| RIVERNORTH/DOUBLELINE STRATEGIC OPPORTUNITY FUND, INC. |
SCHEDULE OF INVESTMENTS |
| September 30, 2021 (Unaudited) |
| Shares/Description | Value | |||||||
| CLOSED-END FUNDS (12.23%)(a) | ||||||||
| 141,265 | Barings Global Short Duration High Yield Fund | $ | 2,415,632 | |||||
| 237,967 | BlackRock 2022 Global Income Opportunity Trust | 1,242,188 | ||||||
| 84,748 | Blackstone Strategic Credit Fund | 1,173,760 | ||||||
| 86,404 | BrandywineGLOBAL - Global Income Opportunities Fund, Inc. | 1,081,778 | ||||||
| 45,537 | GDL Fund | 408,922 | ||||||
| 400,210 | Invesco Dynamic Credit Opportunities Fund | 4,682,456 | ||||||
| 819,251 | Invesco Senior Income Trust | 3,645,666 | ||||||
| 40,453 | Ivy High Income Opportunities Fund | 552,993 | ||||||
| 378,236 | Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | 2,212,681 | ||||||
| 377,061 | Nuveen Credit Strategies Income Fund | 2,473,520 | ||||||
| 161,422 | Nuveen Floating Rate Income Opportunity Fund | 1,610,992 | ||||||
| 86,022 | Nuveen High Income November 2021 Target Term Fund | 806,886 | ||||||
| 53,274 | Nuveen Mortgage Opportunity Term Fund | 1,105,436 | ||||||
| 154,667 | PGIM Global High Yield Fund, Inc. | 2,381,872 | ||||||
| 32,345 | PGIM Short Duration High Yield Opportunities Fund | 607,116 | ||||||
| 57,215 | PIMCO Dynamic Credit Income Fund | 1,208,953 | ||||||
| 42,982 | Special Opportunities Fund, Inc. | 660,633 | ||||||
| 210,909 | Western Asset High Income Opportunity Fund, Inc. | 1,094,618 | ||||||
| TOTAL CLOSED-END FUNDS | ||||||||
| (Cost $28,472,758) | 29,366,102 | |||||||
| BUSINESS DEVELOPMENT COMPANIES (2.31%)(a) | ||||||||
| 216,824 | Barings BDC, Inc. | 2,389,401 | ||||||
| 197,667 | First Eagle Alternative Capital BDC, Inc. | 871,711 | ||||||
| 325,552 | Oaktree Specialty Lending Corp. | 2,298,397 | ||||||
| TOTAL BUSINESS DEVELOPMENT COMPANIES | ||||||||
| (Cost $4,678,084) | 5,559,509 | |||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||||
| BANK LOANS (6.54%)(a) | ||||||||||||||
| $ | 135,000 | AAdvantage Loyality IP, Ltd., First Lien - Initial Term Loan(b) | 3M US L + 3.00% | 04/20/28 | 139,753 | |||||||||
| 105,000 | Aegion Corp., First Lien - Initial Term Loan(b) | 3M US L + 4.75% | 05/17/28 | 105,919 | ||||||||||
| 180,000 | Air Canada, First Lien - B Term Loan(b) | L + 3.50% | 08/11/28 | 180,975 | ||||||||||
| 513,096 | Air Methods Corp., First Lien - Initial Term Loan(b) | 3M US L + 3.50% | 04/22/24 | 509,728 | ||||||||||
| 562,054 | American Tire Distributors, Inc., First Lien - Initial Term Loan(b) | 1M US L + 7.50% | 09/02/24 | 562,715 | ||||||||||
| 645,000 | Applied Systems, Inc., Second Lien - 2021 Term Loan(b) | 3M US L + 5.50% | 09/19/25 | 655,711 | ||||||||||
| 95,000 | Asurion LLC, Second Lien - New B-3 Term Loan(b) | 1M US L + 5.25% | 01/31/28 | 94,842 | ||||||||||
| 523,688 | Atlas Purchaser, Inc., First Lien - Initial Term Loan(b) | 3M US L + 3.00% | 05/08/28 | 518,013 | ||||||||||
| 65,000 | Blackhawk Network Holdings, Inc., Second Lien (b) | 1M US L + 7.00% | 06/15/26 | 64,783 | ||||||||||
| 405,768 | Bright Bidco B.V., First Lien - 2018 Refinancing B Term Loan(b) | 6M US L + 3.50% | 06/30/24 | 324,361 | ||||||||||
| 250,000 | Cengage Learning, Inc., First Lien - B Term Loan(b) | 3M US L + 5.00% | 06/29/26 | 251,946 | ||||||||||
| 78,943 | ClubCorp Holdings, Inc., First Lien - B Term Loan(b) | 3M US L + 2.75% | 09/18/24 | 74,382 | ||||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||||
| $ | 765,000 | Constant Contact, Inc., Second Lien - Initial Term Loan(b) | 3M US L + 7.50% | 02/12/29 | $ | 757,349 | ||||||||
| 230,000 | Curium BidCo SARL, Second Lien Term Loan(b) | 3M US L + 7.75% | 10/27/28 | 233,882 | ||||||||||
| 706,692 | Cvent, Inc., First Lien Term Loan(b) | 3M US L + 3.75% | 11/29/24 | 704,871 | ||||||||||
| 210,188 | Cyxtera DC Holdings, Inc., First Lien - Initial Term Loan(b) | 3M US L + 3.00% | 05/01/24 | 208,987 | ||||||||||
| 295,000 | DCert Buyer, Inc., Second Lien - First Amendment Refinancing Term Loan(b) | 1M US L + 7.00% | 02/19/29 | 298,410 | ||||||||||
| 250,000 | DG Investment Intermediate Holdings 2, Inc., Second Lien - Initial Term Loan(b) | 1M US L + 6.75% | 03/30/29 | 251,875 | ||||||||||
| 480,000 | DIRECTV Financing LLC, First Lien - Closing Date Term Loan(b) | 3M US L + 5.00% | 08/02/27 | 480,850 | ||||||||||
| 586,664 | Envision Healthcare Corp., First Lien - Initial Term Loan(b) | 1M US L + 3.75% | 10/10/25 | 523,832 | ||||||||||
| 480,000 | Envision Healthcare Corp., First Lien - Series 2020 New Term Loan(b) | 1M US L + 3.75% | 10/10/25 | 408,398 | ||||||||||
| 605,477 | Flexistential, First Lien - Initial Term Loan(b) | 1M US L + 3.50% | 08/01/24 | 564,986 | ||||||||||
| 443,623 | Gainwell Acquisition Corp., First Lien - B Term Loan(b) | 3M US L + 4.00% | 10/01/27 | 445,286 | ||||||||||
| 117,557 | Global Medical Response, Inc., First Lien - 2018 New Term Loan(b) | 3M US L + 4.25% | 03/14/25 | 118,160 | ||||||||||
| 130,000 | Gogo Intermediate Holdings LLC, First Lien - Initial Term Loan(b) | 3M US L + 3.75% | 04/30/28 | 130,339 | ||||||||||
| 333,309 | Grab Holdings, Inc., First Lien - Initial Term Loan(b) | 6M US L + 4.50% | 01/29/26 | 337,752 | ||||||||||
| 321,495 | Gulf Finance LLC, First Lien - Tranche B Term Loan(b) | 1M US L + 5.25% | 08/25/23 | 309,941 | ||||||||||
| 225,000 | ION Trading Finance, Ltd., First Lien - Initial Dollar (2021) Term Loan(b) | 3M US L + 4.75% | 04/01/28 | 225,732 | ||||||||||
| 149,625 | Ivanti Software, Inc., First Lien - Initial Term Loan(b) | 1M US L + 3.00% | 12/01/27 | 150,315 | ||||||||||
| 135,000 | Kenan Advantage Group, Inc, Second Lien - Initial Term Loan(b) | 1M US L + 7.25% | 08/18/27 | 134,156 | ||||||||||
| 2,433 | Lealand Finance Company B.V., First Lien - Make-Whole Term Loan(b) | 3M US L + 3.00% | 06/28/24 | 1,460 | ||||||||||
| 31,636 | Lealand Finance Company B.V., First Lien - Take-Back Term Loan(b) | 3M US L + 4.00% | 06/30/25 | 14,521 | ||||||||||
| 367,481 | Minotaur Acquisition, Inc., First Lien - B Term Loan(b) | 3M US L + 4.75% | 03/27/26 | 366,134 | ||||||||||
| 206,211 | Misys, Ltd., First Lien - Dollar Term Loan(b) | 3M US L + 3.50% | 06/13/24 | 204,843 | ||||||||||
| 230,000 | Misys, Ltd., Second Lien - Dollar Term Loan(b) | 3M US L + 7.25% | 06/13/25 | 231,830 | ||||||||||
| 445,000 | Mitchell International, Inc., Second Lien - Initial Term Loan(b) | 1M US L + 7.25% | 12/01/25 | 445,716 | ||||||||||
| 201,828 | MLN US HoldCo LLC, First Lien - B Term Loan(b) | 1M US L + 4.50% | 11/30/25 | 184,114 | ||||||||||
| 438,700 | OneDigital Borrower LLC, First Lien - Initial Term Loan(b) | 3M US L + 4.50% | 11/16/27 | 441,078 | ||||||||||
| 14,219 | OneDigital Borrower LLC, First Lien - Delayed Draw Term Loan(b) | 3M US L + 5.25% | 11/16/27 | 14,296 | ||||||||||
| 422,875 | Riverbed Technology, Inc., First Lien - 2020 Extension Term Loan(b) | 3M US L + 6.00% | 12/31/25 | 380,588 | ||||||||||
| 90,000 | Solenis Holdings LLC, Second Lien - Initial Term Loan(b) | 1M US L + 8.50% | 06/26/26 | 90,169 | ||||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||||
| $ | 210,000 | Sweetwater Borrower, LLC, First Lien - Initial Term Loan(b) | 3M US L + 4.75% | 08/03/28 | $ | 209,869 | ||||||||
| 383,000 | Team Health Holdings, Inc., First Lien - Initial Term Loan(b) | 1M US L + 2.75% | 02/06/24 | 374,383 | ||||||||||
| 220,000 | TIBCO Software, Inc., Second Lien (b) | 1M US L + 7.25% | 03/03/28 | 222,805 | ||||||||||
| 602,505 | Travel Leaders Group LLC, First Lien - 2018 Refinancing Term Loan(b) | 1M US L + 4.00% | 01/25/24 | 565,601 | ||||||||||
| 727,187 | Travelport Finance Luxembourg SARL 1L, 2021, First Lien - Initial (Priority) Term Loan(b) | 3M US L + 8.75% | 02/28/25 | 756,145 | ||||||||||
| 139,325 | Travelport Finance S.a r.l., First Lien - 2021 Consented Term Loan(b) | 3M US L + 6.75% | 05/29/26 | 120,342 | ||||||||||
| 560,574 | Vantage Specialty Chemicals, Inc., First Lien - Closing Date Term Loan(b) | 3M US L + 3.50% | 10/28/24 | 551,055 | ||||||||||
| 235,000 | Viad Corp, First Lien - Initial Term Loan(b) | 3M US L + 5.00% | 07/30/28 | 235,000 | ||||||||||
| 537,899 | WaterBridge Midstream Operating LLC, First Lien - Initial Term Loan(b) | 3M US L + 5.75% | 06/22/26 | 525,411 | ||||||||||
| TOTAL BANK LOANS | ||||||||||||||
| (Cost $15,315,183) | 15,703,609 | |||||||||||||
| Shares/Principal Amount/Description | Rate | Maturity | Value | |||||||||||||
| BUSINESS DEVELOPMENT COMPANY NOTES (5.87%)(a) | ||||||||||||||||
| Financial (5.87%) | ||||||||||||||||
| $ | 2,000,000 | Bain Capital Specialty Finance, Inc. | 8.50% | 06/10/23 | 2,078,748 | |||||||||||
| 66,132 | First Eagle Alternative Capital BDC, Inc. | 5.00% | 05/25/26 | 1,669,833 | ||||||||||||
| 48,198 | First Eagle Alternative Capital BDC, Inc. | 6.13% | 10/30/23 | 1,211,698 | ||||||||||||
| 235,511 | Oxford Square Capital Corp. | 6.50% | 03/30/24 | 5,946,653 | ||||||||||||
| $ | 3,150,000 | PennantPark Floating Rate Capital, Ltd. | 4.25% | 04/01/26 | 3,181,855 | |||||||||||
| 14,088,787 | ||||||||||||||||
| TOTAL BUSINESS DEVELOPMENT COMPANY NOTES | ||||||||||||||||
| (Cost $13,805,748) | 14,088,787 | |||||||||||||||
| Shares/Description | Value | |||||||
| COMMON STOCKS (4.49%)(a) | ||||||||
| 75,000 | Apollo Strategic Growth Capital(c) | 732,000 | ||||||
| 50,000 | Ares Acquisition Corp.(c) | 487,000 | ||||||
| 107,500 | Austerlitz Acquisition Corp. II(c) | 1,048,124 | ||||||
| 52,488 | CC Neuberger Principal Holdings II, Class A(c) | 515,432 | ||||||
| 50,000 | CC Neuberger Principal Holdings III(c) | 488,500 | ||||||
| 50,000 | Churchill Capital Corp. VII(c) | 486,000 | ||||||
| 50,000 | Compute Health Acquisition Corp.(c) | 488,500 | ||||||
| 50,000 | Conx Corp., Class A(c) | 490,000 | ||||||
| 38,369 | Direct Selling Acquisition Corp.(c) | 386,760 | ||||||
| 50,000 | FTAC Hera Acquisition Corp.(c) | 487,000 | ||||||
| 46,043 | GigCapital5, Inc.(c) | 473,322 | ||||||
| 75,000 | Jaws Mustang Acquisition Corp.(c) | 732,000 | ||||||
| 75,000 | KKR Acquisition Holdings I Corp.(c) | 731,250 | ||||||
| 50,000 | Landcadia Holdings IV, Inc.(c) | 487,000 | ||||||
| 50,000 | Lazard Growth Acquisition Corp. I(c) | 486,500 | ||||||
| 13,637 | McDermott International, Ltd.(c) | 5,455 | ||||||
| 38,618 | Pershing Square Tontine Holdings, Ltd.(c) | 760,775 | ||||||
| 75,000 | Social Capital Hedosophia Holdings Corp. VI(c) | 761,250 | ||||||
| Shares/Description | Value | |||||
| 75,000 | SVF Investment Corp.(c) | $ | 732,000 | |||
| TOTAL COMMON STOCKS | ||||||
| (Cost $10,809,481) | 10,778,868 | |||||
| PREFERRED STOCKS (0.44%)(a) | ||||||
| 39,726 | XAI Octagon Floating Rate Alternative Income Term Trust, Series 2026, 6.50%, 03/31/2026 | 1,048,568 | ||||
| TOTAL PREFERRED STOCKS | ||||||
| (Cost $992,700) | 1,048,568 | |||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||||
| COLLATERALIZED LOAN OBLIGATIONS (5.31%)(a) | ||||||||||||||
| $ | 500,000 | Apidos CLO XXI(b)(d) | 3M US L + 8.25% | 07/18/27 | 496,577 | |||||||||
| 500,000 | Apidos CLO XXIV(b)(d) | 3M US L + 5.80% | 10/20/30 | 476,299 | ||||||||||
| 500,000 | Apidos CLO XXXII(b)(d) | 3M US L + 6.75% | 01/20/33 | 503,823 | ||||||||||
| 500,000 | Bain Capital Credit CLO 2019-3, Ltd.(b)(d) | 3M US L + 7.15% | 10/21/32 | 500,782 | ||||||||||
| 500,000 | Barings CLO, Ltd.(b)(d) | 3M US L + 5.82% | 10/15/30 | 500,042 | ||||||||||
| 500,000 | Canyon Capital CLO, Ltd.(b)(d) | 3M US L + 5.75% | 07/15/31 | 481,530 | ||||||||||
| 500,000 | Carlyle Global Market Strategies CLO, Ltd.(b)(d) | 3M US L + 5.35% | 05/15/31 | 460,184 | ||||||||||
| 500,000 | Carlyle Global Market Strategies CLO, Ltd.(b)(d) | 3M US L + 5.50% | 10/15/30 | 457,152 | ||||||||||
| 500,000 | Carlyle US CLO 2021-1, Ltd.(b)(d) | 3M US L + 6.00% | 04/15/34 | 495,269 | ||||||||||
| 500,000 | Chenango Park CLO, Ltd.(b)(d) | 3M US L + 5.80% | 04/15/30 | 493,769 | ||||||||||
| 500,000 | Dorchester Park CLO DAC(b)(d) | 3M US L + 5.00% | 04/20/28 | 500,875 | ||||||||||
| 500,000 | Fillmore Park CLO, Ltd.(b)(d) | 3M US L + 5.40% | 07/15/30 | 489,913 | ||||||||||
| 500,000 | Goldentree Loan Management US CLO 3, Ltd.(b)(d) | 3M US L + 2.85% | 04/20/30 | 497,641 | ||||||||||
| 500,000 | Milos CLO, Ltd.(b)(d) | 3M US L + 6.15% | 10/20/30 | 501,265 | ||||||||||
| 500,000 | Myers Park CLO, Ltd.(b)(d) | 3M US L + 5.50% | 10/20/30 | 493,701 | ||||||||||
| 500,000 | Neuberger Berman CLO XXIII, Ltd.(b)(d) | 3M US L + 5.75% | 10/17/27 | 497,771 | ||||||||||
| 500,000 | Neuberger Berman Loan Advisers CLO 37, Ltd.(b)(d) | 3M US L + 5.75% | 07/20/31 | 499,984 | ||||||||||
| 500,000 | Neuberger Berman Loan Advisers CLO 42, Ltd.(b)(d) | 3M US L + 5.95% | 07/16/35 | 499,980 | ||||||||||
| 500,000 | Neuberger Berman Loan Advisers Clo 44, Ltd.(b)(d) | 3M US L + 6.00% | 10/16/34 | 500,000 | ||||||||||
| 500,000 | Sound Point CLO XXVI, Ltd.(b)(d) | 3M US L + 6.86% | 07/20/34 | 495,080 | ||||||||||
| 500,000 | THL Credit Wind River 2017-3 CLO, Ltd.(b)(d) | 3M US L + 7.08% | 04/15/35 | 500,516 | ||||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||||||
| $ | 500,000 | THL Credit Wind River CLO, Ltd.(b)(d) | 3M US L + 5.75% | 07/15/30 | $ | 484,298 | ||||||||||
| 500,000 | Voya CLO 2019-1, Ltd.(b)(d) | 3M US L + 6.12% | 04/15/31 | 494,272 | ||||||||||||
| 500,000 | Voya CLO, Ltd.(b)(d) | 3M US L + 5.25% | 07/15/31 | 474,224 | ||||||||||||
| 500,000 | Voya CLO, Ltd.(b)(d) | 3M US L + 5.95% | 07/14/31 | 466,250 | ||||||||||||
| 500,000 | Webster Park CLO, Ltd.(b)(d) | 3M US L + 5.50% | 07/20/30 | 496,424 | ||||||||||||
| TOTAL COLLATERALIZED LOAN OBLIGATIONS | ||||||||||||||||
| (Cost $12,881,768) | 12,757,621 | |||||||||||||||
| CONVERTIBLE CORPORATE BONDS (2.09%)(a) | ||||||||||||||||
| Financial (2.09%) | ||||||||||||||||
| 1,724,093 | BlackRock Capital Investment Corp. | 5.00% | 06/15/22 | 1,747,770 | ||||||||||||
| 997,837 | BlackRock TCP Capital Corp. | 4.63% | 03/01/22 | 1,015,213 | ||||||||||||
| 500,000 | Goldman Sachs BDC, Inc. | 4.50% | 04/01/22 | 509,990 | ||||||||||||
| 1,648,448 | New Mountain Finance Corp. | 5.75% | 08/15/23 | 1,741,501 | ||||||||||||
| 5,014,474 | ||||||||||||||||
| TOTAL CONVERTIBLE CORPORATE BONDS | ||||||||||||||||
| (Cost $4,547,267) | 5,014,474 | |||||||||||||||
| U.S. CORPORATE BONDS (3.77%)(a) | ||||||||||||||||
| Basic Materials (0.13%) | ||||||||||||||||
| 260,000 | Illuminate Buyer LLC / Illuminate Holdings IV, Inc.(d) | 9.00% | 07/01/28 | 286,992 | ||||||||||||
| 45,000 | Unifrax Escrow Issuer Corp.(d) | 7.50% | 09/30/29 | 46,171 | ||||||||||||
| 333,163 | ||||||||||||||||
| Communications (0.82%) | ||||||||||||||||
| 275,000 | Cengage Learning, Inc.(d) | 9.50% | 06/15/24 | 281,848 | ||||||||||||
| 545,000 | Embarq Corp Eq 7.995 06/01/36 | 8.00% | 06/01/36 | 585,332 | ||||||||||||
| 510,000 | Endure Digital, Inc.(d) | 6.00% | 02/15/29 | 485,252 | ||||||||||||
| 90,000 | Frontier Communications Holdings LLC(d) | 6.75% | 05/01/29 | 94,972 | ||||||||||||
| 435,000 | Intelsat Jackson Holdings SA(d)(e) | 8.50% | 10/15/24 | 248,685 | ||||||||||||
| 125,000 | Mav Acquisition Corp.(d) | 5.75% | 08/01/28 | 122,991 | ||||||||||||
| 165,000 | Uber Technologies, Inc.(d) | 6.25% | 01/15/28 | 177,169 | ||||||||||||
| 1,996,249 | ||||||||||||||||
| Consumer, Cyclical (0.90%) | ||||||||||||||||
| 90,000 | Carlson Travel, Inc.(d) | 6.75% | 12/15/25 | 80,553 | ||||||||||||
| 45,000 | Carnival Corp.(d) | 7.63% | 03/01/26 | 48,094 | ||||||||||||
| 330,000 | Dealer Tire LLC / DT Issuer LLC(d) | 8.00% | 02/01/28 | 346,022 | ||||||||||||
| 60,000 | Park River Holdings, Inc.(d) | 5.63% | 02/01/29 | 58,214 | ||||||||||||
| 300,000 | PetSmart, Inc. / PetSmart Finance Corp.(d) | 7.75% | 02/15/29 | 327,767 | ||||||||||||
| 155,000 | Premier Entertainment Sub LLC(d) | 5.63% | 09/01/29 | 156,755 | ||||||||||||
| 125,000 | Premier Entertainment Sub LLC(d) | 5.88% | 09/01/31 | 126,462 | ||||||||||||
| 280,000 | SWF Escrow Issuer Corp.(d) | 6.50% | 10/01/29 | 273,154 | ||||||||||||
| 190,000 | TKC Holdings, Inc.(d) | 10.50% | 05/15/29 | 208,577 | ||||||||||||
| 75,000 | United Airlines, Inc.(d) | 4.63% | 04/15/29 | 77,603 | ||||||||||||
| 405,000 | Wheel Pros, Inc.(d) | 6.50% | 05/15/29 | 392,346 | ||||||||||||
| 59,000 | Wolverine Escrow LLC(d) | 9.00% | 11/15/26 | 54,575 | ||||||||||||
| 2,150,122 | ||||||||||||||||
| Consumer, Non-cyclical (0.65%) | ||||||||||||||||
| 270,000 | Air Methods Corp.(d) | 8.00% | 05/15/25 | 258,289 | ||||||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||||||
| $ | 160,000 | CHS/Community Health Systems, Inc.(d) | 6.88% | 04/15/29 | $ | 160,598 | ||||||||||
| 40,000 | Coty, Inc.(d) | 6.50% | 04/15/26 | 41,036 | ||||||||||||
| 127,656 | Pyxus Holdings, Inc. | 10.00% | 08/24/24 | 111,319 | ||||||||||||
| 305,000 | Radiology Partners, Inc.(d) | 9.25% | 02/01/28 | 328,501 | ||||||||||||
| 110,000 | Sabre GLBL, Inc.(d) | 7.38% | 09/01/25 | 117,376 | ||||||||||||
| 420,000 | Triton Water Holdings, Inc.(d) | 6.25% | 04/01/29 | 427,350 | ||||||||||||
| 110,000 | WASH Multifamily Acquisition, Inc.(d) | 5.75% | 04/15/26 | 115,002 | ||||||||||||
| 1,559,471 | ||||||||||||||||
| Energy (0.55%) | ||||||||||||||||
| 250,000 | Kosmos Energy, Ltd.(f) | 7.13% | 04/04/26 | 245,549 | ||||||||||||
| 580,000 | NGL Energy Operating LLC / NGL Energy Finance Corp.(d) | 7.50% | 02/01/26 | 591,701 | ||||||||||||
| 250,000 | PBF Holding Co. LLC / PBF Finance Corp.(d) | 9.25% | 05/15/25 | 237,216 | ||||||||||||
| 250,000 | SierraCol Energy Andina LLC(d) | 6.00% | 06/15/28 | 244,766 | ||||||||||||
| 1,319,232 | ||||||||||||||||
| Financial (0.07%) | ||||||||||||||||
| 155,000 | Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC(d) | 6.50% | 02/15/29 | 159,650 | ||||||||||||
| Industrial (0.19%) | ||||||||||||||||
| 365,000 | Triumph Group, Inc.(d) | 6.25% | 09/15/24 | 365,359 | ||||||||||||
| 90,000 | Triumph Group, Inc. | 7.75% | 08/15/25 | 89,148 | ||||||||||||
| 454,507 | ||||||||||||||||
| Technology (0.46%) | ||||||||||||||||
| 225,000 | Austin BidCo, Inc.(d) | 7.13% | 12/15/28 | 226,997 | ||||||||||||
| 510,000 | Castle US Holding Corp.(d) | 9.50% | 02/15/28 | 535,770 | ||||||||||||
| 305,000 | Flexential Intermediate Corp.(d) | 11.25% | 08/01/24 | 330,660 | ||||||||||||
| 1,093,427 | ||||||||||||||||
| TOTAL U.S. CORPORATE BONDS | ||||||||||||||||
| (Cost $9,094,445) | 9,065,821 | |||||||||||||||
| U.S. GOVERNMENT / AGENCY MORTGAGE BACKED SECURITIES (36.86%)(a) | ||||||||||||||||
| 288,246 | Alternative Loan Trust(b) | 3.35% | 12/25/35 | 283,096 | ||||||||||||
| 622,603 | Alternative Loan Trust | 5.50% | 11/25/35 | 482,306 | ||||||||||||
| 2,044,078 | Alternative Loan Trust | 5.50% | 12/25/35 | 1,885,758 | ||||||||||||
| 2,120,466 | Alternative Loan Trust | 5.75% | 03/25/37 | 1,630,456 | ||||||||||||
| 2,383,260 | Alternative Loan Trust | 6.00% | 07/25/37 | 1,600,248 | ||||||||||||
| 2,005,060 | Alternative Loan Trust | 6.25% | 08/25/37 | 1,489,623 | ||||||||||||
| 1,083,391 | Alternative Loan Trust | 6.50% | 09/25/36 | 767,950 | ||||||||||||
| 1,791,965 | Banc of America Funding Trust(b) | 2.79% | 05/20/36 | 1,576,993 | ||||||||||||
| 1,183,686 | Banc of America Mortgage Trust | 6.00% | 09/25/37 | 1,200,091 | ||||||||||||
| 1,385,806 | Bear Stearns ALT-A Trust(b) | 2.94% | 01/25/36 | 1,360,445 | ||||||||||||
| 895,878 | Bear Stearns ARM Trust(b) | 2.92% | 07/25/36 | 869,476 | ||||||||||||
| 2,732,709 | Chase Mortgage Finance Trust Series(b) | 1M US L + 0.60% | 06/25/37 | 1,020,992 | ||||||||||||
| 2,417,271 | ChaseFlex Trust Series 2007-1 | 6.50% | 02/25/37 | 1,303,209 | ||||||||||||
| 3,930,000 | CHL GMSR Issuer Trust(b)(d) | 1M US L + 2.75% | 05/25/23 | 3,939,643 | ||||||||||||
| 1,569,062 | CHL Mortgage Pass-Through Trust(b) | 2.87% | 03/25/37 | 1,500,643 | ||||||||||||
| 1,624,274 | CHL Mortgage Pass-Through Trust | 5.75% | 07/25/37 | 1,182,036 | ||||||||||||
| 1,651,691 | CHL Mortgage Pass-Through Trust(b) | 1M US L + 0.60% | 03/25/35 | 1,651,560 | ||||||||||||
| 540,777 | Citigroup Mortgage Loan Trust(b) | 2.93% | 04/25/37 | 520,905 | ||||||||||||
| 1,249,374 | Citigroup Mortgage Loan Trust, Inc.(b) | 2.53% | 10/25/35 | 877,698 | ||||||||||||
| 798,020 | CSFB Mortgage-Backed Pass-Through Certificates | 5.50% | 10/25/35 | 570,228 | ||||||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||||
| $ | 1,560,938 | CSMC Mortgage-Backed Trust | 6.00% | 02/25/37 | $ | 1,355,710 | ||||||||
| 1,878,813 | CSMC Mortgage-Backed Trust | 6.75% | 08/25/36 | 1,551,334 | ||||||||||
| 2,151,693 | Fannie Mae REMICS(b) | 0.00% | 07/25/43 | 1,982,666 | ||||||||||
| 2,197,023 | Fannie Mae REMICS(b) | 5.90% - 1M US L | 10/25/41 | 408,248 | ||||||||||
| 5,515,348 | Fannie Mae REMICS(b) | 6.05% - 1M US L | 07/25/49 | 1,017,241 | ||||||||||
| 2,136,092 | Fannie Mae REMICS(b)(g) | 6.45% - 1M US L | 03/25/42 | 366,824 | ||||||||||
| 1,944,983 | Fannie Mae REMICS(b)(g) | 6.50% - 1M US L | 12/25/41 | 351,918 | ||||||||||
| 619,976 | Fannie Mae REMICS(b) | 7.62% - 1M US L | 11/25/42 | 637,008 | ||||||||||
| 1,083,007 | Federal Home Loan Mortgage Corp. REMICS(b) | 4.05% - 1M US L | 01/15/33 | 1,112,800 | ||||||||||
| 415,519 | First Horizon Alternative Mortgage Securities Trust(b) | 2.83% | 10/25/35 | 399,885 | ||||||||||
| 1,700,000 | FMC GMSR Issuer Trust(b)(d) | 4.36% | 07/25/26 | 1,700,586 | ||||||||||
| 13,537,994 | Freddie Mac REMICS | 2.00% | 11/25/50 | 1,170,434 | ||||||||||
| 4,608,476 | Freddie Mac REMICS | 4.00% | 12/15/40 | 5,058,407 | ||||||||||
| 3,904,234 | Freddie Mac REMICS(b)(g) | 5.90% - 1M US L | 12/15/41 | 590,829 | ||||||||||
| 4,244,576 | Freddie Mac REMICS(b)(g) | 6.10% - 1M US L | 08/25/50 | 972,786 | ||||||||||
| 4,905,303 | Government National Mortgage Association | 3.50% | 02/20/47 | 5,196,791 | ||||||||||
| 8,000,000 | Government National Mortgage Association(b)(g) | 3.70% - 30D US SOFR | 09/20/51 | 1,250,000 | ||||||||||
| 6,859,599 | Government National Mortgage Association(b)(g) | 3.75% - 1M US L | 10/20/50 | 900,337 | ||||||||||
| 9,753,902 | Government National Mortgage Association(b)(g) | 3.75% - 1M US L | 11/20/50 | 1,038,331 | ||||||||||
| 16,842,089 | Government National Mortgage Association(b)(g) | 3M US L + 2.44% | 06/20/51 | 1,079,960 | ||||||||||
| 10,401,458 | Government National Mortgage Association(b) | 5.37% - 1M US L | 07/20/44 | 1,499,328 | ||||||||||
| 4,836,645 | Government National Mortgage Association(b) | 6.00% - 1M US L | 05/20/44 | 844,992 | ||||||||||
| 4,553,334 | Government National Mortgage Association(b)(g) | 6.30% - 1M US L | 09/20/50 | 968,388 | ||||||||||
| 4,419,533 | Government National Mortgage Association(b)(g) | 6.30% - 1M US L | 10/20/50 | 750,220 | ||||||||||
| 4,771,519 | Government National Mortgage Association(b)(g) | 6.30% - 1M US L | 01/20/51 | 1,009,130 | ||||||||||
| 995,691 | Homeward Opportunities Fund Trust 2020-BPL1(d)(h) | 5.44% | 08/25/25 | 1,023,968 | ||||||||||
| 2,057,248 | IndyMac INDX Mortgage Loan Trust(b) | 1M US L + 0.25% | 09/25/37 | 2,096,105 | ||||||||||
| 5,900,000 | Legacy Mortgage Asset Trust(d)(h) | 4.50% | 11/25/59 | 5,930,458 | ||||||||||
| 1,706,963 | Luminent Mortgage Trust(b) | 1M US L + 0.40% | 05/25/36 | 1,612,977 | ||||||||||
| 1,141,296 | Luminent Mortgage Trust(b) | 1M US L + 0.42% | 05/25/36 | 1,137,497 | ||||||||||
| 400,000 | Mello Warehouse Securitization Trust(b)(d) | 1M US L + 3.25% | 11/25/52 | 400,430 | ||||||||||
| 1,868,703 | Nomura Asset Acceptance Corp. Alternative Loan Trust(h) | 5.69% | 08/25/35 | 1,238,258 | ||||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||||||
| $ | 7,604,423 | Nomura Asset Acceptance Corp. Alternative Loan Trust(b) | 1M US L + 0.54% | 02/25/36 | $ | 1,478,584 | ||||||||||
| 1,629,226 | RALI Series Trust(b) | 5.07% | 09/25/37 | 1,615,477 | ||||||||||||
| 2,147,982 | Residential Asset Securitization Trust | 5.75% | 02/25/36 | 1,299,316 | ||||||||||||
| 2,004,297 | Residential Asset Securitization Trust | 6.00% | 05/25/37 | 1,602,213 | ||||||||||||
| 834,781 | RFMSI Trust(b) | 2.43% | 06/25/35 | 645,635 | ||||||||||||
| 1,740,432 | RFMSI Trust | 6.00% | 09/25/36 | 1,651,958 | ||||||||||||
| 1,936,000 | Spruce Hill Mortgage Loan Trust 2020-SH1(b)(d) | 4.68% | 01/28/50 | 1,972,554 | ||||||||||||
| 593,910 | Structured Adjustable Rate Mortgage Loan Trust(b) | 3.10% | 12/25/35 | 572,389 | ||||||||||||
| 1,536,243 | Structured Adjustable Rate Mortgage Loan Trust(b) | 3.48% | 09/25/37 | 1,516,194 | ||||||||||||
| 315,100 | Structured Asset Mortgage Investments II Trust(b) | 1.16% | 03/25/46 | 318,283 | ||||||||||||
| 1,046,757 | WaMu Mortgage Pass-Through Certificates Trust(b) | 2.77% | 08/25/36 | 1,009,768 | ||||||||||||
| 1,195,512 | WaMu Mortgage Pass-Through Certificates Trust(b) | 2.92% | 08/25/46 | 1,184,606 | ||||||||||||
| 1,274,111 | WaMu Mortgage Pass-Through Certificates Trust(b) | 3.29% | 03/25/37 | 1,291,347 | ||||||||||||
| TOTAL U.S. GOVERNMENT / AGENCY MORTGAGE BACKED SECURITIES | ||||||||||||||||
| (Cost $94,343,827) | 88,525,526 | |||||||||||||||
| U.S. GOVERNMENT BONDS AND NOTES (8.66%)(a) | ||||||||||||||||
| 23,150,000 | U.S. Treasury Bond | 1.63% | 11/15/50 | 20,805,157 | ||||||||||||
| TOTAL U.S. GOVERNMENT BONDS AND NOTES | ||||||||||||||||
| (Cost $22,008,353) | 20,805,157 | |||||||||||||||
| FOREIGN CORPORATE BONDS (5.46%)(a) | ||||||||||||||||
| Basic Materials (0.41%) | ||||||||||||||||
| 200,000 | Braskem Netherlands Finance BV | 5.88% | 01/31/50 | 227,750 | ||||||||||||
| 200,000 | Cia de Minas Buenaventura SAA(d) | 5.50% | 07/23/26 | 197,986 | ||||||||||||
| 100,000 | Eldorado Gold Corp.(d) | 6.25% | 09/01/29 | 99,245 | ||||||||||||
| 200,000 | Unigel Luxembourg SA(f) | 8.75% | 10/01/26 | 215,242 | ||||||||||||
| 250,000 | Vedanta Resources Finance II PLC(d) | 9.25% | 04/23/26 | 238,541 | ||||||||||||
| 978,764 | ||||||||||||||||
| Communications (0.38%) | ||||||||||||||||
| 350,000 | Oi SA(i) | 10.00% (10.00%) | 07/27/25 | 328,982 | ||||||||||||
| 200,000 | Sixsigma Networks Mexico SA de CV | 7.50% | 05/02/25 | 194,829 | ||||||||||||
| 300,000 | Telecommunications Services of Trinidad & Tobago, Ltd.(f) | 8.88% | 10/18/29 | 320,852 | ||||||||||||
| 80,000 | Telesat Canada / Telesat LLC(d) | 5.63% | 12/06/26 | 76,903 | ||||||||||||
| 921,566 | ||||||||||||||||
| Consumer, Non-cyclical (0.57%) | ||||||||||||||||
| 150,000 | Atento Luxco 1 SA(d) | 8.00% | 02/10/26 | 164,442 | ||||||||||||
| 150,000 | Camposol SA(d) | 6.00% | 02/03/27 | 155,137 | ||||||||||||
| 150,000 | Camposol SA(f) | 6.00% | 02/03/27 | 155,138 | ||||||||||||
| 250,000 | Frigorifico Concepcion SA(d) | 7.70% | 07/21/28 | 259,120 | ||||||||||||
| 450,000 | Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.(d) | 7.00% | 12/31/27 | 431,933 | ||||||||||||
| 200,000 | TBLA International Pte, Ltd. | 7.00% | 01/24/23 | 195,881 | ||||||||||||
| 1,361,651 | ||||||||||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||||
| Diversified (0.08%) | ||||||||||||||
| $ | 200,000 | ABM Investama Tbk PT(d) | 9.50% | 08/05/26 | $ | 192,000 | ||||||||
| Energy (1.25%) | ||||||||||||||
| 250,000 | AI Candelaria Spain SLU(d) | 5.75% | 06/15/33 | 248,874 | ||||||||||
| 200,000 | Frontera Energy Corp.(d) | 7.88% | 06/21/28 | 194,250 | ||||||||||
| 200,000 | FS Luxembourg SARL(d) | 10.00% | 12/15/25 | 220,090 | ||||||||||
| 250,000 | Geopark, Ltd. | 6.50% | 09/21/24 | 256,931 | ||||||||||
| 250,000 | Gran Tierra Energy, Inc.(d) | 7.75% | 05/23/27 | 217,035 | ||||||||||
| 200,000 | Hunt Oil Co. of Peru LLC Sucursal Del Peru(f) | 6.38% | 06/01/28 | 201,136 | ||||||||||
| 150,000 | NGD Holdings BV | 6.75% | 12/31/26 | 145,755 | ||||||||||
| 200,000 | Pertamina Persero PT(f) | 4.15% | 02/25/60 | 198,357 | ||||||||||
| 300,000 | Peru LNG Srl(f) | 5.38% | 03/22/30 | 243,560 | ||||||||||
| 100,000 | Petrobras Global Finance BV | 5.50% | 06/10/51 | 93,225 | ||||||||||
| 240,000 | Petrobras Global Finance BV | 6.90% | 03/19/49 | 267,666 | ||||||||||
| 250,000 | Petroleos Mexicanos | 6.38% | 01/23/45 | 212,951 | ||||||||||
| 100,000 | Petroleos Mexicanos | 6.75% | 09/21/47 | 87,370 | ||||||||||
| 200,000 | Tullow Oil PLC(d) | 10.25% | 05/15/26 | 209,102 | ||||||||||
| 197,194 | UEP Penonome II SA(d) | 6.50% | 10/01/38 | 206,466 | ||||||||||
| 3,002,768 | ||||||||||||||
| Financial (1.94%) | ||||||||||||||
| 200,000 | Agile Group Holdings, Ltd.(b)(j) | 6.88% | Perpetual Maturity | 182,176 | ||||||||||
| 7,442 | Alpha Capital SAS / AlphaDebit S.A. de C.V(d)(i) | 10.00% | 02/01/22 | 7,442 | ||||||||||
| 300,000 | Alpha Holding SA de CV(d) | 9.00% | 02/10/25 | 44,250 | ||||||||||
| 200,000 | Banco Davivienda SA(b)(d)(j) | 10Y US TI + 5.10% | Perpetual Maturity | 213,759 | ||||||||||
| 300,000 | Banco do Brasil SA(b)(j) | 6.25% | Perpetual Maturity | 299,582 | ||||||||||
| 200,000 | Banco General SA(b)(d)(j) | 10Y US TI + 3.67% | Perpetual Maturity | 202,502 | ||||||||||
| 100,000 | Banco GNB Sudameris SA(b)(f) | 5Y US TI + 4.56% | 04/03/27 | 99,996 | ||||||||||
| 200,000 | Banco GNB Sudameris SA(b)(d) | 5Y US TI + 6.66% | 04/16/31 | 204,240 | ||||||||||
| 150,000 | Banco Macro SA(b)(f) | 6.75% | 11/04/26 | 129,434 | ||||||||||
| 200,000 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand(b)(j) | 8.50% | Perpetual Maturity | 205,250 | ||||||||||
| 300,000 | Bangkok Bank PCL(b)(d)(j) | 5Y US TI + 4.73% | Perpetual Maturity | 312,374 | ||||||||||
| 200,000 | Central China Real Estate, Ltd. | 7.25% | 07/16/24 | 123,155 | ||||||||||
| 250,000 | Credito Real SAB de CV SOFOM ER(b)(f)(j) | 9.13% | Perpetual Maturity | 180,700 | ||||||||||
| 200,000 | Credivalores-Crediservicios SAS(d) | 8.88% | 02/07/25 | 163,817 | ||||||||||
| 250,000 | Gilex Holding SARL | 8.50% | 05/02/23 | 255,045 | ||||||||||
| 350,000 | Itau Unibanco Holding SA Island(b)(f)(j) | 5Y US TI + 4.63% | Perpetual Maturity | 335,047 | ||||||||||
| 200,000 | Jababeka International BV(f) | 6.50% | 10/05/23 | 193,707 | ||||||||||
| 200,000 | Logan Group Co., Ltd.(b)(j) | 5Y US TI + 6.00% | Perpetual Maturity | 197,060 | ||||||||||
| 250,000 | Mexarrend SAPI de CV(d) | 10.25% | 07/24/24 | 239,781 | ||||||||||
| 200,000 | Operadora de Servicios Mega SA de CV Sofom ER(d) | 8.25% | 02/11/25 | 201,841 | ||||||||||
| 200,000 | RKP Overseas Finance, Ltd.(j) | 7.95% | Perpetual Maturity | 187,634 | ||||||||||
| 200,000 | Ronshine China Holdings, Ltd. | 6.75% | 08/05/24 | 136,476 | ||||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||||
| $ | 200,000 | Theta Capital Pte, Ltd. | 6.75% | 10/31/26 | $ | 197,995 | ||||||||
| 250,000 | Unifin Financiera SAB de CV(b)(f)(j) | 8.88% | Perpetual Maturity | 190,955 | ||||||||||
| 200,000 | Yuzhou Group Holdings Co., Ltd. | 8.30% | 05/27/25 | 147,599 | ||||||||||
| 4,651,817 | ||||||||||||||
| Industrial (0.16%) | ||||||||||||||
| 200,000 | Interpipe Holdings PLC(d) | 8.38% | 05/13/26 | 197,239 | ||||||||||
| 160,000 | Tervita Corp.(d) | 11.00% | 12/01/25 | 181,321 | ||||||||||
| 378,560 | ||||||||||||||
| Utilities (0.67%) | ||||||||||||||
| 250,000 | AES Andes SA | 7.13% | 03/26/79 | 265,770 | ||||||||||
| 200,000 | AES Andres BV(d) | 5.70% | 05/04/28 | 206,729 | ||||||||||
| 300,000 | Empresas Publicas de Medellin ESP(f) | 4.38% | 02/15/31 | 297,105 | ||||||||||
| 200,000 | Guacolda Energia SA(f) | 4.56% | 04/30/25 | 132,752 | ||||||||||
| 200,000 | Inkia Energy, Ltd.(f) | 5.88% | 11/09/27 | 208,430 | ||||||||||
| 250,000 | Minejesa Capital BV | 5.63% | 08/10/37 | 264,438 | ||||||||||
| 250,000 | Mong Duong Finance Holdings BV(f) | 5.13% | 05/07/29 | 249,551 | ||||||||||
| 1,624,775 | ||||||||||||||
| TOTAL FOREIGN CORPORATE BONDS | ||||||||||||||
| (Cost $13,366,751) | 13,111,901 | |||||||||||||
| FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND FOREIGN AGENCIES (0.54%)(a) | ||||||||||||||
| Government (0.46%) | ||||||||||||||
| 250,000 | Brazilian Government International Bond | 4.75% | 01/14/50 | 221,943 | ||||||||||
| 200,000 | Colombia Government International Bond | 5.00% | 06/15/45 | 195,678 | ||||||||||
| 250,000 | Dominican Republic International Bond(f) | 5.30% | 01/21/41 | 247,878 | ||||||||||
| 200,000 | El Salvador Government International Bond(f) | 7.13% | 01/20/50 | 138,502 | ||||||||||
| 300,000 | Ukraine Government International Bond(f) | 7.25% | 03/15/33 | 304,732 | ||||||||||
| 1,108,733 | ||||||||||||||
| Utilities (0.08%) | ||||||||||||||
| 200,000 | Instituto Costarricense de Electricidad(d) | 6.75% | 10/07/31 | 198,214 | ||||||||||
| TOTAL FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND FOREIGN AGENCIES | ||||||||||||||
| (Cost $1,388,517) | 1,306,947 | |||||||||||||
| NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS (32.45%)(a) | ||||||||||||||
| 28,899 | Affirm Asset Securitization Trust 2021-Z1(d)(k) | 0.00% | 08/15/24 | 410,052 | ||||||||||
| 372,000 | Alen 2021-ACEN Mortgage Trust(b)(d) | 1M US L + 4.00% | 04/15/26 | 375,757 | ||||||||||
| 700,000 | AMSR 2021-SFR3 Trust(d) | 4.90% | 10/17/26 | 701,663 | ||||||||||
| 1,550,000 | AMSR 2021-SFR3 Trust(d) | 5.88% | 10/17/26 | 1,553,669 | ||||||||||
| 538,000 | AREIT Trust(b)(d) | 30D SOFR + 2.76% | 09/16/36 | 533,441 | ||||||||||
| 433,000 | Atrium Hotel Portfolio Trust(b)(d) | 1M US L + 3.40% | 06/15/35 | 425,234 | ||||||||||
| 500,000 | Atrium XIII(b)(d) | 3M US L + 6.05% | 11/21/30 | 492,014 | ||||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||||||
| $ | 500,000 | Atrium XIV LLC(b)(d) | 3M US L + 5.65% | 08/23/30 | $ | 496,368 | ||||||||||
| 730,000 | BAMLL Commercial Mortgage Securities Trust(b)(d) | 2.57% | 03/15/34 | 729,227 | ||||||||||||
| 631,000 | Bancorp Commercial Mortgage Trust(b)(d) | 1M US L + 2.35% | 03/17/36 | 630,275 | ||||||||||||
| 682,000 | BBCMS Trust(b)(d) | 1M US L + 3.55% | 07/15/37 | 678,235 | ||||||||||||
| 487,628 | BB-UBS Trust(b)(d) | 3.68% | 06/05/30 | 371,939 | ||||||||||||
| 498,000 | Benchmark 2018-B4 Mortgage Trust(b)(d) | 2.96% | 07/17/51 | 460,176 | ||||||||||||
| 315,000 | BF Mortgage Trust(b)(d) | 1M US L + 3.00% | 12/15/35 | 310,778 | ||||||||||||
| 2,140,625 | Blackbird Capital Aircraft Lease Securitization, Ltd.(d)(h) | 5.68% | 12/16/41 | 2,120,602 | ||||||||||||
| 321,000 | BX Commercial Mortgage Trust(b)(d) | 1M US L + 1.90% | 04/15/34 | 320,744 | ||||||||||||
| 325,000 | BX Trust(b)(d) | 4.08% | 12/06/41 | 335,989 | ||||||||||||
| 316,000 | Carbon Capital VI Commercial Mortgage Trust(b)(d) | 1M US L + 2.85% | 11/15/21 | 304,719 | ||||||||||||
| 5,000 | Carvana Auto Receivables Trust(d)(k) | 0.00% | 05/10/28 | 2,505,892 | ||||||||||||
| 404,603 | Castlelake Aircraft Securitization Trust(d) | 6.63% | 06/15/43 | 318,915 | ||||||||||||
| 1,250,000 | Castlelake Aircraft Structured Trust(d)(k) | 0.00% | 04/15/39 | 387,500 | ||||||||||||
| 500,000 | CIFC Funding, Ltd.(b)(d) | 3M US L + 6.50% | 07/15/34 | 499,907 | ||||||||||||
| 138,000 | Citigroup Commercial Mortgage Trust(d) | 2.85% | 02/12/49 | 98,871 | ||||||||||||
| 475,000 | Citigroup Commercial Mortgage Trust(b)(d) | 3.62% | 12/12/41 | 381,423 | ||||||||||||
| 196,000 | Citigroup Commercial Mortgage Trust(b)(d) | 4.42% | 02/12/48 | 193,785 | ||||||||||||
| 319,000 | Citigroup Commercial Mortgage Trust(b)(d) | 1M US L + 3.65% | 12/15/36 | 315,211 | ||||||||||||
| 320,000 | Citigroup Commercial Mortgage Trust 2019-SMRT(b)(d) | 4.75% | 01/10/36 | 335,592 | ||||||||||||
| 878,000 | COMM Mortgage Trust(b)(d) | 1M US L + 2.18% | 09/15/33 | 864,833 | ||||||||||||
| 286,000 | Commercial Mortgage Pass-Through Certificates(b) | 4.53% | 08/12/48 | 306,056 | ||||||||||||
| 428,000 | CSAIL 2016-C6 Commercial Mortgage Trust(b)(d) | 5.09% | 01/15/49 | 384,798 | ||||||||||||
| 269,160 | DBGS 2018-BIOD Mortgage Trust(b)(d) | 1M US L + 2.00% | 05/15/35 | 269,790 | ||||||||||||
| 416,000 | DBJPM 16-C1 Mortgage Trust(b) | 3.33% | 05/12/49 | 403,686 | ||||||||||||
| 500,000 | Dryden 37 Senior Loan Fund(b)(d) | 3M US L + 5.15% | 01/15/31 | 477,011 | ||||||||||||
| 500,000 | Dryden 38 Senior Loan Fund(b)(d) | 3M US L + 5.60% | 07/15/30 | 485,378 | ||||||||||||
| 500,000 | Dryden 40 Senior Loan Fund(b)(d) | 3M US L + 5.75% | 08/15/31 | 493,750 | ||||||||||||
| 497,412 | Extended Stay America Trust 2021-ESH(b)(d) | 1M US L + 3.70% | 07/15/26 | 504,266 | ||||||||||||
| 9,157,567 | Fannie Mae-Aces(b)(g) | 0.58% | 12/25/30 | 286,421 | ||||||||||||
| 18,928,551 | Fannie Mae-Aces(b)(g) | 0.87% | 07/25/32 | 1,369,249 | ||||||||||||
| 5,492,364 | Fannie Mae-Aces(b)(g) | 1.15% | 03/25/31 | 489,191 | ||||||||||||
| 5,212,720 | Fannie Mae-Aces(b)(g) | 1.30% | 09/25/30 | 432,373 | ||||||||||||
| 700,000 | FirstKey Homes 2020-SFR1 Trust(d) | 4.28% | 08/19/37 | 720,225 | ||||||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||||||
| $ | 546,000 | Fontainebleau Miami Beach Trust(b)(d) | 3.96% | 12/12/36 | $ | 532,837 | ||||||||||
| 750,000 | Freddie Mac Multifamily Structured Credit Risk(b)(d) | 30D US SOFR + 3.75% | 01/25/51 | 792,739 | ||||||||||||
| 267,035 | FREMF 2015-KF07 Mortgage Trust(b)(d) | 1M US L + 4.95% | 02/25/25 | 268,396 | ||||||||||||
| 299,980 | FREMF 2016-KF19 Mortgage Trust(b)(d) | 1M US L + 5.50% | 06/25/23 | 300,726 | ||||||||||||
| 266,080 | FREMF 2016-KF25 Mortgage Trust(b)(d) | 1M US L + 5.00% | 10/25/23 | 266,658 | ||||||||||||
| 889,907 | FREMF 2018-KF56 Mortgage Trust(b)(d) | 1M US L + 5.80% | 11/25/28 | 899,433 | ||||||||||||
| 394,367 | FREMF Mortgage Trust(b)(d) | 1M US L + 5.05% | 07/25/23 | 398,861 | ||||||||||||
| 1,200,000 | FRTKL 2021-SFR1(d) | 4.11% | 09/17/26 | 1,208,423 | ||||||||||||
| 6,106,549 | Ginnie Mae Strip(g) | 1.40% | 09/16/45 | 538,274 | ||||||||||||
| 8,286,320 | Government National Mortgage Association(b)(g) | 0.02% | 09/16/53 | 60,195 | ||||||||||||
| 7,443,920 | Government National Mortgage Association(b)(g) | 0.82% | 09/16/58 | 366,461 | ||||||||||||
| 6,222,502 | Government National Mortgage Association(b)(g) | 0.99% | 12/16/62 | 517,164 | ||||||||||||
| 6,199,293 | Government National Mortgage Association(b)(g) | 1.00% | 05/16/63 | 544,884 | ||||||||||||
| 1,100,000 | Great Wolf Trust(b)(d) | 1M US L + 3.13% | 12/15/36 | 1,081,012 | ||||||||||||
| 300,000 | GS Mortgage Securities Corp. Trust 2018-RIVR(b)(d) | 1M US L + 1.55% | 07/15/35 | 284,057 | ||||||||||||
| 1,577,000 | GS Mortgage Securities Trust(b)(d) | 4.51% | 11/10/47 | 1,074,722 | ||||||||||||
| 655,000 | GS Mortgage Securities Trust(b)(d) | 1M US L + 3.92% | 07/15/31 | 602,334 | ||||||||||||
| 373,000 | GS Mortgage Securities Trust 2015-GC28(b)(d) | 4.46% | 02/10/48 | 377,435 | ||||||||||||
| 230,000 | Hawaii Hotel Trust(b)(d) | 1M US L + 2.75% | 05/15/38 | 229,832 | ||||||||||||
| 500,000 | Highbridge Loan Management 4-2014, Ltd.(b)(d) | 3M US L + 5.55% | 01/28/30 | 485,039 | ||||||||||||
| 500,000 | Highbridge Loan Management, Ltd.(b)(d) | 3M US L + 5.10% | 02/05/31 | 468,750 | ||||||||||||
| 187,113 | HPLY Trust(b)(d) | 1M US L + 3.90% | 11/17/36 | 182,582 | ||||||||||||
| 500,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust(b) | 4.01% | 10/07/31 | 499,228 | ||||||||||||
| 1,062,000 | JP Morgan BB Commercial Mortgage Securities Trust(b)(d) | 3.36% | 11/18/48 | 834,595 | ||||||||||||
| 632,000 | JP Morgan BB Commercial Mortgage Securities Trust(b)(d) | 3.94% | 02/18/48 | 569,218 | ||||||||||||
| 290,000 | JP Morgan BB Commercial Mortgage Securities Trust | 3.99% | 10/19/48 | 299,690 | ||||||||||||
| 109,000 | JP Morgan Chase Commercial Mortgage Securities Trust(d) | 4.34% | 05/05/32 | 110,445 | ||||||||||||
| 111,000 | JP Morgan Chase Commercial Mortgage Securities Trust(b)(d) | 4.45% | 05/05/32 | 112,748 | ||||||||||||
| 130,000 | JP Morgan Chase Commercial Mortgage Securities Trust(b)(d) | 4.45% | 05/05/32 | 128,466 | ||||||||||||
| 136,000 | JP Morgan Chase Commercial Mortgage Securities Trust(b)(d) | 4.45% | 05/05/32 | 125,103 | ||||||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||||
| $ | 148,000 | JP Morgan Chase Commercial Mortgage Securities Trust(b)(d) | 4.45% | 05/05/32 | $ | 131,762 | ||||||||
| 77,604 | JP Morgan Chase Commercial Mortgage Securities Trust | 5.34% | 05/15/47 | 68,097 | ||||||||||
| 411,000 | JP Morgan Chase Commercial Mortgage Securities Trust(b)(d) | 5.71% | 02/15/46 | 156,046 | ||||||||||
| 320,000 | JP Morgan Chase Commercial Mortgage Securities Trust(b)(d) | 1M US L + 3.00% | 07/15/36 | 315,845 | ||||||||||
| 6,449,322 | JPMBB Commercial Mortgage Securities Trust(b)(g) | 1.05% | 09/17/47 | 130,129 | ||||||||||
| 7,301,361 | JPMBB Commercial Mortgage Securities Trust(b)(d)(g) | 1.10% | 08/17/46 | 125,531 | ||||||||||
| 372,000 | JPMBB Commercial Mortgage Securities Trust 2014-C26(b)(d) | 4.02% | 12/15/24 | 366,077 | ||||||||||
| 500,000 | LCM Loan Income Fund I Income Note Issuer, Ltd.(b)(d) | 3M US L + 5.60% | 07/16/31 | 465,867 | ||||||||||
| 500,000 | LCM XIV LP(b)(d) | 3M US L + 5.50% | 07/20/31 | 460,000 | ||||||||||
| 500,000 | LCM XVII LP(b)(d) | 3M US L + 6.00% | 10/15/31 | 461,879 | ||||||||||
| 6,200,000 | Legacy Mortgage Asset Trust(d)(h) | 4.25% | 04/25/59 | 6,217,246 | ||||||||||
| 500,000 | Madison Park Funding XXVI, Ltd.(b)(d) | 3M US L + 6.50% | 07/29/30 | 498,011 | ||||||||||
| 365,000 | MFT Trust 2020-ABC(b)(d) | 3.48% | 02/10/30 | 332,808 | ||||||||||
| 371,000 | Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34(d) | 2.70% | 10/15/27 | 331,275 | ||||||||||
| 350,000 | Morgan Stanley Capital I Trust(b)(d) | 1M US L + 3.05% | 07/15/35 | 348,443 | ||||||||||
| 210,000 | Morgan Stanley Capital I Trust(b)(d) | 1M US L + 4.35% | 11/15/34 | 197,986 | ||||||||||
| 300,000 | Morgan Stanley Capital I Trust 2012-C4(b)(d) | 5.54% | 03/15/22 | 299,842 | ||||||||||
| 372,000 | Morgan Stanley Capital I Trust 2018-H4(d) | 3.00% | 12/15/28 | 332,593 | ||||||||||
| 571,199 | Mosaic Solar Loan Trust(d)(k) | 0.00% | 04/20/46 | 514,699 | ||||||||||
| 1,532,938 | New Century Home Equity Loan Trust(b) | 1M US L + 0.18% | 05/25/36 | 1,504,870 | ||||||||||
| 500,000 | Octagon Investment Partners 26, Ltd.(b)(d) | 3M US L + 8.09% | 07/15/30 | 466,391 | ||||||||||
| 500,000 | Octagon Investment Partners 29, Ltd.(b)(d) | 3M US L + 7.25% | 01/24/33 | 501,678 | ||||||||||
| 500,000 | Octagon Investment Partners 40, Ltd.(b)(d) | 3M US L + 6.46% | 04/20/31 | 500,833 | ||||||||||
| 500,000 | Octagon Investment Partners 42, Ltd.(b)(d) | 3M US L + 6.75% | 07/15/34 | 500,068 | ||||||||||
| 500,000 | Octagon Investment Partners 45, Ltd.(b)(d) | 3M US L + 7.69% | 10/15/32 | 503,277 | ||||||||||
| 500,000 | Octagon Investment Partners XVI, Ltd.(b)(d) | 3M US L + 5.75% | 07/17/30 | 492,363 | ||||||||||
| 500,000 | Octagon Investment Partners XXI, Ltd.(b)(d) | 3M US L + 7.00% | 02/14/31 | 502,461 | ||||||||||
| 500,000 | Octagon Investment Partners XXII, Ltd.(b)(d) | 3M US L + 1.90% | 01/22/30 | 499,000 | ||||||||||
| 500,000 | OHA Credit Funding 3, Ltd.(b)(d) | 3M US L + 6.25% | 07/02/35 | 500,054 | ||||||||||
| 319,000 | One Market Plaza Trust(d) | 4.14% | 02/10/32 | 322,781 | ||||||||||
| 5,043,000 | Option One Mortgage Loan Trust 2006-1(b) | 1M US L + 0.57% | 01/25/36 | 4,625,095 | ||||||||||
| Principal Amount/Description | Rate | Maturity | Value | |||||||||||||
| $ | 1,886,319 | PR Mortgage Loan Trust(b)(d) | 5.90% | 10/25/49 | $ | 1,882,001 | ||||||||||
| 1,800,000 | Progress Residential 2021-SFR8 Trust(d) | 4.01% | 10/17/26 | 1,812,616 | ||||||||||||
| 1,800,000 | Progress Residential Trust(d) | 4.00% | 07/17/26 | 1,820,198 | ||||||||||||
| 282,334 | RMAT LLC(d)(h) | 8.85% | 11/25/35 | 282,798 | ||||||||||||
| 500,000 | RR 6, Ltd.(b)(d) | 3M US L + 5.85% | 04/15/36 | 494,487 | ||||||||||||
| 10,000 | SoFi Professional Loan Program 2021-B Trust(d) | 0.00% | 02/15/47 | 657,895 | ||||||||||||
| 35,000 | Sofi Professional Loan Program Trust(d) | 0.00% | 08/17/43 | 833,006 | ||||||||||||
| 50,000 | Sofi Professional Loan Program Trust(d) | 0.00% | 01/25/48 | 1,156,951 | ||||||||||||
| 20,000 | SoFi Professional Loan Program Trust(d) | 0.00% | 05/15/46 | 950,607 | ||||||||||||
| 28,017 | SoFi Professional Loan Program, LLC | 0.00% | 08/17/48 | 516,920 | ||||||||||||
| 500,000 | Trimaran CAVU, Ltd.(b)(d) | 3M US L + 4.72% | 11/26/32 | 504,783 | ||||||||||||
| 333,000 | UBS-Barclays Commercial Mortgage Trust(b)(d) | 4.08% | 03/12/46 | 289,568 | ||||||||||||
| 300,000 | UBS-Barclays Commercial Mortgage Trust 2013-C5(b)(d) | 4.08% | 03/12/46 | 298,912 | ||||||||||||
| 735,000 | Upstart Pass-Through Trust Series 2021-ST8(d) | 0.00% | 10/20/29 | 920,310 | ||||||||||||
| 1,000 | Upstart Securitization Trust 2021-2 | 0.00% | 06/20/31 | 836,805 | ||||||||||||
| 440,481 | VMC Finance LLC(b)(d) | 1M US L + 2.65% | 09/15/36 | 437,190 | ||||||||||||
| 1,200,000 | VOLT XCVI LLC(d) | 4.83% | 03/27/51 | 1,200,942 | ||||||||||||
| 515,915 | WAVE LLC(d) | 7.00% | 09/15/44 | 418,543 | ||||||||||||
| 332,000 | Wells Fargo Commercial Mortgage Trust(d) | 3.12% | 03/15/59 | 315,518 | ||||||||||||
| 1,693,991 | Willis Engine Structured Trust VI(d) | 7.39% | 05/15/46 | 1,690,818 | ||||||||||||
| TOTAL NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||||||||||
| (Cost $79,383,588) | 77,929,187 | |||||||||||||||
| Shares/Description | Value | |||||
| SHORT-TERM INVESTMENTS (6.80%)(a) | ||||||
| 16,322,394 | State Street Institutional Trust (7 Day Yield 0.01%) | 16,322,394 | ||||
| TOTAL SHORT-TERM INVESTMENTS | ||||||
| (Cost $16,322,394) | 16,322,394 | |||||
| TOTAL INVESTMENTS (133.82%) | ||||||
| (Cost $327,410,864) | $ | 321,384,471 | ||||
| Liabilities in Excess of Other Assets (-33.82%) | (81,227,889 | ) | ||||
| NET ASSETS ATTRIBUTABLE TO COMMON SHAREHOLDERS (100.00%) | $ | 240,156,582 | ||||
Investment Abbreviations:
LIBOR - London Interbank Offered Rate
SOFR - Secured Overnight Financing Rate
TI - Treasury Index
Reference Rates:
1M US L - 1 Month LIBOR as of September 30, 2021 was 0.08%
3M US L - 3 Month LIBOR as of September 30, 2021 was 0.13%
6M US L - 6 Month LIBOR as of September 30, 2021 was 0.16%
30D US SOFR - 30 Day SOFR as of September 30, 2021 was 0.05%
5Y US TI - 5 Year US Treasury Index as of September 30, 2021 was 0.98%
10Y US TI - 10 Year US Treasury Index as of September 30, 2021 was 1.52%
| (a) | All or a portion of the security has been pledged as collateral in connection with an open credit agreement. At September 30, 2021, the value of securities pledged amounted to $321,384,471, which represents approximately 133.82% of net assets. |
| (b) | Variable rate investment. Interest rates reset periodically. Interest rate shown reflects the rate in effect at September 30, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated 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. |
| (c) | Non-income producing security. |
| (d) | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration. The total value of Rule 144A securities amounts to $105,378,765, which represents 43.88% of net assets as of September 30, 2021. |
| (e) | Security is currently in default. |
| (f) | 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, 2021, the aggregate fair value of those securities was $4,288,624, representing 1.79% of net assets. |
| (g) | Interest only securities. |
| (h) | Step up bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect at September 30, 2021. |
| (i) | Pay-in-kind securities. Rate paid in-kind is shown in parenthesis. |
| (j) | Security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. |
| (k) | Issued with a zero coupon. |
See Notes to Schedule of Investments
| RiverNorth/DoubleLine Strategic Opportunity Fund, Inc. | |
| Notes to Quarterly Schedule of Investments | September 30, 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 September 30, 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 | September 30, 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 | September 30, 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 | September 30, 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 September 30, 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 | $ | 29,366,102 | $ | – | $ | – | $ | 29,366,102 | ||||||||
| Business Development Companies | 5,559,509 | – | – | 5,559,509 | ||||||||||||
| Bank Loans | – | 15,703,609 | – | 15,703,609 | ||||||||||||
| Business Development Company Notes | 8,828,184 | 5,260,603 | – | 14,088,787 | ||||||||||||
| Common Stocks | 10,778,868 | – | – | 10,778,868 | ||||||||||||
| Preferred Stocks | 1,048,568 | – | – | 1,048,568 | ||||||||||||
| Collateralized Loan Obligations | – | 12,757,621 | – | 12,757,621 | ||||||||||||
| Convertible Corporate Bonds | – | 5,014,474 | – | 5,014,474 | ||||||||||||
| U.S. Corporate Bonds | – | 9,065,821 | – | 9,065,821 | ||||||||||||
| U.S. Government / Agency Mortgage Backed Securities | – | 88,525,526 | – | 88,525,526 | ||||||||||||
| U.S. Government Bonds and Notes | – | 20,805,157 | – | 20,805,157 | ||||||||||||
| Foreign Corporate Bonds | – | 13,111,901 | – | 13,111,901 | ||||||||||||
| Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | – | 1,306,947 | – | 1,306,947 | ||||||||||||
| Non-Agency Collateralized Mortgage Obligations | – | 77,929,187 | – | 77,929,187 | ||||||||||||
| Short-Term Investments | 16,322,394 | – | – | 16,322,394 | ||||||||||||
| Total | $ | 71,903,625 | $ | 249,480,846 | $ | – | $ | 321,384,471 | ||||||||
| * | Refer to the Fund's Schedule of Investments for a listing of securities by type. |
The fund did not have any securities that used significant unobservable inputs (Level 3) in determining fair value, and there were no transfers into or out of Level 3 during the year.