RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

SCHEDULE OF INVESTMENTS

March 31, 2021 (Unaudited)

 

 

Shares/Description   Value 
CLOSED-END FUNDS - 13.69%(a)
 45,939   Angel Oak Dynamic Financial Strategies Income Term Trust  $865,950 
 33,144   Ares Dynamic Credit Allocation Fund, Inc.   498,154 
 239,919   Barings Global Short Duration High Yield Fund   3,857,898 
 122,816   Blackstone Strategic Credit Fund   1,637,137 
 296,567   BNY Mellon High Yield Strategies Fund   916,392 
 43,389   BrandywineGLOBAL - Global Income Opportunities Fund, Inc.   523,271 
 164,675   Eaton Vance, Ltd. Duration Income Fund   2,079,845 
 77,694   First Trust High Income Long/Short Fund   1,174,733 
 242,656   Invesco Dynamic Credit Opportunities Fund   2,758,999 
 41,698   Invesco High Income Trust II   580,436 
 766,464   Invesco Senior Income Trust   3,219,149 
 200,578   Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.   1,207,480 
 55,193   NexPoint Credit Strategies Fund   628,648 
 138,722   Nuveen Floating Rate Income Opportunity Fund   1,323,408 
 52,140   Nuveen Mortgage Opportunity Term Fund   1,081,905 
 147,987   PGIM Global High Yield Fund, Inc.   2,207,966 
 58,117   The New America High Income Fund, Inc.   526,540 
 9,546   Virtus AllianzGI Diversified Income & Convertible Fund   300,031 
 282,530   Wells Fargo Income Opportunities Fund   2,384,553 
 210,909   Western Asset High Income Opportunity Fund, Inc.   1,071,418 
           
TOTAL CLOSED-END FUNDS
(Cost $27,278,632)       28,843,913 
           
BUSINESS DEVELOPMENT COMPANIES - 1.31%(a)
 46,401   Barings BDC, Inc.   463,082 
 371,130   Oaktree Specialty Lending Corp.   2,301,006 
           
TOTAL BUSINESS DEVELOPMENT COMPANIES
(Cost $2,249,380)       2,764,088 
           
COMMON STOCKS - 0.01%(a)
 13,637   McDermott International, Ltd.(b)   10,910 
           
TOTAL COMMON STOCKS
(Cost $44,971)       10,910 
           
PREFERRED STOCKS - 0.47%(a)
 39,726   XAI Octagon Floating Rate Alternative Income Term Trust, 6.500%, 03/31/2026   992,753 
           
TOTAL PREFERRED STOCKS
(Cost $992,700)       992,753 

 

Shares/Description  Rate  Maturity  Value 
BUSINESS DEVELOPMENT COMPANY NOTES - 7.35%(a) 
United States - 7.35% 
 2,000,000   Bain Capital Specialty Finance, Inc.(c)  8.50%  06/10/2023   2,080,000 
 131,056   First Eagle Alternative Capital BDC, Inc.  6.75%  12/30/2022   3,331,444 
 48,198   First Eagle Alternative Capital BDC, Inc.  6.13%  10/30/2023   1,245,436 

 

 

 

Shares/Description  Rate  Maturity  Value 
 235,511   Oxford Square Capital Corp.  6.50%  03/30/2024  $5,892,485 
 86,240   Portman Ridge Finance Corp.  6.13%  09/30/2022   2,177,560 
 30,519   TriplePoint Venture Growth BDC Corp.  5.75%  07/15/2022   772,146 
                 
TOTAL BUSINESS DEVELOPMENT COMPANY NOTES
(Cost $14,900,806)             15,499,071 

 

Principal Amount/Description  Rate  Maturity  Value 
FOREIGN CORPORATE BONDS - 6.35%(a) 
Argentina - 0.09% 
$150,000   Banco Macro SA(d)(e)  6.75%  11/04/2026  $120,752 
 80,000   Capex SA(e)  6.88%  05/15/2024   71,201 
               191,953 
Brazil - 0.75%
 300,000   Banco do Brasil SA(d)(e)(f)  6.25%  Perpetual Maturity   295,590 
 350,000   Banco do Estado do Rio Grande do Sul SA(d)(g)  5Y US TI + 4.928%  01/28/2031   343,890 
 300,000   CSN Islands XII Corp.(e)(f)  7.00%  Perpetual Maturity   301,344 
 250,000   Oi SA(h)  10.00%  (4.00%)  07/27/2025   264,375 
 200,000   Simpar Europe SA(g)  5.20%  01/26/2031   196,308 
 200,000   Unigel Luxembourg SA(e)  8.75%  10/01/2026   216,263 
               1,617,770 
British Virgin Islands - 0.10%
 200,000   C10 Capital SPV, Ltd.(d)(e)(f)  3M US L + 4.71%  Perpetual Maturity   202,100 
                 
Canada - 0.40%
 165,000   Garda World Security Corp.(g)  8.75%  05/15/2025   173,145 
 250,000   Gran Tierra Energy, Inc.(g)  7.75%  05/23/2027   203,250 
 220,000   Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.(g)  7.00%  12/31/2027   211,116 
 200,000   Tervita Corp.(g)  11.00%  12/01/2025   227,500 
               815,011 
Cayman Islands - 0.29%
 250,000   Banco Mercantil del Norte SA/Grand Cayman(d)(e)(f)  7.63%  Perpetual Maturity   274,429 
 350,000   Itau Unibanco Holding SA Island(d)(e)(f)  5Y US TI + 3.222%  Perpetual Maturity   328,370 
               602,799 
Chile - 0.34%
 250,000   AES Gener SA(d)(e)  7.13%  03/26/2079   268,966 
 200,000   Empresa Electrica Guacolda SA(e)  4.56%  04/30/2025   168,398 
 250,000   Geopark, Ltd.(e)  6.50%  09/21/2024   259,211 
               696,575 
China - 0.35%
 200,000   Agile Group Holdings, Ltd.(d)(f)  6.88%  Perpetual Maturity   202,743 
 200,000   Central China Real Estate, Ltd.  7.25%  07/16/2024   174,000 
 200,000   Ronshine China Holdings, Ltd.  6.75%  08/05/2024   184,987 
 200,000   Yuzhou Group Holdings Co., Ltd.  8.30%  05/27/2025   172,483 
               734,213 
Colombia - 0.25%
 100,000   Banco GNB Sudameris SA(d)(e)  5Y US TI + 4.561%  04/03/2027   101,935 
 200,000   Credivalores-Crediservicios SAS(g)  8.88%  02/07/2025   172,961 
 250,000   Gilex Holding SARL(e)  8.50%  05/02/2023   259,825 
               534,721 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
Dominican Republic - 0.12%
$250,000   Aeropuertos Dominicanos Siglo XXI SA(e)  6.75%  03/30/2029  $261,509 
                 
Great Britain - 0.10%
 250,000   Vedanta Resources Finance II PLC(g)  9.25%  04/23/2026   211,555 
                 
Guatemala - 0.10%
 200,000   Banco Industrial SA/Guatemala(d)(g)  5Y US TI + 4.442%  01/29/2031   206,349 
                 
Hong Kong - 0.24%
 300,000   Bangkok Bank PCL(d)(f)(g)  5Y US TI + 4.729%  Perpetual Maturity   316,404 
 200,000   RKP Overseas Finance, Ltd.(f)  7.95%  Perpetual Maturity   196,500 
               512,904 
Indonesia - 0.29%
 200,000   ABM Investama Tbk PT(e)  7.13%  08/01/2022   178,600 
 200,000   Bayan Resources Tbk PT(e)  6.13%  01/24/2023   203,777 
 226,750   Star Energy Geothermal Wayang Windu, Ltd.(e)  6.75%  04/24/2033   255,985 
               638,362 
Luxembourg - 0.35%
 150,000   Atento Luxco 1 SA(g)  8.00%  02/10/2026   157,651 
 200,000   FS Luxembourg SARL(g)  10.00%  12/15/2025   220,585 
 200,000   Minerva Luxembourg SA(g)  4.38%  03/18/2031   195,775 
 200,000   Tupy Overseas SA(g)  4.50%  02/16/2031   194,398 
               768,409 
Mauritius - 0.09%
 200,000   UPL Corp., Ltd.(d)(f)  5.25%  Perpetual Maturity   198,230 
                 
Mexico - 0.89%
 300,000   Alpha Holding SA de CV(g)  9.00%  02/10/2025   219,000 
 200,000   Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand(d)(f)  8.50%  Perpetual Maturity   211,000 
 200,000   Braskem Idesa SAPI(g)  7.45%  11/15/2029   199,000 
 250,000   Credito Real SAB de CV SOFOM ER(d)(e)(f)  9.13%  Perpetual Maturity   224,644 
 250,073   Fermaca Enterprises S RL  6.38%  03/30/2038   282,582 
 250,000   Mexarrend SAPI de CV(g)  10.25%  07/24/2024   248,000 
 200,000   Operadora de Servicios Mega SA de CV Sofom ER(g)  8.25%  02/11/2025   202,166 
 200,000   TV Azteca SAB de CV(i)  8.25%  08/09/2024   100,000 
 250,000   Unifin Financiera SAB de CV(d)(e)(f)  8.88%  Perpetual Maturity   206,090 
               1,892,482 
Netherlands - 0.45%
 250,000   AES Andres BV / Dominican Power Partners / Empresa Generadora de Electricidad It(e)  7.95%  05/11/2026   260,395 
 200,000   Braskem Netherlands Finance BV(e)  5.88%  01/31/2050   201,280 
 200,000   Metinvest BV(e)  7.75%  10/17/2029   212,862 
 250,000   Petrobras Global Finance BV  6.90%  03/19/2049   274,190 
               948,727 
Panama - 0.10%
 200,000   UEP Penonome II SA(g)  6.50%  10/01/2038   202,378 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
Peru - 0.20% 
$150,000   Camposol SA(g)  6.00%  02/03/2027  $160,199 
 300,000   Peru LNG Srl(e)  5.38%  03/22/2030   269,756 
               429,955 
Singapore - 0.50%
 200,000   Indika Energy Capital III Pte, Ltd.(e)  5.88%  11/09/2024   201,050 
 200,000   LMIRT Capital Pte, Ltd.  7.25%  06/19/2024   205,427 
 250,000   Medco Oak Tree Pte, Ltd.(e)  7.38%  05/14/2026   267,225 
 200,000   TBLA International Pte, Ltd.  7.00%  01/24/2023   171,500 
 200,000   Theta Capital Pte, Ltd.  6.75%  10/31/2026   193,218 
               1,038,420 
Switzerland - 0.10%
 200,000   Walnut Bidco PLC(e)  9.13%  08/01/2024   213,550 
                 
Thailand - 0.10%
 200,000   TMB Bank PCL(d)(f)  5Y US TI + 3.256%  Perpetual Maturity   200,612 
                 
Trinidad and Tobago - 0.15%
 300,000   Telecommunications Services of Trinidad & Tobago, Ltd.(e)  8.88%  10/18/2029   314,820 
                 
TOTAL FOREIGN CORPORATE BONDS
(Cost $13,089,731)             13,433,404 
                 
U.S. CORPORATE BONDS - 5.65%(a)
Aerospace/Defense - 0.22%
 365,000   Triumph Group, Inc.(g)  6.25%  09/15/2024   371,734 
 90,000   Triumph Group, Inc.  7.75%  08/15/2025   90,675 
               462,409 
Agriculture - 0.06%
 127,656   Pyxus Holdings, Inc.  10.00%  08/24/2024   118,401 
                 
Airlines - 0.59%
 155,000   American Airlines, Inc./AAdvantage Loyalty IP, Ltd.(g)  5.75%  04/20/2029   165,059 
 944,339   JetBlue 2019-1 Class B Pass Through Trust  8.00%  11/15/2027   1,081,237 
               1,246,296 
Auto Parts & Equipment - 0.17%
 330,000   Dealer Tire LLC / DT Issuer LLC(g)  8.00%  02/01/2028   348,975 
                 
Beverages - 0.10%
 200,000   Triton Water Holdings, Inc.(g)  6.25%  04/01/2029   204,125 
                 
Chemicals - 0.15%
 260,000   Illuminate Buyer LLC / Illuminate Holdings IV, Inc.(g)  9.00%  07/01/2028   292,903 
                 
Commercial Services - 0.11%
 65,000   NESCO Holdings II, Inc.(g)  5.50%  04/15/2029   66,758 
 45,000   Rent-A-Center, Inc.(g)  6.38%  02/15/2029   47,813 
 110,000   Sabre GLBL, Inc.(g)  7.38%  09/01/2025   120,208 
               234,779 
Computers - 0.26%
 225,000   Austin BidCo, Inc.(g)  7.13%  12/15/2028   229,359 
 305,000   Flexential Intermediate Corp.(g)  11.25%  08/01/2024   328,066 
               557,425 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
Distribution/Wholesale - 0.03% 
$59,000   Wolverine Escrow LLC(g)  9.00%  11/15/2026  $59,055 
                 
Diversified Financial Services - 0.06%
 140,000   Air Methods Corp.(g)  8.00%  05/15/2025   131,950 
                 
Engineering & Construction - 0.10%
 195,000   PowerTeam Services LLC(g)  9.03%  12/04/2025   215,475 
                 
Healthcare-Products - 0.06%
 27,000   Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA(g)  7.38%  06/01/2025   29,078 
 87,000   Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA(g)  7.25%  02/01/2028   95,486 
               124,564 
Healthcare-Services - 0.28%
 160,000   CHS/Community Health Systems, Inc.(g)  6.88%  04/15/2029   167,699 
 305,000   Radiology Partners, Inc.(g)  9.25%  02/01/2028   332,832 
 70,000   RP Escrow Issuer LLC(g)  5.25%  12/15/2025   72,625 
               573,156 
Internet - 0.25%
 360,000   Endure Digital, Inc.(g)  6.00%  02/15/2029   352,314 
 165,000   Uber Technologies, Inc.(g)  6.25%  01/15/2028   179,924 
               532,238 
Investment Companies - 1.51%
 3,150,000   PennantPark Floating Rate Capital, Ltd.  4.25%  04/01/2026   3,160,950 
                 
Leisure Time - 0.02%
 45,000   Carnival Corp.(g)  7.63%  03/01/2026   48,400 
                 
Media - 0.13%
 275,000   Cengage Learning, Inc.(g)  9.50%  06/15/2024   280,672 
                 
Oil & Gas - 0.16%
 250,000   Kosmos Energy, Ltd.(e)  7.13%  04/04/2026   243,010 
 85,000   PBF Holding Co. LLC / PBF Finance Corp.(g)  9.25%  05/15/2025   86,902 
               329,912 
Pipelines - 0.17%
 360,000   NGL Energy Operating LLC / NGL Energy Finance Corp.(g)  7.50%  02/01/2026   370,575 
                 
Real Estate - 0.04%
 80,000   Realogy Group LLC / Realogy Co.-Issuer Corp.(g)  5.75%  01/15/2029   79,000 
                 
REITS - 0.07%
 155,000   Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC(g)  6.50%  02/15/2029   153,256 
                 
Retail - 0.18%
 60,000   Park River Holdings, Inc.(g)  5.63%  02/01/2029   58,238 
 300,000   PetSmart, Inc. / PetSmart Finance Corp.(g)  7.75%  02/15/2029   325,110 
               383,348 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
Software - 0.25% 
$510,000   Castle US Holding Corp.(g)  9.50%  02/15/2028  $521,156 
                 
Telecommunications - 0.68%
 545,000   Embarq Corp Eq 7.995 06/01/36  8.00%  06/01/2036   628,636 
 90,000   Frontier Communications Corp.(g)  6.75%  05/01/2029   95,092 
 410,000   Gogo Intermediate Holdings LLC / Gogo Finance Co., Inc.(g)  9.88%  05/01/2024   432,294 
 435,000   Intelsat Jackson Holdings SA(g)(i)  8.50%  10/15/2024   273,778 
               1,429,800 
                 
TOTAL U.S. CORPORATE BONDS
(Cost $11,575,806)             11,858,820 
                 
CONVERTIBLE CORPORATE BONDS - 2.37%(a)
 1,724,093   BlackRock Capital Investment Corp.  5.00%  06/15/2022   1,730,952 
 997,837   BlackRock TCP Capital Corp.  4.63%  03/01/2022   1,026,575 
 500,000   Goldman Sachs BDC, Inc.  4.50%  04/01/2022   516,900 
 1,648,448   New Mountain Finance Corp.  5.75%  08/15/2023   1,726,832 
                 
TOTAL CONVERTIBLE CORPORATE BONDS
(Cost $4,383,695)             5,001,259 
                 
FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND FOREIGN AGENCIES - 0.14%(a)
 300,000   Ukraine Government International Bond(e)  7.25%  03/15/2033   299,237 
                 
TOTAL FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND FOREIGN AGENCIES
(Cost $304,344)             299,237 
                 
BANK LOANS - 6.42%(a)(d)
Cayman Islands - 0.16%
 335,000   Grab Holdings, Inc., First Lien - Initial Term Loan  3M US L + 4.50%, 1.00% Floor  01/29/2026   342,119 
                 
Ireland - 0.19%
 225,000   ION Trading Finance, Ltd., First Lien - Initial Dollar (2021) Term Loan  3M US L + 4.75%  04/01/2028   225,281 
 172,287   ION Trading Technologies SARL, First Lien - 2018 Initial Dollar Retired 04/01/2021 Term Loan  3M US L + 4.00%, 1.00% Floor  11/21/2024   172,602 
               397,883 
Luxembourg - 0.39%
 230,000   Curium BidCo SARL, Second Lien Term Loan  3M US L + 7.75%  10/27/2028   235,175 
 480,675   Travelport Finance SARL, First Lien - Initial (Priority) Term Loan  3M US L + 8.00%, 1.00% Floor  02/28/2025   490,488 
 139,769   Travelport Finance SARL, First Lien - Initial Term Loan  3M US L + 5.00%  05/29/2026   114,152 
               839,815 
Netherlands - 0.16%
 408,607   Bright Bidco B.V., First Lien - 2018 Refinancing B Term Loan  3M US L + 3.50%, 1.00% Floor  06/30/2024   313,606 
 2,433   Lealand Finance Company B.V., First Lien - Make-Whole Term Loan  1M US L + 3.00%  06/28/2024   1,983 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
$31,227   Lealand Finance Company B.V., First Lien - Take-Back Term Loan  1M US L + 4.00%  06/30/2025  $17,695 
               333,284 
United States - 5.52%
 135,000   AAdvantage Loyality IP, Ltd., First Lien - Initial Term Loan  3M US L + 4.75%, 0.75% Floor  04/20/2028   138,481 
 515,776   Air Methods Corp., First Lien - Initial Term Loan  3M US L + 3.50%, 1.00% Floor  04/22/2024   500,464 
 564,931   American Tire Distributors, Inc., First Lien - Initial Term Loan  1M US L + 7.50%, 1.00% Floor  09/02/2024   553,632 
 190,000   American Trailer World Corp., First Lien - Initial Term Loan  1M US L + 3.75%, 0.75% Floor  03/03/2028   189,051 
 645,000   Applied Systems, Inc., Second Lien - 2021 Term Loan  3M US L + 5.50%, 0.75% Floor  09/19/2025   651,451 
 95,000   Asurion LLC, Second Lien - New B-3 Term Loan  1M US L + 5.25%  01/31/2028   96,888 
 65,000   Blackhawk Network Holdings, Inc., Second Lien  1M US L + 7.00%  06/15/2026   64,783 
 247,917   Castle US Holding Corp., First Lien - Initial Dollar Term Loan  3M US L + 3.75%  01/29/2027   245,283 
 319,137   Cengage Learning, Inc., First Lien - 2016 Refinancing Term Loan  3M US L + 4.25%, 1.00% Floor  06/07/2023   316,411 
 249,354   ClubCorp Holdings, Inc., First Lien - B Term Loan  3M US L + 2.75%  09/18/2024   235,055 
 765,000   Constant Contact, Inc., Second Lien - Initial Term Loan  3M US L + 7.50%, 0.75% Floor  02/12/2029   757,349 
 250,000   Convergint Technologies LLC, Second Lien - Initial Term Loan  3M US L + 6.75%, 0.75% Floor  03/30/2029   251,250 
 708,518   Cvent, Inc., First Lien Term Loan  2M US L + 3.75%  11/29/2024   691,396 
 210,735   Cyxtera DC Holdings, Inc., First Lien - Initial Term Loan  3M US L + 3.00%, 1.00% Floor  05/01/2024   202,737 
 295,000   DCert Buyer, Inc., Second Lien - First Amendment Refinancing Term Loan  1M US L + 7.00%  02/19/2029   297,767 
 48,791   Dhanani Group, Inc., First Lien Term Loan  1M US L + 3.75%  07/20/2025   48,333 
 358,498   Envision Healthcare Corp., First Lien - Initial Term Loan  1M US L + 3.75%  10/10/2025   310,475 
 480,000   Envision Healthcare Corp., First Lien - Series 2020 New Term Loan  1M US L + 3.75%, 1.00% Floor  10/10/2025   390,480 
 118,473   Global Medical Response, Inc., First Lien - 2018 New Term Loan  3M US L + 4.25%, 1.00% Floor  03/14/2025   117,924 
 322,318   Gulf Finance LLC, First Lien - Tranche B Term Loan  1M US L + 5.25%, 1.00% Floor  08/25/2023   268,271 
 150,000   Ivanti Software, Inc., First Lien - Initial Term Loan  1M US L + 4.75%, 1.00% Floor  12/01/2027   150,797 
 444,738   Milano Acquisition Corp., First Lien - B Term Loan  3M US L + 4.00%, 0.75% Floor  10/01/2027   443,626 
 368,421   Minotaur Acquisition, Inc., First Lien - B Term Loan  1M US L + 5.00%  03/27/2026   368,576 
 207,345   Misys, Ltd., First Lien - Dollar Term Loan  3M US L + 3.50%, 1.00% Floor  06/13/2024   203,507 
 230,000   Misys, Ltd., Second Lien - Dollar Term Loan  3M US L + 7.25%, 1.00% Floor  06/13/2025   231,754 
 445,000   Mitchell International, Inc., Second Lien - Initial Term Loan  1M US L + 7.25%  12/01/2025   445,278 
 202,868   MLN US HoldCo LLC, First Lien - B Term Loan  1M US L + 4.50%  11/30/2025   179,848 
 40,879   Onedigital Borrower LLC Delayed Tl  L + 4.50%  11/16/2027   40,947 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
$414,121   OneDigital Borrower LLC, First Lien - Initial Term Loan  3M US L + 4.50%, 0.75% Floor  11/16/2027  $414,813 
 438,189   Peak 10 Holding Corp., First Lien - Initial Term Loan  3M US L + 3.50%  08/01/2024   410,528 
 425,000   Riverbed Technology, Inc., First Lien - 2020 Extension Term Loan  3M US L + 6.00%, 1.00% Floor  12/31/2025   409,290 
 90,000   Solenis Holdings LLC, Second Lien - Initial Term Loan  3M US L + 8.50%  06/26/2026   90,345 
 384,000   Team Health Holdings, Inc., First Lien - Initial Term Loan  1M US L + 2.75%, 1.00% Floor  02/06/2024   358,213 
 220,000   TIBCO Software, Inc., Second Lien  1M US L + 7.25%  03/03/2028   222,902 
 390,000   Triton Water Holdings, Inc., First Lien - Initial Term Loan  3M US L + 3.50%, 0.50% Floor  03/31/2028   388,994 
 562,026   Vantage Specialty Chemicals, Inc., First Lien - Closing Date Term Loan  3M US L + 3.50%, 1.00% Floor  10/28/2024   532,053 
 413,949   WaterBridge Midstream Operating LLC, First Lien - Initial Term Loan  3M US L + 5.75%, 1.00% Floor  06/22/2026   393,770 
               11,612,722 
                 
TOTAL BANK LOANS
(Cost $13,216,357)             13,525,823 
                 
COLLATERALIZED LOAN OBLIGATIONS - 4.27%(a)
     Apidos CLO XXI           
 500,000   Series 2018-21A(d)(g)  3M US L + 8.25%  07/18/2027   442,776 
     Apidos CLO XXIV           
 500,000   Series 2018-24A(d)(g)  3M US L + 5.80%  10/20/2030   466,484 
     Apidos CLO XXXII           
 500,000   Series 2020-32A(d)(g)  3M US L + 6.75%  01/20/2033   497,780 
     Apres Static CLO 2, Ltd.           
 500,000   Series 2020-1A(d)(g)  3M US L + 4.85%  04/15/2028   500,557 
     Bain Capital Credit Clo 2019-3, Ltd.           
 500,000   Series 2019-3A(d)(g)  3M US L + 7.15%  10/21/2032   499,706 
     Barings CLO, Ltd.           
 500,000   Series 2018-4A(d)(g)  3M US L + 5.82%  10/15/2030   475,226 
     Canyon Capital CLO, Ltd.           
 500,000   Series 2018-1A(d)(g)  3M US L + 5.75%  07/15/2031   471,684 
     Carlyle Global Market Strategies CLO, Ltd.           
 500,000   Series 2017-3A(d)(g)  3M US L + 5.50%  10/15/2030   452,309 
 500,000   Series 2018-2RA(d)(g)  3M US L + 5.35%  05/15/2031   444,346 
     Chenango Park CLO, Ltd.           
 500,000   Series 2018-1A(d)(g)  3M US L + 5.80%  04/15/2030   476,966 
     Dorchester Park CLO DAC           
 500,000   Series 2018-1A(d)(g)  3M US L + 5.00%  04/20/2028   489,277 
     Fillmore Park CLO, Ltd.           
 500,000   Series 2018-1A(d)(g)  3M US L + 5.40%  07/15/2030   469,651 
     Goldentree Loan Management US Clo 3, Ltd.           
 500,000   Series 2018-3A(d)(g)  3M US L + 2.85%  04/20/2030   495,428 
     Myers Park CLO, Ltd.           
 500,000   Series 2018-1A(d)(g)  3M US L + 5.50%  10/20/2030   471,448 
     Neuberger Berman CLO XXIII, Ltd.           
 500,000   Series 2018-23A(d)(g)  3M US L + 5.75%  10/17/2027   489,945 
     THL Credit Wind River CLO, Ltd.           
 500,000   Series 2018-2A(d)(g)  3M US L + 5.75%  07/15/2030   472,296 
     Voya CLO, Ltd.           
 500,000   Series 2018-2A(d)(g)  3M US L + 5.25%  07/15/2031   461,777 
 500,050   Series 2018-4A(d)(g)  3M US L + 5.95%  07/14/2031   468,570 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
     Webster Park CLO, Ltd.           
$500,000   Series 2018-1A(d)(g)  3M US L + 5.50%  07/20/2030  $466,621 
                 
TOTAL COLLATERALIZED LOAN OBLIGATIONS
(Cost $9,351,069)             9,012,847 
                 
NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS - 30.70%(a)
     AmeriHome GMSR Issuer Trust           
 2,500,000   Series 2019-GT1(g)  4.68%  11/25/2026   2,478,140 
     AREIT Trust           
 538,000   Series 2019-CRE3(d)(g)  1M US L + 2.65%  07/14/2022   532,029 
     Atrium Hotel Portfolio Trust           
 433,000   Series 2018-ATRM(d)(g)  1M US L + 3.40%  06/15/2021   419,889 
     Atrium XIII           
 500,000   Series 2017-13A(d)(g)  3M US L + 6.05%  11/21/2030   485,449 
     Atrium XIV LLC           
 500,000   Series 2018-14A(d)(g)  3M US L + 5.65%  08/23/2030   491,989 
     BAMLL Commercial Mortgage Securities Trust           
 730,000   Series 2019-AHT(d)(g)  2.68%  03/15/2021   723,202 
     Bancorp Commercial Mortgage Trust           
 631,000   Series 2019-CRE5(d)(g)  1M US L + 2.35%  02/15/2022   625,478 
     BBCMS Trust           
 682,000   Series 2018-CBM(d)(g)  1M US L + 3.55%  07/15/2037   664,829 
     BB-UBS Trust           
 500,000   Series 2012-TFT(d)(g)  3.56%  06/05/2030   411,975 
     Benchmark 2018-B4 Mortgage Trust           
 498,000   Series 2018-B4(d)(g)  2.81%  07/15/2028   452,338 
     BF Mortgage Trust           
 315,000   Series 2019-NYT(d)(g)  1M US L + 3.00%  12/15/2035   305,701 
     Blackbird Capital Aircraft Lease Securitization, Ltd.           
 2,256,431   Series 2016-1A(g)(j)  5.68%  12/15/2024   2,227,233 
     BX Commercial Mortgage Trust           
 321,000   Series 2019-IMC(d)(g)  1M US L + 1.90%  04/15/2021   317,586 
     BX Trust           
 325,000   Series 2019-OC11(d)(g)  4.08%  12/09/2029   323,705 
     Carbon Capital VI Commercial Mortgage Trust           
 316,000   Series 2019-FL2(d)(g)  1M US L + 2.85%  11/15/2021   302,162 
     Castlelake Aircraft Securitization Trust           
 381,023   Series 2018-1(g)  6.63%  06/15/2025   298,976 
     Castlelake Aircraft Structured Trust           
 1,250,000   Series 2019-1A(g)(k)  0.00%  04/15/2039   387,500 
     Citigroup Commercial Mortgage Trust           
 196,000   Series 2015-GC27(d)(g)  4.42%  01/10/2025   191,019 
 138,000   Series 2016-GC36(g)  2.85%  01/10/2026   102,451 
 319,000   Series 2018-TBR(d)(g)  1M US L + 3.65%  12/15/2036   304,717 
 375,000   Series 2020-555(d)(g)  3.50%  12/10/2029   288,537 
     Citigroup Commercial Mortgage Trust 2019-SMRT           
 320,000   Series 2019-SMRT(d)(g)  4.75%  01/10/2024   331,154 
     CLNC 2019-FL1, Ltd.           
 326,000   Series 2019-FL1(d)(g)  1M US L + 1.55%  12/19/2025   323,889 
     COMM Mortgage Trust           
 878,000   Series 2018-HCLV(d)(g)  1M US L + 2.18%  09/15/2033   863,264 
     Commercial Mortgage Pass-Through Certificates           
 286,000   Series 2015-CR25(d)  4.53%  08/10/2025   302,390 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
     CSAIL 2016-C6 Commercial Mortgage Trust           
$428,000   Series 2016-C6(d)(g)  4.95%  05/15/2026  $374,361 
     DBGS 2018-BIOD Mortgage Trust           
 269,160   Series 2018-BIOD(d)(g)  1M US L + 2.00%  05/15/2035   268,975 
     DBJPM 16-C1 Mortgage Trust           
 416,000   Series 2016-C1(d)  3.35%  03/10/2026   399,932 
     Dryden 37 Senior Loan Fund           
 500,000   Series 2017-37A(d)(g)  3M US L + 5.15%  01/15/2031   473,250 
     Dryden 38 Senior Loan Fund           
 500,000   Series 2018-38A(d)(g)  3M US L + 5.60%  07/15/2030   469,310 
     Dryden 40 Senior Loan Fund           
 500,000   Series 2018-40A(d)(g)  3M US L + 5.75%  08/15/2031   474,850 
     Fannie Mae-Aces           
 5,494,839   Series 2019-M24(d)(l)  1.15%  03/25/2031   511,116 
 18,958,726   Series 2020-M10(d)(l)  0.87%  07/25/2032   1,424,013 
 5,441,215   Series 2020-M13(d)(l)  1.30%  09/25/2030   475,180 
 9,243,338   Series 2020-M51(d)(l)  0.53%  12/25/2030   306,089 
     FirstKey Homes 2020-SFR1 Trust           
 700,000   Series 2020-SFR1(g)  4.28%  09/17/2025   732,715 
     Fontainebleau Miami Beach Trust           
 546,000   Series 2019-FBLU(d)(g)  3.96%  12/10/2024   523,835 
     Freddie Mac Multifamily Structured Credit Risk           
 750,000   Series 2021-MN1(d)(g)  30D US SOFR + 3.75%  01/25/2051   785,951 
     FREMF 2015-KF07 Mortgage Trust           
 268,784   Series 2015-KF07(d)(g)  1M US L + 4.95%  02/25/2025   270,564 
     FREMF 2016-KF19 Mortgage Trust           
 299,980   Series 2016-KF19(d)(g)  1M US L + 5.50%  06/25/2023   301,089 
     FREMF 2016-KF25 Mortgage Trust           
 266,080   Series 2016-KF25(d)(g)  1M US L + 5.00%  10/25/2023   266,999 
     FREMF Mortgage Trust           
 394,367   Series 2016-KF22(d)(g)  1M US L + 5.05%  07/25/2023   400,218 
     Ginnie Mae Strip           
 6,179,035   Series 2020-3(l)  1.40%  09/16/2045   571,962 
     Government National Mortgage Association           
 10,351,167   Series 2013-155(d)(l)  0.01%  09/16/2053   70,252 
 9,332,418   Series 2016-162(d)(l)  0.85%  09/16/2058   529,899 
 6,278,559   Series 2020-168(d)(l)  0.99%  12/16/2062   544,645 
 6,263,953   Series 2021-10(d)(l)  1.00%  05/16/2063   560,990 
     GPMT, Ltd.           
 999,000   Series 2018-FL1(d)(g)  1M US L + 2.95%  04/19/2021   994,762 
     Great Wolf Trust           
 1,100,000   Series 2019-WOLF(d)(g)  1M US L + 3.13%  12/15/2024   1,055,047 
     GS Mortgage Securities Corp. Trust 2018-RIVR           
 300,000   Series 2018-RIVR(d)(g)  1M US L + 1.55%  07/15/2035   282,253 
     GS Mortgage Securities Trust           
 1,577,000   Series 2014-GC26(d)(g)  4.51%  11/10/2047   1,097,024 
 655,000   Series 2018-TWR(d)(g)  1M US L + 3.92%  07/15/2021   572,246 
     Hawaii Hotel Trust           
 230,000   Series 2019-MAUI(d)(g)  1M US L + 2.75%  05/15/2021   228,076 
     Highbridge Loan Management 4-2014, Ltd.           
 500,000   Series 2018-2014(d)(g)  3M US L + 5.55%  01/28/2030   468,563 
     Highbridge Loan Management, Ltd.           
 500,000   Series 2018-2015(d)(g)  3M US L + 5.10%  02/05/2031   457,168 
     HPLY Trust           
 187,113   Series 2019-HIT(d)(g)  1M US L + 3.90%  11/15/2021   170,482 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
     J.P. Morgan Chase Commercial Mortgage Securities Trust           
$500,000   Series 2016-WIKI(d)(g)  4.01%  10/05/2021  $484,579 
     JP Morgan BB Commercial Mortgage Securities Trust           
 1,062,000   Series 2014-C23(d)(g)  3.36%  10/15/2024   807,604 
 632,000   Series 2015-C27(d)(g)  3.85%  02/15/2025   566,839 
 290,000   Series 2015-C28  3.99%  03/15/2025   300,792 
     JP Morgan Chase Commercial Mortgage Securities Trust           
 82,038   Series 2006-LDP9  5.34%  05/15/2047   66,451 
 411,000   Series 2011-C3(d)(g)  5.79%  02/15/2046   126,920 
 320,000   Series 2019-MFP(d)(g)  1M US L + 3.00%  07/15/2021   315,151 
 109,000   Series 2019-UES(g)  4.34%  05/05/2024   110,761 
 525,000   Series 2019-UES(d)(g)  4.45%  05/05/2024   506,888 
     JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5           
 200,000   Series 2011-C5(d)(g)  5.43%  09/15/2021   200,753 
     JPMBB Commercial Mortgage Securities Trust           
 7,395,837   Series 2013-C14(d)(g)(l)  1.10%  08/15/2023   182,322 
     LCM Loan Income Fund I Income Note Issuer, Ltd.           
 500,000   Series 2018-27A(d)(g)  3M US L + 5.60%  07/16/2031   457,350 
     LCM XIV LP           
 500,000   Series 2018-14A(d)(g)  3M US L + 5.50%  07/20/2031   445,104 
     LCM XVII LP           
 500,000   Series 2018-17A(d)(g)  3M US L + 6.00%  10/15/2031   456,739 
     Legacy Mortgage Asset Trust           
 6,200,000   Series 2019-GS3(g)(j)  4.25%  04/25/2059   6,175,733 
     Mello Warehouse Securitization Trust           
 3,250,000   Series 2019-1(d)(g)  1M US L + 5.50%  05/14/2021   3,253,529 
     MFT Trust 2020-ABC           
 365,000   Series 2020-ABC(d)(g)  3.48%  02/10/2030   321,541 
     Morgan Stanley Capital Barclays Bank Trust 2016-MART           
 302,000   Series 2016-MART(g)  3.31%  09/13/2021   298,813 
     Morgan Stanley Capital I Trust           
 363,000   Series 2007-IQ15(d)(g)  6.16%  06/11/2049   346,618 
 210,000   Series 2017-ASHF(d)(g)  1M US L + 4.35%  11/15/2034   195,928 
 350,000   Series 2018-SUN(d)(g)  1M US L + 3.05%  07/15/2035   341,626 
     Mosaic Solar Loan Trust           
 2,900,000   Series 2020-1A(g)(k)  0.00%  04/20/2046   1,228,194 
     Motel 6 Trust 2017-MTL6           
 297,708   Series 2017-MTL6(d)(g)  1M US L + 4.25%  08/15/2034   299,415 
     New Century Home Equity Loan Trust           
 1,802,883   Series 2006-1(d)  1M US L + 0.18%  05/25/2036   1,753,188 
     Octagon Investment Partners 26, Ltd.           
 500,000   Series 2018-1A(d)(g)  3M US L + 8.09%  07/15/2030   449,449 
     Octagon Investment Partners 29, Ltd.           
 500,000   Series 2020-1A(d)(g)  3M US L + 7.25%  01/24/2033   503,371 
     Octagon Investment Partners 45, Ltd.           
 500,000   Series 2019-1A(d)(g)  3M US L + 7.69%  10/15/2032   503,719 
     Octagon Investment Partners XVI, Ltd.           
 500,000   Series 2018-1A(d)(g)  3M US L + 5.75%  07/17/2030   474,838 
     Octagon Investment Partners XXI, Ltd.           
 500,000   Series 2019-1A(d)(g)  3M US L + 7.00%  02/14/2031   501,212 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
     Octagon Investment Partners XXII, Ltd.           
$500,000   Series 2018-1A(d)(g)  3M US L + 1.90%  01/22/2030  $498,750 
     One Market Plaza Trust           
 319,000   Series 2017-1MKT(g)  4.14%  02/10/2024   324,239 
     PR Mortgage Loan Trust           
 2,033,793   Series 2014-1(d)(g)  5.91%  09/25/2047   2,018,645 
     PRPM LLC           
 4,000,000   Series 2020-1A(g)(j)  3.97%  02/25/2023   3,989,511 
     RMAT LLC           
 428,384   Series 2015-PR2(g)(j)  9.85%  11/25/2035   428,575 
     Sofi Professional Loan Program 2018-C Trust           
 50,000   Series 2018-C(g)(k)  0.00%  01/25/2048   1,409,171 
     SoFi Professional Loan Program Trust           
 20,000   Series 2020-A(g)(k)  0.00%  05/15/2046   1,218,575 
     SoFi Professional Loan Program, LLC           
 28,017   Series 2019-B(g)(k)  0.00%  08/17/2048   664,388 
     Trimaran CAVU, Ltd.           
 500,000   Series 2019-2A(d)(g)  3M US L + 4.72%  11/26/2032   503,178 
     UBS-Barclays Commercial Mortgage Trust           
 333,000   Series 2013-C5(d)(g)  4.08%  02/10/2023   277,638 
     UBS-Barclays Commercial Mortgage Trust 2013-C5           
 300,000   Series 2013-C5(d)(g)  4.08%  02/10/2023   294,546 
     VMC Finance LLC           
 440,481   Series 2019-FL3(d)(g)  1M US L + 2.65%  09/15/2036   438,282 
     WAVE LLC           
 499,677   Series 2019-1(g)  6.41%  09/15/2027   417,606 
     Wells Fargo Commercial Mortgage Trust           
 332,000   Series 2016-C33(g)  3.12%  03/15/2059   313,495 
                 
TOTAL NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $67,002,465)             64,689,444 
                 
U.S. GOVERNMENT BONDS AND NOTES - 9.16%(a)
 23,150,000   U.S. Treasury Bonds  1.63%  11/15/2050   19,297,695 
                 
TOTAL U.S. GOVERNMENT BONDS AND NOTES
(Cost $21,993,647)             19,297,695 
                 
U.S. GOVERNMENT / AGENCY MORTGAGE BACKED SECURITIES - 44.10%(a)
     Alternative Loan Trust           
 659,543   Series 2005-48T1  5.50%  11/25/2035   518,035 
 401,018   Series 2005-63(d)  3.30%  12/25/2035   390,182 
 2,580,519   Series 2005-64CB  5.50%  12/25/2035   2,245,103 
 1,121,356   Series 2006-26CB  6.50%  09/25/2036   811,610 
 2,538,019   Series 2007-14T2  6.00%  07/25/2037   1,760,829 
 2,190,945   Series 2007-16CB  6.25%  08/25/2037   1,676,896 
 2,317,277   Series 2007-2CB  5.75%  03/25/2037   1,847,842 
     Banc of America Funding Trust           
 1,854,759   Series 2006-D(d)  3.31%  05/20/2036   1,667,311 
     Banc of America Mortgage Trust           
 1,393,601   Series 2007-3  6.00%  09/25/2037   1,392,032 
     Bear Stearns ALT-A Trust           
 1,555,143   Series 2005-10(d)  2.99%  01/25/2036   1,514,852 
     Bear Stearns ARM Trust           
 990,190   Series 2006-2(d)  3.22%  07/25/2036   956,308 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
     Chase Mortgage Finance Trust Series           
$2,973,376   Series 2007-S4(d)  1M US L + 0.60%  06/25/2037  $1,034,702 
     ChaseFlex Trust Series 2007-1           
 2,552,702   Series 2007-1  6.50%  02/25/2037   1,386,732 
     CHL GMSR Issuer Trust           
 3,930,000   Series 2018-GT1(d)(g)  1M US L + 2.75%  05/25/2023   3,916,347 
     CHL Mortgage Pass-Through Trust           
 1,834,738   Series 2005-HYB1(d)  1M US L + 0.60%  03/25/2035   1,814,206 
 1,985,220   Series 2007-9  5.75%  07/25/2037   1,546,503 
 1,873,535   Series 2007-HYB1(d)  2.84%  03/25/2037   1,772,811 
     Citigroup Mortgage Loan Trust           
 686,360   Series 2007-AR5(d)  2.92%  04/25/2037   665,394 
     Citigroup Mortgage Loan Trust, Inc.           
 1,439,985   Series 2005-5(d)  2.80%  10/25/2035   1,015,074 
     CSFB Mortgage-Backed Pass-Through Certificates           
 856,372   Series 2005-9  5.50%  10/25/2035   623,081 
     CSMC Mortgage-Backed Trust           
 1,893,722   Series 2006-7  6.75%  08/25/2036   1,567,937 
 1,749,382   Series 2007-1  6.00%  02/25/2037   1,546,036 
     Fannie Mae REMICS           
 2,812,946   Series 2011-101(d)(l)  5.90% - 1M US L  10/25/2041   525,449 
 2,428,190   Series 2011-124(d)(l)  6.50% - 1M US L  12/25/2041   482,832 
 2,873,131   Series 2012-20(d)(l)  6.45% - 1M US L  03/25/2042   493,040 
 4,043,598   Series 2013-109(k)  0.00%  07/25/2043   3,667,711 
 815,293   Series 2016-26(d)  7.62% - 1M US L  11/25/2042   813,288 
     Federal Home Loan Mortgage Corp. REMICS           
 1,480,753   Series 2013-4170(d)  4.05% - 1M US L  01/15/2033   1,518,633 
     First Horizon Alternative Mortgage Securities Trust           
 446,089   Series 2005-AA8(d)  2.83%  10/25/2035   427,612 
     Freddie Mac REMICS           
 4,517,372   Series 2010-3770  4.00%  12/15/2040   5,037,498 
 4,828,406   Series 2011-3966(d)(l)  5.90% - 1M US L  12/15/2041   737,265 
 4,680,268   Series 2020-5007(d)(l)  6.10% - 1M US L  08/25/2050   1,094,450 
 15,109,268   Series 2020-5041(l)  2.00%  11/25/2050   1,319,834 
     Government National Mortgage Association           
 4,820,330   Series 2017-17  3.50%  02/20/2047   5,108,690 
 4,869,987   Series 2020-142(d)(l)  6.30% - 1M US L  09/20/2050   1,151,136 
 4,927,096   Series 2020-146(d)(l)  6.30% - 1M US L  10/20/2050   1,181,542 
 10,792,705   Series 2020-167(d)(l)  3.75% - 1M US L  11/20/2050   1,191,116 
 5,777,326   Series 2020-47(d)(l)  6.00% - 1M US L  05/20/2044   1,036,720 
 12,640,122   Series 2020-47(d)(l)  5.37% - 1M US L  07/20/2044   2,286,972 
 4,980,037   Series 2021-1(d)(l)  6.30% - 1M US L  01/20/2051   1,202,661 
     Homeward Opportunities Fund Trust 2020-BPL1           
 1,000,000   Series 2020-BPL1(g)(j)  5.44%  08/25/2025   1,008,892 
     IndyMac INDX Mortgage Loan Trust           
 2,264,447   Series 2007-FLX6(d)  1M US L + 0.25%  09/25/2037   2,272,457 
     Legacy Mortgage Asset Trust           
 5,900,000   Series 2019-GS7(g)(j)  4.50%  11/25/2059   5,911,789 
     Luminent Mortgage Trust           
 1,715,315   Series 2006-3(d)  1M US L + 0.40%  05/25/2036   1,598,130 
 1,423,613   Series 2006-3(d)  1M US L + 0.42%  05/25/2036   1,362,486 
     Mello Warehouse Securitization Trust           
 400,000   Series 2019-2(d)(g)  1M US L + 3.25%  10/25/2021   400,484 
     Nomura Asset Acceptance Corp. Alternative Loan Trust           
 1,921,991   Series 2005-AP3(j)  5.69%  08/25/2035   1,263,330 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
$8,153,598   Series 2006-AR1(d)  1M US L + 0.54%  02/25/2036  $1,968,406 
     RALI Series Trust           
 1,709,024   Series 2007-QA5(d)  5.34%  09/25/2037   1,692,985 
     Residential Asset Securitization Trust           
 2,347,309   Series 2005-A15  5.75%  02/25/2036   1,527,009 
 2,182,530   Series 2007-A5  6.00%  05/25/2037   1,797,283 
     RFMSI Trust           
 1,009,883   Series 2005-SA2(d)  3.16%  06/25/2035   831,450 
 2,009,905   Series 2006-S8  6.00%  09/25/2036   1,876,061 
     Spruce Hill Mortgage Loan Trust 2020-SH1           
 1,936,000   Series 2020-SH1(d)(g)  4.68%  01/28/2050   1,958,765 
     Structured Adjustable Rate Mortgage Loan Trust           
 682,290   Series 2005-22(d)  3.14%  12/25/2035   661,681 
 1,760,536   Series 2007-8(d)  3.56%  09/25/2037   1,724,407 
     Structured Asset Mortgage Investments II Trust           
 330,032   Series 2005-AR7(d)  2.55%  03/25/2046   334,271 
     WaMu Mortgage Pass-Through Certificates Trust           
 1,313,010   Series 2006-AR10(d)  3.22%  08/25/2046   1,273,244 
 1,153,179   Series 2006-AR6(d)  3.16%  08/25/2036   1,098,303 
 1,430,459   Series 2007-HY3(d)  3.26%  03/25/2037   1,413,164 
                 
TOTAL U.S. GOVERNMENT / AGENCY MORTGAGE BACKED SECURITIES
(Cost $97,082,603)             92,920,869 

 

Shares/Description  Value 
SHORT-TERM INVESTMENTS - 6.73%(a) 
Money Market Fund - 6.73%    
 14,174,806   State Street Institutional Trust (7 Day Yield 0.01%)(m)   14,174,806 
           
TOTAL SHORT-TERM INVESTMENTS     
(Cost $14,174,806)       14,174,806 
           
TOTAL INVESTMENTS - 138.72%     
(Cost $297,641,012)  $292,324,939 
LIABILITIES IN EXCESS OF OTHER ASSETS - (38.72)%   (81,592,523)
NET ASSETS - 100.00%  $210,732,416 

 

Investment Abbreviations:

LIBOR - London Interbank Offered Rate

 

Reference Rates:

1M US L - 1 Month LIBOR as of March 31, 2021 was 0.11%

2M US L - 2 Month LIBOR as of March 31, 2021 was 0.13%

3M US L - 3 Month LIBOR as of March 31, 2021 was 0.19%

30D US SOFR - 30 Day SOFR as of March 31, 2021 was 0.01%

5Y US TI - 5 Year US Treasury Index as of March 31, 2021 was 0.92%

 

(a) All or a portion of the security has been pledged as collateral in connection with an open credit agreement. At March 31, 2021, the value of securities pledged amounted to $292,324,939, which represents approximately 138.72% 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 March 31, 2021. 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 March 31, 2021, the aggregate fair value of those securities was $6,682,174, representing 3.17% of net assets.
(f) Security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.
(g) 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 $89,879,210, which represents approximately 42.65% of net assets as of March 31, 2021.
(h) Pay-in-kind securities. Rate paid in-kind is shown in parenthesis.
(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 March 31, 2021.
(k) Issued with a zero coupon. Income is recognized through the accretion of discount.
(l) Interest only securities.
(m) Seven-day yield as of March 31, 2021.

 

See Notes to Schedule of Investments

 

 

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.  
Notes to Quarterly Schedule of Investments March 31, 2021 (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 March 31, 2021.

 

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 March 31, 2021 (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 March 31, 2021 (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 March 31, 2021 (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 March 31, 2021 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  $28,843,913   $   $   $28,843,913 
Business Development Companies   2,764,088            2,764,088 
Common Stocks   10,910            10,910 
Preferred Stocks   992,753            992,753 
Business Development Company Notes   13,419,071        2,080,000    15,499,071 
Foreign Corporate Bonds       13,433,404        13,433,404 
U.S. Corporate Bonds       11,858,820        11,858,820 
Convertible Corporate Bonds       5,001,259        5,001,259 
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies       299,237        299,237 
Bank Loans       13,525,823        13,525,823 
Collateralized Loan Obligations       9,012,847        9,012,847 
Non-Agency Collateralized Mortgage Obligations       64,689,444        64,689,444 
U.S. Government Bonds and Notes       19,297,695        19,297,695 
U.S. Government / Agency Mortgage Backed Securities       92,920,869        92,920,869 
Short-Term Investments   14,174,806            14,174,806 
Total  $60,205,541   $230,039,398   $2,080,000   $292,324,939 

 

* 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 March 31, 2021 (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 March 31, 2021   Net change in unrealized
appreciation/ (depreciation) attributable to Level 3 investments held at March 31, 2021
 
Business Development Company Notes  $1,991,000   $4,414   $-   $84,586   $-   $-   $-   $-   $2,080,000   $84,586 
   $1,991,000   $4,414   $-   $84,586   $-   $-   $-   $-   $2,080,000   $84,586 

 

The table below provides additional information about the Level 3 Fair Value Measurements as of March 31, 2021:

 

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  $2,080,000   Vendor Price  Broker Quote  N/A

 

(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
Broker Quote Increase Decrease