As of September 30, 2020, the aggregate fair value of those securities was $7,207,796, representing 3.59% of net assets. |
| (f) | Security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. |
| (g) | Pay-in-kind securities. Rate paid in-kind is shown in parenthesis. |
| (h) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities have been deemed liquid under procedures approved by the Fund's Board of Directors and may normally be sold to qualified institutional buyers in transactions exempt from registration. Total fair value of Rule 144A securities amounts to $85,554,110, which represents approximately 42.64% of net assets as of September 30, 2020. |
| (i) | Security is currently in default. |
| (j) | Step up bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect at September 30, 2020. |
| (k) | Interest only securities. |
| (l) | Seven-day yield as of September 30, 2020. |
See Notes to Schedule of Investments
| RiverNorth/DoubleLine Strategic Opportunity Fund, Inc. | |
| Notes to Quarterly Schedule of Investments | September 30, 2020 (Unaudited) |
1. ORGANIZATION
RiverNorth/DoubleLine Strategic Opportunity Fund, Inc. (the “Fund”) is a closed-end management investment company that was organized as a Maryland corporation on June 22, 2016, and commenced investment operations on September 28, 2016. The investment adviser to the Fund is RiverNorth Capital Management, LLC (the “Adviser”). The Fund’s sub-adviser is DoubleLine Capital, LP (“Sub-Adviser”). The Fund is a diversified investment company with an investment objective to seek current income and overall total return.
The Fund seeks to achieve its investment objective by allocating its Managed Assets among two principal strategies; under normal market conditions, the Fund may allocate between 10% and 35% of its Managed Assets to the Tactical Closed-End Fund Income Strategy and 65% to 90% of its Managed Assets to the Opportunistic Income Strategy. The Adviser will determine the portion of the Fund’s Managed Assets to allocate to each strategy and may, from time to time, adjust the allocations.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the Fund. These policies are in conformity with generally accepted accounting principles in the United States of America (“U.S. GAAP”). The financial statements are prepared in accordance with U.S. GAAP, which requires management to make estimates and assumptions that affect the reported amounts and disclosures, including the disclosure of contingent assets and liabilities, in the financial statements during the reporting period. Management believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the financial statements may differ from the value the Fund ultimately realizes upon sale of the securities. The Fund is considered an investment company for financial reporting purposes under GAAP and follows the accounting and reporting guidance applicable to investment companies as codified in Accounting Standards Codification (“ASC”) 946 – Investment Companies. The financial statements have been prepared as of the close of the New York Stock Exchange (“NYSE”) on September 30, 2020.
Security Valuation: The Fund’s investments are generally valued at their fair value using market quotations. If a market value quotation is unavailable a security may be valued at its estimated fair value as described in Note 3.
Security Transactions and Investment Income: The Fund follows industry practice and records security transactions on the trade date basis. The specific identification method is used for determining gains or losses for financial statements and income tax purposes. Dividend income is recorded on the ex-dividend date or for certain foreign securities, when the information becomes available to the Fund and interest income and expenses are recorded on an accrual basis. Discounts and premiums on securities purchased are amortized or accreted using the effective interest method. Paydown gains and losses on mortgage-related and other asset-backed securities are recorded as components of interest income on the Statement of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. The ability of issuers of debt securities held by the Fund to meet their obligations may be affected by economic and political developments in a specific country or region. Settlement on bank loans transactions may be in excess of seven business days. Interest only stripped mortgage backed securities (“IO Strips”) are securities that receive only interest payments from a pool of mortgage loans. Little to no principal will be received by the Fund upon maturity of an IO Strip. Periodic adjustments are recorded to reduce the cost of the security until maturity, which are included in interest income.
| RiverNorth/DoubleLine Strategic Opportunity Fund, Inc. | |
| Notes to Quarterly Schedule of Investments | September 30, 2020 (Unaudited) |
Share Valuation: The net asset value (the “NAV”) is generally calculated as of the close of trading on the New York Stock Exchange (“the Exchange”) (normally 4:00 p.m. Eastern time) every day the Exchange is open. The NAV is calculated by dividing the value of all of the securities and other assets of the Fund, less the liabilities (including accrued expenses and indebtedness), by the total number of common shares outstanding.
3. Securities valuation and fair value measurements
Fair value is defined as the price that the Fund might reasonably expect to receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. U.S. GAAP establishes a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes.
Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including using such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below.
| • | Level 1 –Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that a Fund has the ability to access at the measurement date; |
| • | Level 2 –Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and |
| • | Level 3 –Significant unobservable prices or inputs (including the Fund’s own assumptions in determining the fair value of investments) where there is little or no market activity for the asset or liability at the measurement date. |
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Equity securities, including closed-end funds, are generally valued by using market quotations, but may be valued on the basis of prices furnished by a pricing service when the Adviser or the Sub-Adviser believes such prices more accurately reflect the fair market value of such securities. Securities that are traded on any stock exchange are generally valued by the pricing service at the last quoted sale price. Lacking a last sale price, an exchange traded security is generally valued by the pricing service at its last bid price. Securities traded in the NASDAQ over-the-counter market are generally valued by the pricing service at the NASDAQ Official Closing Price. When using the market quotations or close prices provided by the pricing service and when the market is considered active, the security will be classified as a Level 1 security. Sometimes, an equity security owned by the Fund will be valued by the pricing service with factors other than market quotations or when the market is considered inactive. When this happens, the security will be classified as a Level 2 security. When market quotations are not readily available, when the Adviser or the Sub-Adviser determines that the market quotation or the price provided by the pricing service does not accurately reflect the current fair value, or when restricted or illiquid securities are being valued, such securities are valued as determined in good faith by the Adviser, Sub-Adviser, or valuation committee in conformity with guidelines adopted by and subject to review by the Board. These securities will be categorized as Level 3 securities.
| RiverNorth/DoubleLine Strategic Opportunity Fund, Inc. | |
| Notes to Quarterly Schedule of Investments | September 30, 2020 (Unaudited) |
Investments in mutual funds, including short term investments, are generally priced at the ending net asset value (“NAV”) provided by the service agent of the funds. These securities will be classified as Level 1 securities.
Domestic and foreign fixed income securities, including foreign and U.S. corporate bonds, foreign government bonds and notes, supranationals and foreign agencies, asset backed obligations, non-agency collateralized mortgage obligations, U.S. Government/Agency mortgage backed securities, business development company notes, bank loans, and collateralized loan obligations are normally valued on the basis of quotes obtained from brokers and dealers or independent pricing services. Foreign currency positions, including forward foreign currency contracts, are priced at the mean between the closing bid and asked prices at 4:00 p.m. Eastern Time. Prices obtained from independent pricing services typically use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Data used to establish quotes includes analysis of cash flows, pre-payment speeds, default rates, delinquency assumptions and assumptions regarding collateral and loss assumptions. These securities will be classified as Level 2 securities.
Short-term investments in fixed income securities, excluding money market funds, with maturities of less than 60 days when acquired, or which subsequently are within 60 days of maturity, are valued by using the amortized cost method of valuation, which the Board has determined will represent fair value. These securities will be classified as Level 2 securities.
In accordance with the Fund’s good faith pricing guidelines, the Adviser, Sub-Adviser, or valuation committee is required to consider all appropriate factors relevant to the value of securities for which it has determined other pricing sources are not available or reliable as described above. No single standard exists for determining fair value, because fair value depends upon the circumstances of each individual case. As a general principle, the current fair value of an issue of securities being valued by the Adviser, Sub-Adviser, or valuation committee would appear to be the amount which the owner might reasonably expect to receive for them upon their current sale. Methods which are in accordance with this principle may, for example, be based on (i) a multiple of earnings; (ii) discounted cash flow models; (iii) weighted average cost or weighted average price; (iv) a discount from market of a similar freely traded security (including a derivative security or a basket of securities traded on other markets, exchanges or among dealers); or (v) yield to maturity with respect to debt issues, or a combination of these and other methods. Good faith pricing is permitted if, in the Adviser’s, a Sub-Adviser’s, or the valuation committee’s opinion, the validity of market quotations appears to be questionable based on factors such as evidence of a thin market in the security based on a small number of quotations, a significant event occurs after the close of a market but before a Fund’s NAV calculation that may affect a security’s value, or the Adviser or a Sub-Adviser is aware of any other data that calls into question the reliability of market quotations.
| RiverNorth/DoubleLine Strategic Opportunity Fund, Inc. | |
| Notes to Quarterly Schedule of Investments | September 30, 2020 (Unaudited) |
Good faith pricing may also be used in instances when the bonds in which the Fund invests default or otherwise cease to have market quotations readily available.
The following is a summary of the inputs used at September 30, 2020
in valuing the Fund’s assets
and liabilities:
| Valuation Inputs | ||||||||||||||||
| Investments in Securities at Value* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Closed-End Funds | $ | 22,995,469 | $ | – | $ | – | $ | 22,995,469 | ||||||||
| Business Development Companies | 2,422,204 | – | – | 2,422,204 | ||||||||||||
| Common Stocks | 32,729 | – | – | 32,729 | ||||||||||||
| Preferred Stocks | 4,426,483 | – | – | 4,426,483 | ||||||||||||
| Business Development Company Notes | 9,927,345 | – | 2,004,500 | 11,931,845 | ||||||||||||
| Foreign Corporate Bonds | – | 11,355,520 | – | 11,355,520 | ||||||||||||
| U.S. Corporate Bonds | – | 4,006,754 | – | 4,006,754 | ||||||||||||
| Convertible Corporate Bonds | – | 5,887,683 | – | 5,887,683 | ||||||||||||
| Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | – | 476,025 | – | 476,025 | ||||||||||||
| Bank Loans | – | 7,440,722 | – | 7,440,722 | ||||||||||||
| Collateralized Loan Obligations | – | 7,816,951 | – | 7,816,951 | ||||||||||||
| Non-Agency Collateralized Mortgage Obligations | – | 63,404,130 | – | 63,404,130 | ||||||||||||
| U.S. Government / Agency Mortgage Backed Securities | – | 113,721,286 | – | 113,721,286 | ||||||||||||
| Short-Term Investments | 8,938,269 | – | – | 8,938,269 | ||||||||||||
| Total | $ | 48,742,499 | $ | 214,109,071 | $ | 2,004,500 | $ | 264,856,070 | ||||||||
| * | Refer to the Fund's Schedule of Investments for a listing of securities by type. |
| RiverNorth/DoubleLine Strategic Opportunity Fund, Inc. | |
| Notes to Quarterly Schedule of Investments | September 30, 2020 (Unaudited) |
The changes of the fair value of investments for which the Fund has used Level 3 inputs to determine the fair value are as follows:
| Asset Type | Balance as of June 30, 2020 | Accrued Discount/ premium | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ Depreciation | Purchases | Sales Proceeds | Transfer into Level 3 | Transfer Out of Level 3 | Balance as of September 30, 2020 | Net change in unrealized appreciation/ (depreciation) attributable to Level 3 investments held at September 30, 2020 | ||||||||||||||||||||||||||||||
| Business Development Company Notes | $ | 1,991,000 | $ | 1,447 | $ | - | $ | 12,053 | $ | - | $ | - | $ | - | $ | - | $ | 2,004,500 | $ | 12,053 | ||||||||||||||||||||
| $ | 1,991,000 | $ | 1,447 | $ | - | $ | 12,053 | $ | - | $ | - | $ | - | $ | - | $ | 2,004,500 | $ | 12,053 | |||||||||||||||||||||
The table below provides additional information about the Level 3 Fair Value Measurements as of September 30, 2020:
Quantitative Information about Level 3 Fair Value Measurements
| Asset Class | Fair Value (USD) | Valuation Technique | Unobservable Inputs(a) | Value/Range (Weighted Average) | ||||||
| Business Development Company Notes | $ | $2,004,500 | Market Comparables | Yields | 8.396% | |||||
| (a) | A change to the unobservable input may result in a significant change to the value of the investment as follows: |
| Unobservable Input | Impact to Value if Input Increases |
Impact to Value if Input Decreases |
| Yields | Decrease | Increase |