N-CSRS 1 fp0062984_ncsrs.htm

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

811-23166

(Investment Company Act File Number)

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

(Exact Name of Registrant as Specified in Charter)

 

325 North LaSalle Street, Suite 645

Chicago, Illinois 60654

(Address of Principal Executive Offices)

 

Marcus L. Collins, Esq.

RiverNorth Capital Management, LLC

325 North LaSalle Street, Suite 645

Chicago, Illinois 60654

(Name and Address of Agent for Service)

 

(312) 832-1440

(Registrant’s Telephone Number)

 

Date of Fiscal Year End: June 30

 

Date of Reporting Period: December 31, 2020

 

Item 1.Reports to Stockholders.

 

(a) 

 

 

Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website at www.RiverNorth.com and you will be notified by mail each time a report is posted and provided with a website link to access the report.

 

You may, notwithstanding the availability of shareholder reports online, elect to receive all future shareholder reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with a Fund, you can call 1-888-848-7569 to let the Fund know you wish to continue receiving paper copies of your shareholder reports.

 

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by enrolling at www.RiverNorth.com.

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Table of Contents

 

Performance Overview 2
Schedule of Investments 5
Statement of Assets and Liabilities 24
Statement of Operations 25
Statements of Changes in Net Assets 26
Statement of Cash Flows 27
Financial Highlights 28
Notes to Financial Statements 31
Dividend Reinvestment Plan 43
Additional Information 45
Consideration and Approval of Advisory and Sub-Advisory Agreements 47

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Performance Overview December 31, 2020 (Unaudited)

 

WHAT IS THE FUND’S INVESTMENT STRATEGY?

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc. (the "Fund") seeks to achieve its investment objective by allocating its Managed Assets among the two principal investment strategies described below:

 

Tactical Closed-End Fund Income Strategy (10% - 35% of Managed Assets): This strategy seeks to (i) generate returns through investments in closed-end funds, exchange-traded funds and business development companies (collectively, the “Underlying Funds”) that invest primarily in income-producing securities, and (ii) derive value from the discount and premium spreads associated with closed-end funds.

 

Opportunistic Income Strategy (65% - 90% of Managed Assets): This strategy seeks to generate attractive risk-adjusted returns through investments in fixed income instruments and other investments, including agency and non-agency residential mortgage-backed and other asset-backed securities, corporate bonds, municipal bonds, and real estate investment trusts. At least 50% of the Managed Assets allocated to this strategy is invested in mortgage-backed securities.

 

HOW DID THE FUND PERFORM RELATIVE TO ITS BENCHMARK

 

DURING THE REPORTING PERIOD?

 

PERFORMANCE as of December 31, 2020

 

  Cummulative Annualized
TOTAL RETURN(1) 6 Months 1 Year 3 Years(3) Since
Inception(2)(3)
RiverNorth/DoubleLine Strategic Opportunity Fund, Inc. – NAV(4) 10.35% 1.74% 3.45% 4.75%
RiverNorth/DoubleLine Strategic Opportunity Fund, Inc. – Market(5) 11.07% 1.34% 4.54% 3.33%
Bloomberg Barclays U.S. Aggregate Bond Index(6) 1.29% 7.51% 5.34% 3.79%

 

(1)Total returns assume reinvestment of all distributions.

(2)The Fund commenced operations on September 28, 2016.

(3)Annualized.

(4)Performance returns are net of management fees and other Fund expenses.

(5)Market price is the value at which the Fund trades on an exchange. This market price can be more or less than its net asset value ("NAV").

(6)The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of investment grade fixed-rate debt issues with maturities of at least one year. The index cannot be invested in directly and does not reflect fees and expenses.

 

The total annual expense ratio as a percentage of net assets attributable to common shares as of December 31, 2020 is 1.92% (excluding interest on facility loan payable and dividends to redeemable preferred stock). Including interest on facility loan payable and dividends to redeemable preferred stock, the expense ratio is 2.70%.

 

Performance data quoted represents past performance, which is not a guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value and investment return of an investment will fluctuate so that your shares may be worth more or less than their original cost. You can obtain performance data current to the most recent month end by calling (844) 569-4750. Total return measures net investment income and capital gain or loss from portfolio investments. All performance shown assumes reinvestment of dividends and capital gains distributions.

 

 

2 (888) 848-7569 | www.rivernorth.com

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Performance Overview December 31, 2020 (Unaudited)

 

GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT

 

The graph below illustrates the growth of a hypothetical $10,000 investment assuming the purchase of common shares at the closing market price (NYSE: OPP) of $20.00 on September 28, 2016 (commencement of operations) and tracking its progress through December 31, 2020.

 

 

 

Past performance does not guarantee future results. Performance will fluctuate with changes in market conditions. Current performance may be lower or higher than the performance data shown. Performance information does not reflect the deduction of taxes that shareholders would pay on Fund distributions or the sale of Fund shares. An investment in the Fund involves risk, including loss of principal.

 

TOP TEN HOLDINGS* as of December 31, 2020

 

  % of Net Assets
Legacy Mortgage Asset Trust, 4.25%, 04/25/2059 2.91%
Legacy Mortgage Asset Trust, 4.50%, 11/25/2059 2.79%
Oxford Square Capital Corp., 0.00%, 03/30/2024 2.78%
Freddie Mac REMICS, 3.00%, 02/15/2047 2.52%
Government National Mortgage Association, 3.50%, 02/20/2047 2.45%
Freddie Mac REMICS, 4.00%, 12/15/2040 2.38%
Fannie Mae REMICS, 0.00%, 07/25/2043 2.31%
Fannie Mae REMICS, 3.00%, 04/25/2043 2.29%
PRPM LLC, 3.97%, 02/25/2023 1.88%
CHL GMSR Issuer Trust, 2.90%, 05/25/2023 1.84%
  24.15%

 

*Holdings are subject to change and exclude short-term investments.

 

 

Semi-Annual Report | December 31, 2020 3

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Performance Overview December 31, 2020 (Unaudited)

 

ASSET ALLOCATION as of December 31, 2020^

 

 

 

^Holdings are subject to change.

Percentages are based on net assets of the Fund and do not include derivatives.

 

 

4 (888) 848-7569 | www.rivernorth.com

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments December 31, 2020 (Unaudited)

 

Shares/Description   Value 
CLOSED-END FUNDS - 21.86%(a)     
 140,726   AllianceBernstein Global High Income Fund, Inc.  $1,656,345 
 93,166   AllianzGI Convertible & Income Fund   534,773 
 29,830   Angel Oak Dynamic Financial Strategies Income Term Trust   557,523 
 73,797   Ares Dynamic Credit Allocation Fund, Inc.   1,054,559 
 220,895   Barings Global Short Duration High Yield Fund   3,333,305 
 59,183   BlackRock 2022 Global Income Opportunity Trust   535,014 
 49,562   BlackRock Debt Strategies Fund, Inc.   517,923 
 131,534   BlackRock Floating Rate Income Strategies Fund, Inc.   1,592,877 
 28,972   BlackRock Multi-Sector Income Trust   508,169 
 168,548   Blackstone / GSO Strategic Credit Fund   2,103,479 
 39,240   Blackstone/GSO Long-Short Credit Income Fund   526,601 
 699,746   BNY Mellon High Yield Strategic Fund   2,099,238 
 132,443   BrandywineGLOBAL - Global Income Opportunities Fund, Inc.   1,654,213 
 29,913   Brookfield Real Assets Income Fund, Inc.   533,349 
 89,140   Calamos Convertible and High Income Fund   1,272,919 
 259,419   Eaton Vance, Ltd. Duration Income Fund   3,250,519 
 144,726   First Trust High Income Long/Short Fund   2,137,603 
 249,624   Invesco Dynamic Credit Opportunities Fund   2,680,962 
 107,145   Invesco High Income Trust II   1,456,101 
 800,994   Invesco Senior Income Trust   3,187,956 
 175,578   Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.   1,104,386 
 170,583   NexPoint Credit Strategies Fund   1,794,533 
 424,511   Nuveen Credit Strategies Income Fund   2,687,155 
 76,750   Nuveen Floating Rate Income Fund   670,795 
 65,390   Nuveen Floating Rate Income Opportunity Fund   566,277 
 46,304   Nuveen Mortgage Opportunity Term Fund   915,430 
 190,841   PGIM Global High Yield Fund, Inc.   2,772,920 
 107,386   PGIM High Yield Bond Fund, Inc.   1,610,790 
 90,583   The New America High Income Fund, Inc.   786,260 
 195,475   Wells Fargo Income Opportunities Fund   1,595,076 
 102,129   Western Asset High Income Opportunity Fund, Inc.   505,539 
           
TOTAL CLOSED-END FUNDS     
(Cost $46,355,402)   46,202,589 
           
BUSINESS DEVELOPMENT COMPANIES - 1.71%(a)     
 126,984   Bain Capital Specialty Finance, Inc.   1,540,316 
 371,130   Oaktree Specialty Lending Corp.   2,067,194 
           
TOTAL BUSINESS DEVELOPMENT COMPANIES     
(Cost $3,200,038)     3,607,510 
           
COMMON STOCKS - 0.73%(a)       
 13,637   McDermott International, Ltd.(b)   11,046 

 

See Notes to Financial Statements.

 

Semi-Annual Report | December 31, 2020 5

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments December 31, 2020 (Unaudited)

 

Shares/Description   Value 
 121,591   Owl Rock Capital Corp.  $1,539,342 
           
TOTAL COMMON STOCKS     
(Cost $1,611,465)       1,550,388 
           
PREFERRED STOCKS - 2.15%(a)     
 131,056   First Eagle Alternative Capital BDC, Inc., 6.750%, 12/30/2022   3,311,313 
 48,198   First Eagle Alternative Capital BDC, Inc., 6.125%, 10/30/2023   1,223,468 
           
TOTAL PREFERRED STOCKS  
(Cost $4,391,523)      4,534,781 

 

Shares/Description   Rate   Maturity   Value 
BUSINESS DEVELOPMENT COMPANY NOTES - 5.66%(a)         
United States - 5.66%               
 2,000,000   Bain Capital Specialty Finance, Inc.(c)   8.50%   06/10/2023    2,059,900 
 13,606   Capital Southwest Corp.   5.95%   12/15/2022    341,511 
 235,511   Oxford Square Capital Corp.   6.50%   03/30/2024    5,885,420 
 86,240   Portman Ridge Finance Corp.   6.13%   09/30/2022    2,163,762 
 29,532   Stellus Capital Investment Corp.   5.75%   09/15/2022    742,434 
     TriplePoint Venture Growth BDC               
 30,626   Corp.   5.75%   07/15/2022    772,081 
                     
TOTAL BUSINESS DEVELOPMENT COMPANY NOTES           
(Cost $11,580,913)             11,965,108 

 

Principal Amount/Description   Rate   Maturity   Value 
FOREIGN CORPORATE BONDS - 6.42%(a)            
Argentina - 0.09%             
$150,000   Banco Macro SA(d)(e)   6.75%   11/04/2026    130,127 
 80,000   Capex SA(e)   6.88%   05/15/2024    70,401 
                   200,528 
Brazil - 0.37%               
 300,000   CSN Islands XII Corp.(e)(f)   7.00%   Perpetual Maturity    298,028 
 250,000   Oi SA(g)   10.00% (4.00%)    07/27/2025    266,253 
 200,000   Unigel Luxembourg SA(e)   8.75%   10/01/2026    216,002 
                   780,283 
British Virgin Islands - 0.09%              
 200,000   C10 Capital SPV, Ltd.(d)(e)(f)   3M US L + 4.71%    Perpetual Maturity    189,000 
                     
Canada - 0.43%               
 250,000   Canacol Energy, Ltd.(e)   7.25%   05/03/2025    268,284 

 

See Notes to Financial Statements.

 

6 (888) 848-7569 | www.rivernorth.com

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments December 31, 2020 (Unaudited)

 

Principal Amount/Description   Rate   Maturity   Value 
$165,000   Garda World Security Corp.(h)   8.75%   05/15/2025    172,114 
 250,000   Gran Tierra Energy, Inc.(h)   7.75%   05/23/2027    172,503 
 80,000   Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.(h)   7.00%   12/31/2027    83,912 
 200,000   Tervita Corp.(h)   11.00%   12/01/2025    215,862 
                   912,675 
Cayman Islands - 0.50%               
 250,000   Banco BTG Pactual SA(d)(e)   7.75%   02/15/2029    273,593 
 250,000   Banco Mercantil del Norte SA/Grand Cayman(d)(e)(f)   7.63%   Maturity    284,065 
 350,000   Itau Unibanco Holding SA Island(d)(e)(f)   5Y US TI + 3.222%     Maturity    343,878 
 250,000   Latam Finance, Ltd.(e)(i)   7.00%   03/01/2026    126,688 
                   1,028,224 
Chile - 0.34%               
 250,000   AES Gener SA(d)(e)   7.13%   03/26/2079    278,124 
 200,000   Empresa Electrica Guacolda SA(e)   4.56%   04/30/2025    180,510 
 250,000   Geopark, Ltd.(e)   6.50%   09/21/2024    260,000 
                   718,634 
China - 0.52%               
 200,000   Agile Group Holdings, Ltd.(d)(f)   6.88%   Perpetual Maturity    206,007 
 200,000   Central China Real Estate, Ltd.   7.25%   07/16/2024    202,003 
 250,000   CIFI Holdings Group Co., Ltd.(d)(f)   5.38%   Perpetual Maturity    254,380 
 200,000   Ronshine China Holdings, Ltd.   6.75%   08/05/2024    200,500 
 200,000   Yuzhou Group Holdings Co., Ltd.   8.30%   05/27/2025    217,625 
                   1,080,515 
Colombia - 0.33%              
 200,000   Credivalores-Crediservicios SAS(h)   8.88%   02/07/2025    150,500 
 250,000   Gilex Holding Sarl(e)   8.50%   05/02/2023    261,096 
 259,000   Tecnoglass, Inc.(e)   8.20%   01/31/2022    270,921 
                   682,517 
Dominican Republic - 0.12%               
 250,000   Aeropuertos Dominicanos Siglo XXI SA(e)   6.75%   03/30/2029    260,265 
                     
Great Britain -0.09%               
 250,000   Vedanta Resources Finance II PLC(h)   9.25%   04/23/2026    190,000 
                     
Hong Kong - 0.25%               
 300,000   Bangkok Bank PCL(d)(f)(h)   5Y US TI + 4.729%    Perpetual Maturity    314,414 

 

See Notes to Financial Statements.

 

Semi-Annual Report | December 31, 2020 7

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments December 31, 2020 (Unaudited)

 

Principal Amount/Description   Rate   Maturity   Value 
$200,000   RKP Overseas Finance, Ltd.(f)   7.95%   Perpetual Maturity    200,318 
                   514,732 
India - 0.13%               
 250,000   Network i2i, Ltd.(d)(f)(h)   5.65%   Perpetual Maturity    266,375 
                     
Indonesia - 0.30%               
 200,000   ABM Investama Tbk PT(e)   7.13%   08/01/2022    177,750 
 200,000   Bayan Resources Tbk PT(e)   6.13%   01/24/2023    205,615 
 226,750   Star Energy Geothermal Wayang Windu, Ltd.(e)   6.75%   04/24/2033    257,120 
                   640,485 
Ireland - 0.13%               
 250,000   C&W Senior Financing DAC(e)   6.88%   09/15/2027    270,343 
                     
Luxembourg - 0.19%               
 200,000   FS Luxembourg Sarl(h)   10.00%   12/15/2025    216,850 
 200,000   Puma International Financing SA(e)   5.00%   01/24/2026    194,000 
                   410,850 
Mauritius - 0.09%               
 200,000   UPL Corp., Ltd.(d)(f)   5.25%   Perpetual Maturity    197,970 
                     
Mexico - 0.89%               
 300,000   Alpha Holding SA de CV(h)   9.00%   02/10/2025    221,550 
 200,000   Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand(d)(f)   8.50%   Perpetual Maturity    211,500 
 200,000   Braskem Idesa SAPI(h)   7.45%   11/15/2029    188,000 
 250,000   Credito Real SAB de CV SOFOM ER(d)(e)(f)   9.13%   Perpetual Maturity    241,878 
 254,202   Fermaca Enterprises S RL   6.38%   03/30/2038    296,526 
 250,000   Mexarrend SAPI de CV(h)   10.25%   07/24/2024    228,440 
 200,000   Operadora de Servicios Mega SA de CV Sofom ER(h)   8.25%   02/11/2025    208,875 
 200,000   TV Azteca SAB de CV   8.25%   08/09/2024    113,229 
 250,000   Unifin Financiera SAB de CV(d)(e)(f)   8.88%   Perpetual Maturity    191,878 
                   1,901,876 
Netherlands -0.47%               
 250,000   AES Andres BV / Dominican Power Partners / Empresa Generadora de Electricidad It(e)   7.95%   05/11/2026    259,063 
 200,000   Braskem Netherlands Finance BV(e)   5.88%   01/31/2050    207,152 

 

See Notes to Financial Statements.

 

8 (888) 848-7569 | www.rivernorth.com

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments December 31, 2020 (Unaudited)

 

Principal Amount/Description   Rate   Maturity   Value 
$200,000   Metinvest BV(e)   7.75%   10/17/2029    219,712 
 250,000   Petrobras Global Finance BV   6.90%   03/19/2049    317,500 
                   1,003,427 
Panama - 0.10%               
 200,000   UEP Penonome II SA(h)   6.50%   10/01/2038    208,854 
                     
Peru - 0.33%               
 150,000   Camposol SA(h)   6.00%   02/03/2027    158,730 
 250,000   Hunt Oil Co. of Peru LLC Sucursal Del Peru(e)   6.38%   06/01/2028    277,624 
 300,000   Peru LNG Srl(e)   5.38%   03/22/2030    268,050 
                   704,404 
Singapore - 0.32%               
 200,000   Indika Energy Capital III Pte, Ltd.(e)   5.88%   11/09/2024    206,000 
 250,000   Medco Oak Tree Pte, Ltd.(e)   7.38%   05/14/2026    269,394 
 200,000   TBLA International Pte, Ltd.   7.00%   01/24/2023    202,490 
                   677,884 
Switzerland - 0.10%               
 200,000   Walnut Bidco PLC(e)   9.13%   08/01/2024    212,322 
                     
Thailand - 0.09%               
 200,000   TMB Bank PCL(d)(f)   5Y US TI + 3.256%     Perpetual Maturity    195,500 
                     
Trinidad and Tobago - 0.15%               
 300,000   Telecommunications Services of Trinidad & Tobago, Ltd.(e)   8.88%   10/18/2029    308,250 
                     
TOTAL FOREIGN CORPORATE BONDS               
(Cost $12,944,268)             13,555,913 
                     
U.S. CORPORATE BONDS - 2.99%(a)               
Aerospace/Defense - 0.21%               
 365,000   Triumph Group, Inc.(h)   6.25%   09/15/2024    362,719 
 90,000   Triumph Group, Inc.   7.75%   08/15/2025    82,575 
                   445,294 
Agriculture - 0.05%               
 127,656   Pyxus Holdings, Inc.   10.00%   08/24/2024    104,997 
Airlines - 0.48%               
 944,339   JetBlue 2019-1 Class B Pass Through Trust   8.00%   11/15/2027    1,014,329 
Auto Parts & Equipment - 0.16%               
 330,000   Dealer Tire LLC / DT Issuer LLC(h)   8.00%   02/01/2028    348,505 

 

See Notes to Financial Statements.

 

Semi-Annual Report | December 31, 2020 9

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments December 31, 2020 (Unaudited)

 

Principal Amount/Description   Rate   Maturity   Value 
Chemicals - 0.24%             
$260,000   Illuminate Buyer LLC / Illuminate Holdings IV, Inc.(h)   9.00%   07/01/2028   $286,325 
 200,000   Sasol Financing USA LLC   5.88%   03/27/2024    213,050 
                   499,375 
Commercial Services - 0.06%               
 110,000   Sabre GLBL, Inc.(h)   7.38%   09/01/2025    119,515 
Computers - 0.34%               
 175,000   Austin BidCo, Inc.(h)   7.13%   12/15/2028    182,984 
 175,000   Dell International LLC / EMC Corp.(h)   6.10%   07/15/2027    217,621 
 305,000   Flexential Intermediate Corp.(h)   11.25%   08/01/2024    319,678 
                   720,283 
Distribution/Wholesale - 0.03%               
 60,000   Wolverine Escrow LLC(h)   9.00%   11/15/2026    56,906 
Engineering & Construction - 0.10%               
 195,000   PowerTeam Services LLC(h)   9.03%   12/04/2025    217,446 
Healthcare-Products - 0.10%               
     Ortho-Clinical Diagnostics, Inc. /               
 45,000   Ortho-Clinical Diagnostics SA(h)   7.38%   06/01/2025    48,009 
     Ortho-Clinical Diagnostics, Inc. /               
 145,000   Ortho-Clinical Diagnostics SA(h)   7.25%   02/01/2028    153,247 
                   201,256 
Healthcare-Services - 0.23%               
 80,000   CHS/Community Health Systems, Inc.(h)   6.00%   01/15/2029    86,521 
 305,000   Radiology Partners, Inc.(h)   9.25%   02/01/2028    343,979 
 70,000   RP Escrow Issuer LLC(h)   5.25%   12/15/2025    73,302 
                   503,802 
Internet - 0.10%               
 30,000   Arches Buyer, Inc.(h)   6.13%   12/01/2028    31,037 
 165,000   Uber Technologies, Inc.(h)   6.25%   01/15/2028    179,644 
                   210,681 
Leisure Time - 0.02%               
 45,000   Carnival Corp.(h)   7.63%   03/01/2026    49,111 
Oil & Gas - 0.16%               
 250,000   Kosmos Energy, Ltd.(e)   7.13%   04/04/2026    243,085 
 85,000   PBF Holding Co. LLC / PBF Finance Corp.(h)   9.25%   05/15/2025    83,481 
                   326,566 
Telecommunications - 0.71%               
 545,000   Embarq Corp Eq 7.995 06/01/36   8.00%   06/01/2036    673,252 
 90,000   Frontier Communications Corp.(h)   6.75%   05/01/2029    96,469 
 410,000   Gogo Intermediate Holdings LLC / Gogo Finance Co., Inc.(h)   9.88%   05/01/2024    439,771 

 

See Notes to Financial Statements.

 

10 (888) 848-7569 | www.rivernorth.com

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments December 31, 2020 (Unaudited)

 

Principal Amount/Description   Rate   Maturity   Value 
$435,000   Intelsat Jackson Holdings SA(h)(i)   8.50%   10/15/2024   $312,069 
                   1,521,561 
                     
TOTAL U.S. CORPORATE BONDS               
(Cost $6,000,052)             6,339,627 
                     
CONVERTIBLE CORPORATE BONDS -2.58% (a)               
 1,724,093   BlackRock Capital Investment Corp.   5.00%   06/15/2022    1,710,984 
 997,837   BlackRock TCP Capital Corp.   4.63%   03/01/2022    1,002,948 
 500,000   Goldman Sachs BDC, Inc.   4.50%   04/01/2022    515,650 
 500,000   Hercules Capital, Inc.   4.38%   02/01/2022    514,632 
 1,648,448   New Mountain Finance Corp.   5.75%   08/15/2023    1,699,962 
                     
TOTAL CONVERTIBLE CORPORATE BONDS               
(Cost $4,788,576)             5,444,176 
                     
FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND FOREIGN AGENCIES - 0.12%(a)      
 200,000   Mexico Government International Bond   5.00%   04/27/2051    249,700 
                     
TOTAL FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND FOREIGN AGENCIES
(Cost $185,327)             249,700 
                     
BANK LOANS - 4.82%(a)(d)               
Canada - 0.12%               
 85,000   Kronos Acquisition Holdings, Inc., First Lien - Initial (2020) Term Loan(j)   L + 4.50%, 0.75% Floor    12/22/2026    85,299 
 169,324   Titan Acquisition, Ltd., First Lien - Initial Term Loan   3M US L + 3.00%    03/28/2025    165,582 
                   250,881 
Ireland - 0.08%               
 172,741   ION Trading Technologies S.A.R.L., First Lien - 2018 Initial Dollar Term Loan   3M US L + 4.00%, 1.00% Floor    11/21/2024    172,680 
                     
Israel - 0.08%               
 176,713   Playtika Holding Corp., First Lien - B Term Loan   3M US L + 6.00%, 1.00% Floor    12/10/2024    178,130 

 

See Notes to Financial Statements.

 

Semi-Annual Report | December 31, 2020 11

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments December 31, 2020 (Unaudited)

 

Principal Amount/Description   Rate  Maturity   Value 
Luxembourg - 0.31%            
$230,000   Curium BidCo S.a r.l., Second Lien - 2nd lien TL Term Loan(j)  L + 7.75%   10/27/2028   $230,575 
 323,459   Travelport Finance S.à r.l., First Lien - Initial (Priority) Term Loan(j)  L + 8.00%, 1.00% Floor   02/28/2025    319,921 
     Travelport Finance S.à r.l., First             
 139,769   Lien - Initial Term Loan  3M US L + 5.00%   05/29/2026    95,859 
                 646,355 
Netherlands - 0.12%             
 410,000   Bright Bidco B.V., First Lien -2018 Refinancing B Term Loan(j)  L + 3.50%, 1.00% Floor   06/30/2024    237,843 
 2,433   Lealand Finance Company B.V., First Lien - Make-Whole Term Loan  1M US L + 3.00%   06/28/2024    2,008 
     Lealand Finance Company B.V.,             
 30,999   First Lien - Take-Back Term Loan  1M US L + 4.00%   06/30/2025    20,846 
                 260,697 
United States - 4.11%             
 517,115   Air Methods Corp., First Lien - Initial Term Loan  3M US L + 3.50%, 1.00% Floor   04/22/2024    500,826 
 566,370   American Tire Distributors, Inc., First Lien - Initial Term Loan  3M US L + 7.50%, 1.00% Floor   09/02/2024    543,148 
 102,576   Avaya, Inc., First Lien -Tranche B Term Loan  1M US L + 4.25%   12/15/2024    103,317 
 127,424   Avaya, Inc., First Lien -Tranche B-1Term Loan  1M US L + 4.25%   12/15/2027    127,689 
 248,438   Castle US Holding Corp., First Lien - Initial Dollar Term Loan  3M US L + 3.75%   01/29/2027    244,477 
 319,974   Cengage Learning, Inc., First Lien - 2016 Refinancing Term Loan  3M US L + 4.25%, 1.00% Floor   06/07/2023    307,793 
 710,344   Cvent, Inc., First Lien Term Loan  1M US L + 3.75%   11/29/2024    685,482 
 211,830   Cyxtera DC Holdings, Inc., First Lien - Initial Term Loan  3M US L + 3.00%, 1.00% Floor   05/01/2024    198,937 
 48,916   Dhanani Group, Inc., First Lien Term Loan  1M US L + 3.75%   07/20/2025    48,121 
 229,415   Envision Healthcare Corp., First Lien - Initial Term Loan  1M US L + 3.75%   10/10/2025    192,394 
 118,473   Global Medical Response, Inc., First Lien - 2018 New Term Loan  3M US L + 4.25%, 1.00% Floor   03/14/2025    117,585 
 243,933   Golden Nugget, Inc., First Lien - Initial B Term Loan  2M US L + 2.50%, 0.75% Floor   10/04/2023    236,300 
 197,500   Granite US Holdings Corp., First Lien - B Term Loan  3M US L + 5.25%   09/30/2026    197,994 
 323,140   Gulf Finance LLC, First Lien - Tranche B Term Loan  1M US L + 5.25%, 1.00% Floor   08/25/2023    246,626 

 

See Notes to Financial Statements.

 

12 (888) 848-7569 | www.rivernorth.com

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments December 31, 2020 (Unaudited)

 

Principal Amount/Description   Rate  Maturity   Value 
$150,000   Ivanti Software, Inc., First Lien - Initial Term Loan  1M US L + 4.75%, 1.00% Floor   12/01/2027   $149,906 
 38,792   Klockner Pentaplast of America, Inc., First Lien - Dollar Term Loan  3M US L + 4.25%, 1.00% Floor   06/30/2022    38,768 
 128,375   Lower Cadence Holdings LLC, First Lien - Initial Term Loan  1M US L + 4.00%   05/22/2026    125,687 
 105,000   Milano Acquisition Corp., First Lien - B Term Loan  3M US L + 4.00%, 0.75% Floor   10/01/2027    105,240 
 369,361   Minotaur Acquisition, Inc., First Lien - B Term Loan  1M US L + 5.00%   03/27/2026    363,359 
 207,911   Misys, Ltd., First Lien -Dollar Term Loan  3M US L + 3.50%, 1.00% Floor   06/13/2024    204,186 
 230,000   Misys, Ltd., Second Lien -Dollar Term Loan  3M US L + 7.25%, 1.00% Floor   06/13/2025    231,561 
 445,000   Mitchell International, Inc., Second Lien - Initial Term Loan  1M US L + 7.25%   12/01/2025    431,929 
 203,387   MLN US HoldCo LLC, First Lien -B Term Loan  1M US L + 4.50%   11/30/2025    185,384 
 351,379   MPH Acquisition Holdings LLC, First Lien - Initial Term Loan  3M US L + 2.75%, 1.00% Floor   06/07/2023    350,419 
 40,879   Onedigital Borrower LLC Delayed Tl(j)  L + 4.50%   11/16/2027    41,032 
 414,121   OneDigital Borrower LLC, First Lien - Initial Term Loan  3M US L + 4.50%, 0.75% Floor   11/16/2027    415,674 
 439,324   Peak 10 Holding Corp., First Lien - Initial Term Loan  3M US L + 3.50%   08/01/2024    394,994 
 215,778   Radiology Partners, Inc., First Lien - B Term Loan  3M US L + 4.25%   07/09/2025    212,721 
 225,730   Solenis Holdings LLC, First Lien - Initial Dollar Term Loan  3M US L + 4.00%   06/26/2025    225,786 
 90,000   Solenis Holdings LLC, Second Lien - Initial Term Loan  3M US L + 8.50%   06/26/2026    89,925 
 385,000   Team Health Holdings, Inc., First Lien - Initial Term Loan  1M US L + 2.75%, 1.00% Floor   02/06/2024    344,783 
 220,000   TIBCO Software, Inc., Second Lien  1M US L + 7.25%   03/03/2028    222,933 
 484,724   Vantage Specialty Chemicals, Inc., First Lien - Closing Date Term Loan(j)  L + 3.50%, 1.00% Floor   10/28/2024    462,408 
     Web.com Group, Inc., Second             
 354,722   Lien - Initial Term Loan  1M US L + 7.75%   10/09/2026    340,385 
                 8,687,769 
                   
TOTAL BANK LOANS             
(Cost $10,065,769)           10,196,512 

 

See Notes to Financial Statements.

 

Semi-Annual Report | December 31, 2020 13

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments December 31, 2020 (Unaudited)

 

Principal Amount/Description   Rate  Maturity   Value 
COLLATERALIZED LOAN OBLIGATIONS -3.98%(a)             
     Apidos CLO XXI             
$500,000   Series 2018-21A(d)(h)  3M US L + 8.25%   07/18/2027   $407,715 
     Apidos CLO XXIV             
 500,000   Series 2018-24A(d)(h)  3M US L + 5.80%   10/20/2030    465,483 
     Apidos CLO XXXII             
 500,000   Series 2020-32A(d)(h)  3M US L + 6.75%   01/20/2033    496,539 
     Apres Static CLO 2, Ltd.             
 500,000   Series 2020-1A(d)(h)  3M US L + 4.85%   04/15/2028    501,956 
     Barings CLO, Ltd.             
 500,000   Series 2018-4A(d)(h)  3M US L + 5.82%   10/15/2030    476,152 
     Canyon Capital CLO, Ltd.             
 500,000   Series 2018-1A(d)(h)  3M US L + 5.75%   07/15/2031    460,413 
     Carlyle Global Market Strategies CLO, Ltd.             
 500,000   Series 2017-3A(d)(h)  3M US L + 5.50%   10/15/2030    441,905 
 500,000   Series 2018-2RA(d)(h)  3M US L + 5.35%   05/15/2031    436,594 
     Chenango Park CLO, Ltd.             
 500,000   Series 2018-1A(d)(h)  3M US L + 5.80%   04/15/2030    479,903 
     Dorchester Park CLO DAC             
 500,000   Series 2018-1A(d)(h)  3M US L + 5.00%   04/20/2028    480,562 
     Fillmore Park CLO, Ltd.             
 500,000   Series 2018-1A(d)(h)  3M US L + 5.40%   07/15/2030    466,804 
     Goldentree Loan Management US Clo 3, Ltd.             
 500,000   Series 2018-3A(d)(h)  3M US L + 2.85%   04/20/2030    483,698 
     Myers Park CLO, Ltd.             
 500,000   Series 2018-1A(d)(h)  3M US L + 5.50%   10/20/2030    468,661 
     Neuberger Berman CLO XXIII, Ltd.             
 500,000   Series 2018-23A(d)(h)  3M US L + 5.75%   10/17/2027    486,460 
     THL Credit Wind River CLO, Ltd.             
 500,000   Series 2018-2A(d)(h)  3M US L + 5.75%   07/15/2030    455,349 
     Voya CLO, Ltd.             
 500,000   Series 2018-2A(d)(h)  3M US L + 5.25%   07/15/2031    465,244 
 500,000   Series 2018-4A(d)(h)  3M US L + 5.95%   07/14/2031    441,231 
     Webster Park CLO, Ltd.             
 500,000   Series 2018-1A(d)(h)  3M US L + 5.50%   07/20/2030    480,904 
                   
TOTAL COLLATERALIZED LOAN OBLIGATIONS             
(Cost $8,847,811)           8,395,573 
                   
NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS -31.94%(a)             
     AmeriHome GMSR Issuer Trust             
 2,500,000   Series 2019-GT1(h)  4.68%   11/25/2026    2,270,487 

 

See Notes to Financial Statements.

 

14 (888) 848-7569 | www.rivernorth.com

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments December 31, 2020 (Unaudited)

 

Principal Amount/Description   Rate   Maturity   Value 
     AREIT Trust               
$538,000   Series 2019-CRE3(d)(h)   1M US L + 2.65%    07/14/2022   $515,235 
     Atrium Hotel Portfolio Trust               
 433,000   Series 2018-ATRM(d)(h)   1M US L + 3.40%    06/15/2021    381,502 
     Atrium XIII               
 500,000   Series 2017-13A(d)(h)   3M US L + 6.05%    11/21/2030    470,431 
     Atrium XIV LLC               
 500,000   Series 2018-14A(d)(h)   3M US L + 5.65%    08/23/2030    477,922 
     BAMLL Commercial Mortgage               
     Securities Trust               
 730,000   Series 2019-AHT(d)(h)   2.68%   03/15/2021    691,368 
     Bancorp Commercial Mortgage Trust               
 631,000   Series 2019-CRE5(d)(h)   1M US L + 2.35%    02/15/2022    601,424 
     BBCMS Trust               
 682,000   Series 2018-CBM(d)(h)   1M US L + 3.55%    07/15/2037    618,327 
     BB-UBS Trust               
 500,000   Series 2012-TFT(d)(h)   3.56%   06/05/2030    438,225 
     Benchmark 2018-B4 Mortgage Trust               
 498,000   Series 2018-B4(d)(h)   2.81%   07/15/2028    444,020 
     BF Mortgage Trust               
 315,000   Series 2019-NYT(d)(h)   1M US L + 3.00%    12/15/2020    304,926 
     Blackbird Capital Aircraft Lease Securitization, Ltd.               
 2,281,250   Series 2016-1A(h)(k)   5.68%   12/15/2024    1,992,918 
     BX Commercial Mortgage Trust               
 321,000   Series 2019-IMC(d)(h)   1M US L + 1.90%    04/15/2021    301,398 
     BX Trust               
 325,000   Series 2019-OC11(d)(h)   4.08%   12/09/2029    323,984 
     Carbon Capital VI Commercial Mortgage Trust               
 316,000   Series 2019-FL2(d)(h)   1M US L + 2.85%    11/15/2021    279,772 
     Castlelake Aircraft Securitization Trust               
 376,851   Series 2018-1(h)   6.63%   06/15/2025    172,535 
 1,250,000   Castlelake Aircraft Structured Trust Series 2019-1A(h)   0.00%   04/15/2039    248,427 
     CIM Trust               
 3,720,000   Series 2016-3RR B2(d)(h)   10.69%   01/27/2057    3,550,606 
     Citigroup Commercial Mortgage Trust               
 196,000   Series 2015-GC27(d)(h)   4.42%   01/10/2025    175,459 
 138,000   Series 2016-GC36(h)   2.85%   01/10/2026    99,298 
 319,000   Series 2018-TBR(d)(h)   1M US L + 3.65%    12/15/2036    278,578 

 

See Notes to Financial Statements.

 

Semi-Annual Report | December 31, 2020 15

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments December 31, 2020 (Unaudited)

 

Principal Amount/Description   Rate   Maturity  Value 
$375,000   Series 2020-555(d)(h)   3.62%  12/10/2029  $284,675 
     Citigroup COmmercial Mortgage Trust 2019-SMRT             
 320,000   Series 2019-SMRT(d)(h)   4.75%  01/10/2024   324,617 
     CLNC 2019-FL1, Ltd.             
 326,000   Series 2019-FL1(d)(h)   1M US L + 1.55%   12/19/2025   321,669 
     COMM Mortgage Trust             
 878,000   Series 2018-HCLV(d)(h)   1M US L + 2.18%   09/15/2033   785,756 
     Commercial Mortgage Pass-Through Certificates             
 286,000   Series 2015-CR25(d)   4.54%  08/10/2025   297,214 
     CSAIL 2016-C6 Commercial Mortgage Trust             
 428,000   Series 2016-C6(d)(h)   4.95%  05/15/2026   405,256 
     DBGS 2018-BIOD Mortgage Trust             
 269,160   Series 2018-BIOD(d)(h)   1M US L + 2.00%   05/15/2035   269,043 
     DBJPM 16-C1 Mortgage Trust             
 416,000   Series 2016-C1(d)   3.35%  03/10/2026   392,244 
     Dryden 37 Senior Loan Fund             
 500,000   Series 2017-37A(d)(h)   3M US L + 5.15%   01/15/2031   438,792 
     Dryden 38 Senior Loan Fund             
 500,000   Series 2018-38A(d)(h)   3M US L + 5.60%   07/15/2030   459,649 
     Dryden 40 Senior Loan Fund             
 500,000   Series 2018-40A(d)(h)   3M US L + 5.75%   08/15/2031   466,114 
     Fannie Mae-Aces             
 5,495,951   Series 2019-M24(d)(l)   1.15%  03/25/2031   542,420 
 18,974,356   Series 2020-M10(d)(l)   0.87%  07/25/2032   1,459,719 
 5,486,243   Series 2020-M13(d)(l)   1.30%  09/25/2030   508,763 
     FirstKey Homes 2020-SFR1 Trust             
 700,000   Series 2020-SFR1(h)   4.28%  09/17/2025   727,927 
     Fontainebleau Miami Beach Trust             
 546,000   Series 2019-FBLU(d)(h)   3.96%  12/10/2024   503,606 
     FREMF 2015-KF07 Mortgage Trust             
 270,544   Series 2015-KF07(d)(h)   1M US L + 4.95%   02/25/2025   272,699 
     FREMF 2016-KF19 Mortgage Trust             
 299,980   Series 2016-KF19(d)(h)   1M US L + 5.50%   06/25/2023   299,811 
     FREMF 2016-KF25 Mortgage Trust             
 296,494   Series 2016-KF25(d)(h)   1M US L + 5.00%   10/25/2023   294,698 
     FREMF Mortgage Trust             
 394,367   Series 2016-KF22(d)(h)   1M US L + 5.05%   07/25/2023   401,051 
     Government National Mortgage Association             
 11,665,531   Series 2013-155(d)(l)   0.05%  09/16/2053   81,901 
 6,307,612   Series 2020-168(d)(l)   0.99%  12/16/2062   561,006 

 

See Notes to Financial Statements.

 

16 (888) 848-7569 | www.rivernorth.com

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments December 31, 2020 (Unaudited)

 

Principal Amount/Description   Rate   Maturity  Value 
     GPMT, Ltd.             
$999,000   Series 2018-FL1(d)(h)   1M US L + 2.95%   04/19/2021  $954,288 
     Great Wolf Trust             
 1,100,000   Series 2019-WOLF(d)(h)   1M US L + 3.13%   12/15/2024   978,301 
     GS Mortgage Securities Corp. Trust 2018-RIVR             
 300,000   Series 2018-RIVR(d)(h)   1M US L + 1.55%   07/15/2035   262,443 
     GS Mortgage Securities Trust             
 1,776,000   Series 2014-GC26(d)(h)   4.51%  11/10/2047   1,335,085 
 655,000   Series 2018-TWR(d)(h)   1M US L + 3.92%   07/15/2021   559,816 
     Hawaii Hotel Trust             
 230,000   Series 2019-MAUI(d)(h)   1M US L + 2.75%   05/15/2021   214,132 
     Highbridge Loan Management 4-2014, Ltd.             
 500,000   Series 2018-2014(d)(h)   3M US L + 5.55%   01/28/2030   465,300 
     Highbridge Loan Management, Ltd.             
 500,000   Series 2018-2015(d)(h)   3M US L + 5.10%   02/05/2031   446,799 
     HPLY Trust             
 187,113   Series 2019-HIT(d)(h)   1M US L + 3.90%   11/15/2021   161,865 
     InSite Issuer LLC             
 3,000,000   Series 2016-1A(h)   6.41%  11/15/2023   3,235,206 
     J.P. Morgan Chase Commercial Mortgage Securities Trust             
 500,000   Series 2016-WIKI(d)(h)   4.01%  10/05/2021   457,133 
     JP Morgan BB Commercial Mortgage Securities Trust             
 1,062,000   Series 2014-C23(d)(h)   3.36%  10/15/2024   695,300 
 632,000   Series 2015-C27(d)(h)   3.81%  02/15/2025   516,734 
 290,000   Series 2015-C28   3.99%  03/15/2025   309,668 
     JP Morgan Chase Commercial Mortgage Securities Trust             
 83,909   Series 2006-LDP9   5.34%  05/15/2047   74,260 
 411,000   Series 2011-C3(d)(h)   5.70%  03/15/2021   125,726 
 320,000   Series 2019-MFP(d)(h)   1M US L + 3.00%   07/15/2021   298,593 
 109,000   Series 2019-UES(h)   4.34%  05/05/2024   109,581 
 525,000   Series 2019-UES(d)(h)   4.45%  05/05/2024   495,084 
     JPMBB Commercial Mortgage Securities Trust             
 9,475,000   Series 2013-C14(d)(h)(l)   1.10%  08/15/2023   246,530 
     LCM Loan Income Fund I Income Note Issuer, Ltd.             
 500,000   Series 2018-27A(d)(h)   3M US L + 5.60%   07/16/2031   440,475 
     LCM XIV LP             
 500,000   Series 2018-14A(d)(h)   3M US L + 5.50%   07/20/2031   434,250 

 

See Notes to Financial Statements.

 

Semi-Annual Report | December 31, 2020 17

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments December 31, 2020 (Unaudited)

 

Principal Amount/Description   Rate  Maturity  Value 
     LCM XVII LP           
$500,000   Series 2018-17A(d)(h)  3M US L + 6.00%  10/15/2031  $451,835 
     Legacy Mortgage Asset Trust           
 6,200,000   Series 2019-GS3(h)(k)  4.25%  04/25/2059   6,150,420 
     Mello Warehouse Securitization Trust           
 3,250,000   Series 2019-1(d)(h)  1M US L + 5.50%  05/14/2021   3,249,734 
     MFT Trust 2020-ABC           
 365,000   Series 2020-ABC(d)(h)  3.48%  02/10/2030   322,693 
     Morgan Stanley Capital Barclays Bank Trust 2016-MART           
 302,000   Series 2016-MART(h)  3.31%  09/13/2021   296,768 
     Morgan Stanley Capital I Trust           
 363,000   Series 2007-IQ15(d)(h)  6.15%  06/11/2049   349,443 
 210,000   Series 2017-ASHF(d)(h)  1M US L + 4.35%  11/15/2034   174,675 
 350,000   Series 2018-SUN(d)(h)  1M US L + 3.05%  07/15/2035   326,408 
     Mosaic Solar Loan Trust 2020-1           
 2,900,000   Series 2020-1A(h)  0.00%  04/20/2046   1,114,096 
     Motel 6 Trust 2017-MTL6           
 297,708   Series 2017-MTL6(d)(h)  1M US L + 4.25%  08/15/2034   293,362 
     New Century Home Equity Loan Trust           
 1,907,509   Series 2006-1(d)  1M US L + 0.18%  05/25/2036   1,808,540 
     Octagon Investment Partners 26, Ltd.           
 500,000   Series 2018-1A(d)(h)  3M US L + 8.09%  07/15/2030   421,440 
     Octagon Investment Partners 29, Ltd.           
 500,000   Series 2020-1A(d)(h)  3M US L + 7.25%  01/24/2033   499,997 
     Octagon Investment Partners 45,           
     Ltd.           
 500,000   Series 2019-1A(d)(h)  3M US L + 7.69%  10/15/2032   504,417 
     Octagon Investment Partners XVI, Ltd.           
 500,000   Series 2018-1A(d)(h)  3M US L + 5.75%  07/17/2030   470,053 
     Octagon Investment Partners XXI, Ltd.           
 500,000   Series 2019-1A(d)(h)  3M US L + 7.00%  02/14/2031   500,321 
     Octagon Investment Partners XXII, Ltd.           
 500,000   Series 2018-1A(d)(h)  3M US L + 1.90%  01/22/2030   492,453 
     One Market Plaza Trust           
 319,000   Series 2017-1MKT(h)  4.14%  02/10/2024   325,091 
     PR Mortgage Loan Trust           
 2,112,665   Series 2014-1(d)(h)  5.91%  09/25/2047   2,090,360 

 

See Notes to Financial Statements.

 

18 (888) 848-7569 | www.rivernorth.com

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments December 31, 2020 (Unaudited)

 

Principal Amount/Description   Rate   Maturity  Value 
     PRPM LLC             
$4,000,000   Series 2020-1A(h)(k)   3.97%  02/25/2023  $3,974,122 
     RMAT LLC             
 482,057   Series 2015-PR2(h)(k)   9.85%  11/25/2035   481,776 
     Sofi Professional Loan Program 2018-C Trust             
 50,000   Series 2018-C(h)   0.00%  01/25/2048   1,608,611 
     SoFi Professional Loan Program Trust             
 20,000   Series 2020-A(h)   0.00%  05/15/2046   1,246,582 
     SoFi Professional Loan Program, LLC             
 28,017   Series 2019-B(h)   0.00%  08/17/2048   795,742 
     Trimaran CAVU, Ltd.             
 500,000   Series 2019-2A(d)(h)   3M US L + 4.72%   11/26/2032   505,111 
     UBS-Barclays Commercial Mortgage Trust             
 333,000   Series 2013-C5(d)(h)   4.10%  02/10/2023   209,894 
     UBS-Barclays Commercial Mortgage Trust 2013-C5             
 300,000   Series 2013-C5(d)(h)   4.10%  02/10/2023   288,239 
     VMC Finance LLC             
 457,988   Series 2019-FL3(d)(h)   1M US L + 2.65%   09/15/2036   427,104 
     WAVE LLC             
 491,751   Series 2019-1(h)   6.41%  09/15/2027   302,554 
     Wells Fargo Commercial Mortgage Trust             
 332,000   Series 2016-C33(h)   3.12%  03/15/2059   299,153 
                   
TOTAL NON -AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS             
(Cost $71,711,619)           67,533,035 
                   
U.S. GOVERNMENT / AGENCY MORTGAGE BACKED SECURITIES -52.64%(a)     
     Alternative Loan Trust             
 728,779   Series 2005-48T1   5.50%  11/25/2035   592,829 
 464,626   Series 2005-63(d)   3.24%  12/25/2035   447,152 
 2,613,088   Series 2005-64CB   5.50%  12/25/2035   2,318,329 
 1,155,363   Series 2006-26CB   6.50%  09/25/2036   859,543 
 2,632,854   Series 2007-14T2   6.00%  07/25/2037   1,883,604 
 2,238,135   Series 2007-16CB   6.25%  08/25/2037   1,744,201 
 2,359,176   Series 2007-2CB   5.75%  03/25/2037   1,867,150 
     Banc of America Funding Trust             
 1,934,861   Series 2006-D(d)   3.08%  05/20/2036   1,714,104 
     Banc of America Mortgage Trust             
 1,547,096   Series 2007-3   6.00%  09/25/2037   1,555,390 

 

See Notes to Financial Statements.

 

Semi-Annual Report | December 31, 2020 19

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments December 31, 2020 (Unaudited)

 

Principal Amount/Description   Rate   Maturity  Value 
     Bear Stearns ALT-A Trust             
$1,607,113   Series 2005-10(d)   3.02%  01/25/2036  $1,536,693 
     Bear Stearns ARM Trust             
 1,059,276   Series 2006-2(d)   3.45%  07/25/2036   1,009,763 
     Chase Mortgage Finance Trust Series             
 3,054,060   Series 2007-S4(d)   1M US L + 0.60%   06/25/2037   971,675 
     ChaseFlex Trust Series 2007-1             
 2,580,731   Series 2007-1   6.50%  02/25/2037   1,407,777 
     CHL GMSR Issuer Trust             
 3,930,000   Series 2018-GT1(d)(h)   1M US L + 2.75%   05/25/2023   3,881,706 
     CHL Mortgage Pass-Through Trust             
 1,848,704   Series 2005-HYB1(d)   1M US L + 0.60%   03/25/2035   1,777,681 
 2,069,088   Series 2007-9   5.75%  07/25/2037   1,574,223 
 1,935,756   Series 2007-HYB1(d)   3.03%  03/25/2037   1,793,561 
     Citigroup Mortgage Loan Trust             
 774,651   Series 2007-AR5(d)   2.90%  04/25/2037   740,099 
     Citigroup Mortgage Loan Trust, Inc.             
 1,590,170   Series 2005-5(d)   2.98%  10/25/2035   1,121,198 
     CSFB Mortgage-Backed Pass-Through Certificates             
 915,450   Series 2005-9   5.50%  10/25/2035   688,570 
     CSMC Mortgage-Backed Trust             
 1,946,634   Series 2006-7   6.75%  08/25/2036   1,560,674 
 1,893,919   Series 2007-1   6.00%  02/25/2037   1,696,129 
     Fannie Mae REMICS             
 3,121,075   Series 2011-101(d)(l)   5.90% - 1M US L   10/25/2041   571,507 
 2,624,628   Series 2011-124(d)(l)   6.50% - 1M US L   12/25/2041   493,621 
 3,186,277   Series 2012-20(d)(l)   6.45% - 1M US L   03/25/2042   517,279 
 5,524,657   Series 2013-109(m)   0.00%  07/25/2043   4,877,197 
 4,414,845   Series 2013-36   3.00%  04/25/2043   4,833,460 
 3,037,538   Series 2014-38   3.00%  09/25/2043   3,046,716 
 936,740   Series 2016-26(d)   7.62% - 1M US L   11/25/2042   1,051,480 
     Federal Home Loan Mortgage Corp. REMICS             
 1,744,079   Series 2013-4170(d)   4.05% - 1M US L   01/15/2033   1,816,683 
     First Horizon Alternative Mortgage Securities Trust             
 477,583   Series 2005-AA8(d)   2.85%  10/25/2035   449,636 
     FMC GMSR Issuer Trust             
 3,000,000   Series 2019-GT1(d)(h)   5.66%  05/25/2024   2,909,161 
     Freddie Mac REMICS             
 4,472,498   Series 2010-3770   4.00%  12/15/2040   5,027,851 
 5,469,128   Series 2011-3966(d)(l)   5.90% - 1M US L   12/15/2041   931,554 

 

See Notes to Financial Statements.

 

20 (888) 848-7569 | www.rivernorth.com

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments December 31, 2020 (Unaudited)

 

Principal Amount/Description   Rate   Maturity  Value 
$5,047,706   Series 2017-4657   3.00%  02/15/2047  $5,326,236 
 15,575,180   Series 2020-5041(l)   2.00%  11/25/2050   1,255,612 
     Government National Mortgage Association             
 4,778,397   Series 2017-17   3.50%  02/20/2047   5,176,065 
 4,980,460   Series 2020-146(d)(l)   6.30% - 1M US L   10/20/2050   1,022,610 
 6,244,464   Series 2020-47(d)(l)   6.00% - 1M US L   05/20/2044   1,200,461 
 13,820,472   Series 2020-47(d)(l)   5.37% - 1M US L   07/20/2044   2,398,051 
     Homeward Opportunities Fund Trust 2020-BPL1             
 1,000,000   Series 2020-BPL1(h)(k)   5.44%  08/25/2025   1,007,769 
     IndyMac INDX Mortgage Loan Trust             
 2,352,620   Series 2007-FLX6(d)   1M US L + 0.25%   09/25/2037   2,007,889 
     Legacy Mortgage Asset Trust             
 5,900,000   Series 2019-GS7(h)(k)   4.50%  11/25/2059   5,901,281 
     Luminent Mortgage Trust             
 1,794,877   Series 2006-3(d)   1M US L + 0.40%   05/25/2036   1,629,979 
 1,520,375   Series 2006-3(d)   1M US L + 0.42%   05/25/2036   1,418,537 
     Mello Warehouse Securitization Trust             
 400,000   Series 2019-2(d)(h)   1M US L + 3.25%   10/25/2021   400,268 
     Nomura Asset Acceptance Corp. Alternative Loan Trust             
 1,951,551   Series 2005-AP3(k)   5.69%  08/25/2035   1,294,892 
 8,698,662   Series 2006-AR1(d)   1M US L + 0.54%   02/25/2036   2,369,286 
     RALI Series Trust             
 1,720,790   Series 2007-QA5(d)   5.34%  09/25/2037   1,651,118 
     Residential Asset Securitization Trust             
 2,386,405   Series 2005-A15   5.75%  02/25/2036   1,599,743 
 2,253,955   Series 2007-A5   6.00%  05/25/2037   1,838,368 
     RFMSI Trust             
 1,145,312   Series 2005-SA2(d)   3.52%  06/25/2035   939,496 
 2,264,411   Series 2006-S8   6.00%  09/25/2036   2,125,719 
     Spruce Hill Mortgage Loan Trust 2020-SH1             
 1,936,000   Series 2020-SH1(d)(h)   4.68%  01/28/2050   1,962,191 
     Structured Adjustable Rate Mortgage Loan Trust             
 783,351   Series 2005-22(d)   3.23%  12/25/2035   750,560 
 1,900,289   Series 2007-8(d)   3.60%  09/25/2037   1,831,111 
     Structured Asset Mortgage Investments II Trust             
 378,630   Series 2005-AR7(d)   2.55%  03/25/2046   385,512 

 

See Notes to Financial Statements.

 

Semi-Annual Report | December 31, 2020 21

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments December 31, 2020 (Unaudited)

 

Principal Amount/Description   Rate   Maturity   Value 
     WaMu Mortgage Pass-Through Certificates Trust               
$1,428,434   Series 2006-AR10(d)   3.16%   08/25/2046   $1,349,022 
 1,194,725   Series 2006-AR6(d)   3.15%   08/25/2036    1,123,618 
 1,489,393   Series 2007-HY3(d)   3.59%   03/25/2037    1,437,015 
     Washington Mutual Mortgage Pass-Through Certificates WMALT Trust               
 1,354,124   Series 2005-8   5.50%   10/25/2035    1,371,272 
 1,174,286   Series 2006-2   6.00%   03/25/2036    1,211,748 
                     
TOTAL U.S. GOVERNMENT / AGENCY MORTGAGE BACKED SECURITIES               
(Cost $114,664,034)             111,253,625 

 

Shares/Description  Value 
SHORT-TERM INVESTMENTS -3.92%(a)     
Money Market Fund - 3.92%     
8,284,945     State Street Institutional Trust (7 Day Yield 0.01%)(n)   8,284,945 
      
TOTAL SHORT-TERM INVESTMENTS     
(Cost $8,284,945)   8,284,945 
      
TOTAL INVESTMENTS - 141.52%     
(Cost $304,631,742)  $299,113,482 
LIABILITIES IN EXCESS OF OTHER ASSETS -(41.52)%   (87,753,011)
NET ASSETS - 100.00%  $211,360,471 

 

Investment Abbreviations:

LIBOR - London Interbank Offered Rate

 

Reference Rates:

1M  US L - 1 Month LIBOR as of December 31, 2020 was 0.14%

2M  US L - 2 Month LIBOR as of December 31, 2020 was 0.19%

3M  US L - 3 Month LIBOR as of December 31, 2020 was 0.24%

5Y  US TI - 5 Year US Treasury Index as of December 31, 2020 was 0.36%

 

(a)All or a portion of the security has been pledged as collateral in connection with an open credit agreement. At December 31, 2020, the value of securities pledged amounted to $299,113,482, which represents approximately 141.52% 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.

 

See Notes to Financial Statements.

 

22 (888) 848-7569 | www.rivernorth.com

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments December 31, 2020 (Unaudited)

 

(d)Variable rate investment. Interest rates reset periodically. Interest rate shown reflects the rate in effect at December 31, 2020. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.
(e)Securities were purchased pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. These securities have been deemed liquid under procedures approved by the Fund's Board of Directors (The "Board"). As of December 31, 2020, the aggregate fair value of those securities was $7,720,217, representing 3.65% of net assets.
(f)Security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.
(g)Pay-in-kind securities. Rate paid in-kind is shown in parenthesis.
(h)Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities have been deemed liquid under procedures approved by the Fund's Board of Directors and may normally be sold to qualified institutional buyers in transactions exempt from registration. Total fair value of Rule 144A securities amounts to $92,960,567, which represents approximately 43.98% of net assets as of December 31, 2020.
(i)Security is currently in default.
(j)All or a portion of this position has not settled as of December 31, 2020. The interest rate shown represents the stated spread over the London Interbank Offered Rate ("LIBOR" or "L") or the Euro Interbank Offered Rate ("EURIBOR" or "E") or the applicable LIBOR/EURIBOR floor; the Fund will not accrue interest until the settlement date, at which point LIBOR/EURIBOR will be established.
(k)Step up bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect at December 31, 2020.
(l)Interest only securities.
(m)Issued with a zero coupon. Income is recognized through the accretion of discount.
(n)Seven-day yield as of December 31, 2020.

 

See Notes to Financial Statements.

 

Semi-Annual Report | December 31, 2020 23

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Statement of Assets and Liabilities December 31, 2020 (Unaudited)

 

ASSETS:    
Investment in securities:     
At cost  $304,631,742 
At value  $299,113,482 
      
Interest receivable   1,250,542 
Receivable for fund investments sold   736,305 
Prepaid offering costs   567,325 
Dividends receivable   262,264 
Prepaid expenses and other assets   1,702 
Total Assets   301,931,620 
LIABILITIES:     
Series A Cumulative Preferred Stock, net of unamortized deferred issuance costs (Liquidation Preference $60,000,000) (See Note 8)   58,167,647 
Facility loan payable   30,000,000 
Dividend payable - redeemable preferred stock   328,125 
Interest payable on facility loan   12,073 
Payable for fund investments purchased   1,607,631 
Payable to Adviser   255,692 
Payable for fund accounting and administration fees   76,553 
Payable for shareholder servicing   25,569 
Payable for custodian fees   13,806 
Payable for audit fees   10,339 
Payable to transfer agent   3,780 
Payable for Compliance fees   10,503 
Payable to Trustees   3,307 
Other accrued expenses   56,124 
Total Liabilities   90,571,149 
Net Assets Attributable to Common Shareholders  $211,360,471 
NET ASSETS ATTRIBUTABLE TO COMMON SHAREHOLDERS CONSIST OF:     
Paid-in capital  $233,036,511 
Total distributable earnings/(accumulated deficit)   (21,676,040)
Net Assets Attributable to Common Shareholders  $211,360,471 
PRICING OF SHARES:     
Net Assets Attributable to Common Shareholders  $211,360,471 
Shares of common stock outstanding     
(unlimited number of shares, $0.0001 par value)   13,857,863 
Net Asset Value Per Common Share