N-CSR 1 fp0068385_ncsr.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: June 30, 2021

 

 

Item 1.Reports to Stockholders.

 

(a)

 

 

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc. 

 

Table of Contents

 

Performance Overview 2
Schedule of Investments 7
Statement of Assets and Liabilities 25
Statement of Operations 26
Statements of Changes in Net Assets Attributable to Common Shareholders 27
Statement of Cash Flows 29
Financial Highlights 32
Notes to Financial Statements 35
Report of Independent Registered Public Accounting Firm 47
Dividend Reinvestment Plan 48
Additional Information 50
Summary of Updated Information Regarding the Fund 51
Directors and Officers 74

 

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Performance Overview June 30, 2021 (Unaudited)

 

WHAT IS THE FUND’S INVESTMENT STRATEGY?

 

The RiverNorth/DoubleLine Strategic Opportunity Fund (“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.

 

RiverNorth Capital Management, LLC (“RiverNorth”) allocates the Fund’s Managed Assets among two principal strategies: Tactical Closed-End Fund (CEF) Income Strategy and Opportunistic Income Strategy. RiverNorth manages the Tactical Closed-End Fund Income Strategy and DoubleLine Capital, LP (DoubleLine) manages the Opportunistic Income Strategy.

 

RiverNorth determines which portion of the Fund’s assets is allocated to each strategy based on market conditions. The Fund may allocate between 10% to 35% of its Managed Assets to the Tactical CEF Income Strategy and 65% to 90% of its Managed Assets to the Opportunistic Income Strategy.

 

The Tactical CEF Income Strategy typically invests in CEFs, business development companies (BDCs), special purpose acquisition companies (SPACs) and exchange-traded funds (ETFs). The Opportunistic Income Strategy primarily invests in agency and non-agency residential mortgage-backed securities (RMBS) and commercial mortgage-backed securities (CMBS) seeking to derive value from inefficiencies within the subsectors of the fixed income market while maintaining active risk constraints.

 

HOW DID THE FUND PERFORM RELATIVE TO ITS BENCHMARK DURING THE PERIOD?

 

PERFORMANCE as of June 30, 2021

 

  Annualized
TOTAL RETURN(1) 1 Year 3 Years(3) Since
Inception(2)(3)
RiverNorth/DoubleLine Strategic Opportunity Fund, Inc. – NAV(4) 16.88% 6.30% 6.06%
RiverNorth/DoubleLine Strategic Opportunity Fund, Inc. – Market(5) 28.67% 9.35% 6.21%
Bloomberg Barclays U.S. Aggregate Bond Index(6) -0.33% 5.34% 3.04%

 

 

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

 

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Performance Overview June 30, 2021 (Unaudited)

 

(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 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 June 30, 2021 is 1.88% (excluding interest on facility loan payable). Including interest on facility loan payable, the expense ratio is 2.10%.

 

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 but does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the sale of fund shares.

 

WHAT CONTRIBUTING FACTORS WERE RESPONSIBLE FOR THE FUND’S RELATIVE PERFORMANCE DURING THE PERIOD?

 

RiverNorth Tactical Closed-End Fund Income Sleeve

 

The RiverNorth sleeve’s exposure to closed-end funds that invest in lower credit quality securities benefited performance as the NAV returns of these funds generally outperformed the Fund’s benchmark over the Period.

 

DoubleLine Opportunistic Income Sleeve

 

During the Period, the DoubleLine sleeve sharply outperformed the Index return of -0.33%. The primary drivers of the outperformance were duration positioning and asset allocation. In terms of duration positioning, the Fund's portfolio consistently maintained a lower duration than the Index which bolstered relative performance as 10-year and 30-year U.S. Treasury yields rose by 81 and 68 basis points (bps), respectively, during this performance window. As for asset allocation, the Fund's portfolio maintained a larger exposure to credit assets than the Index, consistent with its opportunistic mandate. The overweighting of various credit sectors was a significant driver of outperformance as the US economy made large strides in recovering from the Pandemic and fixed income credit assets performed especially well. The largest contributors to Portfolio performance were asset-backed securities (ABS), non-agency CMBS, and non-agency RMBS. The ABS and non-agency CMBS allocations were more severely impacted by the COVID-19 pandemic than other asset classes due to their exposure to the travel and leisure segment of the economy, so they stood the most to gain from a successful vaccine rollout in the U.S. The only sector that detracted from performance was Agency RMBS, which understandably experienced some duration-related price declines as U.S. interest rates moved higher. As of June 30, 2021, the Fund's portfolio had a duration of 3.10 years and an estimated yield-to-maturity of 5.04%.

 

 

Annual Report | June 30, 2021 3

 

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Performance Overview June 30, 2021 (Unaudited)

 

HOW WAS THE RIVERNORTH/DOUBLELINE STRATEGIC OPPORTUNITY FUND POSITIONED AT THE END OF JUNE 2021?

 

The Fund's Managed Assets were allocated 20% RiverNorth Tactical Closed-End Fund Income and 80% DoubleLine Opportunistic Income. The biggest sector allocations were to non-agency MBS, agency MBS and bank loans. The Fund has utilized a preferred issuance and line of credit to leverage the portfolio approximately 27%.

 

DEFINITIONS:

 

Basis Points (BPS) refer to a common unit of measure for interest rates and other percentages in finance. One basis point is equal to 1/100th of 1%, or 0.01%, or 0.0001, and is used to denote the percentage change in a financial instrument.

 

Asset-Backed Securities (ABS) are investment securities—a bond or note—which is collateralized by a pool of assets, such as loans, leases, credit card debt, royalties, or receivables.

 

Mortgage-Backed Securities (MBS) are asset-backed securities that are secured by a mortgage or collection of mortgages.

 

Residential Mortgage-Backed Securities (RMBS) are fixed-income investment products that are backed by mortgages on residential properties rather than commercial real estate.

 

Commercial Mortgage-Backed Securities (CMBS) are fixed-income investment products that are backed by mortgages on commercial properties rather than residential real estate.

 

Special Purpose Acquisition Company (SPAC) - A SPAC is a company with no commercial operations that is formed strictly to raise capital through an initial public offering (IPO) for the purpose of acquiring an existing company.

 

 

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

 

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Performance Overview June 30, 2021 (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 June 30, 2021.

  

 

 

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 June 30, 2021

 

  % of Net Assets
U.S. Treasury Bond, 1.63%, 11/15/2050 9.25%
Legacy Mortgage Asset Trust, 4.25%, 04/25/2059 2.76%
Oxford Square Capital Corp., 0.00%, 03/30/2024 2.64%
Legacy Mortgage Asset Trust, 4.50%, 11/25/2059 2.63%
Government National Mortgage Association, 3.50%, 02/20/2047 2.31%
Freddie Mac REMICS, 4.00%, 12/15/2040 2.26%
Option One Mortgage Loan Trust 2006-1, 0.66%, 01/25/2036 1.95%
Barings Global Short Duration High Yield Fund, 1.82%
PRPM LLC, 3.97%, 02/25/2023 1.79%
CHL GMSR Issuer Trust, 2.84%, 05/25/2023 1.75%
  29.16%

 

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

 

 

Annual Report | June 30, 2021 5

 

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Performance Overview June 30, 2021 (Unaudited)

 

ASSET ALLOCATION as of June 30, 2021^

 

 

 

^Holdings are subject to change.

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

 

 

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

 

 

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments June 30, 2021

 

Shares/Description      Value 
CLOSED-END FUNDS (10.41%)(a)     
 53,410   Avenue Income Credit Strategies Fund  $593,919 
 239,919   Barings Global Short Duration High Yield Fund   4,097,816 
 49,597   BlackRock Floating Rate Income Strategies Fund, Inc.   657,160 
 117,145   Blackstone Strategic Credit Fund   1,631,830 
 86,404   BrandywineGLOBAL -Global Income Opportunities Fund, Inc.   1,089,554 
 77,386   Eaton Vance Floating-Rate Income Trust   1,113,585 
 30,321   Eaton Vance Senior Floating-Rate Trust   429,042 
 64,621   First Trust High Income Long/Short Fund   1,017,781 
 191,661   Invesco Dynamic Credit Opportunities Fund   2,273,099 
 764,880   Invesco Senior Income Trust   3,411,365 
 57,513   Ivy High Income Opportunities Fund   808,058 
 241,715   Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.   1,479,296 
 99,403   Nuveen Floating Rate Income Opportunity Fund   970,173 
 27,019   Nuveen Mortgage Opportunity Term Fund   564,427 
 104,791   PGIM Global High Yield Fund, Inc.   1,670,369 
 10,555   Templeton Emerging Markets Income Fund   84,123 
 45,062   Wells Fargo Income Opportunities Fund   396,095 
 210,909   Western Asset High Income Opportunity Fund, Inc.   1,113,600 
           
TOTAL CLOSED-END FUNDS     
(Cost $21,340,421)   23,401,292 
           
BUSINESS DEVELOPMENT COMPANIES (2.89%)(a)     
 283,520   Barings BDC, Inc.   2,993,971 
 197,667   First Eagle Alternative Capital BDC, Inc.   901,362 
 389,815   Oaktree Specialty Lending Corp.   2,607,862 
           
TOTAL BUSINESS DEVELOPMENT COMPANIES     
(Cost $5,787,864)   6,503,195 

 

Principal Amount/Description Rate       Maturity       Value  
BANK LOANS (6.15%)(a)                        
$ 135,000     AAdvantage Loyality IP, Ltd., First Lien - Initial Term Loan(b)     3M US L + 3.00%       04/20/28     $ 140,915  
  105,000     Aegion Corp., First Lien -Initial Term Loan(b)     3M US L + 4.75%       05/17/28       106,313  
  513,079     Air Methods Corp., First Lien -Initial Term Loan(b)     3M US L + 3.50%       04/22/24       506,753  
  563,493     American Tire Distributors, Inc., First Lien - Initial Term Loan(b)     1M US L + 7.50%       09/02/24       564,761  
  190,000     American Trailer World Corp., First Lien - Initial Term Loan(b)     1M US L + 3.75%       03/03/28       189,971  
  645,000     Applied Systems, Inc., Second Lien -2021 Term Loan(b)     3M US L + 5.50%       09/19/25       655,803  
  95,000     Asurion LLC, Second Lien -New B-3 Term Loan(b)     1M US L + 5.25%       01/31/28       95,891  

 

See Notes to Financial Statements.

 

Annual Report | June 30, 2021 7

 

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments June 30, 2021

 

Principal Amount/Description    Rate    Maturity   Value 
$320,000   Atlas Purchaser, Inc., First Lien -Initial Term Loan(b)    3M US L + 3.00%     05/08/28   $315,533 
 65,000   Blackhawk Network Holdings, Inc., Second Lien (b)    1M US L + 7.00%     06/15/26    64,838 
 406,826   Bright Bidco B.V., First Lien -2018 Refinancing B Term Loan(b)    3M US L + 3.50%     06/30/24    341,860 
 317,464   Cengage Learning, Inc., First Lien -2016 Refinancing Term Loan(b)    3M US L + 4.25%     06/07/23    318,372 
 250,000   Cengage Learning, Inc., TLB    3M US L + 5.00%     06/29/26    250,626 
 78,604   ClubCorp Holdings, Inc., First Lien -B Term Loan(b)    3M US L + 2.75%     09/18/24    75,697 
 765,000   Constant Contact, Inc., Second Lien - Initial Term Loan(b)    3M US L + 7.50%     02/12/29    757,351 
 230,000   Curium BidCo SARL, Second Lien Term Loan(b)    3M US L + 7.75%     10/27/28    234,600 
 704,847   Cvent, Inc., First Lien Term Loan(b)    1M US L + 3.75%     11/29/24    697,446 
 210,735   Cyxtera DC Holdings, Inc., First Lien - Initial Term Loan(b)    3M US L + 3.00%     05/01/24    205,639 
 295,000   DCert Buyer, Inc., Second Lien -First Amendment Refinancing Term Loan(b)    1M US L + 7.00%     02/19/29    298,443 
 250,000   DG Investment Intermediate Holdings 2, Inc., Second Lien - Initial Term Loan(b)    1M US L + 6.75%     03/30/29    250,469 
 48,791   Dhanani Group, Inc., First Lien Term Loan(b)    1M US L + 3.75%     07/20/25    48,547 
 357,235   Envision Healthcare Corp., First Lien - Initial Term Loan(b)    1M US L + 3.75%     10/10/25    306,999 
 480,000   Envision Healthcare Corp., First Lien - Series 2020 New Term Loan(b)    1M US L + 3.75%     10/10/25    386,849 
 443,623   Gainwell Acquisition Corp., First Lien -B Term Loan(b)    3M US L + 4.00%     10/01/27    445,841 
 117,863   Global Medical Response, Inc., First Lien - 2018 New Term Loan(b)    3M US L + 4.25%     03/14/25    118,325 
 130,000   Gogo Intermediate Holdings LLC(b)    3M US L + 3.75%     04/30/28    129,968 
 334,155   Grab Holdings, Inc., First Lien -Initial Term Loan(b)    3M US L + 4.50%     01/29/26    340,002 
 321,495   Gulf Finance LLC, First Lien -Tranche B Term Loan(b)    1M US L + 5.25%     08/25/23    273,788 
 225,000   ION Trading Finance, Ltd., First Lien - Initial Dollar (2021) Term Loan(b)    3M US L + 4.75%     04/01/28    226,266 
 149,251   Ivanti Software, Inc., First Lien -Initial Term Loan(b)    1M US L + 3.00%     12/01/27    149,697 

 

See Notes to Financial Statements. 

 

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

 

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments June 30, 2021

 

Principal Amount/Description  Rate     Maturity     Value  
$ 2,433   Lealand Finance Company B.V., First Lien - Make-Whole Term Loan(b)   1M US L + 3.00%    06/28/24   $1,582 
  31,386   Lealand Finance Company B.V., First Lien - Take-Back Term Loan(b)   1M US L + 4.00%    06/30/25    14,477 
  367,481   Minotaur Acquisition, Inc., First Lien -B Term Loan(b)   1M US L + 4.75%    03/27/26    367,863 
  206,779   Misys, Ltd., First Lien -Dollar Term Loan(b)   3M US L + 3.50%    06/13/24    203,866 
  230,000   Misys, Ltd., Second Lien -Dollar Term Loan(b)   3M US L + 7.25%    06/13/25    232,947 
  445,000   Mitchell International, Inc., Second Lien Initial Term Loan(b)   -1M US L + 7.25%    12/01/25    446,112 
  202,348   MLN US HoldCo LLC, First Lien -B Term Loan(b)   1M US L + 4.50%    11/30/25    186,237 
  440,781   OneDigital Borrower LLC, First Lien - Initial Term Loan(b)   3M US L + 4.50%    11/16/27    443,170 
  14,219   OneDigital Borrower LLC, First Lien - Delayed Draw Term Loan(b)   3M US L + 4.50%    11/16/27    14,296 
  437,054   Flexistential, First Lien -Initial Term Loan(b)   3M US L + 3.50%    08/01/24    402,869 
  422,875   Riverbed Technology, Inc., First Lien - 2020 Extension Term Loan(b)   3M US L + 6.00%    12/31/25    402,788 
  90,000   Solenis Holdings LLC, Second Lien -Initial Term Loan(b)   3M US L + 8.50%    06/26/26    90,326 
  383,000   Team Health Holdings, Inc., First Lien - Initial Term Loan(b)   1M US L + 2.75%    02/06/24    373,105 
  220,000   TIBCO Software, Inc., Second Lien (b)   1M US L + 7.25%    03/03/28    223,816 
  364,062   Travel Leaders Group LLC, First Lien - 2018 Refinancing Term Loan(b)   1M US L + 4.00%    01/25/24    351,456 
  484,632   Travelport Finance Luxembourg SARL, 1L, 2021(b)   3M US L + 8.00%    02/28/25    509,555 
  139,415   Travelport Finance SARL, First Lien - Initial Term Loan(b)   3M US L + 5.00%    05/29/26    127,783 
  560,574   Vantage Specialty Chemicals, Inc., First Lien - Closing Date Term Loan(b)   3M US L + 3.50%    10/28/24    547,905 
  413,949   WaterBridge Midstream Operating LLC, First Lien - Initial Term Loan(b)   3M US L + 5.75%    06/22/26    397,983 
                      
TOTAL BANK LOANS               
(Cost $13,444,896)             13,835,699 

 

Shares/Description      Rate   Maturity   Value 
BUSINESS DEVELOPMENT COMPANY NOTES (6.29%)(a)          
Financial (6.29%)               
 2,000,000   Bain Capital Specialty Finance, Inc.   8.50%   06/10/23   $2,106,816 

 

See Notes to Financial Statements.

 

Annual Report | June 30, 2021 9

 

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments June 30, 2021

 

Shares/Description Rate   Maturity   Value 
Financial (continued)               
 66,132   First Eagle Alternative Capital BDC, Inc.   5.00%   05/25/26   $1,687,689 
 48,198   First Eagle Alternative Capital BDC, Inc.   6.13%   10/30/23    1,224,229 
 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    3,178,043 
                   14,143,430 
TOTAL BUSINESS DEVELOPMENT COMPANY NOTES           
(Cost $13,803,368)             14,143,430 
                     
COMMON STOCKS (2.44%)(a)               
 50,000   Ares Acquisition Corp.(c)             487,500 
 107,500   Austerlitz Acquisition Corp. II(c)             1,045,975 
 52,488   CC Neuberger Principal Holdings II, Class A(c)             519,106 
 50,000   Churchill Capital Corp. VII(c)             486,500 
 50,000   Compute Health Acquisition Corp.(c)             491,000 
 50,000   Conx Corp., Class A(c)             493,000 
 50,000   FTAC Hera Acquisition Corp.(c)             487,500 
 75,000   Jaws Mustang Acquisition Corp.(c)             732,000 
 75,000   KKR Acquisition Holdings I Corp.(c)             736,500 
 13,637   McDermott International, Ltd.(c)             6,682 
                     
TOTAL COMMON STOCKS               
(Cost $5,531,077)             5,485,763 
                     
PREFERRED STOCKS (0.46%)(a)               
 39,726   XAI Octagon Floating Rate Alternative Income Term Trust, Series 2026, 6.50%, 3/31/2026             1,026,520 
                     
TOTAL PREFERRED STOCKS               
(Cost $992,700)             1,026,520 

 

Principal Amount/Description    Rate    Maturity   Value 
COLLATERALIZED LOAN OBLIGATIONS (5.43%)(a)             
$500,000   Apidos CLO XXI(b)(d)    3M US L + 8.25 %   07/18/27   $470,869 
 500,000   Apidos CLO XXIV(b)(d)    3M US L + 5.80 %   10/20/30    471,250 
 500,000   Apidos CLO XXXII(b)(d)    3M US L + 6.75 %   01/20/33    503,160 
 500,000   Bain Capital Credit CLO 2019-3, Ltd.(b)(d)    3M US L + 7.15 %   10/21/32    502,432 
 500,000   Barings CLO, Ltd.(b)(d)    3M US L + 5.82 %   10/15/30    501,392 
 500,000   Canyon Capital CLO, Ltd.(b)(d)    3M US L + 5.75 %   07/15/31    480,966 

 

See Notes to Financial Statements.

 

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

 

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments June 30, 2021

 

Principal Amount/Description    Rate    Maturity   Value 
$500,000   Carlyle Global Market Strategies CLO, Ltd.(b)(d)    3M US L + 5.35 %   05/15/31   $460,907 
 500,000   Carlyle Global Market Strategies CLO, Ltd.(b)(d)    3M US L + 5.50 %   10/15/30    463,867 
 500,000   Carlyle US CLO 2021-1, Ltd.(b)(d)    3M US L + 6.00 %   04/15/34    494,913 
 500,000   Chenango Park CLO, Ltd.(b)(d)    3M US L + 5.80 %   04/15/30    489,374 
 500,000   Dorchester Park CLO DAC(b)(d)    3M US L + 5.00 %   04/20/28    495,435 
 500,000   Fillmore Park CLO, Ltd.(b)(d)    3M US L + 5.40 %   07/15/30    486,443 
 500,000   Goldentree Loan Management US CLO 3, Ltd.(b)(d)    3M US L + 2.85 %   04/20/30    497,750 
 500,000   Milos CLO, Ltd.(b)(d)    3M US L + 6.15 %   10/20/30    494,050 
 500,000   Myers Park CLO, Ltd.(b)(d)    3M US L + 5.50 %   10/20/30    493,375 
 500,000   Neuberger Berman CLO XXIII, Ltd.(b)(d)    3M US L + 5.75 %   10/17/27    492,854 
 500,000   Neuberger Berman Loan Advisers CLO 37, Ltd.(b)(d)    3M US L + 5.75 %   07/20/31    500,000 
 500,000   Neuberger Berman Loan Advisers CLO 42, Ltd.(b)(d)    3M US L + 5.95 %   07/16/35    500,000 
 500,000   Sound Point CLO XXVI, Ltd.(b)(d)    0.00 %    07/20/34    495,000 
 500,000   THL Credit Wind River 2017-3 CLO, Ltd.(b)(d)    3M US L + 7.08 %   04/15/35    500,825 
 500,000   THL Credit Wind River CLO, Ltd.(b)(d)    3M US L + 5.75 %   07/15/30    484,084 
 500,000   Voya CLO 2019-1, Ltd.(b)(d)    3M US L + 6.12 %   04/15/31    494,290 
 500,000   Voya CLO, Ltd.(b)(d)    3M US L + 5.25 %   07/15/31    473,125 
 500,000   Voya CLO, Ltd.(b)(d)    3M US L + 5.95 %   07/14/31    467,854 
 500,000   Webster Park CLO, Ltd.(b)(d)    3M US L + 5.50 %   07/20/30    493,750 
                       
TOTAL COLLATERALIZED LOAN OBLIGATIONS                 
(Cost $12,379,595)               12,207,965 

 

Principal Amount/Description  Rate    Maturity   Value 
CONVERTIBLE CORPORATE BONDS (2.25%)(a)                
Financial (2.25%)                
  1,724,093    BlackRock Capital Investment Corp.   5.00%    06/15/22    1,747,864 

 

See Notes to Financial Statements.

 

Annual Report | June 30, 2021 11

 

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments June 30, 2021

 

Principal Amount/Description  Rate   Maturity   Value 
Financial (continued)               
$997,837   BlackRock TCP Capital Corp.   4.63%   03/01/22   $1,021,586 
 500,000   Goldman Sachs BDC, Inc.   4.50%   04/01/22    514,400 
 1,648,448   New Mountain Finance Corp.   5.75%   08/15/23    1,763,922 
                   5,047,772 
TOTAL CONVERTIBLE CORPORATE BONDS               
(Cost $4,463,721)             5,047,772 

 

Principal Amount/Description  Rate   Maturity   Value 
U.S. CORPORATE BONDS (3.48%)(a)           
Basic Materials (0.13%)               
 260,000   Illuminate Buyer LLC / Illuminate Holdings IV, Inc.(d)   9.00%   07/01/28    290,425 
Communications (0.79%)               
 275,000   Cengage Learning, Inc.(d)   9.50%   06/15/24    282,231 
 545,000   Embarq Corp Eq 7.995 06/01/36   8.00%   06/01/36    618,521 
 360,000   Endure Digital, Inc.(d)   6.00%   02/15/29    356,905 
 90,000   Frontier Communications Holdings LLC(d)   6.75%   05/01/29    95,874 
 435,000   Intelsat Jackson Holdings SA(d)(e)   8.50%   10/15/24    258,205 
 165,000   Uber Technologies, Inc.(d)   6.25%   01/15/28    177,905 
                   1,789,641 
Consumer, Cyclical (0.73%)               
 155,000   American Airlines, Inc./AAdvantage Loyalty IP, Ltd.(d)   5.75%   04/20/29    167,787 
 90,000   Carlson Travel, Inc.(d)   6.75%   12/15/25    83,110 
 45,000   Carnival Corp.(d)   7.63%   03/01/26    48,938 
 330,000   Dealer Tire LLC / DT Issuer LLC(d)   8.00%   02/01/28    356,849 
 60,000   Park River Holdings, Inc.(d)   5.63%   02/01/29    58,463 
 300,000   PetSmart, Inc. / PetSmart Finance Corp.(d)7.75%   02/15/29    331,125 
 190,000   TKC Holdings, Inc.(d)   10.50%   05/15/29    206,253 
 75,000   United Airlines, Inc.(d)   4.63%   04/15/29    77,719 
 110,000   WASH Multifamily Acquisition, Inc.(d)   5.75%   04/15/26    114,989 
 135,000   Wheel Pros, Inc.(d)   6.50%   05/15/29    136,791 
 59,000   Wolverine Escrow LLC(d)   9.00%   11/15/26    57,742 
                   1,639,766 
Consumer, Non-cyclical (0.54%)               
 270,000   Air Methods Corp.(d)   8.00%   05/15/25    255,488 
 160,000   CHS/Community Health Systems, Inc.(d)   6.88%   04/15/29    167,902 
 40,000   Coty, Inc.(d)   6.50%   04/15/26    40,602 
 127,656   Pyxus Holdings, Inc.   10.00%   08/24/24    112,138 
 305,000   Radiology Partners, Inc.(d)   9.25%   02/01/28    338,159 

 

See Notes to Financial Statements. 

 

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

 

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments June 30, 2021

 

Principal Amount/Description  Rate   Maturity   Value 
Consumer, Non-cyclical (continued)               
$110,000   Sabre GLBL, Inc.(d)   7.38%   09/01/25   $119,765 
 200,000   Triton Water Holdings, Inc.(d)   6.25%   04/01/29    200,773 
                   1,234,827 
Energy (0.51%)               
 250,000   Kosmos Energy, Ltd.(f)   7.13%   04/04/26    248,629 
 360,000   NGL Energy Operating LLC / NGL Energy Finance Corp.(d)   7.50%   02/01/26    378,450 
 250,000   PBF Holding Co. LLC / PBF Finance Corp.(d)   9.25%   05/15/25    252,173 
 250,000   SierraCol Energy Andina LLC(d)   6.00%   06/15/28    253,362 
                   1,132,614 
Financial (0.07%)               
 155,000   Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC(d)   6.50%   02/15/29    155,604 
                     
Industrial (0.22%)               
 30,000   Madison IAQ LLC(d)   5.88%   06/30/29    30,563 
 365,000   Triumph Group, Inc.(d)   6.25%   09/15/24    371,847 
 90,000   Triumph Group, Inc.   7.75%   08/15/25    92,700 
                   495,110 
Technology (0.49%)               
 225,000   Austin BidCo, Inc.(d)   7.13%   12/15/28    231,010 
 510,000   Castle US Holding Corp.(d)   9.50%   02/15/28    533,945 
 305,000   Flexential Intermediate Corp.(d)   11.25%   08/01/24    333,784 
                   1,098,739 
TOTAL U.S. CORPORATE BONDS               
(Cost $7,698,635)             7,836,726 

 

Principal Amount/Description  Rate   Maturity   Value 
U.S. GOVERNMENT / AGENCY MORTGAGE BACKED SECURITIES (40.41%) (a)     
 291,835   Alternative Loan Trust(b)   3.31%   12/25/35    282,552 
 630,139   Alternative Loan Trust   5.50%   11/25/35    492,839 
 2,231,112   Alternative Loan Trust   5.50%   12/25/35    2,017,017 
 2,207,263   Alternative Loan Trust   5.75%   03/25/37    1,736,484 
 2,399,963   Alternative Loan Trust   6.00%   07/25/37    1,639,542 
 2,098,969   Alternative Loan Trust   6.25%   08/25/37    1,605,393 
 1,098,848   Alternative Loan Trust   6.50%   09/25/36    795,062 
 1,830,328   Banc of America Funding Trust(b)   2.82%   05/20/36    1,639,706 
 1,212,914   Banc of America Mortgage Trust   6.00%   09/25/37    1,223,578 
 1,479,731   Bear Stearns ALT-A Trust(b)   2.93%   01/25/36    1,444,115 
 924,772   Bear Stearns ARM Trust(b)   2.91%   07/25/36    891,321 
 2,849,046   Chase Mortgage Finance Trust Series(b)   1M US L + 0.60%   06/25/37    995,569 

 

See Notes to Financial Statements.

 

Annual Report | June 30, 2021 13

 

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc. 

 

Schedule of Investments June 30, 2021

 

Principal Amount/Description    Rate    Maturity   Value 
$2,440,553   ChaseFlex Trust Series 2007-1    6.50%    02/25/37   $1,335,181 
 3,930,000   CHL GMSR Issuer Trust(b)(d)    1M US L + 2.75%     05/25/23    3,941,894 
 1,689,424   CHL Mortgage Pass-Through Trust(b)    2.83%    03/25/37    1,601,865 
 1,761,772   CHL Mortgage Pass-Through Trust    5.75%    07/25/37    1,329,029 
 1,816,222   CHL Mortgage Pass-Through Trust(b)    1M US L + 0.60%     03/25/35    1,796,567 
 578,787   Citigroup Mortgage Loan Trust(b)    2.95%    04/25/37    557,062 
 1,378,609   Citigroup Mortgage Loan Trust, Inc.(b)    2.77%    10/25/35    1,010,069 
 801,990   CSFB Mortgage-Backed Pass-Through Certificates    5.50%    10/25/35    574,624 
 1,674,813   CSMC Mortgage-Backed Trust    6.00%    02/25/37    1,489,167 
 1,882,569   CSMC Mortgage-Backed Trust    6.75%    08/25/36    1,569,331 
 2,605,397   Fannie Mae REMICS    0.00%    07/25/43    2,433,981 
 2,445,232   Fannie Mae REMICS(b)(g)    5.90% - 1M US L%     10/25/41    458,082 
 6,025,254   Fannie Mae REMICS(b)(g)    6.05% - 1M US L%     07/25/49    1,121,417 
 2,417,404   Fannie Mae REMICS(b)(g)    6.45% - 1M US L%     03/25/42    469,244 
 2,148,019   Fannie Mae REMICS(b)(g)    6.50% - 1M US L%     12/25/41    426,704 
 681,403   Fannie Mae REMICS(b)    7.62% - 1M US L%     11/25/42    710,413 
 1,236,986   Federal Home Loan Mortgage Corp. REMICS(b)    4.05% -  1M US L%     01/15/33    1,275,195 
 419,563   First Horizon Alternative Mortgage Securities Trust(b)    2.87%    10/25/35    401,634 
 14,449,663   Freddie Mac REMICS(g)    2.00%    11/25/50    1,234,838 
 4,562,697   Freddie Mac REMICS    4.00%    12/15/40    5,078,213 
 4,397,162   Freddie Mac REMICS(b)(g)    5.90% - 1M US L%     12/15/41    669,332 
 4,511,630   Freddie Mac REMICS(b)(g)    6.10% - 1M US L%     08/25/50    1,022,707 
 4,862,631   Government National Mortgage Association    3.50%    02/20/47    5,193,393 
 7,029,611   Government National Mortgage Association(b)(g)    3.75% -  1M US L%     10/20/50    963,109 
 10,444,114   Government National Mortgage Association(b)(g)    3.75% -  1M US L%     11/20/50    1,122,293 
 17,000,000   Government National Mortgage Association(b)(g)    3M US L + 2.44%     06/20/51    1,221,875 
 11,435,254   Government National Mortgage Association(b)(g)    5.37% -  1M US L%     07/20/44    2,059,185 

 

See Notes to Financial Statements.

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

 

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments June 30, 2021

 

Principal Amount/Description  Rate   Maturity   Value 
$5,284,644   Government National Mortgage Association(b)(g)   6.00% -  1M US L%    05/20/44   $923,889 
 4,742,279   Government National Mortgage Association(b)(g)   6.30% -  1M US L%    09/20/50    1,177,601 
 4,809,156   Government National Mortgage Association(b)(g)   6.30% -  1M US L%    10/20/50    1,010,100 
 4,922,365   Government National Mortgage Association(b)(g)   6.30% -  1M US L%    01/20/51    1,238,042 
 995,691   Homeward Opportunities Fund Trust 2020-BPL1(d)(h)   5.44%   08/25/25    1,016,456 
 2,159,419   IndyMac INDX Mortgage Loan Trust(b)   1M US L + 0.25%    09/25/37    2,176,278 
 5,900,000   Legacy Mortgage Asset Trust(d)(h)   4.50%   11/25/59    5,923,289 
 1,711,762   Luminent Mortgage Trust(b)   1M US L + 0.40%    05/25/36    1,595,647 
 1,292,737   Luminent Mortgage Trust(b)   1M US L + 0.42%    05/25/36    1,280,462 
 400,000   Mello Warehouse Securitization Trust(b)(d)   1M US L + 3.25%    11/25/52    400,598 
 1,879,389   Nomura Asset Acceptance Corp. Alternative Loan Trust(h)   5.69%   08/25/35    1,250,021 
 7,816,616   Nomura Asset Acceptance Corp. Alternative Loan Trust(b)   1M US L + 0.54%    02/25/36    1,637,276 
 1,698,558   RALI Series Trust(b)   5.32%   09/25/37    1,672,860 
 2,203,329   Residential Asset Securitization Trust   5.75%   02/25/36    1,382,527 
 2,074,447   Residential Asset Securitization Trust   6.00%   05/25/37    1,711,425 
 848,052   RFMSI Trust(b)   2.46%   06/25/35    654,473 
 1,873,386   RFMSI Trust   6.00%   09/25/36    1,779,400 
 1,936,000   Spruce Hill Mortgage Loan Trust 2020- SH1(b)(d)   4.68%   01/28/50    1,984,629 
 598,689   Structured Adjustable Rate Mortgage Loan Trust(b)   3.14%   12/25/35    576,907 
 1,653,209   Structured Adjustable Rate Mortgage Loan Trust(b)   3.58%   09/25/37    1,620,240 
 317,931   Structured Asset Mortgage Investments II Trust(b)   1.16%   03/25/46    321,682 
 1,115,785   WaMu Mortgage Pass-Through Certificates Trust(b)   3.03%   08/25/36    1,073,490 
 1,246,273   WaMu Mortgage Pass-Through Certificates Trust(b)   3.19%   08/25/46    1,230,505 

 

See Notes to Financial Statements.

 

Annual Report | June 30, 2021 15

 

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments June 30, 2021

 

Principal Amount/Description  Rate   Maturity   Value 
$ 1,373,176    WaMu Mortgage Pass-Through Certificates Trust(b)   3.29%   03/25/37   $1,380,022 
                     
TOTAL U.S. GOVERNMENT / AGENCY MORTGAGE BACKED SECURITIES              
(Cost $94,854,391)            90,847,401 

 

Principal Amount/Description  Rate   Maturity   Value 
U.S. GOVERNMENT BONDS AND NOTES (9.24%)(a)               
  23,150,000    U.S. Treasury Bond   1.63%   11/15/50    20,798,828 
                     
TOTAL U.S. GOVERNMENT BONDS AND NOTES              
(Cost $22,000,972)            20,798,828 

 

Principal Amount/Description  Rate   Maturity   Value 
FOREIGN CORPORATE BONDS (5.80%)(a)            
Basic Materials (0.57%)               
 200,000   Braskem Idesa SAPI(d)   7.45%   11/15/29    212,664 
 200,000   Braskem Netherlands Finance BV(f)   5.88%   01/31/50    219,676 
 200,000   CSN Islands XII Corp.(f)(i)   7.00%   12/31/49    202,345 
 200,000   Unigel Luxembourg SA(f)   8.75%   10/01/26    217,112 
 200,000   UPL Corp., Ltd.(b)(i)   5.25%   12/31/49    204,580 
 250,000   Vedanta Resources Finance II PLC(d)   9.25%   04/23/26    219,666 
                   1,276,043 
Communications (0.42%)               
         10.00%          
 250,000   Oi SA(j)   (10.00%)   07/27/25    257,813 
 200,000   Sixsigma Networks Mexico SA de CV(f)   7.50%   05/02/25    183,539 
 300,000   Telecommunications Services of Trinidad & Tobago, Ltd.(f)   8.88%   10/18/29    318,225 
 80,000   Telesat Canada / Telesat LLC(d)   5.63%   12/06/26    80,400 
 200,000   TV Azteca SAB de CV(e)   8.25%   08/09/24    101,000 
                   940,977 
Consumer, Non-cyclical (0.34%)               
 150,000   Atento Luxco 1 SA(d)   8.00%   02/10/26    163,675 
 150,000   Camposol SA(d)   6.00%   02/03/27    157,029 
 220,000   Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.(d)   7.00%   12/31/27    220,799 
 200,000   TBLA International Pte, Ltd.   7.00%   01/24/23    191,600 
                   733,103 
Diversified (0.09%)               
 200,000   ABM Investama Tbk PT(f)   7.13%   08/01/22    193,900 
                     
Energy (1.14%)               
 250,000   AI Candelaria Spain SLU(d)   5.75%   06/15/33    257,755 

 

See Notes to Financial Statements.

 

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

 

 

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments June 30, 2021

 

Principal Amount/Description  Rate   Maturity   Value 
Energy (continued)               
$200,000   Frontera Energy Corp.(d)   7.88%   06/21/28   $200,756 
 200,000   FS Luxembourg SARL(d)   10.00%   12/15/25    224,009 
 250,000   Gran Tierra Energy, Inc.(d)   7.75%   05/23/27    222,503 
 200,000   Hunt Oil Co. of Peru LLC Sucursal Del Peru(f)   6.38%   06/01/28    211,250 
 200,000   Indika Energy Capital III Pte, Ltd.(f)   5.88%   11/09/24    202,941 
 200,000   Pertamina Persero PT(f)   4.15%   02/25/60    201,600 
 300,000   Peru LNG Srl(f)   5.38%   03/22/30    259,754 
 100,000   Petrobras Global Finance BV   5.50%   06/10/51    100,160 
 240,000   Petrobras Global Finance BV   6.90%   03/19/49    286,440 
 200,000   Tullow Oil PLC(d)   10.25%   05/15/26    210,399 
 197,194   UEP Penonome II SA(d)   6.50%   10/01/38    202,004 
                   2,579,571 
Financial (2.42%)               
 200,000   Agile Group Holdings, Ltd.(b)(i)   6.88%   12/31/49    202,754 
 300,000   Alpha Holding SA de CV(d)   9.00%   02/10/25    58,988 
 200,000   Banco Davivienda SA(b)(d)(i)   10Y US TI + 5.10%   12/31/49    210,337 
 300,000   Banco do Brasil SA(b)(f)(i)   6.25%   12/31/49    306,681 
 350,000   Banco do Estado do Rio Grande do Sul SA(b)(d)   5Y US TI + 4.93%   01/28/31    361,154 
 200,000   Banco General SA(b)(d)(i)   10Y US TI + 3.67%   12/31/49    209,601 
 100,000   Banco GNB Sudameris SA(b)(f)   5Y US TI + 4.56%   04/03/27    100,401 
 200,000   Banco GNB Sudameris SA(b)(d)   5Y US TI + 6.66%   04/16/31    203,670 
 150,000   Banco Macro SA(b)(f)   6.75%   11/04/26    125,066 
 250,000   Banco Mercantil del Norte SA/Grand Cayman(b)(f)(i)   7.63%   12/31/49    284,188 
 200,000   Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand(b)(i)   8.50%   12/31/49    206,500 
 300,000   Bangkok Bank PCL(b)(d)(i)   5Y US TI + 4.73%   12/31/49    316,929 
 200,000   Central China Real Estate, Ltd.   7.25%   07/16/24    174,251 
 250,000   Credito Real SAB de CV SOFOM ER(b)(f)(i)   9.13%   12/31/49    176,875 
 200,000   Credivalores-Crediservicios SAS(d)   8.88%   02/07/25    156,733 
 250,000   Gilex Holding SARL(f)   8.50%   05/02/23    255,359 
 350,000   Itau Unibanco Holding SA Island(b)(f)(i)   5Y US TI + 3.22%   12/31/49    337,578 
 200,000   LMIRT Capital Pte, Ltd.   7.25%   06/19/24    208,516 
 200,000   Logan Group Co., Ltd.(b)(i)   5Y US TI + 6.00%   12/31/49    201,000 

 

See Notes to Financial Statements.

 

Annual Report | June 30, 2021 17

 

 

RiverNorth/DoubleLine Strategic Opportunity Fund, Inc.

 

Schedule of Investments June 30, 2021

 

Principal Amount/Description  Rate   Maturity   Value 
Financial (continued)               
$250,000   Mexarrend SAPI de CV(d)   10.25%   07/24/24   $237,769 
 200,000   Operadora de Servicios Mega SA de CV Sofom ER(d)   8.25%   02/11/25    201,500 
 200,000   RKP Overseas Finance, Ltd.(i)   7.95%   12/31/49    198,100 
 200,000   Ronshine China Holdings, Ltd.   6.75%   08/05/24    183,501 
 200,000   Theta Capital Pte, Ltd.   6.75%   10/31/26    197,280 
 250,000   Unifin Financiera SAB de CV(b)(f)(i)   8.88%   12/31/49    186,718 
 200,000   Yuzhou Group Holdings Co., Ltd.   8.30%   05/27/25    170,758 
                   5,472,207 
Industrial (0.28%)               
                     
 200,000   Interpipe Holdings PLC(d)   8.38%   05/13/26    200,166 
 200,000   Simpar Europe SA(d)   5.20%   01/26/31    205,576 
 200,000   Tervita Corp.(d)   11.00%   12/01/25    224,346 
                   630,088 
Utilities (0.54%)               
 200,000   AES Andres BV(d)   5.70%   05/04/28    207,500 
 250,000   AES Gener SA(b)(f)   7.13%   03/26/79    267,976 
 200,000   Empresa Electrica Guacolda SA(f)   4.56%   04/30/25    142,970 
 67,500   Empresa Generadora de Electricidad Itabo SA(f)   7.95%   05/11/26    69,923