UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENTINVESTMENT COMPANIES
Investment Company Act file number: 811-21934
RiverNorth Funds
(Exact name of registrant as specified in charter)
325 North LaSalle Street, Suite 645, Chicago, IL 60654
(Address of principal executive offices) (Zip code)
Marc L. Collins
325 North LaSalle Street, Suite 645
Chicago, IL 60654
(Name and address of agent for service)
Registrant's telephone number, including area code: 312-832-1440
Date of fiscal year end: 09/30
Date of reporting period: 03/31/2016
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
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Item 1.
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Reports to Stockholders.
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RiverNorth Funds
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Table of Contents
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Opportunistic Closed‐End Fund Strategies
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Portfolio Update
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2
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RiverNorth Core Opportunity Fund
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2
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RiverNorth/DoubleLine Strategic Income Fund
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5
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RiverNorth Equity Opportunity Fund
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8
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RiverNorth/Oaktree High Income Fund
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10
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RiverNorth Funds Schedule of Investments and Financial Statements
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Disclosure of Fund Expenses
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13
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Schedule of Investments
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RiverNorth Core Opportunity Fund
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16
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RiverNorth/DoubleLine Strategic Income Fund
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21
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RiverNorth Equity Opportunity Fund
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55
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RiverNorth/Oaktree High Income Fund
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57
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Statement of Assets and Liabilities
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RiverNorth Core Opportunity Fund
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72
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RiverNorth/DoubleLine Strategic Income Fund
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74
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RiverNorth Equity Opportunity Fund
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76
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RiverNorth/Oaktree High Income Fund
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78
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Statement of Operations
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RiverNorth Core Opportunity Fund
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80
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RiverNorth/DoubleLine Strategic Income Fund
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81
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RiverNorth Equity Opportunity Fund
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82
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RiverNorth/Oaktree High Income Fund
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83
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Statements of Changes in Net Assets
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RiverNorth Core Opportunity Fund
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85
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RiverNorth/DoubleLine Strategic Income Fund
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87
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RiverNorth Equity Opportunity Fund
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89
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RiverNorth/Oaktree High Income Fund
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91
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Financial Highlights
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RiverNorth Core Opportunity Fund
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93
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RiverNorth/DoubleLine Strategic Income Fund
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97
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RiverNorth Equity Opportunity Fund
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101
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RiverNorth/Oaktree High Income Fund
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105
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Notes to Financial Statements
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111
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Additional Information
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134
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Board Consideration Regarding Approval of Investment Advisory and Sub‐Advisory Agreements
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135 |
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RiverNorth Funds
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Portfolio Update
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March 31, 2016 (Unaudited)
RiverNorth Core Opportunity Fund
Portfolio detail statistics are estimates made by the adviser and subject to change.
Investment Vehicle Allocation(1) (percentages are based on net assets)
Asset Class Allocation(1) (percentages are based on net assets)
The allocation does not add up to 100% as it reflects the estimated leverage utilized by the underlying funds and the effects of a total return swap.
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2
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(888) 848-7569 | www.rivernorth.com
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RiverNorth Funds
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Portfolio Update
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March 31, 2016 (Unaudited)
Equity Capitalization Allocation(1) (percentages are based on net assets)
Fixed Income Allocation(1)(2) (percentages are based on net assets)
Portfolio detail statistics are estimates made by the adviser and are subject to change.
| (1) | Borrowing Risk – borrowings increase fund expenses and are subject to repayment, possibly at inopportune times. Closed-End Fund Risk – closed-end funds are exchange traded, may trade at a discount to their net asset values and may deploy leverage. Derivatives Risk – derivatives are subject to counterparty risk. Equity Risk – equity securities may experience volatility and the value of equity securities may move in opposite directions from each other and from other equity markets generally. Convertible Security Risk – the market value of convertible securities adjusts with interest rates and the value of the underlying stock. Exchange Traded Note Risk – exchange traded notes represent unsecured debt of the issuer and may be influenced by interest rates, credit ratings of the issuer or changes in value of the reference index. Fixed Income Risk – the market value of fixed income securities adjusts with interest rates and the securities are subject to issuer default. Foreign/Emerging Market Risk – foreign securities may be subject to inefficient or volatile markets, different regulatory regimes or different tax policies. These risks may be enhanced in emerging markets. Investment Style Risk – investment strategies may come in and out of favor with investors and may underperform or outperform at times. Management Risk – there is no guarantee that the adviser’s investment decisions will produce the desired results. Large Shareholder Purchase and Redemption Risk – The Fund may experience adverse effects when certain large shareholders purchase or redeem large amounts of shares of the Fund. Market Risk – economic conditions, interest rates and political events may affect the securities markets. Preferred Stock Risk – preferred stocks generally pay dividends, but may be less liquid than common stocks, have less priority than debt instruments and may be subject to redemption by the issuer. REIT Risk – the value of REITs changes with the value of the underlying properties and changes in interest rates and are subject to additional fees. Security Risk – The value of the Fund may decrease in response to the activities and financial prospects of individual securities in the Fund’s portfolio. Short Sale Risk – short positions are speculative, are subject to transaction costs and are riskier than long positions in securities. Small-Cap Risk – small-cap companies are more susceptible to failure, are often thinly traded and have more volatile stock prices. Structured Notes Risk – because of the imbedded derivative feature, structured notes are subject to more risk than investing in a simple note or bond. Swap Risk – swap agreements are subject to counterparty default risk and may not perform as intended. Tax Risk – new federal or state governmental action could adversely affect the tax-exempt status of securities held by the Fund, resulting in higher tax liability for shareholders and potentially hurting Fund performance as well. Underlying Fund Risk – underlying funds have additional fees, may utilize leverage, may not correlate to an intended index and may trade at a discount to their net asset values. |
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Semi-Annual Report | March 31, 2016
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3
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RiverNorth Funds
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Portfolio Update
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March 31, 2016 (Unaudited)
| (2) | Credit quality allocation reflects a fixed-income portfolio weighted average of the credit breakdown of each closed-end fund as provided by the adviser of said closed-end fund. If a credit breakdown is not provided by the adviser, Bloomberg is used. Investment grade refers to a bond rated BBB- or higher by Standard & Poor’s or Baa3 or higher by Moody’s. High yield refers to a bond rate lower than investment grade. For more information about securities ratings, please see the Fund’s Statement of Additional information at www.rivernorth.com. |
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4
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(888) 848-7569 | www.rivernorth.com
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RiverNorth Funds
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Portfolio Update
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March 31, 2016 (Unaudited)
RiverNorth/DoubleLine Strategic Income Fund
Portfolio detail statistics are estimates made by the adviser and subject to change.
Strategy (“Sleeve”) Allocation
Credit Quality Distribution(1)(2) (percentages are based on net assets)
Totals may not add up to 100% due to rounding.
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Semi-Annual Report | March 31, 2016
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5
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RiverNorth Funds
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Portfolio Update
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March 31, 2016 (Unaudited)
Sector Breakdown(1) (percentages are based on net assets)
The allocation does not add up to 100% as it reflects the estimated leverage utilized by the underlying funds and the effects of a total return swap.
Portfolio detail statistics are estimates made by the adviser and are subject to change.
| (1) | Asset-Backed Security Risk – the risk that the value of the underlying assets will impair the value of the security. Borrowing Risk – borrowings increase fund expenses and are subject to repayment, possibly at inopportune times. Closed-End Fund Risk – closed-end funds are exchange traded, may trade at a discount to their net asset values and may deploy leverage. Convertible Security Risk – the market value of convertible ecurities adjusts with interest rates and the value of the underlying stock. Currency Risk – foreign currencies will rise or decline relative to the U.S. dollar. Defaulted Securities Risk – defaulted securities carry the risk of uncertainty of repayment. Derivatives Risk – derivatives are subject to counterparty risk. Equity Risk – equity securities may experience volatility and the value of equity securities may move in opposite directions from each other and from other equity markets generally. Exchange Traded Note Risk – exchange traded notes represent unsecured debt of the issuer and may be influenced by interest rates, credit ratings of the issuer or changes in value of the reference index. Fixed Income Risk – the market value of fixed income securities adjusts with interest rates and the securities are subject to issuer default. Foreign/Emerging Market Risk – foreign securities may be subject to inefficient or volatile markets, different regulatory regimes or different tax policies. These risks may be enhanced in emerging markets. Investment Style Risk – investment strategies may come in and out of favor with investors and may underperform or outperform at times. Liquidity Risk – illiquid investments may be difficult or impossible to sell. Large Shareholder Purchase and Redemption Risk – The Fund may experience adverse effects when certain large shareholders purchase or redeem large amounts of shares of the Fund. Management Risk – there is no guarantee that the adviser’s or sub-adviser’s investment decisions will produce the desired results. Market Risk – economic conditions, interest rates and political events may affect the securities markets. Mortgage-Backed Security Risk – mortgage backed securities are subject to credit risk, pre-payment risk and devaluation of the underlying collateral. Preferred Stock Risk – preferred stocks generally pay dividends, but may be less liquid than common stocks, have less priority than debt instruments and may be subject to redemption by the issuer. Rating Agency Risk – rating agencies may change their ratings or ratings may not accurately reflect a debt issuer’s creditworthiness. REIT Risk – the value of REITs changes with the value of the underlying properties and changes in interest rates and are subject to additional fees. Security Risk – The value of the Fund may decrease in response to the activities and financial prospects of individual securities in the Fund’s portfolio. Structured Notes Risk – because of the imbedded derivative feature, structured notes are subject to more risk than investing in a simple note or bond. Swap Risk – swap agreements are subject to counterparty default risk and may not perform as intended. Tax Risk – new federal or state governmental action could adversely affect the tax-exempt status of securities held by the Fund, resulting in higher tax liability for shareholders and potentially hurting Fund performance as well. Underlying Fund Risk – underlying funds have additional fees, may utilize leverage, may not correlate to an intended index and may trade at a discount to their net asset values. Valuation Risk – Loans and fixed-income securities are traded “over the counter” and because there is no centralized information regarding trading, the valuation of loans and fixed-income securities may vary. |
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6
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(888) 848-7569 | www.rivernorth.com
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RiverNorth Funds
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Portfolio Update
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March 31, 2016 (Unaudited)
| (2) | For the sleeve managed by RiverNorth, credit quality allocation reflects a fixed-income portfolio weighted average of the credit breakdown of each closed-end fund as provided by the advisor of said closed-end fund. If a credit breakdown is not provided by the advisor, Bloomberg is used. For the sleeves managed by DoubleLine, credit quality allocation is determined from the highest available credit rating from any Nationally Recognized Statistical Rating Organization (S&P, Moody’s and Fitch). Investment grade refers to a bond rated BBB- or higher by Standard & Poor’s or Baa3 or higher by Moody’s. High yield refers to a bond rated lower than investment grade. For more information about securities ratings, please see the Fund’s Statement of Additional Information at www.rivernorth.com. |
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Semi-Annual Report | March 31, 2016
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7
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RiverNorth Funds
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Portfolio Update
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March 31, 2016 (Unaudited)
RiverNorth Equity Opportunity Fund
Portfolio detail statistics are estimates made by the adviser and subject to change.
Investment Vehicle Allocation(1) (percentages are based on net assets)
Totals may not add up to 100% due to rounding.
Sector Breakdown(1) (percentages are based on net assets)
Totals may not add up to 100% due to rounding.
Exposure by Country
Totals may not add up to 100% due to rounding.
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8
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(888) 848-7569 | www.rivernorth.com
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RiverNorth Funds
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Portfolio Update
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March 31, 2016 (Unaudited)
| (1) | Borrowing Risk – borrowings increase fund expenses and are subject to repayment, possibly at inopportune times. Closed-End Fund Risk – closed-end funds are exchange traded, may trade at a discount to their net asset values and may deploy leverage. Convertible Security Risk – the market value of convertible securities adjusts with interest rates and the value of the underlying stock. Currency Risk – foreign currencies will rise or decline relative to the U.S. dollar. Derivatives Risk – derivatives are subject to counterparty risk. Equity Risk – equity securities may experience volatility and the value of equity securities may move in opposite directions from each other and from other equity markets generally. Fixed Income Risk – the market value of fixed income securities adjusts with interest rates and the securities are subject to issuer default. Foreign/Emerging Market Risk – foreign securities may be subject to inefficient or volatile markets, different regulatory regimes or different tax policies. These risks may be enhanced in emerging markets. Investment Style Risk – investment strategies may come in and out of favor with investors and may underperform or outperform at times. Large Shareholder Purchase and Redemption Risk – The Fund may experience adverse effects when certain large shareholders purchase or redeem large amounts of shares of the Fund. Mid-Cap Risk – mid-cap companies may be more susceptible to adverse business or economic events than large-cap companies. Management Risk – there is no guarantee that the adviser’s investment decisions will produce the desired results. Market Risk – economic conditions, interest rates and political events may affect the securities markets. Portfolio Turnover Risk – increased portfolio turnover results in higher brokerage expenses and may impact the tax status of distributions. Preferred Stock Risk – preferred stocks generally pay dividends, but may be less liquid than common stocks, have less priority than debt instruments and may be subject to redemption by the issuer. Security Risk – The value of the Fund may decrease in response to the activities and financial prospects of individual securities in the Fund’s portfolio. Small-Cap Risk – small-cap companies are more susceptible to failure, are often thinly traded and have more volatile stock prices. Swap Risk – swap agreements are subject to counterparty default risk and may not perform as intended. Tax Risk – new federal or state governmental action could adversely affect the tax-exempt status of securities held by the Fund, resulting in higher tax liability for shareholders and potentially hurting Fund performance as well. Underlying Fund Risk – underlying funds have additional fees, may utilize leverage, may not correlate to an intended index and may trade at a discount to their net asset values. |
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Semi-Annual Report | March 31, 2016
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9
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RiverNorth Funds
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Portfolio Update
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March 31, 2016 (Unaudited)
RiverNorth/Oaktree High Income Fund
Portfolio detail statistics are estimates made by the adviser and subject to change.
Strategy Allocation
Credit Quality Distribution(1)(2) (percentages are based on net assets)
Sector Breakdown(1) (percentages are based on net assets)
The allocation does not add up to 100% as it reflects the leverage utilized by the underlying funds.
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10
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(888) 848-7569 | www.rivernorth.com
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RiverNorth Funds
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Portfolio Update
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March 31, 2016 (Unaudited)
High Yield & Bank Loan Geographic Breakdown
Totals may not add up to 100% due to rounding.
Credit Exposure By Type
Portfolio detail statistics are estimates made by the adviser and are subject to change.
| (1) | Borrowing Risk – borrowings increase fund expenses and are subject to repayment, possibly at inopportune times. Closed-End Fund Risk – closed-end funds are exchange traded, may trade at a discount to their net asset values and may deploy leverage. Convertible Security Risk – the market value of convertible securities adjusts with interest rates and the value of the underlying stock. Credit Derivatives Risk – the use of credit derivatives is highly specialized, involves default, counterparty and liquidity risks and may not perfectly correlate to the underlying asset or liability being hedged. Currency Risk – foreign currencies will rise or decline relative to the U.S. dollar. Distressed and Defaulted Securities Risk – defaulted securities carry the risk of uncertainty of repayment. Equity Risk – equity securities may experience volatility and the value of equity securities may move in opposite directions from each other and from other equity markets generally. Fixed Income Risk – the market value of fixed income securities adjusts with interest rates and the securities are subject to issuer default. Foreign/Emerging Market Risk – foreign securities may be subject to inefficient or volatile markets, different regulatory regimes or different tax policies. These risks may be enhanced in emerging markets. Floating Interest Rate Risk – loans pay interest based on the London Interbank Offered Rate (LIBOR) and a decline in LIBOR could negatively impact the Fund’s return. Investment Style Risk – investment strategies may come in and out of favor with investors and may underperform or outperform at times. Large Shareholder Purchase and Redemption Risk – The Fund may experience adverse effects when certain large shareholders purchase or redeem large amounts of shares of the Fund. Loans Risk – loans may be unrated or rated below investment grade and the pledged collateral may lose value. Secondary trading in loans is not fully-developed and may result in illiquidity. Management Risk – there is no guarantee that the adviser’s or sub-adviser’s investment decisions will produce the desired results. Market Risk – economic conditions, interest rates and political events may affect the securities markets. Portfolio Turnover Risk – increased portfolio turnover results in higher brokerage expenses and may impact the tax status of distributions. Preferred Stock Risk – preferred stocks generally pay dividends, but may be less liquid than common stocks, have less priority than debt instruments and may be subject to redemption by the issuer. Security Risk – the value of the Fund may increase or decrease in response to the prospects of the issuers of securities and loans held in the Fund. Swap Risk – swap agreements are subject to counterparty default risk and may not perform as intended. Underlying Fund Risk – underlying funds have additional fees, may utilize leverage, may not correlate to an intended index and may trade at a discount to their net asset values. Valuation Risk – Loans and fixed-income securities are traded “over the counter” and because there is no centralized information regarding trading, the valuation of loans and fixed-income securities may vary. |
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Semi-Annual Report | March 31, 2016
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11
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RiverNorth Funds
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Portfolio Update
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March 31, 2016 (Unaudited)
| (2) | For the sleeve managed by RiverNorth, credit quality allocation reflects a fixed-income portfolio weighted average of the credit breakdown of each closed-end fund as provided by the advisor of said closed-end fund. If a credit breakdown is not provided by the advisor, Bloomberg is used. For the sleeves managed by Oaktree, the sub-adviser uses a proprietary credit scoring matrix to rank potential investments. This process offers a systematic way of reviewing the key quantitative and qualitative variables impacting credit quality for each investment. Investment grade refers to a bond rated BBB- or higher by Standard & Poor’s or Baa3 or higher by Moody’s. High yield refers to a bond rated lower than investment grade. For more information about securities ratings, please see the Fund’s Statement of Additional Information at www.rivernorth.com. |
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12
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(888) 848-7569 | www.rivernorth.com
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RiverNorth Funds
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Disclosure of Fund Expenses
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March 31, 2016 (Unaudited)
Expense Example
As a shareholder of the RiverNorth Funds (the "Trust" or "Funds"), you incur two types of costs: (1) transaction costs (such as the 2% fee on redemption of Fund shares made within 90 days of purchase); and (2) ongoing costs, including management fees, distribution and service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period, October 1, 2015 and held for the six months ended March 31, 2016.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line for each share class of each Fund within the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If these transactional costs were included, your costs would have been higher.
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Semi-Annual Report | March 31, 2016
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13
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RiverNorth Funds
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Disclosure of Fund Expenses
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March 31, 2016 (Unaudited)
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Beginning
Account Value
10/01/2015
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Ending
Account Value
03/31/2016
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Expense
Ratio(a)
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Expenses
Paid During
Period(b)
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RiverNorth Core Opportunity Fund
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Class I Shares
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Actual
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$1,000.00
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$1,050.60
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1.10%
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$5.64
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Hypothetical (5% return before expenses)
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$1,000.00
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$1,019.50
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1.10%
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$5.55
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Class R Shares
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|||||||
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Actual
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$1,000.00
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$1,049.40
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1.35%
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$6.92
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Hypothetical (5% return before expenses)
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$1,000.00
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$1,018.25
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1.35%
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$6.81
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RiverNorth/DoubleLine Strategic Income Fund
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Class I Shares
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|||||||
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Actual
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$1,000.00
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$1,030.40
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0.85%
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$4.31
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Hypothetical (5% return before expenses)
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$1,000.00
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$1,020.75
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0.85%
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$4.29
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Class R Shares
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|||||||
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Actual
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$1,000.00
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$1,028.00
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1.10%
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$5.58
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Hypothetical (5% return before expenses)
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$1,000.00
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$1,019.50
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1.10%
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$5.55
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|||
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RiverNorth Equity Opportunity Fund
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|||||||
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Class I Shares
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|||||||
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Actual
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$1,000.00
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$1,029.90
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1.35%
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$6.85
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|||
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Hypothetical (5% return before expenses)
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$1,000.00
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$1,018.25
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1.35%
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$6.81
|
|||
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Class R Shares
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|||||||
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Actual
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$1,000.00
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$1,028.70
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1.60%
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$8.11
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Hypothetical (5% return before expenses)
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$1,000.00
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$1,017.00
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1.60%
|
$8.07
|
|||
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RiverNorth/Oaktree High Income Fund
|
|||||||
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Class I Shares
|
|||||||
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Actual
|
$1,000.00
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$1,018.90
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1.33%
|
$6.71
|
|||
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Hypothetical (5% return before expenses)
|
$1,000.00
|
$1,018.35
|
1.33%
|
$6.71
|
|||
|
Class R Shares
|
|||||||
|
Actual
|
$1,000.00
|
$1,017.60
|
1.60%
|
$8.07
|
|||
|
Hypothetical (5% return before expenses)
|
$1,000.00
|
$1,017.00
|
1.60%
|
$8.07
|
|||
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14
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(888) 848-7569 | www.rivernorth.com
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RiverNorth Funds
|
Disclosure of Fund Expenses
|
March 31, 2016 (Unaudited)
|
(a)
|
Annualized, based on the Fund's most recent fiscal half-year expenses.
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(b)
|
Expenses are equal to the Fund's annualized ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (183), then divided by 366. Note this expense example is typically based on a six-month period.
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|
Semi-Annual Report | March 31, 2016
|
15
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RiverNorth Core Opportunity Fund
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Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Shares/Description
|
Value
|
||||||
|
CLOSED-END FUNDS - 65.81%
|
|||||||
|
880,380
|
Aberdeen Asia-Pacific Income Fund, Inc.
|
$
|
4,401,900
|
||||
|
247,487
|
Aberdeen Emerging Markets Smaller Company Opportunities Fund, Inc.(a)
|
2,878,274
|
|||||
|
1,711,552
|
Adams Diversified Equity Fund, Inc.
|
21,651,133
|
|||||
|
156,082
|
Advent Claymore Convertible Securities and Income Fund II
|
847,525
|
|||||
|
458,695
|
AllianceBernstein Global High Income Fund, Inc.
|
5,348,384
|
|||||
|
333,837
|
AllianceBernstein Income Fund, Inc.
|
2,620,620
|
|||||
|
627,704
|
AllianzGI Equity & Convertible Income Fund
|
11,417,936
|
|||||
|
87,002
|
AllianzGI NFJ Dividend, Interest & Premium Strategy Fund
|
1,066,645
|
|||||
|
3,274
|
Alpine Global Dynamic Dividend Fund
|
27,927
|
|||||
|
1,914,476
|
Alpine Total Dynamic Dividend Fund
|
14,358,570
|
|||||
|
241,617
|
Apollo Tactical Income Fund, Inc.
|
3,288,407
|
|||||
|
390,751
|
Avenue Income Credit Strategies Fund
|
4,282,631
|
|||||
|
119,197
|
Babson Capital Global Short Duration High Yield Fund
|
1,989,398
|
|||||
|
768,511
|
BlackRock Corporate High Yield Fund, Inc.
|
7,662,055
|
|||||
|
1,390,216
|
BlackRock Credit Allocation Income Trust
|
17,405,504
|
|||||
|
943,436
|
BlackRock Debt Strategies Fund, Inc.
|
3,273,723
|
|||||
|
646,722
|
BlackRock Global Opportunities Equity Trust
|
7,683,057
|
|||||
|
356,679
|
BlackRock Multi-Sector Income Trust
|
5,639,095
|
|||||
|
305,478
|
Blackstone/GSO Long-Short Credit Income Fund
|
4,154,501
|
|||||
|
500,770
|
Blackstone/GSO Strategic Credit Fund
|
6,825,495
|
|||||
|
1,728,766
|
Boulder Growth & Income Fund, Inc.
|
13,570,810
|
|||||
|
368,069
|
Brookfield Global Listed Infrastructure Income Fund, Inc.
|
4,177,583
|
|||||
|
55,560
|
Calamos Convertible Opportunities and Income Fund
|
527,264
|
|||||
|
86,479
|
Calamos Global Dynamic Income Fund
|
607,947
|
|||||
|
613,451
|
CBRE Clarion Global Real Estate Income Fund
|
4,791,052
|
|||||
|
132,451
|
Central Europe, Russia and Turkey Fund, Inc.
|
2,479,483
|
|||||
|
737,465
|
Central Fund of Canada Ltd. - Class A
|
8,842,205
|
|||||
|
66,022
|
Central Securities Corp.
|
1,263,661
|
|||||
|
535,104
|
ClearBridge American Energy MLP Fund, Inc.
|
3,740,377
|
|||||
|
233,561
|
ClearBridge Energy MLP Opportunity Fund, Inc.
|
2,632,232
|
|||||
|
601,949
|
ClearBridge Energy MLP Total Return Fund, Inc.
|
6,248,231
|
|||||
|
274,153
|
Clough Global Allocation Fund
|
3,182,916
|
|||||
|
958,461
|
Clough Global Equity Fund(b)
|
10,428,056
|
|||||
|
3,034,615
|
Clough Global Opportunities Fund(b)
|
29,071,612
|
|||||
|
235,070
|
Cohen & Steers REIT and Preferred Income Fund, Inc.
|
4,447,524
|
|||||
|
478,564
|
Deutsche High Income Trust
|
4,058,223
|
|||||
|
113,488
|
Deutsche Strategic Income Trust
|
1,256,312
|
|||||
|
637,925
|
Eaton Vance Limited Duration Income Fund
|
8,407,852
|
|||||
|
244,167
|
Eaton Vance Short Duration Diversified Income Fund
|
3,257,188
|
|||||
|
380,697
|
First Trust High Income Long/Short Fund
|
5,565,790
|
|||||
|
431,555
|
Franklin Limited Duration Income Trust
|
4,893,834
|
|||||
|
372,709
|
General American Investors Co., Inc.
|
11,639,702
|
|||||
|
291,158
|
Global High Income Fund, Inc.
|
2,530,163
|
|||||
|
63,149
|
Goldman Sachs MLP Income Opportunities Fund
|
484,984
|
|||||
See Notes to Financial Statements.
|
16
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth Core Opportunity Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Shares/Description
|
Value
|
||||||
|
517,262
|
Invesco Dynamic Credit Opportunities Fund
|
$
|
5,560,567
|
||||
|
241,864
|
Ivy High Income Opportunities Fund
|
3,078,929
|
|||||
|
5,974,541
|
Liberty All Star® Equity Fund
|
29,693,469
|
|||||
|
376,680
|
LMP Capital and Income Fund, Inc.
|
4,659,532
|
|||||
|
322,866
|
LMP Real Estate Income Fund, Inc.
|
4,403,892
|
|||||
|
148,254
|
Madison Strategic Sector Premium Fund
|
1,669,340
|
|||||
|
373,600
|
MFS Charter Income Trust
|
3,037,368
|
|||||
|
1,204,660
|
MFS Multimarket Income Trust
|
7,023,168
|
|||||
|
193,845
|
Morgan Stanley Emerging Markets Debt Fund, Inc.
|
1,701,959
|
|||||
|
635,778
|
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.
|
4,857,344
|
|||||
|
140,147
|
Neuberger Berman High Yield Strategies Fund, Inc.
|
1,486,960
|
|||||
|
1,623,401
|
Neuberger Berman Real Estate Securities Income Fund, Inc.
|
8,263,111
|
|||||
|
331,044
|
NexPoint Credit Strategies Fund
|
5,975,344
|
|||||
|
1,177,581
|
Nuveen Credit Strategies Income Fund
|
9,314,666
|
|||||
|
424,454
|
Nuveen Mortgage Opportunity Term Fund
|
9,541,726
|
|||||
|
144,313
|
Nuveen Mortgage Opportunity Term Fund 2
|
3,133,511
|
|||||
|
51,207
|
Nuveen Municipal Advantage Fund, Inc.
|
734,820
|
|||||
|
12,806
|
Nuveen Municipal Market Opportunity Fund, Inc.
|
182,101
|
|||||
|
1,533,859
|
PIMCO Dynamic Credit Income Fund
|
26,750,501
|
|||||
|
174,331
|
Prudential Global Short Duration High Yield Fund, Inc.
|
2,594,045
|
|||||
|
302,571
|
Prudential Short Duration High Yield Fund, Inc.
|
4,659,593
|
|||||
|
112,816
|
Royce Global Value Trust, Inc.
|
831,454
|
|||||
|
1,623,321
|
Royce Value Trust, Inc.
|
19,009,089
|
|||||
|
786,019
|
Sprott Focus Trust, Inc.
|
4,786,856
|
|||||
|
1,342,278
|
Templeton Global Income Fund
|
8,751,653
|
|||||
|
136,063
|
Tortoise MLP Fund, Inc.
|
2,223,269
|
|||||
|
1,120,908
|
Tri-Continental Corp.
|
22,373,324
|
|||||
|
83,331
|
Virtus Global Multi-Sector Income Fund
|
1,180,800
|
|||||
|
236,924
|
Voya Emerging Markets High Income Dividend Equity Fund
|
1,831,612
|
|||||
|
467,736
|
Wells Fargo Advantage Multi-Sector Income Fund
|
5,715,734
|
|||||
|
395,738
|
Western Asset Emerging Markets Debt Fund, Inc.
|
5,746,116
|
|||||
|
361,694
|
Western Asset Emerging Markets Income Fund, Inc.
|
3,710,980
|
|||||
|
235,163
|
Western Asset Global Corporate Defined Opportunity Fund, Inc.
|
3,877,838
|
|||||
|
860,871
|
Western Asset High Income Opportunity Fund, Inc.
|
4,037,485
|
|||||
|
475,748
|
Western Asset Managed High Income Fund, Inc.
|
2,107,564
|
|||||
|
313,875
|
Western Asset Worldwide Income Fund, Inc.
|
3,261,161
|
|||||
|
805,052
|
Zweig Total Return Fund, Inc.
|
9,652,574
|
|||||
|
TOTAL CLOSED-END FUNDS
(Cost $534,680,179)
|
502,347,236
|
||||||
|
BUSINESS DEVELOPMENT COMPANIES - 3.40%
|
|||||||
|
1,333,471
|
American Capital Ltd.(a)
|
20,322,098
|
|||||
|
121,891
|
Apollo Investment Corp.
|
676,495
|
|||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
17
|
|
RiverNorth Core Opportunity Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Shares/Description
|
Value
|
||||||
|
749,233
|
Medley Capital Corp.
|
$
|
4,944,938
|
||||
|
TOTAL BUSINESS DEVELOPMENT COMPANIES
(Cost $26,095,435)
|
25,943,531
|
||||||
|
COMMON STOCKS - 0.12%
|
|||||||
|
69,468
|
NexPoint Residential Trust, Inc., REIT
|
909,336
|
|||||
|
TOTAL COMMON STOCKS
(Cost $916,370)
|
909,336
|
||||||
|
EXCHANGE-TRADED FUNDS - 16.68%
|
|||||||
|
79,701
|
Guggenheim S&P 500® Top 50® ETF
|
11,583,743
|
|||||
|
30,000
|
iShares® Russell 2000® ETF
|
3,318,900
|
|||||
|
87,567
|
iShares® S&P 100® Fund
|
8,000,997
|
|||||
|
209,517
|
Market Vectors® Gold Miners ETF
|
4,184,054
|
|||||
|
39,586
|
PowerShares® CEF Income Composite Portfolio
|
854,662
|
|||||
|
521,245
|
PowerShares® FTSE RAFI Emerging Markets Portfolio
|
8,120,997
|
|||||
|
240,668
|
PowerShares® FTSE RAFI US 1000 Portfolio
|
21,214,884
|
|||||
|
130,259
|
SPDR® S&P 500® ETF Trust
|
26,770,830
|
|||||
|
482,753
|
Vanguard® FTSE Developed Markets ETF
|
17,321,178
|
|||||
|
751,375
|
Vanguard® FTSE Emerging Markets ETF
|
25,982,548
|
|||||
|
TOTAL EXCHANGE-TRADED FUNDS
(Cost $125,317,206)
|
127,352,793
|
||||||
|
PREFERRED STOCKS - 0.22%
|
|||||||
|
61,158
|
General American Investors Co., Inc., Series B, 5.950%
|
1,692,248
|
|||||
|
TOTAL PREFERRED STOCKS
(Cost $1,444,152)
|
1,692,248
|
||||||
|
SHORT-TERM INVESTMENTS - 12.37%
|
|||||||
|
Money Market Fund
|
|||||||
|
94,434,700
|
State Street Institutional Trust (7 Day Yield 0.19%)
|
94,434,700
|
|||||
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $94,434,700)
|
94,434,700
|
||||||
See Notes to Financial Statements.
|
18
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth Core Opportunity Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Value
|
||||
|
TOTAL INVESTMENTS - 98.60%
(Cost $782,888,042)
|
$
|
752,679,844
|
||
|
CASH SEGREGATED AT CUSTODIAN FOR TOTAL RETURN SWAP CONTRACTS - 0.05%
|
400,000
|
|||
|
NET RECEIVABLE FROM PURCHASE AND SETTLEMENT AGREEMENT - 0.23%(c)
|
1,726,969
|
|||
|
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.12%
|
8,569,649
|
|||
|
NET ASSETS - 100.00%
|
$
|
763,376,462
|
||
|
(a)
|
Non-income producing security.
|
|
(b)
|
Affiliated company. See Note 9 to Notes to Financial Statements.
|
|
(c)
|
See Note 4 to Notes to Financial Statements.
|
Common Abbreviations:
CEF - Closed End Fund.
ETF - Exchange Traded Fund.
ETF - Exchange Traded Fund.
FTSE - Financial Times Stock Exchange.
Ltd. - Limited.
Ltd. - Limited.
MLP - Master Limited Partnership.
RAFI - Research Affiliates Fundamental Index.
REIT - Real Estate Investment Trust.
REIT - Real Estate Investment Trust.
S&P – Standard & Poor’s.
SPDR - Standard and Poor's Depositary Receipt.
TOTAL RETURN SWAP CONTRACTS*
|
Counterparty
|
Reference
Asset
|
Termination
Date
|
Rate paid
by the
Fund
|
Notional
Amount
|
Upfront
Premiums
Paid
|
Unrealized Appreciation
|
|||||||||||
|
ReFlow Fund, LLC(a)
|
Net Asset Value
|
12/16/2016
|
2.19
|
%
|
$
|
78,000,000
|
$
|
–
|
$
|
292,128
|
|||||||
|
Goldman Sachs
|
Fifth Street Finance Corp., Common Shares
|
01/20/2017
|
1.18
|
%
|
1,354,045
|
1,354,045
|
31,294
|
||||||||||
|
Goldman Sachs
|
Fifth Street Finance Corp., Common Shares
|
01/25/2017
|
1.18
|
%
|
465,334
|
465,334
|
16,847
|
||||||||||
|
$
|
340,269
|
||||||||||||||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
19
|
|
RiverNorth Core Opportunity Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
TOTAL RETURN SWAP CONTRACTS*
(Continued)
|
Counterparty
|
Reference
Asset
|
Termination Date
|
Rate paid
by the
Fund
|
Notional
Amount
|
Upfront Premiums
Paid
|
Unrealized Deprectiation
|
|||||||||||
|
Goldman Sachs
|
Fifth Street Finance Corp., Common Shares
|
10/27/2016
|
1.18
|
%
|
$
|
1,929,551
|
$
|
1,929,551
|
$
|
(184,263
|
)
|
||||||
|
Goldman Sachs
|
Fifth Street Finance Corp., Common Shares
|
10/28/2016
|
1.18
|
%
|
1,960,842
|
1,960,842
|
(215,554
|
)
|
|||||||||
|
Goldman Sachs
|
Fifth Street Finance Corp., Common Shares
|
10/31/2016
|
1.18
|
%
|
1,971,266
|
1,971,266
|
(225,983
|
)
|
|||||||||
|
Goldman Sachs
|
Fifth Street Finance Corp., Common Shares
|
01/24/2017
|
1.18
|
%
|
311,483
|
311,483
|
(5,132
|
)
|
|||||||||
|
$
|
(630,932
|
)
|
|||||||||||||||
|
(a)
|
The Fund receives monthly payments based on any positive monthly return of the Reference Asset. The Fund makes payments on any negative monthly return of such Reference Asset.
|
|
*
|
See Note 4 in the Notes to Financial Statements.
|
See Notes to Financial Statements.
|
20
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Shares/Description
|
Value
|
||||||
|
CLOSED‐END FUNDS ‐ 30.09%
|
|||||||
|
2,656,405
|
Aberdeen Asia‐Pacific Income Fund, Inc.
|
$
|
13,282,025
|
||||
|
315,609
|
Advent Claymore Convertible Securities and Income Fund
|
4,169,195
|
|||||
|
805,025
|
Advent Claymore Convertible Securities and Income Fund II
|
4,371,286
|
|||||
|
408,091
|
Advent/Claymore Enhanced Growth & Income Fund
|
3,350,427
|
|||||
|
1,092,196
|
AllianceBernstein Global High Income Fund, Inc.
|
12,735,005
|
|||||
|
4,484,912
|
AllianceBernstein Income Fund, Inc.
|
35,206,559
|
|||||
|
375,072
|
AllianzGI Convertible & Income Fund
|
2,077,899
|
|||||
|
184,447
|
AllianzGI Diversified Income & Convertible Fund
|
3,279,468
|
|||||
|
140,468
|
Apollo Senior Floating Rate Fund, Inc.
|
2,135,114
|
|||||
|
599,626
|
Ares Dynamic Credit Allocation Fund, Inc.
|
8,023,000
|
|||||
|
437,090
|
Babson Capital Global Short Duration High Yield Fund
|
7,295,032
|
|||||
|
2,119,051
|
BlackRock Corporate High Yield Fund, Inc.
|
21,126,938
|
|||||
|
1,669,346
|
BlackRock Credit Allocation Income Trust
|
20,900,212
|
|||||
|
3,645,963
|
BlackRock Debt Strategies Fund, Inc.
|
12,651,492
|
|||||
|
327,586
|
BlackRock Floating Rate Income Strategies Fund, Inc.
|
4,281,549
|
|||||
|
239,545
|
BlackRock Limited Duration Income Trust
|
3,540,475
|
|||||
|
511,077
|
BlackRock Multi‐Sector Income Trust
|
8,080,127
|
|||||
|
836,317
|
Blackstone/GSO Strategic Credit Fund
|
11,399,001
|
|||||
|
286,312
|
Brookfield High Income Fund, Inc.
|
2,009,911
|
|||||
|
528,507
|
Brookfield Mortgage Opportunity Income Fund, Inc.
|
7,737,342
|
|||||
|
300,586
|
Calamos Convertible and High Income Fund
|
3,123,089
|
|||||
|
1,311,274
|
Calamos Convertible Opportunities and Income Fund
|
12,443,990
|
|||||
|
979,780
|
Credit Suisse Asset Management Income Fund, Inc.
|
2,811,969
|
|||||
|
205,534
|
Deutsche Global High Income Fund, Inc.
|
1,586,722
|
|||||
|
455,060
|
Deutsche High Income Opportunities Fund, Inc.
|
6,065,950
|
|||||
|
604,704
|
Deutsche Multi‐Market Income Trust
|
4,795,303
|
|||||
|
139,006
|
Eaton Vance Floating‐Rate Income Trust
|
1,829,319
|
|||||
|
1,401,743
|
Eaton Vance Limited Duration Income Fund
|
18,474,973
|
|||||
|
939,564
|
Eaton Vance Senior Income Trust
|
5,440,076
|
|||||
|
267,675
|
Eaton Vance Short Duration Diversified Income Fund
|
3,570,784
|
|||||
|
265,855
|
First Trust Aberdeen Global Opportunity Income Fund
|
2,913,771
|
|||||
|
578,167
|
First Trust High Income Long/Short Fund
|
8,452,802
|
|||||
|
192,271
|
First Trust Strategic High Income Fund II
|
2,186,121
|
|||||
|
329,024
|
Franklin Limited Duration Income Trust
|
3,731,132
|
|||||
|
353,744
|
Global High Income Fund, Inc.
|
3,074,035
|
|||||
|
1,020,218
|
Invesco Dynamic Credit Opportunities Fund
|
10,967,344
|
|||||
|
135,277
|
Invesco High Income Trust II
|
1,791,067
|
|||||
|
2,359,251
|
Invesco Senior Income Trust
|
9,531,374
|
|||||
|
157,019
|
KKR Income Opportunities Fund
|
2,262,644
|
|||||
|
446,021
|
Legg Mason BW Global Income Opportunities Fund, Inc.
|
5,508,359
|
|||||
|
199,484
|
LMP Corporate Loan Fund, Inc.
|
1,946,964
|
|||||
|
1,224,205
|
MFS Charter Income Trust
|
9,952,787
|
|||||
|
1,002,824
|
MFS Multimarket Income Trust
|
5,846,464
|
|||||
|
483,942
|
Morgan Stanley Emerging Markets Debt Fund, Inc.
|
4,249,011
|
|||||
|
1,394,786
|
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.
|
10,656,165
|
|||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
21
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Shares/Description
|
Value
|
||||||
|
230,385
|
Morgan Stanley Income Securities, Inc.
|
$
|
4,034,041
|
||||
|
374,040
|
Neuberger Berman High Yield Strategies Fund, Inc.
|
3,968,564
|
|||||
|
136,835
|
NexPoint Credit Strategies Fund
|
2,469,872
|
|||||
|
113,636
|
Nuveen Build America Bond Opportunity Fund
|
2,445,447
|
|||||
|
2,063,381
|
Nuveen Credit Strategies Income Fund
|
16,321,344
|
|||||
|
584,986
|
Nuveen Floating Rate Income Fund
|
5,890,809
|
|||||
|
458,140
|
Nuveen Floating Rate Income Opportunity Fund
|
4,531,005
|
|||||
|
670,313
|
Nuveen Global High Income Fund
|
9,297,241
|
|||||
|
554,095
|
Nuveen Municipal Advantage Fund, Inc.
|
7,951,263
|
|||||
|
371,841
|
Nuveen Municipal Market Opportunity Fund, Inc.
|
5,287,579
|
|||||
|
62,764
|
Nuveen Select Quality Municipal Fund, Inc.
|
920,120
|
|||||
|
1,052,908
|
Nuveen Senior Income Fund
|
6,212,157
|
|||||
|
239,014
|
Nuveen Short Duration Credit Opportunities Fund
|
3,613,892
|
|||||
|
3,851,139
|
PIMCO Dynamic Credit Income Fund
|
67,163,864
|
|||||
|
295,506
|
Pioneer Floating Rate Trust
|
3,306,712
|
|||||
|
739,234
|
Prudential Global Short Duration High Yield Fund, Inc.
|
10,999,802
|
|||||
|
429,789
|
Prudential Short Duration High Yield Fund, Inc.
|
6,618,751
|
|||||
|
200,927
|
Putnam High Income Securities Fund
|
1,470,786
|
|||||
|
220,823
|
Putnam Master Intermediate Income Trust
|
971,621
|
|||||
|
531,762
|
Strategic Global Income Fund, Inc.
|
4,737,999
|
|||||
|
39,311
|
TCW Strategic Income Fund, Inc.
|
205,203
|
|||||
|
1,253,001
|
Templeton Emerging Markets Income Fund
|
12,880,850
|
|||||
|
2,165,540
|
Templeton Global Income Fund
|
14,119,321
|
|||||
|
386,464
|
The GDL Fund
|
3,876,234
|
|||||
|
569,224
|
The New America High Income Fund, Inc.
|
4,593,638
|
|||||
|
229,691
|
Virtus Global Multi‐Sector Income Fund
|
3,254,721
|
|||||
|
127,321
|
Voya Prime Rate Trust
|
641,698
|
|||||
|
151,741
|
Wells Fargo Advantage Income Opportunities Fund
|
1,148,679
|
|||||
|
751,459
|
Wells Fargo Advantage Multi‐Sector Income Fund
|
9,182,829
|
|||||
|
458,253
|
Western Asset Emerging Markets Debt Fund, Inc.
|
6,653,834
|
|||||
|
503,539
|
Western Asset Emerging Markets Income Fund, Inc.
|
5,166,310
|
|||||
|
162,956
|
Western Asset Global Corporate Defined Opportunity Fund, Inc.
|
2,687,144
|
|||||
|
1,201,172
|
Western Asset High Income Opportunity Fund, Inc.
|
5,633,497
|
|||||
|
668,312
|
Western Asset High Yield Defined Opportunity Fund, Inc.
|
9,316,269
|
|||||
|
648,972
|
Western Asset Managed High Income Fund, Inc.
|
2,874,946
|
|||||
|
67,584
|
Western Asset Worldwide Income Fund, Inc.
|
702,198
|
|||||
|
540,457
|
Western Asset/Claymore Inflation‐Linked Opportunities & Income Fund
|
5,977,454
|
|||||
|
TOTAL CLOSED‐END FUNDS
|
|||||||
|
(Cost $653,073,317)
|
587,991,966
|
||||||
|
BUSINESS DEVELOPMENT COMPANIES ‐ 1.67%
|
|||||||
|
1,982,108
|
American Capital Ltd.(a)
|
30,207,326
|
|||||
See Notes to Financial Statements.
|
22
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Shares/Description
|
Value
|
||||||
|
138,346
|
Solar Capital Ltd.
|
$
|
2,390,619
|
||||
|
TOTAL BUSINESS DEVELOPMENT COMPANIES
|
|||||||
|
(Cost $30,301,370)
|
32,597,945
|
||||||
|
COMMON STOCKS ‐ 0.09%
|
|||||||
|
133,852
|
NexPoint Residential Trust, Inc., REIT
|
1,752,123
|
|||||
|
TOTAL COMMON STOCKS
|
|||||||
|
(Cost $1,894,006)
|
1,752,123
|
||||||
|
EXCHANGE‐TRADED FUNDS ‐ 0.72%
|
|||||||
|
651,598
|
PowerShares® CEF Income Composite Portfolio
|
14,068,001
|
|||||
|
TOTAL EXCHANGE‐TRADED FUNDS
|
|||||||
|
(Cost $15,331,378)
|
14,068,001
|
||||||
|
OPEN‐END FUNDS ‐ 1.24%
|
|||||||
|
2,708,757
|
RiverNorth/Oaktree High Income Fund, Class I(b)
|
24,324,633
|
|||||
|
TOTAL OPEN‐END FUNDS
|
|||||||
|
(Cost $26,564,665)
|
24,324,633
|
||||||
|
PREFERRED STOCKS ‐ 0.66%
|
|||||||
|
84,225
|
Apollo Commercial Real Estate Finance, Inc., Series A, 8.625%
|
2,123,312
|
|||||
|
154,450
|
Gladstone Investment Corp., Series C, 6.500%
|
3,726,879
|
|||||
|
125,774
|
Kayne Anderson MLP Investment Co., Series F, 3.500%
|
3,170,763
|
|||||
|
76,371
|
The GDL Fund, Series B, 3.000%
|
3,841,461
|
|||||
|
TOTAL PREFERRED STOCKS
|
|||||||
|
(Cost $13,104,545)
|
12,862,415
|
||||||
|
Shares/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
BUSINESS DEVELOPMENT COMPANY SENIOR NOTES ‐ 1.48%
|
||||||||||
|
232,005
|
Fifth Street Finance Corp.
|
6.13%
|
04/30/2028
|
5,769,964
|
||||||
|
176,142
|
Main Street Capital Corp.
|
6.13%
|
04/01/2023
|
4,472,245
|
||||||
|
92,023
|
Medley Capital Corp.
|
7.13%
|
03/30/2019
|
2,300,575
|
||||||
|
90,000
|
Medley Capital Corp.
|
6.50%
|
01/30/2021
|
2,204,991
|
||||||
|
201,767
|
Medley Capital Corp.
|
6.13%
|
03/30/2023
|
4,884,779
|
||||||
|
135,503
|
MVC Capital, Inc.
|
7.25%
|
01/15/2023
|
3,280,528
|
||||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
23
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Shares/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
126,535
|
THL Credit, Inc.
|
6.75%
|
11/15/2021
|
$
|
3,144,104
|
|||||
|
112,510
|
THL Credit, Inc.
|
6.75%
|
12/30/2022
|
2,773,360
|
||||||
|
TOTAL BUSINESS DEVELOPMENT COMPANY SENIOR NOTES
|
||||||||||
|
(Cost $28,936,517)
|
28,830,546
|
|||||||||
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
FOREIGN CORPORATE BONDS ‐ 2.44%
|
||||||||||
|
Australia ‐ 0.10%
|
||||||||||
|
$
|
1,085,000
|
Australia & New Zealand Banking Group Ltd.(c)
|
4.88%
|
01/12/2021
|
1,211,230
|
|||||
|
660,000
|
Westpac Banking Corp.
|
2.60%
|
11/23/2020
|
674,602
|
||||||
|
1,885,832
|
||||||||||
|
Austria ‐ 0.01%
|
||||||||||
|
200,000
|
ESAL GmbH(d)
|
6.25%
|
02/05/2023
|
176,750
|
||||||
|
Bermuda ‐ 0.05%
|
||||||||||
|
600,000
|
Digicel Group Ltd.(c)
|
7.13%
|
04/01/2022
|
469,440
|
||||||
|
400,000
|
Digicel Group Ltd.(d)
|
7.13%
|
04/01/2022
|
312,960
|
||||||
|
200,000
|
Inkia Energy Ltd.(d)
|
8.38%
|
04/04/2021
|
200,500
|
||||||
|
982,900
|
||||||||||
|
Brazil ‐ 0.00% (e)
|
||||||||||
|
100,000
|
Cosan Overseas Ltd.(f)
|
8.25%
|
Perpetual Maturity
|
85,000
|
||||||
|
1,500,000
|
OAS Finance Ltd.(c)(f)(g)
|
8.88%
|
Perpetual Maturity
|
9,300
|
||||||
|
94,300
|
||||||||||
|
British Virgin Islands ‐ 0.02%
|
||||||||||
|
400,000
|
Magnesita Finance Ltd.(d)(f)
|
8.63%
|
Perpetual Maturity
|
234,000
|
||||||
|
200,000
|
Sinopec Group Overseas Development 2015 Ltd.(c)
|
2.50%
|
04/28/2020
|
201,103
|
||||||
|
435,103
|
||||||||||
|
Canada ‐ 0.08%
|
||||||||||
|
645,000
|
Bank of Montreal
|
2.38%
|
01/25/2019
|
657,738
|
||||||
|
160,000
|
Royal Bank of Canada
|
2.50%
|
01/19/2021
|
163,555
|
||||||
|
430,000
|
The Toronto‐Dominion Bank
|
2.13%
|
04/07/2021
|
429,140
|
||||||
|
230,000
|
The Toronto‐Dominion Bank
|
1.75%
|
07/23/2018
|
231,108
|
||||||
|
1,481,541
|
||||||||||
|
Cayman Islands ‐ 0.27%
|
||||||||||
|
500,000
|
Agromercantil Senior Trust(c)
|
6.25%
|
04/10/2019
|
517,500
|
||||||
|
1,295,000
|
Alibaba Group Holding Ltd.
|
3.60%
|
11/28/2024
|
1,307,906
|
||||||
|
150,000
|
Bantrab Senior Trust(d)
|
9.00%
|
11/14/2020
|
144,937
|
||||||
See Notes to Financial Statements.
|
24
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
800,000
|
Grupo Aval Ltd.(d)
|
4.75%
|
09/26/2022
|
$
|
748,000
|
||||
|
956,976
|
Guanay Finance Ltd.(d)
|
6.00%
|
12/15/2020
|
930,660
|
||||||
|
600,000
|
Industrial Senior Trust(c)
|
5.50%
|
11/01/2022
|
577,500
|
||||||
|
300,000
|
Industrial Senior Trust(d)
|
5.50%
|
11/01/2022
|
288,750
|
||||||
|
400,000
|
Lima Metro Line 2 Finance Ltd.(d)
|
5.88%
|
07/05/2034
|
400,000
|
||||||
|
400,000
|
Peru Enhanced Pass‐Through Finance Ltd.(d)(h)
|
0.00%
|
06/02/2025
|
309,564
|
||||||
|
5,224,817
|
||||||||||
|
Chile ‐ 0.13%
|
||||||||||
|
800,000
|
CorpGroup Banking SA(c)
|
6.75%
|
03/15/2023
|
749,000
|
||||||
|
1,000,000
|
Empresa Electrica Angamos SA(d)
|
4.88%
|
05/25/2029
|
930,295
|
||||||
|
200,000
|
Empresa Nacional de Telecomunicaciones SA(c)
|
4.75%
|
08/01/2026
|
192,697
|
||||||
|
500,000
|
Latam Airlines Group SA(c)
|
7.25%
|
06/09/2020
|
462,500
|
||||||
|
200,000
|
Sociedad Quimica y Minera de Chile SA(d)
|
5.50%
|
04/21/2020
|
207,650
|
||||||
|
2,542,142
|
||||||||||
|
Colombia ‐ 0.15%
|
||||||||||
|
450,000
|
Banco Bilbao Vizcaya Argentaria Colombia SA(d)
|
4.88%
|
04/21/2025
|
436,500
|
||||||
|
250,000
|
Banco GNB Sudameris SA(d)
|
7.50%
|
07/30/2022
|
250,000
|
||||||
|
300,000
|
Bancolombia SA
|
6.13%
|
07/26/2020
|
317,910
|
||||||
|
900,000
|
Ecopetrol SA
|
5.88%
|
05/28/2045
|
712,980
|
||||||
|
600,000
|
Pacific Exploration and Production Corp.(c)
|
5.13%
|
03/28/2023
|
105,000
|
||||||
|
100,000
|
Pacific Exploration and Production Corp.(c)
|
5.63%
|
01/19/2025
|
17,500
|
||||||
|
400,000
|
Pacific Exploration and Production Corp.(d)
|
5.13%
|
03/28/2023
|
70,000
|
||||||
|
1,000,000
|
Transportadora de Gas Internacional SA ESP(d)
|
5.70%
|
03/20/2022
|
1,018,500
|
||||||
|
2,928,390
|
||||||||||
|
Costa Rica ‐ 0.08%
|
||||||||||
|
400,000
|
Banco de Costa Rica(d)
|
5.25%
|
08/12/2018
|
407,000
|
||||||
|
600,000
|
Banco Nacional de Costa Rica(d)
|
4.88%
|
11/01/2018
|
598,500
|
||||||
|
400,000
|
Instituto Costarricense de Electricidad(c)
|
6.95%
|
11/10/2021
|
401,000
|
||||||
|
200,000
|
Instituto Costarricense de Electricidad(d)
|
6.95%
|
11/10/2021
|
200,500
|
||||||
|
1,607,000
|
||||||||||
|
Curacao ‐ 0.05%
|
||||||||||
|
300,000
|
SUAM Finance BV(d)
|
4.88%
|
04/17/2024
|
303,450
|
||||||
|
687,000
|
Teva Pharmaceutical Finance Co. BV
|
2.95%
|
12/18/2022
|
692,276
|
||||||
|
995,726
|
||||||||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
25
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
Dominican Republic ‐ 0.02%
|
||||||||||
|
$
|
400,000
|
Aeropuertos Dominicanos Siglo XXI SA(d)
|
9.75%
|
11/13/2019
|
$
|
424,000
|
||||
|
France ‐ 0.03%
|
||||||||||
|
275,000
|
Orange SA
|
2.75%
|
09/14/2016
|
277,079
|
||||||
|
311,000
|
Orange SA
|
2.75%
|
02/06/2019
|
320,827
|
||||||
|
597,906
|
||||||||||
|
Great Britain ‐ 0.17%
|
||||||||||
|
660,000
|
AstraZeneca PLC
|
2.38%
|
11/16/2020
|
674,077
|
||||||
|
655,000
|
BP Capital Markets PLC
|
3.06%
|
03/17/2022
|
671,663
|
||||||
|
1,188,000
|
British Telecommunications PLC
|
5.95%
|
01/15/2018
|
1,281,756
|
||||||
|
107,000
|
Delphi Automotive PLC
|
4.25%
|
01/15/2026
|
111,957
|
||||||
|
1,000,000
|
Vedanta Resources PLC(c)
|
7.13%
|
05/31/2023
|
560,000
|
||||||
|
3,299,453
|
||||||||||
|
Guatemala ‐ 0.02%
|
||||||||||
|
400,000
|
Comcel Trust via Comunicaciones Celulares SA(d)
|
6.88%
|
02/06/2024
|
376,000
|
||||||
|
India ‐ 0.09%
|
||||||||||
|
200,000
|
Bharat Petroleum Corp. Ltd.
|
4.00%
|
05/08/2025
|
201,620
|
||||||
|
400,000
|
Bharti Airtel Ltd.(d)
|
4.38%
|
06/10/2025
|
407,238
|
||||||
|
400,000
|
ONGC Videsh Ltd.
|
3.75%
|
05/07/2023
|
400,520
|
||||||
|
200,000
|
ONGC Videsh Ltd.
|
4.63%
|
07/15/2024
|
210,174
|
||||||
|
500,000
|
Reliance Industries Ltd.(d)(f)
|
5.88%
|
Perpetual Maturity
|
496,875
|
||||||
|
1,716,427
|
||||||||||
|
Ireland ‐ 0.04%
|
||||||||||
|
824,000
|
GE Capital International Funding Co.(c)
|
0.96%
|
04/15/2016
|
824,049
|
||||||
|
Israel ‐ 0.05%
|
||||||||||
|
600,000
|
Delek & Avner Tamar Bond Ltd.(c)
|
4.44%
|
12/30/2020
|
604,500
|
||||||
|
360,000
|
Delek & Avner Tamar Bond Ltd.(c)
|
5.41%
|
12/30/2025
|
361,350
|
||||||
|
965,850
|
||||||||||
|
Japan ‐ 0.03%
|
||||||||||
|
665,000
|
Sumitomo Mitsui Financial Group, Inc.
|
2.93%
|
03/09/2021
|
678,403
|
||||||
|
Luxembourg ‐ 0.09%
|
||||||||||
|
655,000
|
Actavis Funding SCS
|
2.35%
|
03/12/2018
|
662,998
|
||||||
|
330,000
|
Covidien International Finance SA
|
2.95%
|
06/15/2023
|
340,779
|
||||||
|
150,000
|
Intelsat Jackson Holdings SA
|
5.50%
|
08/01/2023
|
91,125
|
||||||
|
15,000
|
Intelsat Jackson Holdings SA(c)
|
8.00%
|
02/15/2024
|
15,488
|
||||||
|
650,000
|
Minerva Luxembourg SA(c)(f)(i)
|
8.75%
|
Perpetual Maturity
|
613,438
|
||||||
|
1,723,828
|
||||||||||
See Notes to Financial Statements.
|
26
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
Mexico ‐ 0.38%
|
||||||||||
|
$
|
900,000
|
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander(d)(i)
|
5.95%
|
01/30/2024
|
$
|
932,850
|
||||
|
300,000
|
BBVA Bancomer SA(c)(i)
|
5.35%
|
11/12/2029
|
289,500
|
||||||
|
700,000
|
BBVA Bancomer SA(d)(i)
|
5.35%
|
11/12/2029
|
675,500
|
||||||
|
400,000
|
Credito Real SAB de CV SOFOM ER(c)
|
7.50%
|
03/13/2019
|
397,000
|
||||||
|
734,402
|
Fermaca Enterprises S de RL de CV(c)
|
6.38%
|
03/30/2038
|
695,846
|
||||||
|
244,801
|
Fermaca Enterprises S de RL de CV(d)
|
6.38%
|
03/30/2038
|
231,949
|
||||||
|
300,000
|
Grupo Elektra SAB de CV(d)
|
7.25%
|
08/06/2018
|
292,500
|
||||||
|
600,000
|
Grupo Idesa SA de CV(c)
|
7.88%
|
12/18/2020
|
585,750
|
||||||
|
200,000
|
Grupo Idesa SA de CV(d)
|
7.88%
|
12/18/2020
|
195,250
|
||||||
|
677,768
|
Mexico Generadora de Energia S de rl(d)
|
5.50%
|
12/06/2032
|
596,436
|
||||||
|
200,000
|
Petroleos Mexicanos
|
5.50%
|
01/21/2021
|
207,875
|
||||||
|
1,475,000
|
Petroleos Mexicanos
|
5.63%
|
01/23/2046
|
1,245,121
|
||||||
|
200,000
|
Sixsigma Networks Mexico SA de CV(c)
|
8.25%
|
11/07/2021
|
189,500
|
||||||
|
300,000
|
TV Azteca SAB de CV(d)
|
7.50%
|
05/25/2018
|
194,250
|
||||||
|
250,000
|
Unifin Financiera SAPI de CV SOFOM ENR(c)
|
6.25%
|
07/22/2019
|
238,750
|
||||||
|
400,000
|
Unifin Financiera SAPI de CV SOFOM ENR(d)
|
6.25%
|
07/22/2019
|
382,000
|
||||||
|
7,350,077
|
||||||||||
|
Netherlands ‐ 0.08%
|
||||||||||
|
250,000
|
Ajecorp BV(d)
|
6.50%
|
05/14/2022
|
107,500
|
||||||
|
300,000
|
CIMPOR Financial Operations BV(c)
|
5.75%
|
07/17/2024
|
220,500
|
||||||
|
200,000
|
CIMPOR Financial Operations BV(d)
|
5.75%
|
07/17/2024
|
147,000
|
||||||
|
300,000
|
Marfrig Holding Europe BV(c)
|
6.88%
|
06/24/2019
|
286,125
|
||||||
|
200,000
|
Marfrig Holding Europe BV(d)
|
6.88%
|
06/24/2019
|
190,750
|
||||||
|
600,000
|
VTR Finance BV(d)
|
6.88%
|
01/15/2024
|
589,680
|
||||||
|
1,541,555
|
||||||||||
|
Pakistan ‐ 0.02%
|
||||||||||
|
400,000
|
Global Bank Corp.(c)
|
5.13%
|
10/30/2019
|
407,000
|
||||||
|
Panama ‐ 0.17%
|
||||||||||
|
450,000
|
Aeropuerto Internacional de Tocumen SA
|
5.75%
|
10/09/2023
|
463,500
|
||||||
|
700,000
|
AES El Salvador Trust II(d)
|
6.75%
|
03/28/2023
|
549,500
|
||||||
|
400,000
|
Avianca Holdings SA / Avianca Leasing LLC / Grupo Taca Holdings Ltd.(c)
|
8.38%
|
05/10/2020
|
316,000
|
||||||
|
400,000
|
Avianca Holdings SA / Avianca Leasing LLC / Grupo Taca Holdings Ltd.(d)
|
8.38%
|
05/10/2020
|
316,000
|
||||||
|
300,000
|
Banco Latinoamericano de Comercio Exterior SA(d)
|
3.25%
|
05/07/2020
|
299,250
|
||||||
|
641,972
|
ENA Norte Trust(d)
|
4.95%
|
04/25/2023
|
654,811
|
||||||
|
400,000
|
Global Bank Corp.(d)
|
4.75%
|
10/05/2017
|
406,500
|
||||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
27
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
400,000
|
Global Bank Corp.(d)
|
5.13%
|
10/30/2019
|
$
|
407,000
|
||||
|
3,412,561
|
||||||||||
|
Paraguay ‐ 0.08%
|
||||||||||
|
350,000
|
Banco Continental SAECA(d)
|
8.88%
|
10/15/2017
|
354,813
|
||||||
|
150,000
|
Banco Regional SAECA(c)
|
8.13%
|
01/24/2019
|
154,950
|
||||||
|
600,000
|
Banco Regional SAECA(d)
|
8.13%
|
01/24/2019
|
619,800
|
||||||
|
400,000
|
Telefonica Celular del Paraguay SA(d)
|
6.75%
|
12/13/2022
|
394,000
|
||||||
|
1,523,563
|
||||||||||
|
Peru ‐ 0.20%
|
||||||||||
|
600,000
|
Abengoa Transmision Sur SA(c)
|
6.88%
|
04/30/2043
|
613,500
|
||||||
|
200,000
|
Abengoa Transmision Sur SA(d)
|
6.88%
|
04/30/2043
|
204,500
|
||||||
|
100,000
|
Banco Internacional del Peru SAA Interbank(d)(i)
|
6.63%
|
03/19/2029
|
103,350
|
||||||
|
100,000
|
BBVA Banco Continental SA(d)(i)
|
5.25%
|
09/22/2029
|
101,125
|
||||||
|
180,000
|
Camposol SA(c)
|
9.88%
|
02/02/2017
|
157,500
|
||||||
|
800,000
|
Cia Minera Ares SAC(d)
|
7.75%
|
01/23/2021
|
796,000
|
||||||
|
400,000
|
Corp. Azucarera del Peru SA(d)
|
6.38%
|
08/02/2022
|
346,000
|
||||||
|
200,000
|
Inkia Energy Ltd.(c)
|
8.38%
|
04/04/2021
|
200,500
|
||||||
|
127,000
|
Maestro Peru SA(d)
|
6.75%
|
09/26/2019
|
133,667
|
||||||
|
500,000
|
Pesquera Exalmar SAA(c)
|
7.38%
|
01/31/2020
|
355,000
|
||||||
|
500,000
|
Pesquera Exalmar SAA(d)
|
7.38%
|
01/31/2020
|
355,000
|
||||||
|
600,000
|
Volcan Cia Minera SAA(d)
|
5.38%
|
02/02/2022
|
459,750
|
||||||
|
3,825,892
|
||||||||||
|
Singapore ‐ 0.02%
|
||||||||||
|
400,000
|
Oversea‐Chinese Banking Corp. Ltd.(d)(i)
|
4.00%
|
10/15/2024
|
415,927
|
||||||
|
Trinidad/Tobago ‐ 0.01%
|
||||||||||
|
300,000
|
National Gas Co. of Trinidad & Tobago Ltd.(d)
|
6.05%
|
01/15/2036
|
305,625
|
||||||
|
TOTAL FOREIGN CORPORATE BONDS
|
||||||||||
|
(Cost $52,678,303)
|
47,742,617
|
|||||||||
|
U.S. CORPORATE BONDS ‐ 3.22%
|
||||||||||
|
Advertising ‐ 0.03%
|
||||||||||
|
390,000
|
Omnicom Group, Inc.
|
3.63%
|
05/01/2022
|
410,178
|
||||||
|
260,000
|
Omnicom Group, Inc.
|
3.60%
|
04/15/2026
|
266,995
|
||||||
|
677,173
|
||||||||||
|
Aerospace/Defense ‐ 0.08%
|
||||||||||
|
665,000
|
Lockheed Martin Corp.
|
4.70%
|
05/15/2046
|
746,893
|
||||||
|
451,000
|
The Boeing Co.
|
6.88%
|
03/15/2039
|
659,526
|
||||||
|
140,000
|
TransDigm, Inc.
|
6.00%
|
07/15/2022
|
140,175
|
||||||
|
1,546,594
|
||||||||||
See Notes to Financial Statements.
|
28
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
Agriculture‐ 0.04%
|
||||||||||
|
$
|
635,000
|
Reynolds American, Inc.
|
4.00%
|
06/12/2022
|
$
|
691,384
|
||||
|
Apparel ‐ 0.00%(e)
|
||||||||||
|
65,000
|
Levi Strauss & Co.
|
5.00%
|
05/01/2025
|
65,975
|
||||||
|
Auto Manufacturers ‐ 0.08%
|
||||||||||
|
520,000
|
Ford Motor Co.
|
7.45%
|
07/16/2031
|
679,632
|
||||||
|
345,000
|
General Motors Financial Co., Inc.
|
3.20%
|
07/13/2020
|
344,705
|
||||||
|
505,000
|
General Motors Financial Co., Inc.
|
4.20%
|
03/01/2021
|
522,394
|
||||||
|
1,546,731
|
||||||||||
|
Auto Parts & Equipment ‐ 0.04%
|
||||||||||
|
95,000
|
American Axle & Manufacturing, Inc.
|
6.63%
|
10/15/2022
|
99,037
|
||||||
|
55,000
|
Dana Holding Corp.
|
5.50%
|
12/15/2024
|
52,112
|
||||||
|
545,000
|
Delphi Corp.
|
4.15%
|
03/15/2024
|
561,515
|
||||||
|
95,000
|
The Goodyear Tire & Rubber Co.
|
5.13%
|
11/15/2023
|
97,613
|
||||||
|
810,277
|
||||||||||
|
Banks‐ 0.44%
|
||||||||||
|
985,000
|
Bank of America Corp.
|
2.00%
|
01/11/2018
|
989,590
|
||||||
|
655,000
|
BB&T Corp.
|
2.45%
|
01/15/2020
|
666,943
|
||||||
|
640,000
|
Citigroup, Inc.
|
2.65%
|
10/26/2020
|
647,000
|
||||||
|
355,000
|
Citigroup, Inc.
|
2.70%
|
03/30/2021
|
358,167
|
||||||
|
657,000
|
JPMorgan Chase & Co.
|
2.55%
|
10/29/2020
|
666,549
|
||||||
|
665,000
|
JPMorgan Chase & Co.
|
4.25%
|
10/01/2027
|
693,618
|
||||||
|
660,000
|
Morgan Stanley
|
2.65%
|
01/27/2020
|
670,602
|
||||||
|
660,000
|
Morgan Stanley
|
3.88%
|
01/27/2026
|
690,149
|
||||||
|
655,000
|
PNC Funding Corp.
|
3.30%
|
03/08/2022
|
686,467
|
||||||
|
480,000
|
State Street Corp.
|
3.55%
|
08/18/2025
|
511,571
|
||||||
|
695,000
|
The Goldman Sachs Group, Inc.
|
2.88%
|
02/25/2021
|
708,336
|
||||||
|
1,335,000
|
Wells Fargo & Co.
|
3.55%
|
09/29/2025
|
1,401,905
|
||||||
|
8,690,897
|
||||||||||
|
Beverages - 0.05%
|
||||||||||
|
325,000
|
Anheuser‐Busch InBev Finance, Inc.
|
4.90%
|
02/01/2046
|
364,019
|
||||||
|
335,000
|
The Coca‐Cola Co.
|
1.65%
|
11/01/2018
|
341,418
|
||||||
|
315,000
|
The Coca‐Cola Co.
|
1.88%
|
10/27/2020
|
320,269
|
||||||
|
1,025,706
|
||||||||||
|
Biotechnology - 0.02%
|
||||||||||
|
335,000
|
Celgene Corp.
|
3.88%
|
08/15/2025
|
352,894
|
||||||
|
Chemicals - 0.02%
|
||||||||||
|
95,000
|
Ashland, Inc.
|
4.75%
|
08/15/2022
|
96,900
|
||||||
|
400,000
|
Braskem America Finance Co.(d)
|
7.13%
|
07/22/2041
|
341,380
|
||||||
|
438,280
|
||||||||||
|
Commercial Services ‐ 0.03%
|
||||||||||
|
330,000
|
McGraw Hill Financial, Inc.
|
4.40%
|
02/15/2026
|
359,556
|
||||||
|
94,000
|
Service Corp. International
|
5.38%
|
01/15/2022
|
98,700
|
||||||
|
See Notes to Financial Statements.
|
|
Semi-Annual Report | March 31, 2016
|
29
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
45,000
|
Team Health, Inc.(c)
|
7.25%
|
12/15/2023
|
$
|
48,262
|
||||
|
506,518
|
||||||||||
|
Computers ‐ 0.09%
|
||||||||||
|
508,000
|
Apple, Inc.
|
4.65%
|
02/23/2046
|
556,105
|
||||||
|
540,000
|
Hewlett Packard Enterprise Co.(c)
|
3.60%
|
10/15/2020
|
562,318
|
||||||
|
705,000
|
International Business Machines Corp.
|
1.13%
|
02/06/2018
|
706,584
|
||||||
|
25,000
|
Western Digital Corp.(c)
|
7.38%
|
04/01/2023
|
25,562
|
||||||
|
1,850,569
|
||||||||||
|
Cosmetics/Personal Care‐ 0.01%
|
||||||||||
|
120,000
|
Revlon Consumer Products Corp.
|
5.75%
|
02/15/2021
|
123,900
|
||||||
|
Distribution/Wholesale‐ 0.01%
|
||||||||||
|
100,000
|
HD Supply, Inc.
|
7.50%
|
07/15/2020
|
106,625
|
||||||
|
20,000
|
HD Supply, Inc.(c)
|
5.75%
|
04/15/2024
|
20,600
|
||||||
|
127,225
|
||||||||||
|
Diversified Financial Services‐ 0.23%
|
||||||||||
|
660,000
|
Air Lease Corp.
|
3.75%
|
02/01/2022
|
658,293
|
||||||
|
645,000
|
Ally Financial, Inc.
|
4.13%
|
03/30/2020
|
641,775
|
||||||
|
435,000
|
American Express Credit Corp.
|
2.13%
|
03/18/2019
|
440,383
|
||||||
|
865,000
|
American Express Credit Corp.
|
2.25%
|
08/15/2019
|
876,384
|
||||||
|
529,000
|
National Rural Utilities Cooperative Finance Corp.
|
10.38%
|
11/01/2018
|
645,438
|
||||||
|
470,000
|
National Rural Utilities Cooperative Finance Corp.
|
2.00%
|
01/27/2020
|
474,394
|
||||||
|
659,000
|
Synchrony Financial
|
3.00%
|
08/15/2019
|
670,107
|
||||||
|
4,406,774
|
||||||||||
|
Electric - 0.14%
|
||||||||||
|
787,000
|
Berkshire Hathaway Energy Co.
|
6.50%
|
09/15/2037
|
1,029,786
|
||||||
|
715,000
|
Duke Energy Progress, Inc.
|
4.15%
|
12/01/2044
|
752,995
|
||||||
|
1,000,000
|
The Southern Co.
|
2.45%
|
09/01/2018
|
1,016,730
|
||||||
|
2,799,511
|
||||||||||
|
Engineering & Construction - 0.00%(e)
|
||||||||||
|
95,000
|
SBA Communications Corp.
|
5.63%
|
10/01/2019
|
99,512
|
||||||
|
Entertainment - 0.01%
|
||||||||||
|
50,000
|
Regal Entertainment Group
|
5.75%
|
03/15/2022
|
52,000
|
||||||
|
105,000
|
Scientific Games International, Inc.(c)
|
7.00%
|
01/01/2022
|
107,625
|
||||||
|
50,000
|
WMG Acquisition Corp.(c)
|
6.75%
|
04/15/2022
|
49,750
|
||||||
|
209,375
|
||||||||||
|
Environmental Control ‐ 0.03%
|
||||||||||
|
530,000
|
Waste Management, Inc.
|
4.10%
|
03/01/2045
|
534,428
|
||||||
|
Food ‐ 0.17%
|
||||||||||
|
115,000
|
JBS USA LLC / JBS USA Finance, Inc.(c)
|
5.75%
|
06/15/2025
|
101,200
|
||||||
|
505,000
|
Kraft Heinz Foods Co.(c)
|
1.60%
|
06/30/2017
|
506,818
|
||||||
|
160,000
|
Kraft Heinz Foods Co.(c)
|
2.00%
|
07/02/2018
|
161,591
|
||||||
|
See Notes to Financial Statements.
|
|
30
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
35,000
|
Pilgrim’s Pride Corp.(c)
|
5.75%
|
03/15/2025
|
$
|
35,306
|
||||
|
65,000
|
Post Holdings, Inc.
|
7.38%
|
02/15/2022
|
68,981
|
||||||
|
970,000
|
The Kroger Co.
|
3.40%
|
04/15/2022
|
1,028,338
|
||||||
|
30,000
|
TreeHouse Foods, Inc.(c)
|
6.00%
|
02/15/2024
|
31,950
|
||||||
|
1,285,000
|
Tyson Foods, Inc.
|
3.95%
|
08/15/2024
|
1,372,810
|
||||||
|
3,306,994
|
||||||||||
|
Forest Products & Paper - 0.07%
|
||||||||||
|
1,315,000
|
Georgia‐Pacific LLC(c)
|
3.60%
|
03/01/2025
|
1,363,479
|
||||||
|
Hand/Machine Tools ‐ 0.01%
|
||||||||||
|
115,000
|
Milacron LLC / Mcron Finance Corp.(c)
|
7.75%
|
02/15/2021
|
106,375
|
||||||
|
Healthcare‐Products ‐ 0.09%
|
||||||||||
|
77,000
|
Alere, Inc.
|
6.50%
|
06/15/2020
|
78,848
|
||||||
|
1,000,000
|
Thermo Fisher Scientific, Inc.
|
3.30%
|
02/15/2022
|
1,021,622
|
||||||
|
660,000
|
Zimmer Biomet Holdings, Inc.
|
1.45%
|
04/01/2017
|
659,973
|
||||||
|
1,760,443
|
||||||||||
|
Healthcare‐Services ‐ 0.13%
|
||||||||||
|
648,000
|
Anthem, Inc.
|
2.30%
|
07/15/2018
|
655,745
|
||||||
|
130,000
|
Centene Escrow Corp.(c)
|
5.63%
|
02/15/2021
|
135,850
|
||||||
|
50,000
|
HCA, Inc.
|
5.38%
|
02/01/2025
|
50,610
|
||||||
|
90,000
|
HCA, Inc.
|
5.88%
|
02/15/2026
|
92,925
|
||||||
|
660,000
|
Laboratory Corp. of America Holdings
|
2.50%
|
11/01/2018
|
666,119
|
||||||
|
695,000
|
Laboratory Corp. of America Holdings
|
4.70%
|
02/01/2045
|
696,398
|
||||||
|
120,000
|
Select Medical Corp.
|
6.38%
|
06/01/2021
|
114,000
|
||||||
|
110,000
|
Tenet Healthcare Corp.
|
6.75%
|
06/15/2023
|
105,875
|
||||||
|
2,517,522
|
||||||||||
|
Holding Companies‐Diversified ‐ 0.04%
|
||||||||||
|
35,000
|
Argos Merger Sub, Inc.(c)
|
7.13%
|
03/15/2023
|
37,188
|
||||||
|
675,000
|
MUFG Americas Holdings Corp.
|
1.63%
|
02/09/2018
|
672,986
|
||||||
|
710,174
|
||||||||||
|
Home Builders ‐ 0.00%(e)
|
||||||||||
|
80,000
|
WCI Communities, Inc.
|
6.88%
|
08/15/2021
|
79,800
|
||||||
|
Household Products/Wares ‐ 0.01%
|
||||||||||
|
100,000
|
Spectrum Brands, Inc.
|
5.75%
|
07/15/2025
|
106,750
|
||||||
|
Housewares ‐ 0.01%
|
||||||||||
|
155,000
|
Newell Rubbermaid, Inc.
|
3.15%
|
04/01/2021
|
159,471
|
||||||
|
Insurance ‐ 0.09%
|
||||||||||
|
855,000
|
Liberty Mutual Group, Inc.(c)
|
6.50%
|
05/01/2042
|
1,001,393
|
||||||
|
660,000
|
TIAA Asset Management Finance Co. LLC(c)
|
2.95%
|
11/01/2019
|
670,601
|
||||||
|
1,671,994
|
||||||||||
|
Internet ‐ 0.02%
|
||||||||||
|
325,000
|
Amazon.com, Inc.
|
3.80%
|
12/05/2024
|
355,919
|
||||||
|
See Notes to Financial Statements.
|
|
Semi-Annual Report | March 31, 2016
|
31
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
Iron/Steel ‐ 0.01%
|
||||||||||
|
$
|
150,000
|
Signode Industrial Group Lux SA / Signode Industrial Group US, Inc.(c)
|
6.38%
|
05/01/2022
|
$
|
137,063
|
||||
|
Leisure Time ‐ 0.01%
|
||||||||||
|
95,000
|
NCL Corp. Ltd.(c)
|
5.25%
|
11/15/2019
|
97,850
|
||||||
|
70,000
|
Sabre GLBL, Inc.(c)
|
5.25%
|
11/15/2023
|
71,568
|
||||||
|
65,000
|
Viking Cruises Ltd.(c)
|
8.50%
|
10/15/2022
|
61,750
|
||||||
|
231,168
|
||||||||||
|
Lodging ‐ 0.00%(e)
|
||||||||||
|
65,000
|
Station Casinos LLC
|
7.50%
|
03/01/2021
|
68,900
|
||||||
|
Machinery‐Construction & Mining ‐ 0.00%(e)
|
||||||||||
|
95,000
|
Terex Corp.
|
6.00%
|
05/15/2021
|
92,388
|
||||||
|
Media ‐ 0.11%
|
||||||||||
|
335,000
|
21st Century Fox America, Inc.
|
4.75%
|
09/15/2044
|
348,230
|
||||||
|
135,000
|
CCO Holdings LLC / CCO Holdings Capital Corp.
|
5.25%
|
09/30/2022
|
139,388
|
||||||
|
25,000
|
CCO Holdings LLC / CCO Holdings Capital Corp.(c)
|
5.13%
|
05/01/2023
|
25,500
|
||||||
|
145,000
|
Cequel Communications Holdings I LLC / Cequel Capital Corp.(c)
|
6.38%
|
09/15/2020
|
144,275
|
||||||
|
255,000
|
Comcast Corp.
|
4.20%
|
08/15/2034
|
270,124
|
||||||
|
395,000
|
Comcast Corp.
|
4.40%
|
08/15/2035
|
428,885
|
||||||
|
40,000
|
CSC Holdings LLC
|
5.25%
|
06/01/2024
|
35,750
|
||||||
|
65,000
|
Gray Television, Inc.
|
7.50%
|
10/01/2020
|
68,900
|
||||||
|
100,000
|
Sinclair Television Group, Inc.(c)
|
5.63%
|
08/01/2024
|
101,000
|
||||||
|
140,000
|
TEGNA, Inc.(c)
|
4.88%
|
09/15/2021
|
144,550
|
||||||
|
335,000
|
Time Warner, Inc.
|
3.60%
|
07/15/2025
|
344,672
|
||||||
|
140,000
|
Tribune Media Co.(c)
|
5.88%
|
07/15/2022
|
136,850
|
||||||
|
2,188,124
|
||||||||||
|
Mining ‐ 0.06%
|
||||||||||
|
150,000
|
Freeport‐McMoRan, Inc.
|
5.45%
|
03/15/2043
|
91,500
|
||||||
|
300,000
|
Southern Copper Corp.
|
6.75%
|
04/16/2040
|
293,265
|
||||||
|
850,000
|
Southern Copper Corp.
|
5.25%
|
11/08/2042
|
701,236
|
||||||
|
1,086,001
|
||||||||||
|
Miscellaneous Manufacturing ‐ 0.01%
|
||||||||||
|
175,000
|
Gates Global LLC / Gates Global Co.(c)
|
6.00%
|
07/15/2022
|
150,500
|
||||||
|
Office/Business Equipment ‐ 0.03%
|
||||||||||
|
650,000
|
Xerox Corp.
|
2.95%
|
03/15/2017
|
654,089
|
||||||
|
Oil & Gas ‐ 0.17%
|
||||||||||
|
705,000
|
Apache Corp.
|
4.75%
|
04/15/2043
|
635,282
|
||||||
|
407,000
|
Chevron Corp.
|
1.37%
|
03/02/2018
|
408,612
|
||||||
|
252,000
|
Chevron Corp.
|
1.79%
|
11/16/2018
|
255,179
|
||||||
|
145,000
|
Energy XXI Gulf Coast, Inc.
|
9.25%
|
12/15/2017
|
5,528
|
||||||
|
See Notes to Financial Statements.
|
|
32
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
1,630,000
|
Energy XXI Gulf Coast, Inc.(c)
|
11.00%
|
03/15/2020
|
$
|
236,350
|
||||
|
60,000
|
Energy XXI Gulf Coast, Inc.
|
7.50%
|
12/15/2021
|
2,250
|
||||||
|
335,000
|
EOG Resources, Inc.
|
4.15%
|
01/15/2026
|
348,056
|
||||||
|
80,000
|
EPL Oil & Gas, Inc.
|
8.25%
|
02/15/2018
|
4,050
|
||||||
|
160,000
|
Memorial Production Partners LP / Memorial Production Finance Corp.
|
6.88%
|
08/01/2022
|
44,800
|
||||||
|
155,000
|
Occidental Petroleum Corp.
|
3.40%
|
04/15/2026
|
156,403
|
||||||
|
263,000
|
Phillips 66
|
5.88%
|
05/01/2042
|
286,835
|
||||||
|
35,000
|
Phillips 66
|
4.88%
|
11/15/2044
|
35,207
|
||||||
|
55,000
|
Sanchez Energy Corp.
|
6.13%
|
01/15/2023
|
29,975
|
||||||
|
2,420,000
|
SandRidge Energy, Inc.(c)
|
8.75%
|
06/01/2020
|
598,950
|
||||||
|
330,000
|
Schlumberger Holdings Corp.(c)
|
2.35%
|
12/21/2018
|
332,349
|
||||||
|
95,000
|
Ultra Petroleum Corp.(c)
|
5.75%
|
12/15/2018
|
7,125
|
||||||
|
3,386,951
|
||||||||||
|
Packaging & Containers ‐ 0.02%
|
||||||||||
|
70,000
|
Berry Plastics Corp.
|
5.50%
|
05/15/2022
|
72,012
|
||||||
|
105,000
|
Plastipak Holdings, Inc.(c)
|
6.50%
|
10/01/2021
|
103,687
|
||||||
|
135,000
|
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC
|
8.25%
|
02/15/2021
|
138,632
|
||||||
|
314,331
|
||||||||||
|
Pharmaceuticals ‐ 0.12%
|
||||||||||
|
672,000
|
AbbVie, Inc.
|
4.70%
|
05/14/2045
|
717,672
|
||||||
|
665,000
|
Cardinal Health, Inc.
|
1.95%
|
06/15/2018
|
668,552
|
||||||
|
495,000
|
Eli Lilly & Co.
|
3.70%
|
03/01/2045
|
505,220
|
||||||
|
335,000
|
Express Scripts Holding Co.
|
4.50%
|
02/25/2026
|
348,585
|
||||||
|
70,000
|
Quintiles Transnational Corp.(c)
|
4.88%
|
05/15/2023
|
71,899
|
||||||
|
65,000
|
Vizient, Inc.(c)
|
10.38%
|
03/01/2024
|
69,713
|
||||||
|
2,381,641
|
||||||||||
|
Pipelines ‐ 0.10%
|
||||||||||
|
75,000
|
Energy Transfer Partners LP
|
5.20%
|
02/01/2022
|
71,291
|
||||||
|
710,000
|
Energy Transfer Partners LP
|
4.75%
|
01/15/2026
|
652,475
|
||||||
|
522,000
|
Enterprise Products Operating LLC
|
3.70%
|
02/15/2026
|
519,328
|
||||||
|
595,000
|
Kinder Morgan Energy Partners LP
|
6.95%
|
01/15/2038
|
596,964
|
||||||
|
25,000
|
Kinder Morgan Energy Partners LP
|
6.50%
|
09/01/2039
|
23,740
|
||||||
|
70,000
|
MPLX LP(c)
|
5.50%
|
02/15/2023
|
67,877
|
||||||
|
1,931,675
|
||||||||||
|
REITS ‐ 0.08%
|
||||||||||
|
625,000
|
Boston Properties LP
|
4.13%
|
05/15/2021
|
670,822
|
||||||
|
60,000
|
Equinix, Inc.
|
5.88%
|
01/15/2026
|
63,330
|
||||||
|
135,000
|
ESH Hospitality, Inc.(c)
|
5.25%
|
05/01/2025
|
132,469
|
||||||
|
655,000
|
Simon Property Group LP
|
3.30%
|
01/15/2026
|
680,903
|
||||||
|
1,547,524
|
||||||||||
|
Retail ‐ 0.08%
|
||||||||||
|
50,000
|
Asbury Automotive Group, Inc.
|
6.00%
|
12/15/2024
|
50,750
|
||||||
|
See Notes to Financial Statements.
|
|
Semi-Annual Report | March 31, 2016
|
33
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
25,000
|
Dollar Tree, Inc.(c)
|
5.75%
|
03/01/2023
|
$
|
26,609
|
||||
|
70,000
|
Rite Aid Corp.(c)
|
6.13%
|
04/01/2023
|
74,463
|
||||||
|
90,000
|
Sally Holdings LLC / Sally Capital, Inc.
|
5.75%
|
06/01/2022
|
94,725
|
||||||
|
310,000
|
The Home Depot, Inc.
|
3.35%
|
09/15/2025
|
336,476
|
||||||
|
330,000
|
The Home Depot, Inc.
|
3.00%
|
04/01/2026
|
346,844
|
||||||
|
605,000
|
Wal‐Mart Stores, Inc.
|
4.30%
|
04/22/2044
|
678,431
|
||||||
|
1,608,298
|
||||||||||
|
Semiconductors ‐ 0.00%(e)
|
||||||||||
|
15,000
|
Microsemi Corp.(c)
|
9.13%
|
04/15/2023
|
16,537
|
||||||
|
Software ‐ 0.19%
|
||||||||||
|
95,000
|
Activision Blizzard, Inc.(c)
|
5.63%
|
09/15/2021
|
100,344
|
||||||
|
140,000
|
Ensemble S Merger Sub, Inc.(c)
|
9.00%
|
09/30/2023
|
137,725
|
||||||
|
490,000
|
Fidelity National Information Services, Inc.
|
3.63%
|
10/15/2020
|
507,151
|
||||||
|
50,000
|
First Data Corp.(c)
|
7.00%
|
12/01/2023
|
50,687
|
||||||
|
50,000
|
First Data Corp.(c)
|
5.75%
|
01/15/2024
|
50,183
|
||||||
|
115,000
|
Infor US, Inc.
|
6.50%
|
05/15/2022
|
105,225
|
||||||
|
660,000
|
Microsoft Corp.
|
4.45%
|
11/03/2045
|
731,493
|
||||||
|
1,050,000
|
Oracle Corp.
|
2.38%
|
01/15/2019
|
1,089,102
|
||||||
|
220,000
|
Oracle Corp.
|
2.25%
|
10/08/2019
|
227,156
|
||||||
|
695,000
|
Oracle Corp.
|
4.13%
|
05/15/2045
|
712,082
|
||||||
|
50,000
|
Solera LLC / Solera Finance, Inc.(c)
|
10.50%
|
03/01/2024
|
50,375
|
||||||
|
3,761,523
|
||||||||||
|
Telecommunications ‐ 0.16%
|
||||||||||
|
670,000
|
AT&T, Inc.
|
3.40%
|
05/15/2025
|
672,946
|
||||||
|
665,000
|
Cisco Systems, Inc.
|
1.65%
|
06/15/2018
|
675,315
|
||||||
|
100,000
|
CommScope, Inc.(c)
|
5.00%
|
06/15/2021
|
101,125
|
||||||
|
65,000
|
Frontier Communications Corp.(c)
|
10.50%
|
09/15/2022
|
66,869
|
||||||
|
100,000
|
Level 3 Communications, Inc.
|
5.75%
|
12/01/2022
|
103,500
|
||||||
|
1,415,000
|
Verizon Communications, Inc.
|
4.40%
|
11/01/2034
|
1,435,263
|
||||||
|
3,055,018
|
||||||||||
|
Transportation ‐ 0.08%
|
||||||||||
|
110,000
|
Air Medical Merger Sub Corp.(c)
|
6.38%
|
05/15/2023
|
103,675
|
||||||
|
675,000
|
Burlington Northern Santa Fe LLC
|
4.55%
|
09/01/2044
|
733,444
|
||||||
|
705,000
|
FedEx Corp.
|
4.75%
|
11/15/2045
|
749,348
|
||||||
|
65,000
|
OPE KAG Finance Sub, Inc.(c)
|
7.88%
|
07/31/2023
|
65,162
|
||||||
|
1,651,629
|
||||||||||
|
TOTAL U.S. CORPORATE BONDS
|
||||||||||
|
(Cost $64,449,357)
|
62,906,004
|
|||||||||
|
See Notes to Financial Statements.
|
|
34
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
|
|
March 31, 2016 (Unaudited)
|
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND FOREIGN AGENCIES - 0.10%
|
||||||||||
|
$
|
1,000,000
|
Colombia Government International Bond
|
4.38%
|
07/12/2021
|
$
|
1,045,000
|
||||
|
940,000
|
Mexico Government International Bond
|
4.00%
|
10/02/2023
|
987,000
|
||||||
|
TOTAL FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND FOREIGN AGENCIES
(Cost $1,992,636) |
2,032,000
|
|||||||||
|
COLLATERALIZED LOAN OBLIGATIONS - 0.76%
|
||||||||||
|
Adams Mill CLO Ltd.
|
||||||||||
|
500,000
|
Series 2014-1A(c)(i)
|
4.12%
|
07/15/2026
|
422,779
|
||||||
|
250,000
|
Series 2014-1A(c)(i)
|
5.62%
|
07/15/2026
|
147,214
|
||||||
|
Apidos CLO XVIII
|
||||||||||
|
500,000
|
Series 2014-18A(c)(i)
|
4.27%
|
07/22/2026
|
447,638
|
||||||
|
250,000
|
Series 2014-18A(c)(i)
|
5.82%
|
07/22/2026
|
207,194
|
||||||
|
Avery Point II CLO Ltd.
|
||||||||||
|
250,000
|
Series 2013-2A(c)(i)
|
3.37%
|
07/17/2025
|
237,624
|
||||||
|
500,000
|
Series 2013-2A(c)(i)
|
4.07%
|
07/17/2025
|
439,039
|
||||||
|
Babson CLO Ltd.
|
||||||||||
|
500,000
|
Series 2015-2A(c)(i)
|
4.42%
|
07/20/2027
|
457,258
|
||||||
|
500,000
|
Series 2015-IA(c)(i)
|
4.07%
|
04/20/2027
|
431,365
|
||||||
|
Betony CLO Ltd.
|
||||||||||
|
500,000
|
Series 2015-1A(c)(i)
|
3.77%
|
04/15/2027
|
491,863
|
||||||
|
500,000
|
Series 2015-1A(c)(i)
|
4.22%
|
04/15/2027
|
440,905
|
||||||
|
Birchwood Park CLO Ltd.
|
||||||||||
|
250,000
|
Series 2014-1A(c)(i)
|
7.02%
|
07/15/2026
|
213,517
|
||||||
|
250,000
|
Series 2014-1A(c)(i)
|
3.77%
|
07/15/2026
|
249,032
|
||||||
|
250,000
|
Series 2014-1A(c)(i)
|
4.82%
|
07/15/2026
|
225,901
|
||||||
|
BlueMountain CLO Ltd.
|
||||||||||
|
500,000
|
Series 2012-1A(c)(i)
|
6.12%
|
07/20/2023
|
429,756
|
||||||
|
500,000
|
Series 2015-3A(c)(i)
|
3.43%
|
10/20/2027
|
487,735
|
||||||
|
500,000
|
Series 2015-3A(c)(i)
|
3.88%
|
10/20/2027
|
455,411
|
||||||
|
Brookside Mill CLO Ltd.
|
||||||||||
|
250,000
|
Series 2013-1A(c)(i)
|
3.32%
|
04/17/2025
|
235,906
|
||||||
|
500,000
|
Series 2013-1A(c)(i)
|
3.67%
|
04/17/2025
|
406,149
|
||||||
|
500,000
|
Series 2013-1A(c)(i)
|
5.02%
|
04/17/2025
|
314,689
|
||||||
|
Carlyle Global Market Strategies CLO Ltd.
|
||||||||||
|
250,000
|
Series 2014-3A(c)(i)
|
3.77%
|
07/27/2026
|
248,439
|
||||||
|
500,000
|
Series 2014-3A(c)(i)
|
4.82%
|
07/27/2026
|
457,784
|
||||||
|
See Notes to Financial Statements.
|
|
Semi-Annual Report | March 31, 2016
|
35
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
Catamaran CLO Ltd.
|
||||||||||
|
$
|
500,000
|
Series 2015-1A(c)(i)
|
3.72%
|
04/22/2027
|
$
|
485,776
|
||||
|
Dorchester Park CLO Ltd.
|
||||||||||
|
250,000
|
Series 2015-1A(c)(i)
|
3.82%
|
01/20/2027
|
249,677
|
||||||
|
250,000
|
Series 2015-1A(c)(i)
|
4.17%
|
01/20/2027
|
221,441
|
||||||
|
Emerson Park CLO Ltd.
|
||||||||||
|
250,000
|
Series 2013-1A(c)(i)
|
3.37%
|
07/15/2025
|
244,141
|
||||||
|
Flatiron CLO Ltd.
|
||||||||||
|
250,000
|
Series 2014-1A(c)(i)
|
3.92%
|
07/17/2026
|
215,166
|
||||||
|
Galaxy XV CLO Ltd.
|
||||||||||
|
500,000
|
Series 2013-15A(c)(i)
|
4.02%
|
04/15/2025
|
420,103
|
||||||
|
Halcyon Loan Advisors Funding Ltd.
|
||||||||||
|
250,000
|
Series 2013-2A(c)(i)
|
3.32%
|
08/01/2025
|
231,479
|
||||||
|
ING IM CLO Ltd.
|
||||||||||
|
250,000
|
Series 2013-3A(c)(i)
|
3.32%
|
01/18/2026
|
243,302
|
||||||
|
LCM XII LP
|
||||||||||
|
250,000
|
Series 2015-12A(c)(i)
|
4.32%
|
10/19/2022
|
233,686
|
||||||
|
LCM XIV LP
|
||||||||||
|
500,000
|
Series 2013-14A(c)(i)
|
4.12%
|
07/15/2025
|
452,509
|
||||||
|
LCM XV LP
|
||||||||||
|
250,000
|
Series 2014-15A(c)(i)
|
3.73%
|
08/25/2024
|
247,967
|
||||||
|
Limerock CLO I
|
||||||||||
|
500,000
|
Series 2007-1A(c)(i)
|
1.25%
|
04/24/2023
|
469,950
|
||||||
|
Madison Park Funding XIII Ltd.
|
||||||||||
|
250,000
|
Series 2014-13A(c)(i)
|
3.97%
|
01/19/2025
|
222,678
|
||||||
|
Madison Park Funding XIV Ltd.
|
||||||||||
|
250,000
|
Series 2014-14A(c)(i)
|
4.22%
|
07/20/2026
|
224,733
|
||||||
|
250,000
|
Series 2014-14A(c)(i)
|
5.37%
|
07/20/2026
|
202,930
|
||||||
|
Magnetite CLO Ltd.
|
||||||||||
|
500,000
|
Series 2012-7A(c)(i)
|
5.87%
|
01/15/2025
|
426,139
|
||||||
|
Nomad CLO Ltd.
|
||||||||||
|
250,000
|
Series 2013-1A(c)(i)
|
3.57%
|
01/15/2025
|
233,147
|
||||||
|
250,000
|
Series 2013-1A(c)(i)
|
4.12%
|
01/15/2025
|
211,873
|
||||||
|
Octagon Investment Partners XVI Ltd.
|
||||||||||
|
500,000
|
Series 2013-1A(c)(i)
|
3.97%
|
07/17/2025
|
436,544
|
||||||
|
500,000
|
Series 2013-1A(c)(i)
|
5.12%
|
07/17/2025
|
359,463
|
||||||
|
Symphony CLO XI Ltd.
|
||||||||||
|
500,000
|
Series 2013-11A(c)(i)
|
3.77%
|
01/17/2025
|
498,907
|
||||||
|
Venture X CLO Ltd.
|
||||||||||
|
500,000
|
Series 2012-10A(c)(i)
|
4.82%
|
07/20/2022
|
468,116
|
||||||
|
See Notes to Financial Statements.
|
|
36
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
Venture XV CLO Ltd.
|
||||||||||
|
$
|
500,000
|
Series 2013-15A(c)(i)
|
3.72%
|
07/15/2025
|
$
|
479,772
|
||||
|
TOTAL COLLATERALIZED LOAN OBLIGATIONS
(Cost $16,323,490)
|
14,926,697
|
|||||||||
|
CONTINGENT CONVERTIBLE SECURITIES - 0.06%
|
||||||||||
|
700,000
|
Banco do Brasil SA(c)(f)(i)
|
9.00%
|
Perpetual Maturity
|
489,300
|
||||||
|
600,000
|
United Overseas Bank Ltd.(i)
|
3.75%
|
09/19/2024
|
618,798
|
||||||
|
TOTAL CONTINGENT CONVERTIBLE SECURITIES
(Cost $1,318,067)
|
1,108,098
|
|||||||||
|
NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS - 21.36%
|
||||||||||
|
Adjustable Rate Mortgage Trust
|
||||||||||
|
1,717,414
|
Series 2005-1(i)
|
3.00%
|
05/25/2035
|
1,675,550
|
||||||
|
6,240,373
|
Series 2005-10(i)
|
2.96%
|
01/25/2036
|
5,329,786
|
||||||
|
1,489,520
|
Series 2005-7(i)
|
3.19%
|
10/25/2035
|
1,308,264
|
||||||
|
Alternative Loan Trust
|
||||||||||
|
568,735
|
Series 2005-20CB
|
5.50%
|
07/25/2035
|
532,813
|
||||||
|
222,876
|
Series 2005-54CB
|
5.50%
|
11/25/2035
|
208,992
|
||||||
|
982,193
|
Series 2005-6CB
|
5.50%
|
04/25/2035
|
950,112
|
||||||
|
2,188,953
|
Series 2005-85CB(i)
|
1.53%
|
02/25/2036
|
1,738,944
|
||||||
|
462,272
|
Series 2005-85CB(i)
|
20.05%
|
02/25/2036
|
689,073
|
||||||
|
551,617
|
Series 2005-86CB
|
5.50%
|
02/25/2036
|
495,816
|
||||||
|
1,083,508
|
Series 2005-9CB(i)
|
4.62%
|
05/25/2035
|
147,876
|
||||||
|
610,083
|
Series 2005-9CB(i)
|
0.93%
|
05/25/2035
|
491,718
|
||||||
|
468,799
|
Series 2006-12CB(i)
|
5.75%
|
05/25/2036
|
379,256
|
||||||
|
2,166,103
|
Series 2006-15CB
|
6.50%
|
06/25/2036
|
1,652,061
|
||||||
|
292,387
|
Series 2006-30T1
|
6.25%
|
11/25/2036
|
272,594
|
||||||
|
233,784
|
Series 2006-32CB
|
5.50%
|
11/25/2036
|
205,891
|
||||||
|
462,102
|
Series 2006-36T2(i)
|
26.07%
|
12/25/2036
|
685,267
|
||||||
|
1,726,597
|
Series 2007-19
|
6.00%
|
08/25/2037
|
1,357,402
|
||||||
|
6,073,373
|
Series 2007-20
|
6.25%
|
08/25/2047
|
5,143,460
|
||||||
|
1,869,127
|
Series 2007-23CB(i)
|
0.93%
|
09/25/2037
|
1,156,035
|
||||||
|
1,784,705
|
Series 2007-23CB(i)
|
6.07%
|
09/25/2037
|
555,692
|
||||||
|
11,513,694
|
Series 2007-HY2(i)
|
2.72%
|
03/25/2047
|
9,977,775
|
||||||
|
American Home Mortgage Investment Trust
|
||||||||||
|
194,985
|
Series 2007-A(c)(j)
|
6.10%
|
01/25/2037
|
106,280
|
||||||
|
See Notes to Financial Statements.
|
|
Semi-Annual Report | March 31, 2016
|
37
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
BAMLL Commercial Mortgage Securities Trust
|
||||||||||
|
$
|
400,000
|
Series 2014-IP(c)(i)
|
2.72%
|
06/15/2028
|
$
|
392,583
|
||||
|
17,000,000
|
Series 2015-200P(c)(i)
|
0.38%
|
04/14/2033
|
535,449
|
||||||
|
Banc of America Alternative Loan Trust
|
||||||||||
|
88,239
|
Series 2005-6
|
6.00%
|
07/25/2035
|
83,788
|
||||||
|
163,700
|
Series 2005-6
|
5.50%
|
07/25/2035
|
140,561
|
||||||
|
Banc of America Commercial Mortgage Trust
|
||||||||||
|
306,300
|
Series 2007-5(i)
|
5.77%
|
02/10/2051
|
316,297
|
||||||
|
Banc of America Funding Corp.
|
||||||||||
|
877,892
|
Series 2008-R2(c)
|
6.00%
|
09/25/2037
|
903,072
|
||||||
|
Banc of America Funding Trust
|
||||||||||
|
3,000,000
|
Series 2005-B(i)
|
0.88%
|
04/20/2035
|
2,453,334
|
||||||
|
425,776
|
Series 2006-2
|
5.50%
|
03/25/2036
|
420,114
|
||||||
|
1,691,301
|
Series 2006-A(i)
|
2.83%
|
02/20/2036
|
1,400,643
|
||||||
|
9,031,858
|
Series 2007-4(i)
|
5.77%
|
05/25/2037
|
8,011,273
|
||||||
|
8,336,345
|
Series 2010-R5(c)
|
6.00%
|
10/26/2037
|
7,014,263
|
||||||
|
BCAP LLC Trust
|
||||||||||
|
220,718
|
Series 2007-AA2(i)
|
7.50%
|
04/25/2037
|
201,623
|
||||||
|
143,206
|
Series 2007-AA2
|
6.00%
|
04/25/2037
|
118,003
|
||||||
|
4,889,674
|
Series 2009-RR1(c)(i)
|
6.00%
|
10/26/2036
|
4,854,739
|
||||||
|
9,852,990
|
Series 2010-RR6(c)(i)
|
6.00%
|
07/26/2036
|
7,932,400
|
||||||
|
Bear Stearns ALT-A Trust
|
||||||||||
|
2,242,837
|
Series 2004-11(i)
|
2.92%
|
11/25/2034
|
1,972,309
|
||||||
|
2,177,623
|
Series 2005-3(i)
|
2.90%
|
04/25/2035
|
1,638,252
|
||||||
|
14,130,140
|
Series 2006-3(i)
|
2.75%
|
05/25/2036
|
10,696,124
|
||||||
|
1,972,142
|
Series 2006-6(i)
|
4.40%
|
11/25/2036
|
1,389,258
|
||||||
| Bear Stearns Asset-Backed Securities Trust | ||||||||||
|
526,804
|
Series 2005-HE3(i)
|
1.46%
|
03/25/2035
|
523,079
|
||||||
|
3,239,394
|
Series 2006-AC1(j)
|
6.25%
|
02/25/2036
|
2,271,060
|
||||||
|
Bear Stearns Commercial Mortgage Securities Trust
|
||||||||||
|
319,100
|
Series 2006-PW13(i)
|
5.61%
|
09/11/2041
|
317,735
|
||||||
|
Blue Elephant Loan Trust
|
||||||||||
|
1,300,000
|
Series 2015-1(c)
|
5.56%
|
12/15/2022
|
1,282,614
|
||||||
|
CFCRE Commercial Mortgage Trust
|
||||||||||
|
5,244,113
|
Series 2016-C3(i)
|
1.10%
|
01/10/2048
|
416,343
|
||||||
|
Chase Mortgage Finance Trust
|
||||||||||
|
6,724,058
|
Series 2007-S2
|
6.00%
|
03/25/2037
|
5,758,776
|
||||||
|
13,666,050
|
Series 2007-S2
|
6.00%
|
03/25/2037
|
11,751,525
|
||||||
|
767,770
|
Series 2007-S3
|
5.50%
|
05/25/2037
|
655,267
|
||||||
|
See Notes to Financial Statements.
|
|
38
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
Citicorp Mortgage Securities Trust
|
||||||||||
|
$
|
1,282,678
|
Series 2007-1
|
6.00%
|
01/25/2037
|
$
|
1,302,731
|
||||
|
417,169
|
Series 2007-2
|
5.50%
|
02/25/2037
|
415,106
|
||||||
|
Citigroup / Deutsche Bank Commercial Mortgage Trust
|
||||||||||
|
313,100
|
Series 2007-CD4(i)
|
5.37%
|
12/11/2049
|
318,484
|
||||||
|
Citigroup Commercial Mortgage Trust
|
||||||||||
|
4,046,055
|
Series 2014-GC25(i)
|
1.09%
|
10/10/2047
|
271,998
|
||||||
|
355,500
|
Series 2015-GC27(c)(i)
|
4.43%
|
02/10/2048
|
273,217
|
||||||
|
400,000
|
Series 2015-GC31(i)
|
4.06%
|
06/10/2048
|
378,334
|
||||||
|
420,000
|
Series 2015-GC35
|
4.65%
|
11/10/2048
|
412,876
|
||||||
|
5,543,858
|
Series 2015-GC35(i)
|
0.91%
|
11/10/2048
|
327,113
|
||||||
|
Citigroup Mortgage Loan Trust
|
||||||||||
|
1,263,132
|
Series 2006-WF1(j)
|
5.30%
|
03/25/2036
|
862,149
|
||||||
|
1,819,074
|
Series 2007-OPX1(j)
|
6.33%
|
01/25/2037
|
1,293,223
|
||||||
|
2,000,000
|
Series 2008-AR4(c)(i)
|
2.98%
|
11/25/2038
|
1,834,338
|
||||||
|
1,400,000
|
Series 2008-AR4(c)(i)
|
2.90%
|
11/25/2038
|
1,335,748
|
||||||
|
1,314,927
|
Series 2010-8(c)(i)
|
6.66%
|
11/25/2036
|
1,229,599
|
||||||
|
3,825,920
|
Series 2010-8(c)(i)
|
6.56%
|
12/25/2036
|
3,547,082
|
||||||
|
CitiMortgage Alternative Loan Trust
|
||||||||||
|
1,130,353
|
Series 2007-A1
|
6.00%
|
01/25/2037
|
964,693
|
||||||
|
222,650
|
Series 2007-A1(i)
|
4.97%
|
01/25/2037
|
38,960
|
||||||
|
380,890
|
Series 2007-A3(i)
|
4.97%
|
03/25/2037
|
67,128
|
||||||
|
165,509
|
Series 2007-A3(i)
|
6.00%
|
03/25/2037
|
145,041
|
||||||
|
1,337,254
|
Series 2007-A4
|
5.75%
|
04/25/2037
|
1,135,143
|
||||||
|
1,158,193
|
Series 2007-A6
|
5.50%
|
06/25/2037
|
967,647
|
||||||
|
COBALT CMBS Commercial Mortgage Trust
|
||||||||||
|
320,700
|
Series 2007-C2(i)
|
5.57%
|
04/15/2047
|
313,383
|
||||||
|
Commercial Mortgage Pass-Through Certificates
|
||||||||||
|
350,474
|
Series 2010-C1(c)(i)
|
1.57%
|
07/10/2046
|
8,868
|
||||||
|
312,400
|
Series 2014-CR19(i)
|
4.72%
|
08/10/2047
|
311,729
|
||||||
|
400,000
|
Series 2014-CR20(i)
|
4.51%
|
11/10/2047
|
397,724
|
||||||
|
410,000
|
Series 2014-KYO(c)(i)
|
3.94%
|
06/11/2027
|
406,424
|
||||||
|
5,797,416
|
Series 2014-UBS4(c)
|
3.75%
|
08/10/2047
|
1,624,900
|
||||||
|
11,000
|
Series 2014-UBS4(c)(k)
|
0.00%
|
08/10/2047
|
0
|
||||||
|
2,705,400
|
Series 2014-UBS4(c)
|
3.75%
|
08/10/2047
|
1,762,308
|
||||||
|
3,091,920
|
Series 2014-UBS4(c)
|
3.75%
|
08/10/2047
|
1,583,017
|
||||||
|
3,972,601
|
Series 2015-CR22(i)
|
1.03%
|
03/10/2048
|
242,358
|
||||||
|
475,000
|
Series 2015-CR25(i)
|
4.55%
|
08/10/2048
|
437,435
|
||||||
|
5,086,785
|
Series 2015-CR26(i)
|
1.07%
|
10/10/2048
|
368,146
|
||||||
|
419,000
|
Series 2015-LC23(i)
|
4.65%
|
10/10/2053
|
400,110
|
||||||
|
3,741,000
|
Series 2016-DC2(i)
|
1.24%
|
02/10/2049
|
279,253
|
||||||
|
See Notes to Financial Statements.
|
|
Semi-Annual Report | March 31, 2016
|
39
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
249,000
|
Series 2016-DC2(i)
|
4.80%
|
02/10/2049
|
$
|
245,635
|
||||
|
Commercial Mortgage Trust
|
||||||||||
|
312,200
|
Series 2007-GG11(i)
|
6.03%
|
12/10/2049
|
307,719
|
||||||
|
400,000
|
Series 2007-GG9
|
5.48%
|
03/10/2039
|
406,605
|
||||||
|
Consumer Credit Origination Loan Trust
|
||||||||||
|
3,750,000
|
Series 2015-1(c)
|
5.21%
|
03/15/2021
|
3,648,569
|
||||||
|
Countrywide Asset-Backed Certificates
|
||||||||||
|
1,431,788
|
Series 2005-12(j)
|
5.56%
|
02/25/2036
|
1,436,291
|
||||||
|
Countrywide Home Loan Mortgage Pass-Through Trust
|
||||||||||
|
4,617,817
|
Series 2005-HYB7(i)
|
2.61%
|
11/20/2035
|
4,127,472
|
||||||
|
179,080
|
Series 2005-J4
|
5.50%
|
11/25/2035
|
175,445
|
||||||
|
3,992,172
|
Series 2006-18
|
6.00%
|
12/25/2036
|
3,643,738
|
||||||
|
598,534
|
Series 2007-17
|
6.00%
|
10/25/2037
|
577,187
|
||||||
|
661,551
|
Series 2007-3
|
6.00%
|
04/25/2037
|
603,828
|
||||||
|
816,553
|
Series 2007-7
|
5.75%
|
06/25/2037
|
775,826
|
||||||
|
Credit Suisse First Boston Mortgage Securities Corp.
|
||||||||||
|
82,181
|
Series 1998-C2(c)(i)
|
6.75%
|
11/15/2030
|
82,780
|
||||||
|
118,735
|
Series 2005-10
|
5.50%
|
11/25/2035
|
107,592
|
||||||
|
4,257,882
|
Series 2005-11
|
6.00%
|
12/25/2035
|
4,062,221
|
||||||
|
96,844
|
Series 2005-8
|
5.50%
|
08/25/2025
|
91,694
|
||||||
|
7,931,763
|
Series 2005-9
|
6.00%
|
10/25/2035
|
5,286,249
|
||||||
|
CSAB Mortgage-Backed Trust
|
||||||||||
|
8,781,274
|
Series 2006-2(j)
|
5.70%
|
09/25/2036
|
2,561,129
|
||||||
|
181,895
|
Series 2007-1(i)
|
5.90%
|
05/25/2037
|
89,882
|
||||||
|
CSAIL Commercial Mortgage Trust
|
||||||||||
|
5,966,272
|
Series 2015-C1(i)
|
0.97%
|
04/15/2050
|
355,304
|
||||||
|
419,000
|
Series 2015-C4(i)
|
4.59%
|
11/15/2048
|
394,581
|
||||||
|
CSMC Mortgage-Backed Trust
|
||||||||||
|
298,104
|
Series 2006-1
|
6.00%
|
02/25/2036
|
217,813
|
||||||
|
6,805,761
|
Series 2006-2
|
5.75%
|
03/25/2036
|
6,309,383
|
||||||
|
129,838
|
Series 2006-4
|
5.50%
|
05/25/2021
|
123,723
|
||||||
|
1,167,545
|
Series 2006-5
|
6.25%
|
06/25/2036
|
617,017
|
||||||
|
149,181
|
Series 2006-9
|
6.00%
|
11/25/2036
|
122,050
|
||||||
|
3,735,015
|
Series 2007-1
|
6.00%
|
02/25/2037
|
3,220,401
|
||||||
|
21,182
|
Series 2007-2
|
5.00%
|
03/25/2037
|
20,856
|
||||||
|
680,357
|
Series 2007-3(i)
|
5.84%
|
04/25/2037
|
325,643
|
||||||
|
76,523
|
Series 2007-4
|
6.00%
|
06/25/2037
|
69,443
|
||||||
|
302,900
|
Series 2007-C4(i)
|
5.94%
|
09/15/2039
|
303,140
|
||||||
|
6,804,987
|
Series 2009-16R(c)
|
6.00%
|
07/26/2037
|
6,434,256
|
||||||
|
2,127,073
|
Series 2010-7R(c)(i)
|
6.00%
|
04/26/2037
|
2,029,793
|
||||||
|
See Notes to Financial Statements.
|
|
40
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust
|
||||||||||
|
$
|
580,816
|
Series 2005-6(i)
|
4.65%
|
12/25/2035
|
$
|
111,614
|
||||
|
254,469
|
Series 2005-6(i)
|
1.83%
|
12/25/2035
|
185,189
|
||||||
|
2,194,245
|
Series 2007-1(i)
|
0.57%
|
08/25/2037
|
1,920,046
|
||||||
|
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust
|
||||||||||
|
228,546
|
Series 2006-PR1(c)(i)
|
11.51%
|
04/15/2036
|
279,257
|
||||||
|
First Horizon Alternative Mortgage Securities Trust
|
||||||||||
|
127,381
|
Series 2005-FA6
|
5.50%
|
09/25/2035
|
112,602
|
||||||
|
1,647,045
|
Series 2005-FA6
|
5.50%
|
09/25/2035
|
1,455,949
|
||||||
|
150,450
|
Series 2006-FA7
|
6.25%
|
12/25/2036
|
117,441
|
||||||
|
256,996
|
Series 2007-FA2
|
6.00%
|
04/25/2037
|
191,364
|
||||||
|
First Horizon Mortgage Pass-Through Trust
|
||||||||||
|
4,137,423
|
Series 2007-AR3(i)
|
2.51%
|
11/25/2037
|
3,566,953
|
||||||
|
GE Commercial Mortgage Corp. Trust
|
||||||||||
|
489,000
|
Series 2007-C1(i)
|
5.61%
|
12/10/2049
|
484,359
|
||||||
|
GRACE Mortgage Trust
|
||||||||||
|
400,000
|
Series 2014-GRCE(c)
|
3.37%
|
06/10/2028
|
421,613
|
||||||
|
GS Mortgage Securities Trust
|
||||||||||
|
453,595
|
Series 2006-GG6(c)(i)
|
0.00%
|
04/10/2038
|
5
|
||||||
|
366,767
|
Series 2007-GG10(i)
|
5.79%
|
08/10/2045
|
378,224
|
||||||
|
344,693
|
Series 2011-GC3(c)(i)
|
0.70%
|
03/10/2044
|
9,176
|
||||||
|
3,503,320
|
Series 2011-GC5(c)(i)
|
1.62%
|
08/10/2044
|
140,667
|
||||||
|
281,000
|
Series 2014-GC26(c)(i)
|
4.51%
|
11/10/2047
|
218,578
|
||||||
|
7,485,298
|
Series 2015-GS1(i)
|
0.84%
|
11/10/2048
|
462,991
|
||||||
|
412,000
|
Series 2016-ICE2(c)(i)
|
2.37%
|
02/15/2033
|
412,651
|
||||||
|
GSAA Home Equity Trust
|
||||||||||
|
3,254,648
|
Series 2006-13(i)
|
6.04%
|
07/25/2036
|
1,854,370
|
||||||
|
683,575
|
Series 2006-18(j)
|
5.68%
|
11/25/2036
|
353,622
|
||||||
|
223,489
|
Series 2006-6(i)
|
5.69%
|
03/25/2036
|
121,432
|
||||||
|
1,176,909
|
Series 2007-2(j)
|
6.10%
|
03/25/2037
|
578,141
|
||||||
|
2,771,001
|
Series 2007-8(i)
|
0.78%
|
08/25/2037
|
2,472,747
|
||||||
|
GSR Mortgage Loan Trust
|
||||||||||
|
931,490
|
Series 2005-AR4(i)
|
2.87%
|
07/25/2035
|
915,766
|
||||||
|
2,973,107
|
Series 2006-2F
|
5.25%
|
02/25/2036
|
2,303,241
|
||||||
|
2,383,286
|
Series 2007-2F
|
5.75%
|
02/25/2037
|
2,254,682
|
||||||
|
5,554,130
|
Series 2007-2F
|
6.00%
|
03/25/2037
|
5,281,253
|
||||||
|
2,757,086
|
Series 2007-AR2(i)
|
2.91%
|
05/25/2037
|
2,262,519
|
||||||
|
HSI Asset Loan Obligation Trust
|
||||||||||
|
189,088
|
Series 2007-2
|
5.50%
|
09/25/2037
|
181,244
|
||||||
|
See Notes to Financial Statements.
|
|
Semi-Annual Report | March 31, 2016
|
41
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
IndyMac IMJA Mortgage Loan Trust
|
||||||||||
|
$
|
2,034,964
|
Series 2007-A1
|
6.00%
|
08/25/2037
|
$
|
1,686,305
|
||||
|
IndyMac IMSC Mortgage Loan Trust
|
||||||||||
|
5,546,241
|
Series 2007-F2
|
6.50%
|
07/25/2037
|
3,410,794
|
||||||
|
IndyMac Index Mortgage Loan Trust
|
||||||||||
|
5,253,725
|
Series 2005-AR31(i)
|
2.67%
|
01/25/2036
|
4,612,653
|
||||||
|
2,009,705
|
Series 2005-AR35(i)
|
2.84%
|
02/25/2036
|
1,555,344
|
||||||
|
6,068,763
|
Series 2006-AR25(i)
|
2.82%
|
09/25/2036
|
4,625,561
|
||||||
|
1,071,442
|
Series 2007-FLX1(i)
|
0.61%
|
02/25/2037
|
1,026,133
|
||||||
|
JP Morgan Alternative Loan Trust
|
||||||||||
|
503,730
|
Series 2005-S1
|
6.00%
|
12/25/2035
|
461,028
|
||||||
|
96,711
|
Series 2006-S1
|
5.00%
|
02/25/2021
|
93,349
|
||||||
|
841,118
|
Series 2006-S3(j)
|
6.12%
|
08/25/2036
|
785,670
|
||||||
|
JP Morgan BB Commercial Mortgage Securities Trust
|
||||||||||
|
400,000
|
Series 2014-C21(i)
|
4.66%
|
08/15/2047
|
381,865
|
||||||
|
388,000
|
Series 2014-C26(i)
|
4.43%
|
01/15/2048
|
381,088
|
||||||
|
300,000
|
Series 2015-C27(c)(i)
|
3.84%
|
02/15/2048
|
216,217
|
||||||
|
5,970,856
|
Series 2015-C28(i)
|
1.20%
|
10/15/2048
|
402,468
|
||||||
|
10,458,219
|
Series 2015-C30(i)
|
0.72%
|
07/15/2048
|
420,247
|
||||||
|
4,020,873
|
Series 2015-C31(i)
|
1.03%
|
08/15/2048
|
257,033
|
||||||
|
200,000
|
Series 2015-C32(i)
|
4.67%
|
11/15/2048
|
171,697
|
||||||
|
489,000
|
Series 2015-C33(i)
|
4.62%
|
12/15/2048
|
451,723
|
||||||
|
414,000
|
Series 2016-C1(i)
|
4.90%
|
03/15/2049
|
385,793
|
||||||
|
JP Morgan Chase Commercial Mortgage Securities Corp.
|
||||||||||
|
4,538,933
|
Series 2006-LDP8(i)
|
0.53%
|
05/15/2045
|
6,139
|
||||||
|
314,430
|
Series 2006-LDP9
|
5.37%
|
05/15/2047
|
315,916
|
||||||
|
310,000
|
Series 2007-CB19(i)
|
5.70%
|
02/12/2049
|
316,754
|
||||||
|
400,000
|
Series 2007-CB20(i)
|
6.08%
|
02/12/2051
|
390,080
|
||||||
|
4,000,000
|
Series 2007-CH1(j)
|
4.96%
|
11/25/2036
|
3,740,552
|
||||||
|
480,000
|
Series 2007-LD12(i)
|
6.01%
|
08/15/2017
|
500,860
|
||||||
|
4,052,841
|
Series 2012-C8(i)
|
2.04%
|
10/15/2045
|
323,789
|
||||||
|
400,000
|
Series 2014-DSTY(c)
|
3.43%
|
06/10/2027
|
406,908
|
||||||
|
JP Morgan Mortgage Acquisition Corp.
|
||||||||||
|
433,662
|
Series 2006-CH2(j)
|
5.46%
|
10/25/2036
|
322,570
|
||||||
|
JP Morgan Mortgage Trust
|
||||||||||
|
10,948,198
|
Series 2005-S3
|
6.50%
|
01/25/2036
|
9,122,248
|
||||||
|
298,488
|
Series 2007-S3
|
6.00%
|
08/25/2037
|
260,358
|
||||||
|
1,659,894
|
Series 2007-S3
|
6.00%
|
08/25/2037
|
1,449,831
|
||||||
|
5,300,967
|
Series 2015-3(c)(i)
|
3.50%
|
05/25/2045
|
5,414,056
|
||||||
|
JP Morgan Resecuritization Trust
|
||||||||||
|
2,670,222
|
Series 2011-1(c)(i)
|
6.00%
|
06/26/2037
|
2,330,621
|
||||||
|
See Notes to Financial Statements.
|
|
42
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
LB-UBS Commercial Mortgage Trust
|
||||||||||
|
$
|
2,850,243
|
Series 2006-C7(c)(i)
|
0.67%
|
11/15/2038
|
$
|
9,425
|
||||
|
3,800,324
|
Series 2006-C7(c)(i)
|
0.67%
|
11/15/2038
|
12,567
|
||||||
|
415,000
|
Series 2007-C1
|
5.48%
|
02/15/2040
|
414,545
|
||||||
|
400,000
|
Series 2007-C2(i)
|
5.49%
|
02/15/2040
|
406,548
|
||||||
|
400,000
|
Series 2007-C7(i)
|
6.24%
|
09/15/2045
|
391,785
|
||||||
|
Lehman Mortgage Trust
|
||||||||||
|
12,670,703
|
Series 2006-1(i)
|
5.68%
|
02/25/2036
|
12,043,682
|
||||||
|
1,015,474
|
Series 2006-6
|
5.50%
|
10/25/2036
|
807,271
|
||||||
|
4,052,763
|
Series 2006-7(i)
|
0.68%
|
11/25/2036
|
610,717
|
||||||
|
4,052,763
|
Series 2006-7(i)
|
7.32%
|
11/25/2036
|
1,068,825
|
||||||
|
2,075,909
|
Series 2006-8(i)
|
0.85%
|
12/25/2036
|
913,958
|
||||||
|
2,075,909
|
Series 2006-8(i)
|
6.15%
|
12/25/2036
|
676,103
|
||||||
|
1,723,948
|
Series 2007-10
|
6.00%
|
01/25/2038
|
1,708,596
|
||||||
|
522,548
|
Series 2007-10
|
6.50%
|
01/25/2038
|
407,397
|
||||||
|
Lehman XS Trust
|
||||||||||
|
423,908
|
Series 2006-5(j)
|
5.89%
|
04/25/2036
|
395,580
|
||||||
|
MASTR Asset Securitization Trust
|
||||||||||
|
90,698
|
Series 2003-1
|
5.75%
|
02/25/2033
|
90,494
|
||||||
|
118,719
|
Series 2003-2
|
5.75%
|
04/25/2033
|
117,326
|
||||||
|
Merrill Lynch Alternative Note Asset Trust
|
||||||||||
|
1,027,073
|
Series 2007-F1
|
6.00%
|
03/25/2037
|
556,650
|
||||||
|
Morgan Stanley Bank of America Merrill Lynch Trust
|
||||||||||
|
4,494,030
|
Series 2012-C5(c)(i)
|
1.74%
|
08/15/2045
|
289,132
|
||||||
|
450,000
|
Series 2014-C19
|
4.00%
|
12/15/2047
|
402,294
|
||||||
|
380,000
|
Series 2015-C25(i)
|
4.53%
|
10/15/2048
|
353,058
|
||||||
|
600,000
|
Series 2015-C26(c)
|
3.06%
|
10/15/2048
|
401,277
|
||||||
|
350,000
|
Series 2015-C27(i)
|
4.54%
|
12/15/2047
|
335,066
|
||||||
|
502,000
|
Series 2015-C27(c)(i)
|
3.24%
|
12/15/2047
|
335,895
|
||||||
|
Morgan Stanley Capital I Trust
|
||||||||||
|
151,002
|
Series 2006-HQ8(i)
|
5.49%
|
03/12/2044
|
150,696
|
||||||
|
316,200
|
Series 2007-HQ11(i)
|
5.51%
|
02/12/2044
|
311,151
|
||||||
|
308,400
|
Series 2007-IQ13
|
5.41%
|
03/15/2044
|
318,150
|
||||||
|
4,251,439
|
Series 2011-C1(c)(i)
|
0.48%
|
09/15/2047
|
76,284
|
||||||
|
400,000
|
Series 2014-MP(c)(i)
|
3.69%
|
08/11/2029
|
401,099
|
||||||
|
6,986,380
|
Series 2015-UBS8(i)
|
0.99%
|
12/15/2048
|
486,520
|
||||||
|
426,000
|
Series 2015-XLF2(c)(i)
|
3.44%
|
08/15/2026
|
425,691
|
||||||
|
Morgan Stanley Mortgage Loan Trust
|
||||||||||
|
4,622,518
|
Series 2005-3AR(i)
|
2.61%
|
07/25/2035
|
3,780,512
|
||||||
|
295,874
|
Series 2006-11
|
6.00%
|
08/25/2036
|
239,117
|
||||||
|
1,683,127
|
Series 2006-7(i)
|
5.22%
|
06/25/2036
|
1,391,998
|
||||||
|
1,614,403
|
Series 2006-7
|
6.00%
|
06/25/2036
|
1,425,883
|
||||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
43
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
584,434
|
Series 2007-3XS(j)
|
5.70%
|
01/25/2047
|
$
|
384,119
|
||||
|
Morgan Stanley Re-REMIC Trust
|
||||||||||
|
572,923
|
Series 2011-R1(c)(i)
|
5.94%
|
02/26/2037
|
609,561
|
||||||
|
Nomura Asset Acceptance Corp. Alternative Loan Trust
|
||||||||||
|
1,849,238
|
Series 2005-AP3(i)
|
5.32%
|
08/25/2035
|
1,122,434
|
||||||
|
PHH Alternative Mortgage Trust
|
||||||||||
|
2,400,948
|
Series 2007-2
|
6.00%
|
05/25/2037
|
2,110,739
|
||||||
|
PR Mortgage Loan Trust
|
||||||||||
|
8,519,788
|
Series 2014-1(i)
|
5.92%
|
10/25/2049
|
8,785,034
|
||||||
|
Prime Mortgage Trust
|
||||||||||
|
126,760
|
Series 2006-1
|
5.50%
|
06/25/2036
|
118,403
|
||||||
|
125,325
|
Series 2006-DR1(c)
|
5.50%
|
05/25/2035
|
114,390
|
||||||
|
RBSGC Structured Trust
|
||||||||||
|
386,149
|
Series 2008-B(c)
|
6.00%
|
06/25/2037
|
328,331
|
||||||
|
Residential Accredit Loans, Inc.
|
||||||||||
|
318,161
|
Series 2004-QS15
|
5.25%
|
11/25/2034
|
325,875
|
||||||
|
3,058,526
|
Series 2005-QS17
|
6.00%
|
12/25/2035
|
2,638,146
|
||||||
|
6,655,234
|
Series 2006-QA5(i)
|
0.65%
|
07/25/2036
|
4,076,239
|
||||||
|
4,634,448
|
Series 2006-QS10
|
6.50%
|
08/25/2036
|
3,880,143
|
||||||
|
1,757,760
|
Series 2006-QS4
|
6.00%
|
04/25/2036
|
1,454,543
|
||||||
|
1,175,236
|
Series 2006-QS6
|
6.00%
|
06/25/2036
|
958,462
|
||||||
|
1,649,433
|
Series 2006-QS6
|
6.00%
|
06/25/2036
|
1,345,193
|
||||||
|
498,586
|
Series 2006-QS7(i)
|
5.17%
|
06/25/2036
|
101,038
|
||||||
|
166,195
|
Series 2006-QS7(i)
|
0.83%
|
06/25/2036
|
98,437
|
||||||
|
3,161,292
|
Series 2006-QS7
|
6.00%
|
06/25/2036
|
2,592,914
|
||||||
|
614,016
|
Series 2006-QS8(i)
|
5.12%
|
08/25/2036
|
125,022
|
||||||
|
204,672
|
Series 2006-QS8(i)
|
0.88%
|
08/25/2036
|
118,686
|
||||||
|
4,077,233
|
Series 2007-QS3
|
6.50%
|
02/25/2037
|
3,311,292
|
||||||
|
129,072
|
Series 2007-QS6
|
6.25%
|
04/25/2037
|
109,880
|
||||||
|
18,186
|
Series 2007-QS6(i)
|
51.39%
|
04/25/2037
|
44,299
|
||||||
|
5,838,336
|
Series 2007-QS9
|
6.50%
|
07/25/2037
|
4,952,321
|
||||||
|
409,944
|
Series 2008-QR1
|
6.00%
|
08/25/2036
|
310,482
|
||||||
|
Residential Asset Mortgage Products Trust
|
||||||||||
|
25,956
|
Series 2004-RS4(i)
|
5.07%
|
04/25/2034
|
26,619
|
||||||
|
189,995
|
Series 2006-RS5(i)
|
0.60%
|
09/25/2036
|
188,524
|
||||||
|
Residential Asset Securities Corp.
|
||||||||||
|
4,411,982
|
Series 2006-EMX6(i)
|
0.58%
|
07/25/2036
|
3,868,862
|
||||||
|
Residential Asset Securitization Trust
|
||||||||||
|
736,541
|
Series 2006-A1
|
6.00%
|
04/25/2036
|
560,474
|
||||||
|
1,431,177
|
Series 2006-A2
|
6.00%
|
01/25/2046
|
1,081,622
|
||||||
|
1,114,024
|
Series 2006-A6
|
6.50%
|
07/25/2036
|
620,210
|
||||||
|
6,994,572
|
Series 2006-A7CB
|
6.25%
|
07/25/2036
|
6,257,761
|
||||||
See Notes to Financial Statements.
|
44
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
191,216
|
Series 2006-A8
|
6.50%
|
08/25/2036
|
$
|
110,233
|
||||
|
662,839
|
Series 2006-A8
|
6.00%
|
08/25/2036
|
598,953
|
||||||
|
404,862
|
Series 2006-A8(i)
|
5.47%
|
08/25/2036
|
131,744
|
||||||
|
2,231,601
|
Series 2007-A1
|
6.00%
|
03/25/2037
|
1,528,205
|
||||||
|
3,770,682
|
Series 2007-A2
|
6.00%
|
04/25/2037
|
3,166,238
|
||||||
|
132,863
|
Series 2007-A6
|
6.00%
|
06/25/2037
|
116,549
|
||||||
|
3,699,364
|
Series 2007-A7
|
6.00%
|
07/25/2037
|
2,574,538
|
||||||
|
14,039,671
|
Series 2007-A8
|
6.00%
|
08/25/2037
|
11,768,581
|
||||||
|
Residential Funding Mortgage Securities I Trust
|
||||||||||
|
1,857,309
|
Series 2006-S3
|
5.50%
|
03/25/2036
|
1,649,299
|
||||||
|
433,433
|
Series 2006-S6
|
6.00%
|
07/25/2036
|
410,688
|
||||||
|
3,071,379
|
Series 2006-S6
|
6.00%
|
07/25/2036
|
2,925,002
|
||||||
|
796,137
|
Series 2007-S3
|
6.00%
|
03/25/2037
|
720,179
|
||||||
|
594,211
|
Series 2007-S6
|
6.00%
|
06/25/2037
|
549,807
|
||||||
|
Sequoia Mortgage Trust
|
||||||||||
|
4,205,697
|
Series 2007-3(i)
|
2.68%
|
07/20/2037
|
3,363,927
|
||||||
|
Structured Adjustable Rate Mortgage Loan Trust
|
||||||||||
|
1,826,701
|
Series 2005-15(i)
|
2.98%
|
07/25/2035
|
1,475,050
|
||||||
|
Structured Asset Securities Corp.
|
||||||||||
|
326,701
|
Series 2005-RF1(c)(i)
|
0.78%
|
03/25/2035
|
269,128
|
||||||
|
331,868
|
Series 2005-RF1(c)(i)
|
4.74%
|
03/25/2035
|
61,650
|
||||||
|
Suntrust Alternative Loan Trust
|
||||||||||
|
12,137,207
|
Series 2005-1F
|
6.50%
|
12/25/2035
|
11,365,422
|
||||||
|
TBW Mortgage-Backed Trust
|
||||||||||
|
1,752,268
|
Series 2006-2
|
7.00%
|
07/25/2036
|
861,471
|
||||||
|
Wachovia Bank Commercial Mortgage Trust
|
||||||||||
|
43,345
|
Series 2006-C24(i)
|
5.66%
|
03/15/2045
|
43,284
|
||||||
|
400,000
|
Series 2006-C28(i)
|
5.63%
|
10/15/2048
|
391,162
|
||||||
|
1,480,186
|
Series 2006-C29(i)
|
0.37%
|
11/15/2048
|
3,094
|
||||||
|
400,000
|
Series 2007-C30(i)
|
5.41%
|
12/15/2043
|
393,773
|
||||||
|
419,052
|
Series 2007-C33(i)
|
5.95%
|
02/15/2051
|
433,510
|
||||||
|
Wachovia Mortgage Loan Trust LLC Series Trust
|
||||||||||
|
2,139,025
|
Series 2005-B(i)
|
2.77%
|
10/20/2035
|
1,862,526
|
||||||
|
Washington Mutual Alternative Mortgage Pass-Through Certificates
|
||||||||||
|
2,925,829
|
Series 2005-1
|
6.00%
|
03/25/2035
|
2,976,171
|
||||||
|
109,853
|
Series 2005-9
|
5.50%
|
11/25/2035
|
94,828
|
||||||
|
867,748
|
Series 2006-5
|
6.00%
|
07/25/2036
|
687,443
|
||||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
45
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
Washington Mutual Mortgage Pass- Through Certificates Trust
|
||||||||||
|
$
|
1,478,729
|
Series 2006-2
|
6.00%
|
03/25/2036
|
$
|
1,292,972
|
||||
|
Wells Fargo Alternative Loan Trust
|
||||||||||
|
1,231,277
|
Series 2007-PA2(i)
|
0.86%
|
06/25/2037
|
882,472
|
||||||
|
1,231,277
|
Series 2007-PA2(i)
|
5.64%
|
06/25/2037
|
235,058
|
||||||
|
462,157
|
Series 2007-PA3
|
5.75%
|
07/25/2037
|
407,790
|
||||||
|
1,546,549
|
Series 2007-PA3
|
6.25%
|
07/25/2037
|
1,398,717
|
||||||
|
9,289,771
|
Series 2007-PA5
|
6.25%
|
11/25/2037
|
8,941,399
|
||||||
|
Wells Fargo Commercial Mortgage Trust
|
||||||||||
|
525,000
|
Series 2014-LC16(c)
|
3.94%
|
08/15/2050
|
393,817
|
||||||
|
6,134,630
|
Series 2015-C31(i)
|
1.12%
|
11/15/2048
|
474,617
|
||||||
|
420,000
|
Series 2015-C31(i)
|
4.61%
|
11/15/2048
|
402,884
|
||||||
|
340,000
|
Series 2015-LC22(i)
|
4.54%
|
09/15/2058
|
326,737
|
||||||
|
380,000
|
Series 2015-NXS3(i)
|
4.49%
|
09/15/2057
|
374,888
|
||||||
|
420,000
|
Series 2015-NXS4(i)
|
4.60%
|
12/15/2048
|
409,402
|
||||||
|
Wells Fargo Mortgage-Backed Securities Trust
|
||||||||||
|
2,852,378
|
Series 2005-12
|
5.50%
|
11/25/2035
|
2,895,099
|
||||||
|
994,296
|
Series 2006-11
|
6.00%
|
09/25/2036
|
950,395
|
||||||
|
154,876
|
Series 2006-2
|
5.75%
|
03/25/2036
|
157,662
|
||||||
|
343,720
|
Series 2006-2
|
5.50%
|
03/25/2036
|
330,349
|
||||||
|
1,206,837
|
Series 2007-13
|
6.00%
|
09/25/2037
|
1,235,615
|
||||||
|
1,279,631
|
Series 2007-14
|
6.00%
|
10/25/2037
|
1,259,133
|
||||||
|
1,111,742
|
Series 2007-2
|
6.00%
|
03/25/2037
|
1,092,164
|
||||||
|
WF-RBS Commercial Mortgage Trust
|
||||||||||
|
2,932,239
|
Series 2012-C9(c)(i)
|
2.16%
|
11/15/2045
|
255,839
|
||||||
|
4,846,447
|
Series 2014-C19(i)
|
1.27%
|
03/15/2047
|
304,293
|
||||||
|
4,475,878
|
Series 2014-C21(i)
|
1.18%
|
08/15/2047
|
295,804
|
||||||
|
4,940,678
|
Series 2014-C22(i)
|
0.95%
|
09/15/2057
|
263,325
|
||||||
|
TOTAL NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $407,612,262) |
417,302,250
|
|||||||||
|
U.S. GOVERNMENT BONDS AND NOTES - 4.96%
|
||||||||||
|
9,660,000
|
U.S. Treasury Bonds
|
2.75%
|
11/15/2042
|
9,964,705
|
||||||
|
5,880,000
|
U.S. Treasury Bonds
|
3.00%
|
11/15/2044
|
6,348,101
|
||||||
|
12,970,000
|
U.S. Treasury Notes
|
0.50%
|
06/30/2016
|
12,976,563
|
||||||
|
10,560,000
|
U.S. Treasury Notes
|
0.50%
|
03/31/2017
|
10,549,271
|
||||||
|
1,310,000
|
U.S. Treasury Notes
|
1.00%
|
05/15/2018
|
1,316,524
|
||||||
|
4,650,738
|
U.S. Treasury Notes
|
0.13%
|
04/15/2019
|
4,753,231
|
||||||
|
300,000
|
U.S. Treasury Notes
|
1.00%
|
11/30/2019
|
300,000
|
||||||
|
11,050,000
|
U.S. Treasury Notes
|
2.00%
|
11/30/2020
|
11,452,938
|
||||||
See Notes to Financial Statements.
|
46
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
8,900,000
|
U.S. Treasury Notes
|
2.25%
|
03/31/2021
|
$
|
9,336,483
|
||||
|
520,000
|
U.S. Treasury Notes
|
1.88%
|
11/30/2021
|
534,310
|
||||||
|
4,610,000
|
U.S. Treasury Notes
|
1.75%
|
03/31/2022
|
4,694,368
|
||||||
|
7,810,000
|
U.S. Treasury Notes
|
2.50%
|
05/15/2024
|
8,309,411
|
||||||
|
330,000
|
U.S. Treasury Notes
|
2.38%
|
08/15/2024
|
347,744
|
||||||
|
7,610,000
|
U.S. Treasury Notes
|
2.25%
|
11/15/2024
|
7,938,927
|
||||||
|
7,870,000
|
U.S. Treasury Notes
|
2.00%
|
02/15/2025
|
8,043,541
|
||||||
|
TOTAL U.S. GOVERNMENT BONDS AND NOTES
(Cost $94,928,380) |
96,866,117
|
|||||||||
|
MUNICIPAL BONDS - 1.07%
|
||||||||||
|
29,100,000
|
Commonwealth of Puerto Rico, Series A Revenue Bonds
|
8.00%
|
07/01/2035
|
20,079,000
|
||||||
|
310,000
|
New York State Dormitory Authority, Series A Revenue Bonds
|
5.00%
|
03/15/2033
|
370,943
|
||||||
|
300,000
|
State of California, Revenue Bonds
|
5.00%
|
08/01/2033
|
360,090
|
||||||
|
TOTAL MUNICIPAL BONDS
(Cost $23,671,837) |
20,810,033
|
|||||||||
|
U.S. GOVERNMENT / AGENCY MORTGAGE BACKED SECURITIES - 11.69%
|
||||||||||
|
Fannie Mae-Aces
|
||||||||||
|
413,000
|
Series 2016-M3(i)
|
2.70%
|
02/25/2026
|
421,875
|
||||||
|
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates
|
||||||||||
|
311,000
|
Series 2015-K050(i)
|
3.33%
|
08/25/2025
|
336,710
|
||||||
|
412,000
|
Series 2016-K053
|
3.00%
|
12/25/2025
|
433,910
|
||||||
|
Federal Home Loan Mortgage Corp. Pool
|
||||||||||
|
577,620
|
Series Pool #G01840
|
5.00%
|
07/01/2035
|
641,475
|
||||||
|
229,163
|
Series Pool #G04817
|
5.00%
|
09/01/2038
|
251,768
|
||||||
|
Federal Home Loan Mortgage Corp. REMICS
|
||||||||||
|
2,616,508
|
Series 2003-2722(i)
|
9.40%
|
12/15/2033
|
2,979,495
|
||||||
|
521,826
|
Series 2005-R003
|
5.50%
|
10/15/2035
|
594,146
|
||||||
|
3,231,631
|
Series 2006-3244(i)
|
6.22%
|
11/15/2036
|
669,703
|
||||||
|
155,772
|
Series 2007-3261(i)
|
5.99%
|
01/15/2037
|
30,000
|
||||||
|
679,676
|
Series 2007-3262(i)
|
5.96%
|
01/15/2037
|
90,680
|
||||||
|
1,657,166
|
Series 2007-3301(i)
|
5.66%
|
04/15/2037
|
250,952
|
||||||
|
2,479,008
|
Series 2007-3303(i)
|
5.64%
|
04/15/2037
|
381,196
|
||||||
|
1,314,625
|
Series 2007-3303(i)
|
5.66%
|
04/15/2037
|
202,919
|
||||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
47
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
827,296
|
Series 2007-3382(i)
|
5.56%
|
11/15/2037
|
$
|
116,288
|
||||
|
1,148,381
|
Series 2007-3384(i)
|
5.87%
|
08/15/2036
|
170,088
|
||||||
|
878,400
|
Series 2007-3384(i)
|
5.95%
|
11/15/2037
|
118,096
|
||||||
|
875,114
|
Series 2008-3417(i)
|
5.74%
|
02/15/2038
|
99,199
|
||||||
|
6,644,223
|
Series 2008-3419(i)
|
5.99%
|
02/15/2038
|
1,143,430
|
||||||
|
982,668
|
Series 2008-3423(i)
|
5.21%
|
03/15/2038
|
117,474
|
||||||
|
21,088,223
|
Series 2008-3423(i)
|
0.35%
|
03/15/2038
|
169,792
|
||||||
|
12,658,127
|
Series 2008-3435(i)
|
5.54%
|
04/15/2038
|
2,149,097
|
||||||
|
3,145,742
|
Series 2009-3510(i)
|
6.31%
|
02/15/2037
|
640,111
|
||||||
|
907,532
|
Series 2009-3523(i)
|
5.56%
|
04/15/2039
|
143,639
|
||||||
|
176,924
|
Series 2009-3524
|
4.25%
|
06/15/2038
|
179,228
|
||||||
|
79,588
|
Series 2009-3549(i)
|
5.36%
|
07/15/2039
|
10,275
|
||||||
|
2,176,519
|
Series 2009-3560(i)
|
5.96%
|
11/15/2036
|
364,304
|
||||||
|
682,562
|
Series 2010-3630(i)
|
1.93%
|
03/15/2017
|
9,867
|
||||||
|
844,604
|
Series 2010-3641
|
4.50%
|
03/15/2040
|
928,773
|
||||||
|
1,113,595
|
Series 2010-3726(i)
|
5.61%
|
09/15/2040
|
186,414
|
||||||
|
7,088,961
|
Series 2010-3728(i)
|
4.01%
|
09/15/2040
|
754,350
|
||||||
|
49,909
|
Series 2010-3766(i)
|
9.13%
|
11/15/2040
|
51,562
|
||||||
|
250,000
|
Series 2010-3779
|
4.00%
|
12/15/2030
|
269,874
|
||||||
|
750,000
|
Series 2010-3779
|
3.50%
|
12/15/2030
|
819,564
|
||||||
|
507,832
|
Series 2010-3779
|
4.50%
|
12/15/2040
|
561,457
|
||||||
|
112,138
|
Series 2011-3786(i)
|
8.63%
|
01/15/2041
|
123,681
|
||||||
|
1,229,150
|
Series 2011-3795
|
4.00%
|
01/15/2041
|
1,353,728
|
||||||
|
131,574
|
Series 2011-3798(i)
|
8.63%
|
11/15/2040
|
148,657
|
||||||
|
600,000
|
Series 2011-3808
|
3.50%
|
02/15/2031
|
636,475
|
||||||
|
55,763
|
Series 2011-3809(i)
|
8.62%
|
02/15/2041
|
62,367
|
||||||
|
2,004,757
|
Series 2011-3815(i)
|
5.41%
|
02/15/2041
|
324,151
|
||||||
|
500,000
|
Series 2011-3824
|
3.50%
|
03/15/2031
|
543,221
|
||||||
|
1,066,652
|
Series 2011-3824(i)
|
6.66%
|
08/15/2036
|
211,431
|
||||||
|
306,508
|
Series 2011-3857(i)
|
8.39%
|
05/15/2041
|
314,914
|
||||||
|
1,322,843
|
Series 2011-3863
|
5.50%
|
08/15/2034
|
1,471,881
|
||||||
|
859,176
|
Series 2011-3864(i)
|
8.32%
|
05/15/2041
|
924,129
|
||||||
|
1,297,777
|
Series 2011-3871
|
5.50%
|
06/15/2041
|
1,523,409
|
||||||
|
1,532,698
|
Series 2011-3872(i)
|
5.51%
|
06/15/2041
|
233,878
|
||||||
|
2,168,733
|
Series 2011-3888
|
4.00%
|
07/15/2041
|
2,337,471
|
||||||
|
3,452,942
|
Series 2011-3894
|
4.50%
|
07/15/2041
|
3,793,036
|
||||||
|
2,513,906
|
Series 2011-3910
|
5.00%
|
08/15/2041
|
3,075,931
|
||||||
|
5,928,474
|
Series 2011-3924(i)
|
5.56%
|
09/15/2041
|
962,046
|
||||||
|
2,429,356
|
Series 2011-3924(i)
|
5.56%
|
09/15/2041
|
371,778
|
||||||
|
2,342,664
|
Series 2011-3925
|
3.00%
|
09/15/2021
|
119,378
|
||||||
|
9,291,392
|
Series 2012-3(i)
|
5.52%
|
02/25/2042
|
1,524,386
|
||||||
|
3,484,633
|
Series 2012-4057
|
4.00%
|
06/15/2042
|
3,868,673
|
||||||
|
9,718,101
|
Series 2013-4196(i)
|
4.88%
|
03/15/2043
|
9,021,343
|
||||||
See Notes to Financial Statements.
|
48
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
9,639,826
|
Series 2013-4218
|
2.50%
|
02/15/2043
|
$
|
8,714,485
|
||||
|
9,052,563
|
Series 2013-4239(h)
|
0.00%
|
07/15/2043
|
6,905,943
|
||||||
|
6,749,517
|
Series 2014-4302(i)
|
5.71%
|
02/15/2044
|
1,376,972
|
||||||
|
4,190,806
|
Series 2014-4413
|
3.50%
|
11/15/2044
|
4,498,127
|
||||||
|
12,834,521
|
Series 2015-4427(i)
|
5.16%
|
07/15/2044
|
2,117,591
|
||||||
|
3,098,976
|
Series 2015-4434
|
3.00%
|
02/15/2045
|
2,963,671
|
||||||
|
3,082,273
|
Series 2015-4440
|
2.50%
|
02/15/2045
|
2,753,696
|
||||||
|
Federal National Mortgage Association Pool
|
||||||||||
|
161,499
|
Series Pool #555743
|
5.00%
|
09/01/2033
|
179,640
|
||||||
|
195,950
|
Series Pool #735382
|
5.00%
|
04/01/2035
|
217,567
|
||||||
|
496,750
|
Series Pool #735383
|
5.00%
|
04/01/2035
|
551,429
|
||||||
|
357,272
|
Series Pool #735484
|
5.00%
|
05/01/2035
|
396,496
|
||||||
|
144,385
|
Series Pool #AH4437
|
4.00%
|
01/01/2041
|
150,884
|
||||||
|
4,771,737
|
Series Pool #AS4645
|
3.00%
|
03/01/2045
|
4,901,631
|
||||||
|
628,817
|
Series Pool #MA0264
|
4.50%
|
12/01/2029
|
684,019
|
||||||
|
1,541,725
|
Series Pool #MA3894
|
4.00%
|
09/01/2031
|
1,662,307
|
||||||
|
Federal National Mortgage Association REMICS
|
||||||||||
|
202,201
|
Series 2004-46(i)
|
5.57%
|
03/25/2034
|
29,982
|
||||||
|
566,545
|
Series 2005-104(i)
|
6.27%
|
12/25/2033
|
21,740
|
||||||
|
571,517
|
Series 2006-101(i)
|
6.15%
|
10/25/2036
|
115,413
|
||||||
|
1,681,180
|
Series 2006-123(i)
|
5.89%
|
01/25/2037
|
343,308
|
||||||
|
7,947,659
|
Series 2006-92(i)
|
6.15%
|
10/25/2036
|
1,826,881
|
||||||
|
245,657
|
Series 2007-102(i)
|
5.97%
|
11/25/2037
|
42,632
|
||||||
|
372,376
|
Series 2007-108(i)
|
5.93%
|
12/25/2037
|
50,138
|
||||||
|
72,155
|
Series 2007-30(i)
|
5.68%
|
04/25/2037
|
10,432
|
||||||
|
849,379
|
Series 2007-38(i)
|
5.65%
|
05/25/2037
|
112,920
|
||||||
|
59,910
|
Series 2007-51(i)
|
5.67%
|
06/25/2037
|
8,529
|
||||||
|
163,046
|
Series 2007-53(i)
|
5.67%
|
06/25/2037
|
23,930
|
||||||
|
1,219,376
|
Series 2007-57(i)
|
6.19%
|
10/25/2036
|
193,533
|
||||||
|
971,675
|
Series 2007-68(i)
|
6.22%
|
07/25/2037
|
149,298
|
||||||
|
1,549,429
|
Series 2008-3(i)
|
6.03%
|
02/25/2038
|
300,097
|
||||||
|
901,798
|
Series 2008-56(i)
|
5.63%
|
07/25/2038
|
129,659
|
||||||
|
317,126
|
Series 2008-81
|
5.50%
|
09/25/2038
|
349,017
|
||||||
|
994,842
|
Series 2009-111
|
5.00%
|
01/25/2040
|
1,056,660
|
||||||
|
863,169
|
Series 2009-111(i)
|
5.82%
|
01/25/2040
|
113,287
|
||||||
|
2,150,260
|
Series 2009-12(i)
|
6.17%
|
03/25/2036
|
476,398
|
||||||
|
137,906
|
Series 2009-28(i)
|
5.57%
|
04/25/2037
|
17,842
|
||||||
|
833,819
|
Series 2009-41
|
4.50%
|
06/25/2039
|
882,023
|
||||||
|
431,181
|
Series 2009-42(i)
|
5.57%
|
06/25/2039
|
57,737
|
||||||
|
1,209,447
|
Series 2009-47(i)
|
5.67%
|
07/25/2039
|
152,866
|
||||||
|
664,723
|
Series 2009-62(i)
|
5.67%
|
08/25/2039
|
84,098
|
||||||
|
253,281
|
Series 2009-66(i)
|
5.37%
|
02/25/2038
|
36,998
|
||||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
49
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
250,743
|
Series 2009-68(i)
|
4.82%
|
09/25/2039
|
$
|
33,152
|
||||
|
18,497
|
Series 2010-109(i)
|
50.18%
|
10/25/2040
|
80,175
|
||||||
|
1,547,442
|
Series 2010-11(i)
|
4.37%
|
02/25/2040
|
195,192
|
||||||
|
221,186
|
Series 2010-111(i)
|
5.57%
|
10/25/2040
|
32,538
|
||||||
|
305,695
|
Series 2010-112
|
4.00%
|
10/25/2040
|
317,644
|
||||||
|
732,557
|
Series 2010-115(i)
|
6.17%
|
11/25/2039
|
133,497
|
||||||
|
3,899,005
|
Series 2010-115(i)
|
5.57%
|
10/25/2040
|
747,395
|
||||||
|
9,472,327
|
Series 2010-123(i)
|
5.62%
|
11/25/2040
|
1,863,089
|
||||||
|
1,812,807
|
Series 2010-15(i)
|
4.52%
|
03/25/2040
|
208,156
|
||||||
|
303,603
|
Series 2010-34(i)
|
4.50%
|
04/25/2040
|
27,313
|
||||||
|
156,516
|
Series 2010-4(i)
|
5.80%
|
02/25/2040
|
23,948
|
||||||
|
263,216
|
Series 2010-58(i)
|
11.36%
|
06/25/2040
|
303,142
|
||||||
|
2,923,395
|
Series 2010-75
|
4.50%
|
07/25/2040
|
3,256,481
|
||||||
|
239,054
|
Series 2010-9(i)
|
4.87%
|
02/25/2040
|
32,501
|
||||||
|
1,563,506
|
Series 2010-9(i)
|
4.32%
|
02/25/2040
|
176,304
|
||||||
|
70,108
|
Series 2010-90(i)
|
5.57%
|
08/25/2040
|
9,217
|
||||||
|
500,000
|
Series 2011-16
|
3.50%
|
03/25/2031
|
541,483
|
||||||
|
3,072,875
|
Series 2011-2
|
4.00%
|
02/25/2041
|
3,257,333
|
||||||
|
1,000,000
|
Series 2011-25
|
3.00%
|
04/25/2026
|
1,049,239
|
||||||
|
500,000
|
Series 2011-29
|
3.50%
|
04/25/2031
|
536,793
|
||||||
|
916,711
|
Series 2011-48(i)
|
8.33%
|
06/25/2041
|
991,745
|
||||||
|
1,529,060
|
Series 2011-5(i)
|
5.97%
|
11/25/2040
|
150,960
|
||||||
|
23,390,431
|
Series 2011-51(i)
|
5.57%
|
06/25/2041
|
3,431,336
|
||||||
|
2,368,182
|
Series 2011-58(i)
|
6.12%
|
07/25/2041
|
483,404
|
||||||
|
8,369,486
|
Series 2012-106(i)
|
5.73%
|
10/25/2042
|
1,704,124
|
||||||
|
1,661,688
|
Series 2012-124(i)
|
7.03%
|
11/25/2042
|
1,763,028
|
||||||
|
9,795,601
|
Series 2012-128(i)
|
5.35%
|
11/25/2042
|
9,140,833
|
||||||
|
267,082
|
Series 2012-140(i)
|
7.12%
|
12/25/2042
|
268,199
|
||||||
|
9,227,150
|
Series 2012-20
|
3.50%
|
03/25/2042
|
9,755,858
|
||||||
|
1,621,328
|
Series 2012-29(i)
|
5.57%
|
04/25/2042
|
241,212
|
||||||
|
1,898,779
|
Series 2012-32
|
5.00%
|
04/25/2042
|
295,530
|
||||||
|
7,698,707
|
Series 2012-65(i)
|
5.55%
|
06/25/2042
|
1,269,150
|
||||||
|
4,977,368
|
Series 2012-92
|
3.50%
|
08/25/2042
|
5,238,124
|
||||||
|
6,219,496
|
Series 2013-19(i)
|
4.88%
|
03/25/2043
|
6,086,776
|
||||||
|
9,646,208
|
Series 2013-51(i)
|
4.88%
|
04/25/2043
|
8,898,421
|
||||||
|
17,034,529
|
Series 2014-50(i)
|
5.77%
|
08/25/2044
|
3,082,834
|
||||||
|
9,030,095
|
Series 2014-73(i)
|
5.77%
|
11/25/2044
|
1,632,925
|
||||||
|
4,797,418
|
Series 2015-59
|
3.00%
|
06/25/2041
|
4,924,931
|
||||||
|
9,197,718
|
Series 2015-79
|
3.00%
|
11/25/2045
|
8,799,712
|
||||||
|
3,991,945
|
Series 2015-9
|
3.00%
|
01/25/2045
|
4,173,484
|
||||||
|
Government National Mortgage Association
|
||||||||||
|
120,371
|
Series 2004-83(i)
|
5.65%
|
10/20/2034
|
22,271
|
||||||
|
112,088
|
Series 2008-6(i)
|
6.03%
|
02/20/2038
|
20,294
|
||||||
See Notes to Financial Statements.
|
50
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
107,257
|
Series 2008‐67(i)
|
5.57%
|
08/20/2038
|
$
|
17,275
|
||||
|
1,663,142
|
Series 2008‐69(i)
|
7.20%
|
08/20/2038
|
361,541
|
||||||
|
120,595
|
Series 2009‐10(i)
|
6.21%
|
02/16/2039
|
25,453
|
||||||
|
2,340,844
|
Series 2009‐35
|
4.50%
|
05/20/2039
|
2,561,478
|
||||||
|
8,555,390
|
Series 2009‐58(i)
|
5.82%
|
06/20/2039
|
1,364,224
|
||||||
|
119,497
|
Series 2009‐6(i)
|
5.52%
|
02/20/2038
|
18,791
|
||||||
|
4,672,058
|
Series 2009‐75
|
5.00%
|
09/20/2039
|
5,174,643
|
||||||
|
10,701,078
|
Series 2010‐121(i)
|
5.57%
|
09/20/2040
|
1,665,917
|
||||||
|
6,863,483
|
Series 2010‐26(i)
|
5.82%
|
02/20/2040
|
1,107,947
|
||||||
|
15,951,226
|
Series 2010‐35(i)
|
5.25%
|
03/20/2040
|
2,269,596
|
||||||
|
187,670
|
Series 2010‐61(i)
|
6.12%
|
09/20/2039
|
29,065
|
||||||
|
608,846
|
Series 2010‐98(i)
|
5.84%
|
03/20/2039
|
64,367
|
||||||
|
3,129,490
|
Series 2011‐45
|
4.50%
|
03/20/2041
|
3,380,501
|
||||||
|
1,741,367
|
Series 2011‐69(h)
|
0.00%
|
05/20/2041
|
1,619,589
|
||||||
|
2,484,920
|
Series 2011‐71
|
4.50%
|
02/20/2041
|
2,728,246
|
||||||
|
3,067,972
|
Series 2011‐71(i)
|
4.97%
|
05/20/2041
|
446,402
|
||||||
|
877,084
|
Series 2011‐72(i)
|
5.72%
|
05/20/2041
|
145,419
|
||||||
|
4,748,842
|
Series 2011‐89(i)
|
5.02%
|
06/20/2041
|
662,570
|
||||||
|
1,625,166
|
Series 2012‐105(i)
|
5.77%
|
01/20/2041
|
134,376
|
||||||
|
13,325,461
|
Series 2013‐102(i)
|
5.72%
|
03/20/2043
|
1,779,221
|
||||||
|
14,617,340
|
Series 2013‐113(i)
|
5.82%
|
03/20/2043
|
1,966,029
|
||||||
|
17,482,093
|
Series 2013‐122(i)
|
5.66%
|
08/16/2043
|
2,897,153
|
||||||
|
8,799,071
|
Series 2013‐148(i)
|
5.24%
|
10/16/2043
|
1,520,800
|
||||||
|
17,808,834
|
Series 2013‐186(i)
|
5.81%
|
02/16/2043
|
2,974,633
|
||||||
|
12,417,996
|
Series 2014‐156(i)
|
5.82%
|
10/20/2044
|
2,033,870
|
||||||
|
22,549,611
|
Series 2014‐3(i)
|
5.67%
|
01/20/2044
|
3,800,967
|
||||||
|
25,672,179
|
Series 2014‐4(i)
|
5.66%
|
01/16/2044
|
3,923,772
|
||||||
|
17,763,461
|
Series 2014‐5(i)
|
5.72%
|
07/20/2043
|
2,438,904
|
||||||
|
11,920,738
|
Series 2014‐95(i)
|
5.81%
|
06/16/2044
|
2,241,020
|
||||||
|
TOTAL U.S. GOVERNMENT / AGENCY MORTGAGE BACKED SECURITIES
(Cost $258,990,967) |
228,447,063
|
|||||||||
|
Shares/Description
|
Value
|
||||||
|
SHORT‐TERM INVESTMENTS ‐ 16.93%
|
|||||||
|
Money Market Fund
|
|||||||
|
330,803,320
|
State Street Institutional Trust (7 Day Yield 0.19%) |
330,803,320
|
|||||
|
TOTAL SHORT‐TERM INVESTMENTS
(Cost $330,803,320) |
330,803,320
|
||||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
51
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Value
|
||||
|
TOTAL INVESTMENTS - 98.54%
(Cost $2,021,974,417) |
$
|
1,925,371,828
|
||
|
CASH SEGREGATED AT CUSTODIAN FOR TOTAL RETURN SWAP CONTRACTS - 0.02%
|
400,000
|
|||
|
NET RECEIVABLE FROM PURCHASE AND SETTLEMENT AGREEMENT - 0.14%(l)
|
2,810,925
|
|||
|
OTHER ASSETS IN EXCESS OF LIABILITIES ‐ 1.30%
|
25,267,579
|
|||
|
NET ASSETS - 100.00%
|
$
|
1,953,850,332
|
||
| (a) | Non-income producing security. |
| (b) | Affiliated company. See Note 9 to Notes to Financial Statements. |
| (c) | 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 Trustees and may normally be sold to qualified institutional buyers in transactions exempt from registration. Total fair value of Rule 144A securities amounts to $99,573,094, which represents approximately 5.10% of net assets as of March 31, 2016. |
| (d) | 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 Trustees. As of March 31, 2016, the aggregate fair value of those securities was $21,972,292, representing 1.12% of net assets. |
| (e) | Less than 0.005%. |
| (f) | Security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. |
| (g) | Security is currently in default. |
| (h) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| (i) | Floating or variable rate security. Interest rate disclosed is that which is in effect at March 31, 2016. |
| (j) | Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect at March 31, 2016. |
| (k) | Security will not have a market value or rate. Security will not be entitled to distributions in respect of principal or interest other than excess interest paid with respect to the mortgage loans. |
| (l) | See Note 4 to Notes to Financial Statements. |
Common Abbreviations:
BV - Besloten Vennootschap a Dutch private limited liability company.
CEF - Closed End Fund.
CLO - Collateralized Loan Obligation.
ENR - Non-regulated entity.
ER - Regulated entity.
See Notes to Financial Statements.
|
52
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
ESP - Empresa de Servicios Publicos is the Colombian term for Public Service Company.
GmbH - Gesellschaft mit beschrankter Haftung is the German term for a company with limited liability.
LLC - Limited Liability Corp.
LP - Limited Partnership.
Ltd. - Limited.
MLP – Master Limited Partnership.
PLC - Public Limited Co.
REIT - Real Estate Investment Trust.
REMICS - Real Estate Mortgage Investment Conduits.
SA - Generally designates corporations in various countries, mostly those employing the civil law.
SAA - Sociedad Anónima Abierta - A publicly traded corporation.
SA de CV - Sociedad Anónima de Capital Variable - A variable capital company.
SAB de CV - Sociedad Anónima Bursátil de Capital Variable - A variable capital company.
SAC - Sociedad Anónima Cerrada - A privately held corporation.
SAPI - Sociedad Anónima Promotora de Inversion (Mexican investment promotion company)
SCS - Societe en Commandite Simple is the French term for limited partnership.
S de rl - Sociedad de Responsabilidad.
S de RL de CV - Sociedad de Responsabilidad Limitada de Capital Variable.
SOFOM - Socieded Financiera de Objeto Multiple is a form of enterprise under Mexican law.
TOTAL RETURN SWAP CONTRACTS*
|
Counterparty
|
Reference
Asset |
Termination
Date |
Rate paid
by the Fund |
Notional
Amount
|
Upfront
Premiums Paid |
Unrealized
Appreciation |
|||||||||||
|
ReFlow Fund, LLC(a)
|
Net Asset Value
|
12/16/2016
|
1.94
|
%
|
$
|
50,000,000
|
$
|
–
|
$
|
386,534
|
|||||||
| Fifth Street Finance Corp., | |||||||||||||||||
|
Goldman Sachs
|
Common Shares
|
01/20/2017
|
1.18
|
%
|
4,062,145
|
4,062,145
|
93,883
|
||||||||||
| Fifth Street Finance Corp., | |||||||||||||||||
|
Goldman Sachs
|
Common Shares
|
01/25/2017
|
1.18
|
%
|
1,395,996
|
1,395,996
|
50,542
|
||||||||||
|
$
|
530,959
|
||||||||||||||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
53
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
TOTAL RETURN SWAP CONTRACTS*
(Continued)
|
Counterparty
|
Reference
Asset |
Termination
Date |
Rate paid
by the Fund |
Notional Amount
|
Upfront
Premiums Paid |
Unrealized
Deprectiation |
|||||||||||
| Fifth Street Finance Corp., | |||||||||||||||||
|
Goldman Sachs
|
Common Shares
|
10/27/2016
|
1.18
|
%
|
$
|
2,041,240
|
$
|
2,041,240
|
$
|
(194,929
|
)
|
||||||
| Fifth Street Finance Corp., | |||||||||||||||||
|
Goldman Sachs
|
Common Shares
|
10/28/2016
|
1.18
|
%
|
2,074,341
|
2,074,341
|
(228,030
|
)
|
|||||||||
| Fifth Street Finance Corp., | |||||||||||||||||
|
Goldman Sachs
|
Common Shares
|
10/31/2016
|
1.18
|
%
|
2,085,375
|
2,085,375
|
(239,064
|
)
|
|||||||||
| Fifth Street Finance Corp., | |||||||||||||||||
|
Goldman Sachs
|
Common Shares
|
01/24/2017
|
1.18
|
%
|
934,448
|
934,448
|
(15,397
|
)
|
|||||||||
|
$
|
(677,420
|
)
|
|||||||||||||||
| (a) | The Fund receives monthly payments based on any positive monthly return of the Reference Asset. The Fund makes payments on any negative monthly return of such Reference Asset. |
|
*
|
See Note 4 in the Notes to Financial Statements.
|
See Notes to Financial Statements.
|
54
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth Equity Opportunity Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Shares/Description
|
Value
|
||||||
|
CLOSED-END FUNDS ‐ 82.26%
|
|||||||
|
39,889
|
Adams Diversified Equity Fund, Inc.
|
$
|
504,596
|
||||
|
5,423
|
AllianzGI Equity & Convertible Income Fund
|
98,644
|
|||||
|
47,228
|
Alpine Global Dynamic Dividend Fund
|
402,855
|
|||||
|
63,259
|
Alpine Total Dynamic Dividend Fund
|
474,443
|
|||||
|
177,574
|
Boulder Growth & Income Fund, Inc.
|
1,393,959
|
|||||
|
33,794
|
Brookfield Global Listed Infrastructure Income Fund, Inc.
|
383,562
|
|||||
|
76,345
|
Calamos Global Dynamic Income Fund
|
536,705
|
|||||
|
14,373
|
Central Securities Corp.
|
275,099
|
|||||
|
14,223
|
ClearBridge Energy MLP Total Return Fund, Inc.
|
147,635
|
|||||
|
20,596
|
Clough Global Allocation Fund
|
239,120
|
|||||
|
88,005
|
Clough Global Equity Fund
|
957,494
|
|||||
|
27,800
|
Clough Global Opportunities Fund
|
266,324
|
|||||
|
8,611
|
Cornerstone Strategic Value Fund, Inc.
|
126,065
|
|||||
|
33,662
|
General American Investors Co., Inc.
|
1,051,264
|
|||||
|
158,475
|
Liberty All Star® Equity Fund
|
787,621
|
|||||
|
60,561
|
LMP Capital and Income Fund, Inc.
|
749,140
|
|||||
|
1,101
|
Madison Strategic Sector Premium Fund
|
12,397
|
|||||
|
47,114
|
Neuberger Berman Real Estate Securities Income Fund, Inc.
|
239,810
|
|||||
|
1,264
|
RMR Real Estate Income Fund
|
24,391
|
|||||
|
70,658
|
Royce Value Trust, Inc.
|
827,405
|
|||||
|
94,071
|
Sprott Focus Trust, Inc.
|
572,892
|
|||||
|
33,117
|
The Gabelli Global Small and Mid Cap Value Trust(a)
|
349,716
|
|||||
|
39,000
|
Tri-Continental Corp.
|
778,440
|
|||||
|
TOTAL CLOSED‐END FUNDS
(Cost $11,998,537) |
11,199,577
|
||||||
|
EXCHANGE‐TRADED FUNDS - 18.62%
|
|||||||
|
25,658
|
iShares® Russell 1000® Value ETF
|
2,535,267
|
|||||
|
TOTAL EXCHANGE‐TRADED FUNDS
(Cost $2,483,885) |
2,535,267
|
||||||
|
TOTAL INVESTMENTS - 100.88%
(Cost $14,482,422) |
13,734,844
|
||||||
|
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.88)%
|
(119,242
|
)
|
|||||
|
NET ASSETS - 100.00%
|
$
|
13,615,602
|
|||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
55
|
|
RiverNorth Equity Opportunity Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
| (a) | Non-income producing security. |
Common Abbreviations:
ETF - Exchange Traded Fund.
MLP - Master Limited Partnership.
See Notes to Financial Statements.
|
56
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
|
Shares/Description
|
Value
|
||||||
|
BUSINESS DEVELOPMENT COMPANIES - 1.62%
|
|||||||
|
25,288
|
American Capital Ltd.(a)
|
$
|
385,389
|
||||
|
378,394
|
Full Circle Capital Corp.
|
976,257
|
|||||
|
TOTAL BUSINESS DEVELOPMENT COMPANIES
(Cost $1,435,452)
|
1,361,646
|
||||||
|
CLOSED-END FUNDS - 28.00%
|
|||||||
|
15,405
|
Advent Claymore Convertible Securities and Income Fund
|
203,500
|
|||||
|
42,167
|
Apollo Tactical Income Fund, Inc.
|
573,893
|
|||||
|
102,126
|
Ares Dynamic Credit Allocation Fund, Inc.
|
1,366,451
|
|||||
|
482,174
|
BlackRock Debt Strategies Fund, Inc.
|
1,673,144
|
|||||
|
107,315
|
BlackRock Multi-Sector Income Trust
|
1,696,650
|
|||||
|
37,276
|
Blackstone/GSO Long-Short Credit Income Fund
|
506,954
|
|||||
|
105,711
|
Brookfield Mortgage Opportunity Income Fund, Inc.
|
1,547,609
|
|||||
|
44,005
|
Deutsche High Income Opportunities Fund, Inc.
|
586,587
|
|||||
|
9,200
|
Deutsche High Income Trust
|
78,016
|
|||||
|
120,029
|
Deutsche Multi-Market Income Trust
|
951,830
|
|||||
|
13,460
|
Eaton Vance Limited Duration Income Fund
|
177,403
|
|||||
|
1,107
|
Eaton Vance Senior Income Trust
|
6,409
|
|||||
|
13,355
|
First Trust High Income Long/Short Fund
|
195,250
|
|||||
|
51,370
|
First Trust Strategic High Income Fund II
|
584,077
|
|||||
|
13,757
|
Franklin Limited Duration Income Trust
|
156,004
|
|||||
|
47,729
|
Ivy High Income Opportunities Fund
|
607,590
|
|||||
|
42,438
|
Legg Mason BW Global Income Opportunities Fund, Inc.
|
524,109
|
|||||
|
702,957
|
Managed High Yield Plus Fund, Inc.
|
1,251,263
|
|||||
|
79,231
|
MFS Multimarket Income Trust
|
461,917
|
|||||
|
46,526
|
Neuberger Berman High Yield Strategies Fund, Inc.
|
493,641
|
|||||
|
10,599
|
NexPoint Credit Strategies Fund
|
191,312
|
|||||
|
189,803
|
Nuveen Credit Strategies Income Fund
|
1,501,342
|
|||||
|
20,134
|
Nuveen Global High Income Fund
|
279,259
|
|||||
|
16,254
|
Nuveen Mortgage Opportunity Term Fund
|
365,390
|
|||||
|
93,293
|
Nuveen Senior Income Fund
|
550,429
|
|||||
|
131,600
|
PIMCO Dynamic Credit Income Fund
|
2,295,104
|
|||||
|
50,061
|
Prudential Global Short Duration High Yield Fund, Inc.
|
744,908
|
|||||
|
47,852
|
Templeton Emerging Markets Income Fund
|
491,919
|
|||||
|
121,377
|
The New America High Income Fund, Inc.
|
979,512
|
|||||
|
23,653
|
Virtus Global Multi-Sector Income Fund
|
335,163
|
|||||
|
20,214
|
Western Asset Emerging Markets Income Fund, Inc.
|
207,396
|
|||||
|
232,984
|
Western Asset High Income Opportunity Fund, Inc.
|
1,092,695
|
|||||
|
14,265
|
Western Asset High Yield Defined Opportunity Fund, Inc.
|
198,854
|
|||||
|
134,226
|
Western Asset Managed High Income Fund, Inc.
|
594,621
|
|||||
|
See Notes to Financial Statements.
|
|
Semi-Annual Report | March 31, 2016
|
57
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
|
Shares/Description
|
Value
|
||||||
|
5,600
|
Western Asset Worldwide Income Fund, Inc.
|
$
|
58,184
|
||||
|
TOTAL CLOSED-END FUNDS
(Cost $26,175,660)
|
23,528,385
|
||||||
|
COMMON STOCKS - 0.07%
|
|||||||
|
3,604
|
New Millennium Holding Co.(a)(b)
|
56,087
|
|||||
|
TOTAL COMMON STOCKS
(Cost $47,570)
|
56,087
|
||||||
|
PREFERRED STOCKS - 0.48%
|
|||||||
|
16,315
|
KCAP Financial, Inc., 7.375%, 09/30/2019
|
401,838
|
|||||
|
TOTAL PREFERRED STOCKS
(Cost $409,277)
|
401,838
|
||||||
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
BANK LOANS - 34.12%
|
||||||||||
|
Belgium - 0.26%
|
||||||||||
|
$
|
195,000
|
Telenet International Finance SA, Y Facility Term Loan
|
3.50%
|
06/30/2023
|
218,340
|
|||||
|
Bermuda - 0.69%
|
||||||||||
|
98,000
|
Belmond Interfin Ltd., Euro Term Loan
|
4.00%
|
03/19/2021
|
110,864
|
||||||
|
500,000
|
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan
|
3.75%
|
06/30/2019
|
467,588
|
||||||
|
578,452
|
||||||||||
|
Canada - 0.35%
|
||||||||||
|
294,931
|
Hudson’s Bay Company, Initial Term Loan
|
4.75%
|
09/30/2022
|
294,747
|
||||||
|
Cayman Islands - 0.56%
|
||||||||||
|
470,000
|
Avago Technologies, Term B Loan
|
4.25%
|
02/01/2023
|
468,317
|
||||||
|
Denmark - 0.47%
|
||||||||||
|
350,000
|
Nassa Midco AS, Facility B Term Loan
|
3.75%
|
07/09/2021
|
393,784
|
||||||
|
France - 2.04%
|
||||||||||
|
364,088
|
Altice France SA (Numericable-SFR SA), Term B Loan
|
4.56%
|
07/29/2022
|
360,733
|
||||||
|
See Notes to Financial Statements.
|
|
58
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
235,000
|
Financiere Chopin (aka Ceva Sante Animale), Term B Loan
|
4.25%
|
06/30/2021
|
$
|
268,273
|
||||
|
235,000
|
Generale de Sante Development International Services Ltd., Facility B1A Loan
|
3.36%
|
10/01/2020
|
266,822
|
||||||
|
197,500
|
Numericable Group SA, Euro Denominated Tranche B-1 Loan
|
4.50%
|
05/21/2020
|
222,538
|
||||||
|
228,376
|
Sebia SAS, Term Loan
|
4.25%
|
12/17/2021
|
260,723
|
||||||
|
295,000
|
Verallia, Term Loan
|
5.00%
|
10/31/2022
|
336,810
|
||||||
|
1,715,899
|
||||||||||
|
Germany - 1.91%
|
||||||||||
|
187,206
|
Braas Monier Building Group Holding S.A.R.L., Facility B Term Loan
|
3.69%
|
10/15/2020
|
213,155
|
||||||
|
382,113
|
Kleopatra Holdings 2 SCA, Initial Term Loan
|
5.00%
|
04/28/2020
|
383,068
|
||||||
|
113,388
|
Orion Engineered Carbons GmbH (OEC Finance US LLC), Initial Euro Term Loan
|
5.00%
|
07/25/2021
|
129,892
|
||||||
|
50,000
|
Schaeffler AG, Facility B Term Loan
|
4.25%
|
05/15/2020
|
57,310
|
||||||
|
101,538
|
Schaeffler AG, Facility E Term Loan
|
4.25%
|
05/15/2020
|
102,084
|
||||||
|
405,900
|
Springer Science + Business Media GmbH, First Lien B Term Loan
|
4.75%
|
08/14/2020
|
459,469
|
||||||
|
230,000
|
Tele Columbus AG, Term Loan
|
4.50%
|
01/04/2021
|
260,517
|
||||||
|
1,605,495
|
||||||||||
|
Great Britain - 1.11%
|
||||||||||
|
100,000
|
Frontier Bidco Ltd., Facility B Term Loan
|
5.73%
|
11/27/2020
|
135,965
|
||||||
|
405,899
|
Ineos Finance PLC, Euro Term Loan
|
4.25%
|
03/31/2022
|
454,029
|
||||||
|
240,000
|
United Biscuits Ltd., Term B1 Loan
|
4.84%
|
11/19/2021
|
343,768
|
||||||
|
933,762
|
||||||||||
|
Ireland -0.13%
|
||||||||||
|
100,000
|
Valeo Foods Group Ltd., Term B Loan
|
4.25%
|
05/06/2022
|
108,883
|
||||||
|
Italy - 0.38%
|
||||||||||
|
290,870
|
Inter Media and Communications S.r.l., Term Loan B
|
5.50%
|
06/05/2019
|
314,431
|
||||||
|
Luxembourg - 1.43%
|
||||||||||
|
287,105
|
Auris Luxembourg III S.A.R.L. (aka Siemens Audiology), Facility B4 Term Loan
|
4.25%
|
01/17/2022
|
287,404
|
||||||
|
200,000
|
Delta 2 (Lux) S.A.R.L., Facility B3 Term Loan
|
4.75%
|
07/30/2021
|
194,965
|
||||||
|
100,000
|
Delta 2 (Lux) S.A.R.L., Second Lien Facility Term Loan
|
7.75%
|
07/29/2022
|
92,251
|
||||||
|
220,000
|
Diaverum Holdings S.A.R.L., Facility C1 Term Loan
|
4.00%
|
04/01/2022
|
245,644
|
||||||
|
See Notes to Financial Statements.
|
|
Semi-Annual Report | March 31, 2016
|
59
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
336,600
|
Onex Wizard Acquisition Company II SCA, Initial Euro Term Loan
|
4.25%
|
03/11/2022
|
$
|
383,415
|
||||
|
1,203,679
|
||||||||||
|
Netherlands - 0.95%
|
||||||||||
|
283,418
|
Action Holding BV (fka Peer Holdings BV), Term B Loan
|
4.75%
|
02/25/2022
|
324,023
|
||||||
|
191,870
|
Charger OpCo BV, Term B-1 Euro Term Loan
|
4.25%
|
07/23/2021
|
219,189
|
||||||
|
231,475
|
MacDermid Agricultural Solutions Holdings BV (Netherlands Agricultural Investment Partners LLC), Euro Tranche Term Loan
|
5.50%
|
06/07/2020
|
256,811
|
||||||
|
800,023
|
||||||||||
|
Spain - 0.24%
|
||||||||||
|
180,000
|
Livister Investments, S.L.U., Facility B Term Loan
|
4.55%
|
06/28/2021
|
205,142
|
||||||
|
Sweden - 0.41%
|
||||||||||
|
300,000
|
Verisure Holding AB, Facility B1 Term Loan
|
5.25%
|
10/21/2022
|
342,800
|
||||||
|
United States - 23.19%
|
||||||||||
|
114,713
|
Acadia Healthcare Co., Inc., Tranche B-2 Term Loan
|
4.50%
|
02/16/2023
|
115,214
|
||||||
|
572,754
|
Access CIG LLC, First Lien Term B Loan
|
6.00%
|
10/18/2021
|
567,742
|
||||||
|
392,038
|
Alliant Holdings Intermediate LLC, Initial Term Loan
|
4.50%
|
08/12/2022
|
388,411
|
||||||
|
555,113
|
American Rock Salt Co. LLC, First Lien Term Loan
|
4.75%
|
05/20/2021
|
513,576
|
||||||
|
383,075
|
Apollo Security Service Borrower LLC (aka Protection One), Term Loan
|
5.00%
|
07/01/2021
|
380,282
|
||||||
|
70,909
|
Arch Coal, Inc., Term Loan
|
5.00%
|
01/13/2017
|
68,427
|
||||||
|
244,935
|
Arch Coal, Inc., Term Loan(c)
|
7.50%
|
05/16/2018
|
88,994
|
||||||
|
394,000
|
Asurion LLC, Incremental Tranche Term Loan
|
5.00%
|
08/04/2022
|
386,368
|
||||||
|
658,350
|
AVSC Holding Corp., Tranche 1 Incremental Term Loan
|
4.50%
|
01/25/2021
|
627,901
|
||||||
|
347,277
|
Berry Plastics Corp., Term F Loan,
|
4.00%
|
10/03/2022
|
347,820
|
||||||
|
351,900
|
Caesars Entertainment Resort Properties LLC, Term B Loan
|
7.00%
|
10/11/2020
|
326,563
|
||||||
|
196,502
|
Catalent Pharma Solutions, Inc. (fka Cardinal Health 409, Inc.), Extended Euro Term Loan
|
4.25%
|
05/20/2021
|
224,438
|
||||||
|
603,540
|
Cengage Learning Acquisitions, Inc. (aka Thomson Learning Acquisitions, Inc.), Term Loan
|
7.00%
|
03/31/2020
|
601,926
|
||||||
|
See Notes to Financial Statements.
|
|
60
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
555,800
|
Communications Sales & Leasing, Inc., Term Loan
|
5.00%
|
10/24/2022
|
$
|
539,646
|
||||
|
220,000
|
Coty, Inc., Term B Loan
|
3.50%
|
10/27/2022
|
251,051
|
||||||
|
369,376
|
CPI Buyer LLC, First Lien Initial Term Loan
|
5.50%
|
08/16/2021
|
354,139
|
||||||
|
295,000
|
Element Material Technology Group US Holdings, Inc., Term B2 Loan(d)
|
E+4.75%
|
02/22/2023
|
324,492
|
||||||
|
186,675
|
Emmis Operating Co., Term Loan
|
7.00%
|
06/10/2021
|
160,657
|
||||||
|
442,125
|
Encompass Digital Media, Inc., First Lien Tranche B Term Loan
|
5.50%
|
06/06/2021
|
426,651
|
||||||
|
150,000
|
Encompass Digital Media, Inc., Second Lien Tranche B Term Loan
|
8.75%
|
06/06/2022
|
137,250
|
||||||
|
200,000
|
Equinix, Inc., Sterling Term B Loan
|
4.50%
|
01/06/2023
|
286,173
|
||||||
|
398,925
|
Evergreen Skills Lux S.A.R.L., First Lien Initial Term Loan
|
5.75%
|
04/28/2021
|
321,799
|
||||||
|
165,000
|
Evergreen Skills Lux S.A.R.L., Second Lien Initial Term Loan
|
9.25%
|
04/28/2022
|
78,375
|
||||||
|
244,361
|
Excelitas Technology Corp., Term B Loan
|
6.00%
|
11/02/2020
|
218,092
|
||||||
|
420,000
|
Fieldwood Energy LLC, Second Lien Term Loan
|
8.38%
|
09/30/2020
|
77,700
|
||||||
|
316,018
|
Getty Images, Inc., Initial Term Loan
|
4.75%
|
10/18/2019
|
236,394
|
||||||
|
276,500
|
GOBP Holdings, Inc., First Lien Initial Term Loan
|
4.75%
|
10/21/2021
|
271,316
|
||||||
|
343,275
|
HD Supply, Inc., Incremental Term Loan
|
3.75%
|
08/13/2021
|
341,816
|
||||||
|
225,400
|
Hi-Crush Partners LP, Advance Term Loan
|
4.75%
|
04/28/2021
|
155,526
|
||||||
|
293,525
|
Hostess Brands LLC, First Lien Term B Loan
|
4.50%
|
08/03/2022
|
294,197
|
||||||
|
294,750
|
HUB International Ltd., Initial Term Loan
|
4.00%
|
10/02/2020
|
287,803
|
||||||
|
235,833
|
Hudson Products Holdings, Inc., Term Loan
|
5.00%
|
03/15/2019
|
152,506
|
||||||
|
185,264
|
IMC OP, LP, First Lien Initial Term Loan
|
4.50%
|
08/15/2020
|
182,948
|
||||||
|
545,875
|
Jaguar Holding Co. I (aka Pharmaceutical Product Development, Inc.), Initial Term Loan
|
4.25%
|
08/18/2022
|
542,010
|
||||||
|
728,175
|
JBS USA LLC, 2015 Incremental Term Loan
|
4.00%
|
10/30/2022
|
726,052
|
||||||
|
485,000
|
Keurig Green Mountain, Inc., Term B Euro Loan
|
5.00%
|
03/03/2023
|
555,140
|
||||||
|
322,563
|
Life Time Fitness, Inc., Closing Date Term Loan
|
4.25%
|
06/10/2022
|
319,418
|
||||||
|
200,000
|
Manitowoc Foodservice, Inc., Term B Loan
|
5.75%
|
03/03/2023
|
201,333
|
||||||
|
89,688
|
Media General, Inc., Term B Loan
|
4.00%
|
07/31/2020
|
89,665
|
||||||
|
80,853
|
Michaels Stores, Inc., Incremental Term Loan
|
4.00%
|
01/28/2020
|
81,026
|
||||||
|
103,951
|
Multi Packaging Solutions Global Holdings Ltd., Term Loan
|
5.50%
|
09/30/2020
|
149,187
|
||||||
|
663,338
|
Navistar, Inc., Tranche B Term Loan
|
6.50%
|
08/07/2020
|
609,027
|
||||||
|
543,900
|
Neiman Marcus Group, Inc., Term Loan
|
4.25%
|
10/25/2020
|
499,708
|
||||||
|
See Notes to Financial Statements.
|
|
Semi-Annual Report | March 31, 2016
|
61
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
123,072
|
New Millennium Holdco, Inc. (Millennium Health LLC), Closing Date Term Loan
|
7.50%
|
12/21/2020
|
$
|
117,380
|
||||
|
94,288
|
NM Z Merger Sub, Inc. (aka Zep, Inc.), Term Loan
|
5.50%
|
06/27/2022
|
94,288
|
||||||
|
95,000
|
NVA Holdings, Inc., Incremental B1 Term Loan(d)
|
L+4.50%
|
08/14/2021
|
94,881
|
||||||
|
164,150
|
Ortho-Clinical Diagnostics Holdings Luxembourg S.A.R.L., Initial Term Loan
|
4.75%
|
06/30/2021
|
152,660
|
||||||
|
227,125
|
Paragon Offshore Finance Co., Term Loan
|
5.25%
|
07/16/2021
|
52,239
|
||||||
|
96,111
|
Penn Engineering & Manufacturing Corp., Incremental Tranche C Term Loan
|
4.00%
|
08/27/2021
|
109,821
|
||||||
|
250,000
|
Quicksilver Resources, Inc., Second Lien Term Loan(c)
|
7.00%
|
06/21/2019
|
61,250
|
||||||
|
436,700
|
SBA Senior Finance II LLC, Incremental Tranche B-2 Term Loan
|
3.25%
|
06/10/2022
|
434,789
|
||||||
|
622,125
|
Scientific Games International, Inc., Initial Term B2 Loan
|
6.00%
|
10/01/2021
|
604,143
|
||||||
|
219,450
|
Securus Technologies Holdings, Inc., Term B2 Loan
|
5.25%
|
04/30/2020
|
204,747
|
||||||
|
250,000
|
Sedgwick Claims Management Services, Inc., Second Lien Term Loan
|
6.75%
|
02/28/2022
|
232,813
|
||||||
|
108,075
|
Signode Industrial Group Lux SA, Initial Euro Term Loan
|
4.00%
|
05/01/2021
|
121,902
|
||||||
|
275,000
|
Solera Holdings, Inc., Euro Term Loan(d)
|
E+4.75%
|
03/03/2023
|
313,739
|
||||||
|
196,118
|
Spectrum Brands, Inc., Euro Term Loan
|
3.50%
|
06/23/2022
|
223,107
|
||||||
|
75,000
|
Staples, Inc., Initial Term Loan
|
4.75%
|
02/02/2022
|
75,052
|
||||||
|
114,425
|
Sterigenics-Nordion Holdings LLC, Initial Term Loan
|
4.25%
|
05/16/2022
|
113,710
|
||||||
|
203,017
|
Sungard Availability Services Capital, Inc., Tranche B Term Loan
|
6.00%
|
03/29/2019
|
180,009
|
||||||
|
374,253
|
Texas Competitive Electric Holdings Co. LLC, Delayed Draw Term Loan
|
3.75%
|
11/07/2016
|
373,162
|
||||||
|
149,250
|
TI Group Automotive Systems LLC, Initial Euro Term Loan
|
4.50%
|
06/30/2022
|
166,647
|
||||||
|
253,725
|
TI Group Automotive Systems LLC, Initial US Term Loan
|
4.50%
|
06/30/2022
|
252,932
|
||||||
|
231,101
|
Toys "R" US Property Co. I LLC, Initial Term Loan
|
6.00%
|
08/21/2019
|
205,102
|
||||||
|
455,621
|
TransDigm, Inc., Tranche E Term Loan
|
3.50%
|
05/16/2022
|
449,641
|
||||||
|
441,000
|
TransUnion LLC, Term B-2 Loan
|
3.50%
|
04/09/2021
|
437,472
|
||||||
|
174,563
|
U.S. Renal Care, Inc., First Lien Initial Term Loan
|
5.25%
|
12/30/2022
|
174,272
|
||||||
|
152,288
|
UTEX Industries, Inc., First Lien Initial Term Loan
|
5.00%
|
05/21/2021
|
92,705
|
||||||
|
220,000
|
Western Digital Corp., Term B Loan(d)
|
E+5.25%
|
03/30/2023
|
247,991
|
||||||
|
See Notes to Financial Statements.
|
|
62
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
176,850
|
WP Mustang Holdings LLC, First Lien Term Loan
|
5.50%
|
05/29/2021
|
$
|
174,934
|
||||
|
100,000
|
WP Mustang Holdings LLC, Second Lien Term Loan
|
8.50%
|
05/29/2022
|
98,792
|
||||||
|
137,054
|
York Risk Services Holding Corp., Term Loan
|
4.75%
|
10/01/2021
|
118,381
|
||||||
|
19,487,320
|
||||||||||
|
TOTAL BANK LOANS
(Cost $31,242,959) |
28,671,074
|
|||||||||
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
HIGH YIELD DEBT- 28.02%
|
||||||||||
|
Canada - 1.61%
|
||||||||||
|
$
|
70,000
|
1011778 BC ULC / New Red Finance, Inc.(e)
|
4.63%
|
01/15/2022
|
71,400
|
|||||
|
75,000
|
Baytex Energy Corp.(e)
|
5.13%
|
06/01/2021
|
53,250
|
||||||
|
40,000
|
Bombardier, Inc.(e)
|
6.00%
|
10/15/2022
|
30,036
|
||||||
|
170,000
|
Cascades, Inc.(e)
|
5.50%
|
07/15/2022
|
164,369
|
||||||
|
80,000
|
Eldorado Gold Corp.(e)
|
6.13%
|
12/15/2020
|
73,400
|
||||||
|
100,000
|
First Quantum Minerals Ltd.(e)
|
7.25%
|
05/15/2022
|
67,500
|
||||||
|
105,000
|
HudBay Minerals, Inc.
|
9.50%
|
10/01/2020
|
75,075
|
||||||
|
50,000
|
Novelis, Inc.
|
8.38%
|
12/15/2017
|
51,100
|
||||||
|
180,000
|
Novelis, Inc.
|
8.75%
|
12/15/2020
|
182,574
|
||||||
|
90,000
|
Open Text Corp.(e)
|
5.63%
|
01/15/2023
|
92,250
|
||||||
|
60,000
|
Precision Drilling Corp.
|
6.63%
|
11/15/2020
|
48,300
|
||||||
|
30,000
|
Valeant Pharmaceuticals International, Inc.(e)
|
6.75%
|
08/15/2018
|
27,375
|
||||||
|
370,000
|
Valeant Pharmaceuticals International, Inc.(e)
|
5.38%
|
03/15/2020
|
303,400
|
||||||
|
145,000
|
Valeant Pharmaceuticals International, Inc.(e)
|
5.88%
|
05/15/2023
|
114,369
|
||||||
|
1,354,398
|
||||||||||
|
France - 1.19%
|
||||||||||
|
100,000
|
Holding Medi-Partenaires SAS(f)
|
7.00%
|
05/15/2020
|
120,347
|
||||||
|
225,000
|
HomeVi SAS(e)
|
6.88%
|
08/15/2021
|
273,038
|
||||||
|
125,000
|
Novafives SAS(e)(g)
|
3.86%
|
06/30/2020
|
123,604
|
||||||
|
290,000
|
Numericable-SFR SAS(f)
|
5.63%
|
05/15/2024
|
333,679
|
||||||
|
135,000
|
SPCM SA(e)
|
2.88%
|
06/15/2023
|
150,160
|
||||||
|
1,000,828
|
||||||||||
|
Germany - 0.45%
|
||||||||||
|
105,000
|
Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH(f)
|
4.00%
|
01/15/2025
|
122,467
|
||||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
63
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
81,000
|
Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH(f)
|
5.75%
|
01/15/2023
|
$
|
99,101
|
||||
|
125,550
|
Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH(f)
|
5.13%
|
01/21/2023
|
152,471
|
||||||
|
374,039
|
||||||||||
|
Great Britain - 2.68%
|
||||||||||
|
100,000
|
Anglo American Capital PLC
|
1.75%
|
04/03/2018
|
107,859
|
||||||
|
150,000
|
Arqiva Broadcast Finance PLC(f)
|
9.50%
|
03/31/2020
|
232,345
|
||||||
|
100,000
|
Boparan Finance PLC(f)
|
5.50%
|
07/15/2021
|
133,571
|
||||||
|
110,000
|
Iron Mountain Europe PLC(f)
|
6.13%
|
09/15/2022
|
160,752
|
||||||
|
100,000
|
Moto Finance PLC(e)
|
6.38%
|
09/01/2020
|
147,155
|
||||||
|
100,000
|
Premier Foods Finance PLC(e)(g)
|
5.59%
|
03/16/2020
|
142,548
|
||||||
|
130,000
|
Synlab Bondco PLC(e)
|
6.25%
|
07/01/2022
|
157,099
|
||||||
|
150,000
|
TA MFG. Ltd.(e)
|
3.63%
|
04/15/2023
|
150,407
|
||||||
|
200,000
|
Tullow Oil PLC(e)
|
6.00%
|
11/01/2020
|
145,000
|
||||||
|
230,000
|
Virgin Media Finance PLC(f)
|
7.00%
|
04/15/2023
|
341,900
|
||||||
|
100,000
|
Vougeot Bidco PLC(e)
|
7.88%
|
07/15/2020
|
149,643
|
||||||
|
100,000
|
Vougeot Bidco PLC(f)
|
7.88%
|
07/15/2020
|
149,643
|
||||||
|
200,000
|
Worldpay Finance PLC(e)
|
3.75%
|
11/15/2022
|
236,399
|
||||||
|
2,254,321
|
||||||||||
|
Ireland - 0.27%
|
||||||||||
|
90,000
|
AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust
|
5.00%
|
10/01/2021
|
93,375
|
||||||
|
115,000
|
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc.(e)
|
4.25%
|
01/15/2022
|
132,736
|
||||||
|
226,111
|
||||||||||
|
Jersey - 0.60%
|
||||||||||
|
150,000
|
AA Bond Co. Ltd.(e)
|
5.50%
|
07/31/2022
|
208,597
|
||||||
|
120,000
|
CPUK Finance Ltd.(e)
|
7.00%
|
08/28/2020
|
179,521
|
||||||
|
100,000
|
Lincoln Finance Ltd.(e)
|
6.88%
|
04/15/2021
|
118,342
|
||||||
|
506,460
|
||||||||||
|
Luxembourg - 2.44%
|
||||||||||
|
100,000
|
Altice Financing SA(e)
|
5.25%
|
02/15/2023
|
116,652
|
||||||
|
100,000
|
Altice Luxembourg SA(f)
|
7.25%
|
05/15/2022
|
112,942
|
||||||
|
205,000
|
ArcelorMittal
|
6.50%
|
03/01/2021
|
202,950
|
||||||
|
150,000
|
Capsugel SA(e)(h)
|
7.00%
|
05/15/2019
|
151,031
|
||||||
|
400,000
|
ConvaTec Finance International SA(e)(h)
|
8.25%
|
01/15/2019
|
397,750
|
||||||
|
135,000
|
Intelsat Jackson Holdings SA
|
7.50%
|
04/01/2021
|
86,400
|
||||||
|
135,000
|
Intelsat Jackson Holdings SA(e)
|
8.00%
|
02/15/2024
|
139,387
|
||||||
|
140,000
|
Matterhorn Telecom SA(e)
|
3.88%
|
05/01/2022
|
150,544
|
||||||
|
100,000
|
SIG Combibloc Holdings SCA(e)
|
7.75%
|
02/15/2023
|
121,876
|
||||||
|
100,000
|
Telenet Finance V Luxembourg SCA(f)
|
6.25%
|
08/15/2022
|
123,178
|
||||||
|
145,000
|
Wind Acquisition Finance SA(e)
|
7.00%
|
04/23/2021
|
158,602
|
||||||
See Notes to Financial Statements.
|
64
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
260,000
|
Wind Acquisition Finance SA(f)
|
7.00%
|
04/23/2021
|
$
|
284,390
|
||||
|
2,045,702
|
||||||||||
|
Netherlands - 0.70%
|
||||||||||
|
220,000
|
Darling Global Finance BV(e)
|
4.75%
|
05/30/2022
|
252,153
|
||||||
|
115,000
|
UPC Holding BV(f)
|
6.75%
|
03/15/2023
|
141,848
|
||||||
|
175,000
|
Ziggo Bond Finance BV(f)
|
4.63%
|
01/15/2025
|
195,150
|
||||||
|
589,151
|
||||||||||
|
United States - 18.08%
|
||||||||||
|
110,000
|
Acadia Healthcare Co., Inc.
|
5.13%
|
07/01/2022
|
111,650
|
||||||
|
55,000
|
Acadia Healthcare Co., Inc.
|
5.63%
|
02/15/2023
|
56,237
|
||||||
|
135,000
|
ACCO Brands Corp.
|
6.75%
|
04/30/2020
|
143,437
|
||||||
|
140,000
|
AECOM
|
5.75%
|
10/15/2022
|
145,950
|
||||||
|
110,000
|
Allegion US Holding Co., Inc.
|
5.75%
|
10/01/2021
|
115,775
|
||||||
|
95,000
|
Ally Financial, Inc.
|
4.13%
|
02/13/2022
|
93,694
|
||||||
|
115,000
|
Alphabet Holding Co., Inc.(h)
|
7.75%
|
11/01/2017
|
116,150
|
||||||
|
150,000
|
American Builders & Contractors Supply Co., Inc.(e)
|
5.63%
|
04/15/2021
|
155,250
|
||||||
|
65,000
|
AmeriGas Finance LLC / AmeriGas Finance Corp.
|
6.75%
|
05/20/2020
|
66,950
|
||||||
|
95,000
|
AmeriGas Finance LLC / AmeriGas Finance Corp.
|
7.00%
|
05/20/2022
|
97,850
|
||||||
|
130,000
|
Amsurg Corp.
|
5.63%
|
07/15/2022
|
134,387
|
||||||
|
125,000
|
Apex Tool Group LLC(e)
|
7.00%
|
02/01/2021
|
101,875
|
||||||
|
110,000
|
Ashtead Capital, Inc.(e)
|
6.50%
|
07/15/2022
|
117,425
|
||||||
|
15,000
|
Ashtead Capital, Inc.(e)
|
5.63%
|
10/01/2024
|
15,600
|
||||||
|
115,000
|
B&G Foods, Inc.
|
4.63%
|
06/01/2021
|
117,300
|
||||||
|
110,000
|
Berry Plastics Corp.
|
5.50%
|
05/15/2022
|
113,162
|
||||||
|
160,000
|
BlueLine Rental Finance Corp.(e)
|
7.00%
|
02/01/2019
|
148,200
|
||||||
|
65,000
|
California Resource Corp.
|
5.00%
|
01/15/2020
|
15,112
|
||||||
|
155,000
|
California Resource Corp.
|
5.50%
|
09/15/2021
|
34,875
|
||||||
|
40,000
|
California Resource Corp.(e)
|
8.00%
|
12/15/2022
|
15,500
|
||||||
|
45,000
|
Calpine Corp.
|
5.38%
|
01/15/2023
|
43,847
|
||||||
|
200,000
|
Carlson Travel Holdings, Inc.(e)(h)
|
7.50%
|
08/15/2019
|
189,000
|
||||||
|
35,000
|
Carrizo Oil & Gas, Inc.
|
6.25%
|
04/15/2023
|
31,019
|
||||||
|
75,000
|
CCO Holdings LLC / CCO Holdings Capital Corp.(e)
|
5.13%
|
05/01/2023
|
76,500
|
||||||
|
45,000
|
CCO Holdings LLC / CCO Holdings Capital Corp.(e)
|
5.88%
|
04/01/2024
|
47,250
|
||||||
|
70,000
|
Centene Escrow Corp.(e)
|
5.63%
|
02/15/2021
|
73,150
|
||||||
|
45,000
|
Centene Escrow Corp.(e)
|
6.13%
|
02/15/2024
|
47,475
|
||||||
|
105,000
|
CenturyLink, Inc.
|
5.63%
|
04/01/2025
|
93,844
|
||||||
|
80,000
|
Chesapeake Energy Corp.
|
5.38%
|
06/15/2021
|
28,800
|
||||||
|
180,000
|
CHS/Community Health Systems, Inc.
|
6.88%
|
02/01/2022
|
163,350
|
||||||
|
110,000
|
Churchill Downs, Inc.
|
5.38%
|
12/15/2021
|
113,850
|
||||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
65
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
15,000
|
Churchill Downs, Inc.(e)
|
5.38%
|
12/15/2021
|
$
|
15,525
|
||||
|
115,000
|
CITGO Petroleum Corp.(e)
|
6.25%
|
08/15/2022
|
111,550
|
||||||
|
100,000
|
Cliffs Natural Resources, Inc.(e)
|
8.25%
|
03/31/2020
|
85,000
|
||||||
|
130,000
|
CNH Industrial Capital LLC
|
4.38%
|
11/06/2020
|
128,050
|
||||||
|
145,000
|
CommScope Holding Co., Inc.(e)(h)
|
6.63%
|
06/01/2020
|
149,169
|
||||||
|
155,000
|
Covanta Holding Corp.
|
6.38%
|
10/01/2022
|
155,775
|
||||||
|
95,000
|
CSC Holdings LLC
|
6.75%
|
11/15/2021
|
97,802
|
||||||
|
10,000
|
CSC Holdings LLC
|
5.25%
|
06/01/2024
|
8,938
|
||||||
|
125,000
|
DaVita HealthCare Partners, Inc.
|
5.13%
|
07/15/2024
|
126,484
|
||||||
|
145,000
|
DBP Holding Corp.(e)
|
7.75%
|
10/15/2020
|
105,850
|
||||||
|
125,000
|
Denbury Resources, Inc.
|
5.50%
|
05/01/2022
|
56,875
|
||||||
|
110,000
|
DISH DBS Corp.
|
5.88%
|
07/15/2022
|
104,500
|
||||||
|
80,000
|
Dollar Tree, Inc.(e)
|
5.75%
|
03/01/2023
|
85,150
|
||||||
|
70,000
|
Dynegy, Inc.
|
6.75%
|
11/01/2019
|
70,000
|
||||||
|
180,000
|
Endo Finance LLC(e)
|
5.75%
|
01/15/2022
|
171,000
|
||||||
|
80,000
|
Energizer SpinCo, Inc.(e)
|
5.50%
|
06/15/2025
|
80,584
|
||||||
|
120,000
|
EnerSys(e)
|
5.00%
|
04/30/2023
|
116,400
|
||||||
|
150,000
|
Envision Healthcare Corp.(e)
|
5.13%
|
07/01/2022
|
153,000
|
||||||
|
85,000
|
ExamWorks Group, Inc.
|
5.63%
|
04/15/2023
|
87,019
|
||||||
|
320,000
|
First Data Corp.(e)
|
7.00%
|
12/01/2023
|
324,400
|
||||||
|
50,000
|
First Data Corp.(e)
|
5.00%
|
01/15/2024
|
50,250
|
||||||
|
170,000
|
First Quality Finance Co., Inc.(e)
|
4.63%
|
05/15/2021
|
164,900
|
||||||
|
50,000
|
Flexi-Van Leasing, Inc.(e)
|
7.88%
|
08/15/2018
|
49,750
|
||||||
|
90,000
|
Forum Energy Technologies, Inc.
|
6.25%
|
10/01/2021
|
77,850
|
||||||
|
180,000
|
Frontier Communications Corp.
|
6.88%
|
01/15/2025
|
152,662
|
||||||
|
80,000
|
Global Brass & Copper, Inc.
|
9.50%
|
06/01/2019
|
84,800
|
||||||
|
15,000
|
Graphic Packaging International, Inc.
|
4.88%
|
11/15/2022
|
15,262
|
||||||
|
90,000
|
Gulfport Energy Corp.
|
6.63%
|
05/01/2023
|
84,150
|
||||||
|
225,000
|
HCA Holdings, Inc.
|
6.25%
|
02/15/2021
|
243,000
|
||||||
|
55,000
|
HCA, Inc.
|
5.25%
|
06/15/2026
|
56,512
|
||||||
|
160,000
|
HCA, Inc.
|
5.88%
|
05/01/2023
|
168,800
|
||||||
|
80,000
|
HD Supply, Inc.(e)
|
5.75%
|
04/15/2024
|
82,400
|
||||||
|
5,000
|
HealthSouth Corp.
|
5.13%
|
03/15/2023
|
5,006
|
||||||
|
135,000
|
HealthSouth Corp.
|
5.75%
|
11/01/2024
|
137,430
|
||||||
|
105,000
|
HUB International Ltd.(e)
|
7.88%
|
10/01/2021
|
103,687
|
||||||
|
105,000
|
Huntington Ingalls Industries, Inc.(e)
|
5.00%
|
11/15/2025
|
110,250
|
||||||
|
220,000
|
IMS Health, Inc.(e)
|
4.13%
|
04/01/2023
|
247,194
|
||||||
|
150,000
|
Ingles Markets, Inc.
|
5.75%
|
06/15/2023
|
153,000
|
||||||
|
100,000
|
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co.(e)
|
6.88%
|
02/15/2019
|
82,750
|
||||||
|
100,000
|
Jaguar Holding Co. II / Pharmaceutical Product Development LLC(e)
|
6.38%
|
08/01/2023
|
102,930
|
||||||
|
135,000
|
JBS USA LLC / JBS USA Finance, Inc.(e)
|
7.25%
|
06/01/2021
|
135,135
|
||||||
See Notes to Financial Statements.
|
66
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
March 31, 2016 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||||
|
$
|
75,000
|
Jones Energy Holdings LLC / Jones Energy Finance Corp.
|
6.75%
|
04/01/2022
|
$
|
41,437
|
||||
|
90,000
|
Lamar Media Corp.(e)
|
5.75%
|
02/01/2026
|
94,725
|
||||||
|
5,000
|
Laredo Petroleum, Inc.
|
5.63%
|
01/15/2022
|
4,200
|
||||||
|
100,000
|
Laredo Petroleum, Inc.
|
6.25%
|
03/15/2023
|
84,250
|
||||||
|
35,000
|
Level 3 Financing, Inc.
|
6.13%
|
01/15/2021
|
36,750
|
||||||
|
115,000
|
Level 3 Financing, Inc.
|
5.13%
|
05/01/2023
|
116,725
|
||||||
|
20,000
|
Level 3 Financing, Inc.(e)
|
5.38%
|
01/15/2024
|
20,300
|
||||||
|
150,000
|
LifePoint Health, Inc.
|
5.50%
|
12/01/2021
|
157,125
|
||||||
|
93,000
|
Linn Energy LLC / Linn Energy Finance Corp.(c)(e)
|
12.00%
|
12/15/2020
|
13,252
|
||||||
|
35,000
|
Mallinckrodt International Finance SA / Mallinckrodt CB LLC(e)
|
4.88%
|
04/15/2020
|
32,970
|
||||||
|
115,000
|
Mallinckrodt International Finance SA / Mallinckrodt CB LLC(e)
|
5.75%
|
08/01/2022
|
106,519
|
||||||
|
95,000
|
Mediacom Broadband LLC / Mediacom Broadband Corp.
|
5.50%
|
04/15/2021
|
96,069
|
||||||
|
65,000
|
Michaels Stores, Inc.(e)
|
5.88%
|
12/15/2020
|
68,250
|
||||||
|
110,000
|
Milacron LLC / Mcron Finance Corp.(e)
|
7.75%
|
02/15/2021
|
101,750
|
||||||
|
80,000
|
MPT Operating Partnership LP / MPT Finance Corp.
|
6.38%
|
03/01/2024
|
84,600
|
||||||
|
160,000
|
Natural Resource Partners LP / NRP Finance Corp.
|
9.13%
|
10/01/2018
|
104,400
|
||||||
|
10,000
|
NCR Corp.
|
5.88%
|
12/15/2021
|
10,262
|
||||||
|
65,000
|
Neiman Marcus Group Ltd. LLC(e)(h)
|
8.75%
|
10/15/2021
|
50,415
|
||||||
|
150,000
|
Neuberger Berman Group LLC / Neuberger Berman Finance Corp.(e)
|
5.88%
|
03/15/2022
|
156,187
|
||||||
|
135,000
|
Nielsen Finance LLC / Nielsen Finance Co.(e)
|
5.00%
|
04/15/2022
|
139,050
|
||||||
|
110,000
|
NRG Energy, Inc.
|
6.63%
|
03/15/2023
|
103,159
|
||||||
|
85,000
|
Oasis Petroleum, Inc.
|
6.88%
|
03/15/2022
|
63,325
|
||||||
|
35,000
|
Oasis Petroleum, Inc.
|
6.88%
|
01/15/2023
|
25,987
|
||||||
|
140,000
|
Paragon Offshore PLC(c)(e)
|
6.75%
|
07/15/2022
|
37,450
|
||||||
|
90,000
|
Party City Holdings, Inc.(e)
|
6.13%
|
08/15/2023
|
93,150
|
||||||
|
80,000
|
PHI, Inc.
|
5.25%
|
03/15/2019
|
71,200
|
||||||
|
70,000
|
Pilgrim’s Pride Corp.(e)
|
5.75%
|
03/15/2025
|
70,613
|
||||||
|
115,000
|
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp.
|
4.88%
|
05/01/2021
|
116,725
|
||||||
|
55,000
|
Plantronics, Inc.(e)
|
5.50%
|
05/31/2023
|
54,175
|
||||||
|
140,000
|
Plastipak Holdings, Inc.(e)
|
6.50%
|
10/01/2021
|
138,250
|
||||||
|
80,000
|
Post Holdings, Inc.(e)
|
6.00%
|
12/15/2022
|
82,700
|
||||||
|
25,000
|
Post Holdings, Inc.(e)
|
7.75%
|
03/15/2024
|
27,563
|
||||||
|
135,000
|
Prestige Brands, Inc.(e)
|
5.38%
|
12/15/2021
|
137,363
|
||||||
|
100,000
|
PSPC Escrow Corp.(e)
|
6.00%
|
02/01/2023
|
95,722
|
||||||
|
65,000
|
Range Resources Corp.(e)
|
4.88%
|
05/15/2025
|
57,200
|
||||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
67
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
|
Principal
|
Amount/Description
|
Rate
|
Maturity
|
Value
|
||||||
|
$
|
95,000
|
Rent-A-Center, Inc.
|
4.75%
|
05/01/2021
|
$
|
71,963
|
||||
|
230,000
|
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC
|
5.75%
|
10/15/2020
|
236,613
|
||||||
|
90,000
|
RHP Hotel Properties LP / RHP Finance Corp.
|
5.00%
|
04/15/2023
|
92,475
|
||||||
|
60,000
|
Rite Aid Corp.(e)
|
6.13%
|
04/01/2023
|
63,825
|
||||||
|
170,000
|
Sabine Pass Liquefaction LLC
|
5.63%
|
04/15/2023
|
162,775
|
||||||
|
75,000
|
Sally Holdings LLC / Sally Capital, Inc.
|
5.75%
|
06/01/2022
|
78,938
|
||||||
|
115,000
|
SBA Communications Corp.
|
4.88%
|
07/15/2022
|
116,869
|
||||||
|
40,000
|
Scientific Games International, Inc.
|
6.25%
|
09/01/2020
|
24,200
|
||||||
|
155,000
|
Scientific Games International, Inc.(e)
|
7.00%
|
01/01/2022
|
158,875
|
||||||
|
75,000
|
Sequa Corp.(e)
|
7.00%
|
12/15/2017
|
10,688
|
||||||
|
130,000
|
Sinclair Television Group, Inc.
|
5.38%
|
04/01/2021
|
134,713
|
||||||
|
130,000
|
Six Flags Entertainment Corp.(e)
|
5.25%
|
01/15/2021
|
134,225
|
||||||
|
135,000
|
Smithfield Foods, Inc.
|
6.63%
|
08/15/2022
|
144,113
|
||||||
|
95,000
|
Spectrum Brands, Inc.
|
6.63%
|
11/15/2022
|
103,193
|
||||||
|
50,000
|
Sprint Communications, Inc.
|
8.38%
|
08/15/2017
|
49,563
|
||||||
|
520,000
|
Sprint Corp.
|
7.25%
|
09/15/2021
|
399,750
|
||||||
|
35,000
|
Standard Industries, Inc.(e)
|
5.13%
|
02/15/2021
|
36,006
|
||||||
|
60,000
|
Standard Industries, Inc.(e)
|
5.50%
|
02/15/2023
|
61,500
|
||||||
|
150,000
|
Standard Industries, Inc.(e)
|
6.00%
|
10/15/2025
|
159,375
|
||||||
|
85,000
|
Steel Dynamics, Inc.
|
5.13%
|
10/01/2021
|
86,275
|
||||||
|
20,000
|
Steel Dynamics, Inc.
|
5.50%
|
10/01/2024
|
20,300
|
||||||
|
70,000
|
Stone Energy Corp.
|
7.50%
|
11/15/2022
|
19,250
|
||||||
|
195,000
|
Summit Materials LLC / Summit Materials Finance Corp.
|
6.13%
|
07/15/2023
|
186,225
|
||||||
|
15,000
|
SunCoke Energy Partners LP / SunCoke Energy Partners Finance Corp.(e)
|
7.38%
|
02/01/2020
|
10,500
|
||||||
|
150,000
|
SunCoke Energy Partners LP / SunCoke Energy Partners Finance Corp.(e)
|
7.38%
|
02/01/2020
|
105,000
|
||||||
|
180,000
|
Targa Resources Partners LP / Targa Resources Partners Finance Corp.(e)
|
6.75%
|
03/15/2024
|
177,750
|
||||||
|
120,000
|
Tempur Sealy International, Inc.
|
6.88%
|
12/15/2020
|
127,200
|
||||||
|
5,000
|
Tempur Sealy International, Inc.(e)
|
5.63%
|
10/15/2023
|
5,169
|
||||||
|
130,000
|
Tenet Healthcare Corp.
|
4.50%
|
04/01/2021
|
131,300
|
||||||
|
75,000
|
Tenet Healthcare Corp.
|
6.75%
|
06/15/2023
|
72,188
|
||||||
|
50,000
|
Tenneco, Inc.
|
5.38%
|
12/15/2024
|
51,625
|
||||||
|
105,000
|
TerraForm Power Operating LLC(e)
|
5.88%
|
02/01/2023
|
85,575
|
||||||
|
215,000
|
The Chemours Co.(e)
|
6.13%
|
05/15/2023
|
194,508
|
||||||
|
105,000
|
The GEO Group, Inc.
|
5.13%
|
04/01/2023
|
102,637
|
||||||
|
110,000
|
The Goodyear Tire & Rubber Co.
|
5.13%
|
11/15/2023
|
113,025
|
||||||
|
130,000
|
T-Mobile USA, Inc.
|
6.00%
|
03/01/2023
|
133,900
|
||||||
|
165,000
|
T-Mobile USA, Inc.
|
6.00%
|
04/15/2024
|
167,475
|
||||||
|
185,000
|
TMS International Corp.(e)
|
7.63%
|
10/15/2021
|
113,313
|
||||||
|
See Notes to Financial Statements.
|
|
68
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
|
Principal
|
Amount/Description
|
Rate
|
Maturity
|
Value
|
||||||
|
$
|
95,000
|
TreeHouse Foods, Inc.(e)
|
6.00%
|
02/15/2024
|
$
|
101,175
|
||||
|
10,000
|
Tronox Finance LLC
|
6.38%
|
08/15/2020
|
7,750
|
||||||
|
110,000
|
Tronox Finance LLC(e)
|
7.50%
|
03/15/2022
|
82,775
|
||||||
|
90,000
|
Ultra Petroleum Corp.(c)(e)
|
6.13%
|
10/01/2024
|
7,200
|
||||||
|
80,000
|
United Rentals North America, Inc.
|
5.50%
|
07/15/2025
|
79,300
|
||||||
|
5,000
|
Univision Communications, Inc.(e)
|
6.75%
|
09/15/2022
|
5,325
|
||||||
|
120,000
|
Univision Communications, Inc.(e)
|
5.13%
|
05/15/2023
|
120,000
|
||||||
|
90,000
|
Vereit Operating Partnership LP
|
4.60%
|
02/06/2024
|
90,000
|
||||||
|
225,000
|
VWR Funding, Inc.(e)
|
4.63%
|
04/15/2022
|
255,024
|
||||||
|
70,000
|
Walter Investment Management Corp.
|
7.88%
|
12/15/2021
|
45,850
|
||||||
|
100,000
|
Watco Cos. LLC / Watco Finance Corp.(e)
|
6.38%
|
04/01/2023
|
98,000
|
||||||
|
95,000
|
ZF North America Capital, Inc.(e)
|
4.50%
|
04/29/2022
|
97,256
|
||||||
|
15,191,600
|
||||||||||
|
TOTAL HIGH YIELD DEBT
(Cost $25,324,708) |
23,542,610
|
|||||||||
|
Shares/Description
|
Value
|
|||
|
SHORT‐TERM INVESTMENTS ‐ 6.98%
|
||||
|
5,864,214 State Street Institutional Trust (7 Day Yield 0.19%)
|
5,864,214
|
|||
|
TOTAL SHORT‐TERM INVESTMENTS
(Cost $5,864,214) |
5,864,214
|
|||
|
TOTAL INVESTMENTS ‐ 99.29%
(Cost $90,499,840) |
83,425,854
|
|||
|
CASH SEGREGATED AT CUSTODIAN FOR FORWARD FOREIGN CURRENCY CONTRACTS AND TOTAL RETURN SWAP CONTRACTS - 0.95%
|
798,000
|
|||
|
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.24)%
|
(201,459
|
)
|
||
|
NET ASSETS ‐ 100.00%
|
$
|
84,022,395
|
||
| (a) | Non-income producing security. |
| (b) | Private Placement: these securities may only be resold in transactions exempt from registration under the Securities Act of 1933. |
| (c) | Security is currently in default. |
| (d) | All or a portion of this position has not settled as of March 31, 2016. 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. |
|
See Notes to Financial Statements.
|
|
Semi-Annual Report | March 31, 2016
|
69
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
| (e) | 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 Trustees and may normally be sold to qualified institutional buyers in transactions exempt from registration. Total fair value of Rule 144A securities amounts to $11,974,360, which represents approximately 14.25% of net assets as of March 31, 2016. |
| (f) | Securities were purchased pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. These securities have been deemed liquid under procedures approved by the Fund's Board of Trustees. As of March 31, 2016, the aggregate fair value of those securities was $2,703,784, representing 3.22% of net assets. |
| (g) | Floating or variable rate security. Interest rate disclosed is that which is in effect at March 31, 2016. |
| (h) | Pay-in-kind securities. |
Common Abbreviations:
AB - Aktiebolag is the Swedish equivalent of the term coporation.
AG - Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e., owned by shareholders.
AS - Anonim Sirket is the Turkish term for Incorporation.
BV - Besloten Vennootschap a Dutch private limited liability company.
GmbH - Gesellschaft mit beschrankter Haftung is the German term for a company with limited liability.
KG - Kommanditgesellschaft is the German term for a private limited company.
LLC - Limited Liability Corp.
LP - Limited Partnership.
Ltd. - Limited.
PLC - Public Limited Co.
SA - Generally designates corporations in various countries, mostly those employing the civil law.
S.A.R.L. - Société Anonyme à Responsabilité Limitée (French: Limited Liability Company)
SAS - Societe per actions simplifiee is the French term for a joint stock company.
SCA- Societe en commandite pe actiuni is the Romanian term for limited liability partnership.
S.L.U. - Sociedad Limitada Unipersonal is a Spanish company with one shareholder.
S.r.l. - Società a Responsabilità Limitata (Italian: limited company)
OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS
|
Counterparty
|
Foreign
Currency
|
Contracted
Amount*
|
Contract
Type
|
Settlement
Date
|
Current
Value
|
Unrealized
Appreciation
|
||||||||
|
State Street Boston
|
EUR
|
13,008,691
|
Purchase
|
04/04/2016
|
$
|
14,804,531
|
$
|
38,551
|
||||||
|
State Street Boston
|
GBP
|
9,220
|
Purchase
|
04/04/2016
|
13,242
|
217
|
||||||||
|
State Street Boston
|
GBP
|
1,960,624
|
Sale
|
05/06/2016
|
2,816,244
|
3,899
|
||||||||
|
$
|
42,667
|
|||||||||||||
|
See Notes to Financial Statements.
|
|
70
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
|
March 31, 2016 (Unaudited)
|
OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS (Continued)
|
Counterparty
|
Foreign
Currency
|
Contracted
Amount*
|
Contract
Type
|
Settlement
Date
|
Current
Value
|
Unrealized
Depreciation
|
||||||||
|
State Street Boston
|
GBP
|
1,946,349
|
Purchase
|
04/04/2016
|
$
|
2,795,497
|
$
|
(3,937
|
)
|
|||||
|
State Street Boston
|
EUR
|
13,018,691
|
Sale
|
04/04/2016
|
14,815,912
|
(597,199
|
)
|
|||||||
|
State Street Boston
|
EUR
|
12,364,851
|
Sale
|
05/06/2016
|
14,085,897
|
(15,748
|
)
|
|||||||
|
State Street Boston
|
GBP
|
1,951,569
|
Sale
|
04/04/2016
|
2,802,993
|
(53,630
|
)
|
|||||||
|
$
|
(670,514
|
)
|
||||||||||||
| * | The contracted amount is stated in the currency in which the security is denominated. |
TOTAL RETURN SWAP CONTRACTS*
|
Counterparty
|
Reference
Asset
|
Termination
Date
|
Rate paid
by the Fund
|
Notional
Amount
|
Unrealized Appreciation
|
|||||||
|
ReFlow Fund, LLC(a)
|
Net Asset Value
|
12/29/2016
|
1.94%
|
$
|
3,000,000
|
$
|
117,318
|
|||||
|
$
|
117,318
|
|||||||||||
| (a) | The Fund receives monthly payments based on any positive monthly return of the Reference Asset. The Fund makes payments on any negative monthly return of such Reference Asset. |
|
*
|
See Note 4 in the Notes to Financial Statements.
|
Currency Abbreviations:
EUR - Euro
GBP - British Pound Sterling
|
See Notes to Financial Statements.
|
|
Semi-Annual Report | March 31, 2016
|
71
|
RiverNorth Core Opportunity Fund
|
Statement of Assets and Liabilities
|
March 31, 2016 (Unaudited)
|
|
ASSETS:
|
||||
|
Investment in securities:
|
||||
|
At cost
|
$
|
737,802,010
|
||
|
At value
|
$
|
713,180,176
|
||
|
Investment in affiliates:
|
||||
|
At cost
|
45,086,032
|
|||
|
At value
|
39,499,668
|
|||
|
Total return swap contracts premium paid
|
7,992,521
|
|||
|
Receivable for fund investments sold
|
3,262,214
|
|||
|
Net receivable on purchase and settlement agreement
|
1,726,969
|
|||
|
Dividends receivable
|
791,405
|
|||
|
Cash segregated at custodian for total return swap contracts
|
400,000
|
|||
|
Unrealized appreciation on total return swap contracts
|
340,269
|
|||
|
Receivable for fund shares sold
|
324,111
|
|||
|
Prepaid fees for Trustees and Officers
|
21,325
|
|||
|
Interest receivable
|
12,463
|
|||
|
Prepaid expenses and other assets
|
21,069
|
|||
|
Total Assets
|
767,572,190
|
|||
|
LIABILITIES:
|
||||
|
Facility loan fee payable
|
9,069
|
|||
|
Payable for fund investments purchased
|
1,614,413
|
|||
|
Payable for fund shares redeemed
|
1,024,148
|
|||
|
Unrealized depreciation on total return swap contracts
|
630,932
|
|||
|
Interest payable on total return swap contracts
|
34,712
|
|||
|
Payable to Adviser
|
642,277
|
|||
|
Payable for Fund Accounting and Administration fees
|
48,113
|
|||
|
Accrued 12b-1 fees - Class R Shares
|
126,486
|
|||
|
Payable for Custodian fees
|
8,714
|
|||
|
Payable for Audit fees
|
10,579
|
|||
|
Payable to Transfer agency
|
9,218
|
|||
|
Other accrued expenses
|
37,067
|
|||
|
Total Liabilities
|
4,195,728
|
|||
|
Net Assets
|
$
|
763,376,462
|
||
|
NET ASSETS CONSIST OF:
|
||||
|
Paid-in capital
|
$
|
798,414,578
|
||
|
Accumulated net investment loss
|
(9,069,588
|
)
|
||
|
Accumulated net realized gain on investments and total return swap contracts
|
2,714,801
|
|||
|
Net unrealized depreciation on investments and total return swap contracts
|
(28,683,329
|
)
|
||
|
Net Assets
|
$
|
763,376,462
|
||
See Notes to Financial Statements.
|
72
|
(888) 848-7569 | www.rivernorth.com
|
RiverNorth Core Opportunity Fund
|
Statement of Assets and Liabilities
|
March 31, 2016 (Unaudited)
|
|
PRICING OF SHARES:
|
||||
|
Class I Shares
|
||||
|
Net Assets
|
$
|
158,685,234
|
||
|
Shares of beneficial interest outstanding (unlimited number of shares, no par value)
|
15,038,892
|
|||
|
Net Asset Value Per Share, Offering and Redemption Price Per Share
|
$
|
10.55
|
||
|
Minimum Redemption Price Per Share(a)
|
$
|
10.34
|
||
|
Class R Shares
|
||||
|
Net Assets
|
$
|
604,691,228
|
||
|
Shares of beneficial interest outstanding (unlimited number of shares, no par value)
|
57,320,892
|
|||
|
Net Asset Value Per Share, Offering and Redemption Price Per Share
|
$
|
10.55
|
||
|
Minimum Redemption Price Per Share(a)
|
$
|
10.34
|
||
| (a) | The Fund will impose a 2.00% redemption fee on shares redeemed within 90 days of purchase. |
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
73
|
RiverNorth/DoubleLine Strategic Income Fund
|
Statement of Assets and Liabilities
|
March 31, 2016 (Unaudited)
|
|
ASSETS:
|
||||
|
Investment in securities:
|
||||
|
At cost
|
$
|
1,995,409,752
|
||
|
At value
|
$
|
1,901,047,195
|
||
|
Investment in affiliates:
|
||||
|
At cost
|
26,564,665
|
|||
|
At value
|
24,324,633
|
|||
|
Receivable for fund investments sold
|
14,298,827
|
|||
|
Total return swap contracts premium paid
|
12,593,545
|
|||
|
Interest receivable
|
6,220,682
|
|||
|
Net receivable on purchase and settlement agreement
|
2,810,925
|
|||
|
Dividends receivable
|
2,193,564
|
|||
|
Receivable for fund shares sold
|
1,662,678
|
|||
|
Unrealized appreciation on total return swap contracts
|
530,959
|
|||
|
Cash segregated at custodian for total return swap contracts
|
400,000
|
|||
|
Prepaid fees for Trustees and Officers
|
50,146
|
|||
|
Prepaid expenses and other assets
|
59,878
|
|||
|
Total Assets
|
1,966,193,032
|
|||
|
LIABILITIES:
|
||||
|
Facility loan fee payable
|
23,321
|
|||
|
Payable for fund investments purchased
|
7,204,784
|
|||
|
Payable for fund shares redeemed
|
2,710,493
|
|||
|
Unrealized depreciation on total return swap contracts
|
677,420
|
|||
|
Interest payable on total return swap contracts
|
46,173
|
|||
|
Payable to Adviser
|
1,214,197
|
|||
|
Payable for Fund Accounting and Administration fees
|
240,672
|
|||
|
Accrued 12b‐1 fees ‐ Class R Shares
|
47,011
|
|||
|
Payable for Custodian fees
|
28,491
|
|||
|
Payable for Audit fees
|
15,306
|
|||
|
Payable to Transfer agency
|
40,696
|
|||
|
Other accrued expenses
|
94,136
|
|||
|
Total Liabilities
|
12,342,700
|
|||
|
Net Assets
|
$
|
1,953,850,332
|
||
|
NET ASSETS CONSIST OF:
|
||||
|
Paid‐in capital
|
$
|
2,059,065,463
|
||
|
Accumulated net investment loss
|
(3,851,341
|
)
|
||
|
Accumulated net realized loss on investments and total return swap contracts
|
(7,569,815
|
)
|
||
|
Net unrealized depreciation on investments and total return swap contracts
|
(93,793,975
|
)
|
||
|
Net Assets
|
$
|
1,953,850,332
|
||
See Notes to Financial Statements.
|
74
|
(888) 848-7569 | www.rivernorth.com
|
RiverNorth/DoubleLine Strategic Income Fund
|
Statement of Assets and Liabilities
|
March 31, 2016 (Unaudited)
|
|
PRICING OF SHARES:
|
||||
|
Class I Shares
|
||||
|
Net Assets
|
$
|
1,732,368,669
|
||
|
Shares of beneficial interest outstanding (unlimited number of shares, no par value)
|
168,391,649
|
|||
|
Net Asset Value Per Share, Offering and Redemption Price Per Share
|
$
|
10.29
|
||
|
Minimum Redemption Price Per Share(a)
|
$
|
10.08
|
||
|
Class R Shares
|
||||
|
Net Assets
|
$
|
221,481,663
|
||
|
Shares of beneficial interest outstanding (unlimited number of shares, no par value)
|
21,501,073
|
|||
|
Net Asset Value Per Share, Offering and Redemption Price Per Share
|
$
|
10.30
|
||
|
Minimum Redemption Price Per Share(a)
|
$
|
10.09
|
||
| (a) | The Fund will impose a 2.00% redemption fee on shares redeemed within 90 days of purchase. |
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
75
|
RiverNorth Equity Opportunity Fund
|
Statement of Assets and Liabilities
|
March 31, 2016 (Unaudited)
|
|
ASSETS:
|
||||
|
Investment in securities:
|
||||
|
At cost
|
$
|
14,482,422
|
||
|
At value
|
$
|
13,734,844
|
||
|
Dividends receivable
|
1,105
|
|||
|
Prepaid fees for Trustees and Officers
|
390
|
|||
|
Prepaid expenses and other assets
|
11,474
|
|||
|
Total Assets
|
13,747,813
|
|||
|
LIABILITIES:
|
||||
|
Payable to custodian due to overdraft
|
90,771
|
|||
|
Facility loan fee payable
|
122
|
|||
|
Payable for fund shares redeemed
|
10,395
|
|||
|
Payable to Adviser
|
7,026
|
|||
|
Payable for Fund Accounting and Administration fees
|
1,683
|
|||
|
Accrued 12b‐1 fees ‐ Class R Shares
|
889
|
|||
|
Payable for Custodian fees
|
2,280
|
|||
|
Payable for Audit fees
|
9,828
|
|||
|
Payable to Transfer agency
|
4,740
|
|||
|
Other accrued expenses
|
4,477
|
|||
|
Total Liabilities
|
132,211
|
|||
|
Net Assets
|
$
|
13,615,602
|
||
|
NET ASSETS CONSIST OF:
|
||||
|
Paid‐in capital
|
$
|
14,434,583
|
||
|
Accumulated net investment income
|
10
|
|||
|
Accumulated net realized loss on investments
|
(71,413
|
)
|
||
|
Net unrealized depreciation on investments
|
(747,578
|
)
|
||
|
Net Assets
|
$
|
13,615,602
|
||
See Notes to Financial Statements.
|
76
|
(888) 848-7569 | www.rivernorth.com
|
RiverNorth Equity Opportunity Fund
|
Statement of Assets and Liabilities
|
March 31, 2016 (Unaudited)
|
|
PRICING OF SHARES:
|
||||
|
Class I Shares
|
||||
|
Net Assets
|
$
|
9,405,746
|
||
|
Shares of beneficial interest outstanding (unlimited number of shares, no par value)
|
1,051,962
|
|||
|
Net Asset Value Per Share, Offering and Redemption Price Per Share
|
$
|
8.94
|
||
|
Minimum Redemption Price Per Share(a)
|
$
|
8.76
|
||
|
Class R Shares
|
||||
|
Net Assets
|
$
|
4,209,856
|
||
|
Shares of beneficial interest outstanding (unlimited number of shares, no par value)
|
470,960
|
|||
|
Net Asset Value Per Share, Offering and Redemption Price Per Share
|
$
|
8.94
|
||
|
Minimum Redemption Price Per Share(a)
|
$
|
8.76
|
||
| (a) | The Fund will impose a 2.00% redemption fee on shares redeemed within 90 days of purchase. |
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
77
|
RiverNorth/Oaktree High Income Fund
|
Statement of Assets and Liabilities
|
March 31, 2016 (Unaudited)
|
|
ASSETS:
|
||||
|
Investment in securities:
|
||||
|
At cost
|
$
|
90,499,840
|
||
|
At value
|
$
|
83,425,854
|
||
|
Foreign currency, at value (Cost $274,122)
|
280,004
|
|||
|
Receivable for fund investments sold
|
1,304,878
|
|||
|
Cash segregated at custodian for forward foreign currency contracts
|
598,000
|
|||
|
Interest receivable
|
586,713
|
|||
|
Cash segregated at custodian for total return swap contracts
|
200,000
|
|||
|
Unrealized appreciation on total return swap contracts
|
117,318
|
|||
|
Receivable for fund shares sold
|
88,733
|
|||
|
Dividends receivable
|
63,479
|
|||
|
Unrealized appreciation on forward foreign currency contracts
|
42,667
|
|||
|
Prepaid fees for Trustees and Officers
|
1,527
|
|||
|
Prepaid expenses and other assets
|
19,476
|
|||
|
Total Assets
|
86,728,649
|
|||
|
LIABILITIES:
|
||||
|
Facility loan fee payable
|
1,283
|
|||
|
Payable for fund investments purchased
|
1,719,195
|
|||
|
Payable for fund shares redeemed
|
170,969
|
|||
|
Unrealized depreciation on forward foreign currency contracts
|
670,514
|
|||
|
Payable to Adviser
|
70,479
|
|||
|
Payable for Fund Accounting and Administration fees
|
36,473
|
|||
|
Accrued 12b‐1 fees ‐ Class R Shares
|
1,563
|
|||
|
Payable for Custodian fees
|
6,460
|
|||
|
Payable for Audit fees
|
14,328
|
|||
|
Payable to Transfer agency
|
6,690
|
|||
|
Other accrued expenses
|
8,300
|
|||
|
Total Liabilities
|
2,706,254
|
|||
|
Net Assets
|
$
|
84,022,395
|
||
|
NET ASSETS CONSIST OF:
|
||||
|
Paid‐in capital
|
$
|
95,314,395
|
||
|
Accumulated net investment loss
|
(281,692
|
)
|
||
|
Accumulated net realized loss on investments, total return swap contracts, translation of assets and liabilities denominated in foreign currencies and forward foreign currency contracts
|
(3,418,754
|
)
|
||
|
Net unrealized depreciation on investments, total return swap contracts, translation of assets and liabilities denominated in foreign currencies and forward foreign currency contracts
|
(7,591,554
|
)
|
||
|
Net Assets
|
$
|
84,022,395
|
||
See Notes to Financial Statements.
|
78
|
(888) 848-7569 | www.rivernorth.com
|
RiverNorth/Oaktree High Income Fund
|
Statement of Assets and Liabilities
|
March 31, 2016 (Unaudited)
|
|
PRICING OF SHARES:
|
||||
|
Class I Shares
|
||||
|
Net Assets
|
$
|
76,602,706
|
||
|
Shares of beneficial interest outstanding (unlimited number of shares, no par value)
|
8,531,565
|
|||
|
Net Asset Value Per Share, Offering and Redemption Price Per Share
|
$
|
8.98
|
||
|
Minimum Redemption Price Per Share(a)
|
$
|
8.80
|
||
|
Class R Shares
|
||||
|
Net Assets
|
$
|
7,419,689
|
||
|
Shares of beneficial interest outstanding (unlimited number of shares, no par value)
|
827,211
|
|||
|
Net Asset Value Per Share, Offering and Redemption Price Per Share
|
$
|
8.97
|
||
|
Minimum Redemption Price Per Share(a)
|
$
|
8.79
|
||
| (a) | The Fund will impose a 2.00% redemption fee on shares redeemed within 90 days of purchase. |
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
79
|
RiverNorth Core Opportunity Fund
|
Statement of Operations
|
For the Six Months Ended March 31, 2016 (Unaudited)
|
|
INVESTMENT INCOME:
|
||||
|
Dividend income
|
$
|
24,129,005
|
||
|
Dividend income from affiliated securities
|
2,363,053
|
|||
|
Foreign taxes withheld
|
(1,106
|
)
|
||
|
Total Investment Income
|
26,490,952
|
|||
|
EXPENSES:
|
||||
|
Investment Adviser fee
|
3,741,952
|
|||
|
12b‐1 fees ‐ Class R Shares
|
725,789
|
|||
|
Accounting and administration fee
|
142,551
|
|||
|
Printing expenses
|
38,248
|
|||
|
Registration expenses
|
34,714
|
|||
|
Compliance expenses
|
26,435
|
|||
|
Trustee expenses
|
24,410
|
|||
|
Transfer agent expenses
|
23,997
|
|||
|
Facility loan fee
|
19,502
|
|||
|
Legal expenses
|
17,617
|
|||
|
Custodian expenses
|
15,598
|
|||
|
Audit expenses
|
10,150
|
|||
|
Insurance expenses
|
8,423
|
|||
|
24f‐2 expenses
|
3,481
|
|||
|
Miscellaneous expenses
|
17,253
|
|||
|
Total Expenses
|
4,850,120
|
|||
|
Net Investment Income
|
21,640,832
|
|||
|
REALIZED AND UNREALIZED GAIN/(LOSS):
|
||||
|
Net realized gain/(loss) on:
|
||||
|
Investments
|
(3,250,012
|
)
|
||
|
Total return swap contracts
|
826,730
|
|||
|
Net realized loss
|
(2,423,282
|
)
|
||
|
Net change in unrealized depreciation on:
|
||||
|
Investments
|
14,210,392
|
|||
|
Total return swap contracts
|
(278,617
|
)
|
||
|
Net change in unrealized depreciation
|
13,931,775
|
|||
|
Net Realized and Unrealized Gain on Investments and Total return swap contracts
|
11,508,493
|
|||
|
Net Increase in Net Assets Resulting from Operations
|
$
|
33,149,325
|
||
See Notes to Financial Statements.
|
80
|
(888) 848-7569 | www.rivernorth.com
|
RiverNorth/DoubleLine Strategic Income Fund
|
Statement of Operations
|
For the Six Months Ended March 31, 2016 (Unaudited)
|
|
INVESTMENT INCOME:
|
||||
|
Dividend income
|
$
|
30,203,206
|
||
|
Dividend income from affiliated securities
|
964,198
|
|||
|
Interest income
|
33,352,750
|
|||
|
Other income
|
10,154
|
|||
|
Total Investment Income
|
64,530,308
|
|||
|
EXPENSES:
|
||||
|
Investment Adviser fee
|
7,153,990
|
|||
|
Accounting and administration fee
|
481,397
|
|||
|
12b‐1 fees ‐ Class R Shares
|
283,363
|
|||
|
Transfer agent expenses
|
109,638
|
|||
|
Compliance expenses
|
70,253
|
|||
|
Trustee expenses
|
64,078
|
|||
|
Printing expenses
|
63,919
|
|||
|
Facility loan fee
|
52,397
|
|||
|
Registration expenses
|
49,037
|
|||
|
Legal expenses
|
42,700
|
|||
|
Custodian expenses
|
42,222
|
|||
|
24f‐2 expenses
|
22,963
|
|||
|
Insurance expenses
|
21,762
|
|||
|
Audit expenses
|
13,900
|
|||
|
Miscellaneous expenses
|
43,421
|
|||
|
Total Expenses
|
8,515,040
|
|||
|
Net Investment Income
|
56,015,268
|
|||
|
REALIZED AND UNREALIZED GAIN/(LOSS):
|
||||
|
Net realized gain/(loss) on:
|
||||
|
Investments
|
(690,178
|
)
|
||
|
Total return swap contracts
|
1,732,442
|
|||
|
Net realized gain
|
1,042,264
|
|||
|
Net change in unrealized depreciation on:
|
||||
|
Investments
|
(272,519
|
)
|
||
|
Total return swap contracts
|
37,623
|
|||
|
Net change in unrealized depreciation
|
(234,896
|
)
|
||
|
Net Realized and Unrealized Gain on Investments and Total return swap contracts
|
807,368
|
|||
|
Net Increase in Net Assets Resulting from Operations
|
$
|
56,822,636
|
||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
81
|
RiverNorth Equity Opportunity Fund
|
Statement of Operations
|
For the Six Months Ended March 31, 2016 (Unaudited)
|
|
INVESTMENT INCOME:
|
||||
|
Dividend income
|
$
|
540,850
|
||
|
Foreign taxes withheld
|
(119
|
)
|
||
|
Total Investment Income
|
540,731
|
|||
|
EXPENSES:
|
||||
|
Investment Adviser fee
|
69,135
|
|||
|
Registration expenses
|
16,782
|
|||
|
Transfer agent expenses
|
14,098
|
|||
|
Audit expenses
|
9,400
|
|||
|
12b‐1 fees ‐ Class R Shares
|
5,767
|
|||
|
Accounting and administration fee
|
3,441
|
|||
|
Printing expenses
|
2,017
|
|||
|
Custodian expenses
|
700
|
|||
|
Trustee expenses
|
514
|
|||
|
Compliance expenses
|
398
|
|||
|
Facility loan fee
|
292
|
|||
|
Legal expenses
|
290
|
|||
|
Insurance expenses
|
101
|
|||
|
24f‐2 expenses
|
94
|
|||
|
Repayment of previously waived fees
|
||||
|
Class R
|
27
|
|||
|
Miscellaneous expenses
|
1,814
|
|||
|
Total expenses before waiver/reimbursement
|
124,870
|
|||
|
Less fees waived/reimbursed by Investment Adviser:
|
||||
|
Class I Shares
|
(17,238
|
)
|
||
|
Class R Shares
|
(8,533
|
)
|
||
|
Net Expenses
|
99,099
|
|||
|
Net Investment Income
|
441,632
|
|||
|
REALIZED AND UNREALIZED LOSS:
|
||||
|
Net realized loss on:
|
||||
|
Investments
|
(12,898
|
)
|
||
|
Net change in unrealized depreciation on:
|
||||
|
Investments
|
(193,081
|
)
|
||
|
Net Realized and Unrealized Loss on Investments
|
(205,979
|
)
|
||
|
Net Increase in Net Assets Resulting from Operations
|
$
|
235,653
|
||
See Notes to Financial Statements.
|
82
|
(888) 848-7569 | www.rivernorth.com
|
RiverNorth/Oaktree High Income Fund
|
Statement of Operations
|
For the Six Months Ended March 31, 2016 (Unaudited)
|
|
INVESTMENT INCOME:
|
||||
|
Dividend income
|
$
|
1,296,087
|
||
|
Interest income
|
1,624,374
|
|||
|
Other income
|
27,590
|
|||
|
Foreign taxes withheld
|
(1,356
|
)
|
||
|
Total Investment Income
|
2,946,695
|
|||
|
EXPENSES:
|
||||
|
Investment Adviser fee
|
433,805
|
|||
|
Accounting and administration fee
|
56,628
|
|||
|
Registration expenses
|
20,368
|
|||
|
Transfer agent expenses
|
17,224
|
|||
|
Audit expenses
|
13,899
|
|||
|
Custodian expenses
|
11,651
|
|||
|
12b‐1 fees ‐ Class R Shares
|
10,092
|
|||
|
Printing expenses
|
4,613
|
|||
|
Compliance expenses
|
3,451
|
|||
|
Trustee expenses
|
3,137
|
|||
|
Facility loan fee
|
2,576
|
|||
|
Legal expenses
|
2,032
|
|||
|
Insurance expenses
|
1,036
|
|||
|
24f‐2 expenses
|
702
|
|||
|
Repayment of previously waived fees
|
||||
|
Class I
|
2,451
|
|||
|
Class R
|
1,925
|
|||
|
Miscellaneous expenses
|
3,631
|
|||
|
Total expenses before waiver/reimbursement
|
589,221
|
|||
|
Less fees waived/reimbursed by Investment Adviser:
|
||||
|
Class R Shares
|
(827
|
)
|
||
|
Net Expenses
|
588,394
|
|||
|
Net Investment Income
|
2,358,301
|
|||
|
REALIZED AND UNREALIZED GAIN/(LOSS):
|
||||
|
Net realized loss on:
|
||||
|
Investments
|
(2,157,114
|
)
|
||
|
Total return swap contracts
|
(54,898
|
)
|
||
|
Translation of assets and liabilities denominated in foreign currencies and forward foreign currency contracts
|
(346,470
|
)
|
||
|
Net realized loss
|
(2,558,482
|
)
|
||
|
Net change in unrealized depreciation on:
|
||||
|
Investments
|
2,044,403
|
|||
|
Total return swap contracts
|
117,318
|
|||
|
Translation of assets and liabilities denominated in foreign currencies and forward foreign currency contracts
|
(596,346
|
)
|
||
|
Net change in unrealized appreciation
|
1,565,375
|
|||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
83
|
RiverNorth/Oaktree High Income Fund
|
Statement of Operations
|
For the Six Months Ended March 31, 2016 (Unaudited)
|
|
Net Realized and Unrealized Loss on Investments, translation of assets and liabilities denominated in foreign currencies and forward foreign currency contracts
|
(993,107
|
)
|
||
|
Net Increase in Net Assets Resulting from Operations
|
$
|
1,365,194
|
See Notes to Financial Statements.
|
84
|
(888) 848-7569 | www.rivernorth.com
|
RiverNorth Core Opportunity Fund
|
For the Six
Months Ended
March 31, 2016
(Unaudited)
|
For the Year Ended
September 30, 2015
|
|||||||
|
NET INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:
|
||||||||
|
Net investment income
|
$
|
21,640,832
|
$
|
25,709,936
|
||||
|
Net realized gain/(loss) on Investments and Total return swap contracts
|
(2,423,282
|
)
|
15,668,964
|
|||||
|
Long‐term capital gain distributions from other investment companies
|
–
|
10,872,696
|
||||||
|
Net change in unrealized depreciation on Investments and Total return swap contracts
|
13,931,775
|
(111,328,445
|
)
|
|||||
|
Net increase/(decrease) in net assets resulting from operations
|
33,149,325
|
(59,076,849
|
)
|
|||||
|
DISTRIBUTIONS TO SHAREHOLDERS:
|
||||||||
|
From net investment income:
|
||||||||
|
Class I Shares
|
(7,068,022
|
)
|
(6,416,433
|
)
|
||||
|
Class R Shares
|
(25,141,778
|
)
|
(29,402,363
|
)
|
||||
|
From net realized gains on investments:
|
||||||||
|
Class I Shares
|
(4,074,884
|
)
|
(6,161,292
|
)
|
||||
|
Class R Shares
|
(14,807,521
|
)
|
(45,545,598
|
)
|
||||
|
Net decrease in net assets from distributions to shareholders
|
(51,092,205
|
)
|
(87,525,686
|
)
|
||||
|
CAPITAL SHARE TRANSACTIONS:
|
||||||||
|
Class I Shares
|
||||||||
|
Proceeds from shares sold
|
52,672,166
|
202,766,378
|
||||||
|
Reinvestment of distributions
|
4,560,448
|
4,843,785
|
||||||
|
Cost of shares redeemed
|
(61,946,125
|
)
|
(51,182,167
|
)
|
||||
|
Redemption fees(a)
|
19,089
|
10,143
|
||||||
|
Net increase/(decrease) in net assets from capital share transactions
|
(4,694,422
|
)
|
156,438,139
|
|||||
|
Class R Shares
|
||||||||
|
Proceeds from shares sold
|
152,862,331
|
162,337,603
|
||||||
|
Reinvestment of distributions
|
39,598,044
|
73,689,908
|
||||||
|
Cost of shares redeemed
|
(112,094,329
|
)
|
(285,230,837
|
)
|
||||
|
Redemption fees(a)
|
53,075
|
40,755
|
||||||
|
Net increase/(decrease) in net assets from capital share transactions
|
80,419,121
|
(49,162,571
|
)
|
|||||
|
Net Increase/(Decrease) in Net Assets
|
57,781,819
|
(39,326,967
|
)
|
|||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
85
|
RiverNorth Core Opportunity Fund
Statements of Changes in Net Assets
|
For the Six
Months Ended
March 31, 2016
(Unaudited)
|
For the Year Ended
September 30, 2015
|
|||||||
|
NET ASSETS:
|
||||||||
|
Beginning of period
|
705,594,643
|
744,921,610
|
||||||
|
End of period (including accumulated net investment income/(loss) of $(9,069,588) and $1,499,380)
|
$
|
763,376,462
|
$
|
705,594,643
|
||||
|
OTHER INFORMATION:
|
||||||||
|
Share Transactions:
|
||||||||
|
Class I Shares
|
||||||||
|
Shares sold
|
4,972,787
|
16,413,130
|
||||||
|
Shares issued in reinvestment of distributions
|
434,982
|
412,766
|
||||||
|
Shares redeemed
|
(5,904,412
|
)
|
(4,325,289
|
)
|
||||
|
Net increase/(decrease) from share transactions
|
(496,643
|
)
|
12,500,607
|
|||||
|
Class R Shares
|
||||||||
|
Shares sold
|
14,022,290
|
13,252,507
|
||||||
|
Shares issued in reinvestment of distributions
|
3,780,188
|
6,195,243
|
||||||
|
Shares redeemed
|
(10,626,238
|
)
|
(23,342,526
|
)
|
||||
|
Net increase/(decrease) from share transactions
|
7,176,240
|
(3,894,776
|
)
|
|||||
| (a) | The Fund will impose a 2.00% redemption fee on shares redeemed within 90 days of purchase. |
See Notes to Financial Statements.
|
86
|
(888) 848-7569 | www.rivernorth.com
|
RiverNorth/DoubleLine Strategic Income Fund
|
For the Six
Months Ended
March 31, 2016
(Unaudited)
|
For the Year Ended
September 30, 2015
|
|||||||
|
NET INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:
|
||||||||
|
Net investment income
|
$
|
56,015,268
|
$
|
94,422,803
|
||||
|
Net realized gain on Investments and Total return swap contracts
|
1,042,264
|
2,690,640
|
||||||
|
Long‐term capital gain distributions from other investment companies
|
–
|
746,878
|
||||||
|
Net change in unrealized depreciation on Investments and Total return swap contracts
|
(234,896
|
)
|
(106,092,893
|
)
|
||||
|
Net increase/(decrease) in net assets resulting from operations
|
56,822,636
|
(8,232,572
|
)
|
|||||
|
DISTRIBUTIONS TO SHAREHOLDERS:
|
||||||||
|
From net investment income:
|
||||||||
|
Class I Shares
|
(63,630,185
|
)
|
(76,233,640
|
)
|
||||
|
Class R Shares
|
(8,193,430
|
)
|
(11,319,592
|
)
|
||||
|
Net decrease in net assets from distributions to shareholders
|
(71,823,615
|
)
|
(87,553,232
|
)
|
||||
|
CAPITAL SHARE TRANSACTIONS:
|
||||||||
|
Class I Shares
|
||||||||
|
Proceeds from shares sold
|
422,649,324
|
1,037,758,724
|
||||||
|
Reinvestment of distributions
|
43,405,278
|
53,794,861
|
||||||
|
Cost of shares redeemed
|
(455,833,731
|
)
|
(421,391,306
|
)
|
||||
|
Redemption fees(a)
|
121,030
|
113,913
|
||||||
|
Net increase in net assets from capital share transactions
|
10,341,901
|
670,276,192
|
||||||
|
Class R Shares
|
||||||||
|
Proceeds from shares sold
|
30,811,427
|
107,924,068
|
||||||
|
Reinvestment of distributions
|
8,025,903
|
11,097,338
|
||||||
|
Cost of shares redeemed
|
(48,770,862
|
)
|
(106,038,721
|
)
|
||||
|
Redemption fees(a)
|
16,144
|
18,215
|
||||||
|
Net increase/(decrease) in net assets from capital share transactions
|
(9,917,388
|
)
|
13,000,900
|
|||||
|
Net Increase/(Decrease) in Net Assets
|
(14,576,466
|
)
|
587,491,288
|
|||||
|
NET ASSETS:
|
||||||||
|
Beginning of period
|
1,968,426,798
|
1,380,935,510
|
||||||
|
End of period (including accumulated net investment income/(loss) of $(3,851,341) and $11,957,006)
|
$
|
1,953,850,332
|
$
|
1,968,426,798
|
||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
87
|
RiverNorth/DoubleLine Strategic Income Fund
|
For the Six
Months Ended
March 31, 2016
(Unaudited)
|
For the Year Ended
September 30, 2015
|
|||||||
|
OTHER INFORMATION:
|
||||||||
|
Share Transactions:
|
||||||||
|
Class I Shares
|
||||||||
|
Shares sold
|
41,178,046
|
95,899,127
|
||||||
|
Shares issued in reinvestment of distributions
|
4,242,780
|
5,021,948
|
||||||
|
Shares redeemed
|
(44,303,585
|
)
|
(39,272,763
|
)
|
||||
|
Net increase from share transactions
|
1,117,241
|
61,648,312
|
||||||
|
Class R Shares
|
||||||||
|
Shares sold
|
3,002,010
|
9,938,360
|
||||||
|
Shares issued in reinvestment of distributions
|
783,287
|
1,033,082
|
||||||
|
Shares redeemed
|
(4,749,729
|
)
|
(9,830,536
|
)
|
||||
|
Net increase/(decrease) from share transactions
|
(964,432
|
)
|
1,140,906
|
|||||
| (a) | The Fund will impose a 2.00% redemption fee on shares redeemed within 90 days of purchase. |
See Notes to Financial Statements.
|
88
|
(888) 848-7569 | www.rivernorth.com
|
RiverNorth Equity Opportunity Fund
Statements of Changes in Net Assets
|
For the Six
Months Ended
March 31, 2016
(Unaudited)
|
For the Year Ended
September 30, 2015
|
|||||||
|
NET INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:
|
||||||||
|
Net investment income
|
$
|
441,632
|
$
|
731
|
||||
|
Net realized gain/(loss) on Investments
|
(12,898
|
)
|
483,988
|
|||||
|
Long‐term capital gain distributions from other investment companies
|
–
|
346,786
|
||||||
|
Net change in unrealized depreciation on Investments
|
(193,081
|
)
|
(1,275,718
|
)
|
||||
|
Net increase/(decrease) in net assets resulting from operations
|
235,653
|
(444,213
|
)
|
|||||
|
DISTRIBUTIONS TO SHAREHOLDERS:
|
||||||||
|
From net investment income:
|
||||||||
|
Class I Shares
|
(305,049
|
)
|
(29,518
|
)
|
||||
|
Class R Shares
|
(136,573
|
)
|
(24,018
|
)
|
||||
|
From net realized gains on investments:
|
||||||||
|
Class I Shares
|
(306,623
|
)
|
(320,383
|
)
|
||||
|
Class R Shares
|
(146,539
|
)
|
(1,704,766
|
)
|
||||
|
Net decrease in net assets from distributions to shareholders
|
(894,784
|
)
|
(2,078,685
|
)
|
||||
|
CAPITAL SHARE TRANSACTIONS:
|
||||||||
|
Class I Shares
|
||||||||
|
Proceeds from shares sold
|
8,494,274
|
1,148,288
|
||||||
|
Reinvestment of distributions
|
349,145
|
328,670
|
||||||
|
Cost of shares redeemed
|
(623,971
|
)
|
(1,214,017
|
)
|
||||
|
Redemption fees(a)
|
1,055
|
252
|
||||||
|
Net increase in net assets from capital share transactions
|
8,220,503
|
263,193
|
||||||
|
Class R Shares
|
||||||||
|
Proceeds from shares sold
|
566,076
|
1,915,408
|
||||||
|
Reinvestment of distributions
|
282,704
|
1,687,207
|
||||||
|
Cost of shares redeemed
|
(1,695,248
|
)
|
(5,188,659
|
)
|
||||
|
Redemption fees(a)
|
536
|
1,032
|
||||||
|
Net decrease in net assets from capital share transactions
|
(845,932
|
)
|
(1,585,012
|
)
|
||||
|
Net Increase/(Decrease) in Net Assets
|
6,715,440
|
(3,844,717
|
)
|
|||||
|
NET ASSETS:
|
||||||||
|
Beginning of period
|
6,900,162
|
10,744,879
|
||||||
|
End of period (including accumulated net investment income of $10 and $–)
|
$
|
13,615,602
|
$
|
6,900,162
|
||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
89
|
RiverNorth Equity Opportunity Fund
Statements of Changes in Net Assets
|
For the Six
Months Ended
March 31, 2016
(Unaudited)
|
For the Year Ended
September 30,
2015
|
|||||||
|
OTHER INFORMATION:
|
||||||||
|
Share Transactions:
|
||||||||
|
Class I Shares
|
||||||||
|
Shares sold
|
900,012
|
106,790
|
||||||
|
Shares issued in reinvestment of distributions
|
38,326
|
30,817
|
||||||
|
Shares redeemed
|
(68,245
|
)
|
(114,125
|
)
|
||||
|
Net increase from share transactions
|
870,093
|
23,482
|
||||||
|
Class R Shares
|
||||||||
|
Shares sold
|
60,472
|
164,600
|
||||||
|
Shares issued in reinvestment of distributions
|
31,120
|
157,751
|
||||||
|
Shares redeemed
|
(184,532
|
)
|
(484,450
|
)
|
||||
|
Net increase/(decrease) from share transactions
|
(92,940
|
)
|
162,099
|
|||||
| (a) | The Fund will impose a 2.00% redemption fee on shares redeemed within 90 days of purchase. |
See Notes to Financial Statements.
| 90 |
(888) 848-7569 | www.rivernorth.com
|
RiverNorth/Oaktree High Income Fund
Statements of Changes in Net Assets
|
For the Six
Months Ended
March 31, 2016
(Unaudited)
|
For the Year Ended
September 30,
2015
|
|||||||
|
NET INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:
|
||||||||
|
Net investment income
|
$
|
2,358,301
|
$
|
3,920,855
|
||||
|
Net realized gain/(loss) on Investments, Total return swap contracts, Translation of assets and liabilities denominated in foreign currencies and forward foreign currency contracts
|
(2,558,482
|
)
|
360,262
|
|||||
|
Long‐term capital gain distributions from other investment companies
|
–
|
38,611
|
||||||
|
Net change in unrealized depreciation on Investments, Total return swap contracts, Translation of assets and liabilities denominated in foreign currencies and forward foreign currency contracts
|
1,565,375
|
(8,191,290
|
)
|
|||||
|
Net increase/(decrease) in net assets resulting from operations
|
1,365,194
|
(3,871,562
|
)
|
|||||
|
DISTRIBUTIONS TO SHAREHOLDERS:
|
||||||||
|
From net investment income:
|
||||||||
|
Class I Shares
|
(3,136,563
|
)
|
(3,939,482
|
)
|
||||
|
Class R Shares
|
(307,711
|
)
|
(745,793
|
)
|
||||
|
From net realized gains on investments:
|
||||||||
|
Class I Shares
|
–
|
(1,190,086
|
)
|
|||||
|
Class R Shares
|
–
|
(304,183
|
)
|
|||||
|
Net decrease in net assets from distributions to shareholders
|
(3,444,274
|
)
|
(6,179,544
|
)
|
||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
91
|
RiverNorth/Oaktree High Income Fund
Statements of Changes in Net Assets
|
For the Six
Months Ended
March 31, 2016
(Unaudited)
|
For the Year Ended
September 30, 2015
|
|||||||
|
CAPITAL SHARE TRANSACTIONS:
|
||||||||
|
Class I Shares
|
||||||||
|
Proceeds from shares sold
|
20,027,292
|
64,465,160
|
||||||
|
Reinvestment of distributions
|
2,681,494
|
4,674,696
|
||||||
|
Cost of shares redeemed
|
(32,546,163
|
)
|
(41,658,196
|
)
|
||||
|
Redemption fees(a)
|
13,356
|
2,642
|
||||||
|
Net increase/(decrease) in net assets from capital share transactions
|
(9,824,021
|
)
|
27,484,302
|
|||||
|
Class R Shares
|
||||||||
|
Proceeds from shares sold
|
846,543
|
3,720,620
|
||||||
|
Reinvestment of distributions
|
305,510
|
1,045,115
|
||||||
|
Cost of shares redeemed
|
(3,955,900
|
)
|
(9,107,176
|
)
|
||||
|
Redemption fees(a)
|
1,370
|
563
|
||||||
|
Net decrease in net assets from capital share transactions
|
(2,802,477
|
)
|
(4,340,878
|
)
|
||||
|
Net Increase/(Decrease) in Net Assets
|
(14,705,578
|
)
|
13,092,318
|
|||||
|
NET ASSETS:
|
||||||||
|
Beginning of period
|
98,727,973
|
85,635,655
|
||||||
|
End of period (including accumulated net investment income/(loss) of $(281,692) and $804,281)
|
$
|
84,022,395
|
$
|
98,727,973
|
||||
|
OTHER INFORMATION:
|
||||||||
|
Share Transactions:
|
||||||||
|
Class I Shares
|
||||||||
|
Shares sold
|
2,238,755
|
6,602,226
|
||||||
|
Shares issued in reinvestment of distributions
|
300,172
|
480,890
|
||||||
|
Shares redeemed
|
(3,636,841
|
)
|
(4,233,471
|
)
|
||||
|
Net increase/(decrease) from share transactions
|
(1,097,914
|
)
|
2,849,645
|
|||||
|
Class R Shares
|
||||||||
|
Shares sold
|
95,078
|
377,548
|
||||||
|
Shares issued in reinvestment of distributions
|
34,224
|
107,244
|
||||||
|
Shares redeemed
|
(432,972
|
)
|
(932,206
|
)
|
||||
|
Net decrease from share transactions
|
(303,670
|
)
|
(447,414
|
)
|
||||
| (a) | The Fund will impose a 2.00% redemption fee on shares redeemed within 90 days of purchase. |
See Notes to Financial Statements.
| 92 |
(888) 848-7569 | www.rivernorth.com
|
Intentionally Left Blank
|
RiverNorth Core Opportunity Fund
|
Class I
|
Financial Highlights
|
Net asset value ‐ beginning of period
|
|
Income/(Loss) from investment operations:
|
|
Net investment income(b)
|
|
Net realized and unrealized gain/(loss) on investments(b)
|
|
Total income/(loss) from investment operations
|
|
Less distributions:
|
|
From net investment income
|
|
From net realized gain on investments
|
|
Total distributions
|
|
Paid‐in capital from redemption fees(b)
|
|
Net decrease in net asset value
|
|
Net asset value ‐ end of period
|
|
Total Return(e)
|
|
Ratios/Supplemental Data:
|
|
Net assets, end of period (in thousands)
|
|
Ratio of expenses to average net assets excluding fee waivers and reimbursements(g)
|
|
Ratio of expenses to average net assets including fee waivers and reimbursements(g)
|
|
Ratio of net investment income to average net assets excluding fee waivers and reimbursements(g)
|
|
Ratio of net investment income to average net assets including fee waivers and reimbursements(g) Portfolio turnover rate
|
| (a) | Commenced operations on August 11, 2014. |
| (b) | Based on average shares outstanding during the period. |
| (c) | The amount shown for a share outstanding throughout the period may not correlate with the Statement of Operations for the period due to the timing of sales and redemptions of Fund shares in relation to realized and unrealized gains and losses on investments of the Fund. |
| (d) | Less than $0.005 per share. |
| (e) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
| (f) | Not annualized. |
| (g) | The ratios exclude the impact of expenses of the underlying funds in which the Fund invests as represented in the Schedule of Investments. |
| (h) | Annualized. |
See Notes to Financial Statements.
|
94
|
(888) 848-7569 | www.rivernorth.com
|
For a share outstanding throughout the periods presented
|
For the Six Months Ended
March 31, 2016
(Unaudited)
|
For the Year Ended
September 30, 2015
|
For the Period ended
September 30, 2014(a)
|
|||||||||
|
$
|
10.74
|
$
|
13.06
|
$
|
13.16
|
||||||
|
0.32
|
0.44
|
0.08
|
|||||||||
|
0.21
|
(1.30
|
)
|
(0.18
|
)(c)
|
|||||||
|
0.53
|
(0.86
|
)
|
(0.10
|
)
|
|||||||
|
(0.46
|
)
|
(0.60
|
)
|
–
|
|||||||
|
(0.26
|
)
|
(0.86
|
)
|
–
|
|||||||
|
(0.72
|
)
|
(1.46
|
)
|
–
|
|||||||
|
0.00
|
(d)
|
0.00
|
(d)
|
–
|
|||||||
|
(0.19
|
)
|
(2.32
|
)
|
(0.10
|
)
|
||||||
|
$
|
10.55
|
$
|
10.74
|
$
|
13.06
|
||||||
|
5.06
|
%(f)
|
(7.50
|
%)
|
(0.76%
|
)(f)
|
||||||
|
$
|
158,685
|
$
|
166,905
|
$
|
39,623
|
||||||
|
1.10
|
%(h)
|
1.11
|
%
|
1.20
|
%(h)
|
||||||
|
1.10
|
%(h)
|
1.11
|
%
|
1.20
|
%(h)
|
||||||
|
5.99
|
%(h)
|
3.62
|
%
|
2.93
|
%(h)
|
||||||
|
5.99
|
%(h)
|
3.62
|
%
|
2.93
|
%(h)
|
||||||
|
8
|
%(f)
|
23
|
%
|
46
|
%(f)
|
||||||
|
Semi-Annual Report | March 31, 2016
|
95 |
|
RiverNorth Core Opportunity Fund
|
Class R
|
Financial Highlights
|
Net asset value ‐ beginning of period
|
|
Income/(Loss) from investment operations:
|
|
Net investment income(a)
|
|
Net realized and unrealized gain/(loss) on investments(a)
|
|
Total income/(loss) from investment operations
|
|
Less distributions:
|
|
From net investment income
|
|
From net realized gain on investments
|
|
Total distributions
|
|
Paid‐in capital from redemption fees(a)
|
|
Net increase/ (decrease) in net asset value
|
|
Net asset value ‐ end of period
|
|
Total Return(c)
|
|
Ratios/Supplemental Data:
|
|
Net assets, end of period (in thousands)
|
|
Ratio of expenses to average net assets excluding fee waivers and reimbursements(e)
|
|
Ratio of expenses to average net assets including fee waivers and reimbursements(e)
|
|
Ratio of net investment income to average net assets excluding fee waivers and reimbursements(e)
|
|
Ratio of net investment income to average net assets including fee waivers and reimbursements(e) Portfolio turnover rate
|
| (a) | Based on average shares outstanding during the period. |
| (b) | Less than $0.005 per share. |
| (c) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
| (d) | Not annualized. |
| (e) | The ratios exclude the impact of expenses of the underlying funds in which the Fund invests as represented in the Schedule of Investments. |
| (f) | Annualized. |
See Notes to Financial Statements.
|
96
|
(888) 848-7569 | www.rivernorth.com
|
For a share outstanding throughout the periods presented
|
For the
Six Months Ended
March 31, 2016 (Unaudited)
|
For the
Year Ended September 30, 2015
|
For the
Year Ended September 30, 2014
|
For the
Year Ended September 30, 2013
|
For the
Year Ended September 30, 2012
|
For the
Year Ended September 30, 2011
|
|||||||||||||||||
|
$
|
10.74
|
$
|
13.05
|
$
|
12.65
|
$
|
12.37
|
$
|
11.18
|
$
|
11.63
|
|||||||||||
|
0.30
|
0.39
|
0.32
|
0.20
|
0.20
|
0.32
|
|||||||||||||||||
|
0.22
|
(1.27
|
)
|
1.00
|
0.96
|
2.01
|
(0.45
|
)
|
|||||||||||||||
|
0.52
|
(0.88
|
)
|
1.32
|
1.16
|
2.21
|
(0.13
|
)
|
|||||||||||||||
|
(0.45
|
)
|
(0.57
|
)
|
(0.24
|
)
|
(0.35
|
)
|
(0.50
|
)
|
(0.32
|
)
|
|||||||||||
|
(0.26
|
)
|
(0.86
|
)
|
(0.68
|
)
|
(0.53
|
)
|
(0.52
|
)
|
–
|
||||||||||||
|
(0.71
|
)
|
(1.43
|
)
|
(0.92
|
)
|
(0.88
|
)
|
(1.02
|
)
|
(0.32
|
)
|
|||||||||||
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
|||||||||||
|
(0.19
|
)
|
(2.31
|
)
|
0.40
|
0.28
|
1.19
|
(0.45
|
)
|
||||||||||||||
|
$
|
10.55
|
$
|
10.74
|
$
|
13.05
|
$
|
12.65
|
$
|
12.37
|
$
|
11.18
|
|||||||||||
|
4.94
|
%(d)
|
(7.67
|
%)
|
10.81
|
%
|
10.08
|
%
|
21.05
|
%
|
(1.33
|
%)
|
|||||||||||
|
$
|
604,691
|
$
|
538,689
|
$
|
705,299
|
$
|
647,365
|
$
|
569,324
|
$
|
488,195
|
|||||||||||
|
1.35
|
%(f)
|
1.35
|
%
|
1.37
|
%
|
1.35
|
%
|
1.36
|
%
|
1.45
|
%
|
|||||||||||
|
1.35
|
%(f)
|
1.35
|
%
|
1.37
|
%
|
1.35
|
%
|
1.36
|
%
|
1.45
|
%
|
|||||||||||
|
5.72
|
%(f)
|
3.16
|
%
|
2.60
|
%
|
1.66
|
%
|
1.74
|
%
|
2.57
|
%
|
|||||||||||
|
5.72
|
%(f)
|
3.16
|
%
|
2.60
|
%
|
1.66
|
%
|
1.74
|
%
|
2.57
|
%
|
|||||||||||
|
8
|
%(d)
|
23
|
%
|
46
|
%
|
46
|
%
|
30
|
%
|
38
|
%
|
|||||||||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
97
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Class I
|
Financial Highlights
|
Net asset value ‐ beginning of period
|
|
Income from investment operations:
|
|
Net investment income(a)
|
|
Net realized and unrealized gain/ (loss) on investments(a)
|
|
Total income from investment operations
|
|
Less distributions:
|
|
From net investment income
|
|
From net realized gain on investments
|
|
Total distributions
|
|
Paid‐in capital from redemption fees(a)
|
|
Net increase/(decrease) in net asset value
|
|
Net asset value ‐ end of period
|
|
Total Return(c)
|
|
Ratios/Supplemental Data:
|
|
Net assets, end of period (in thousands)
|
|
Ratio of expenses to average net assets excluding fee waivers and reimbursements(e)
|
|
Ratio of expenses to average net assets including fee waivers and reimbursements(e)
|
|
Ratio of net investment income to average net assets excluding fee waivers and reimbursements(e)
|
|
Ratio of net investment income to average net assets including fee waivers and reimbursements(e) Portfolio turnover rate
|
| (a) | Based on average shares outstanding during the period. |
| (b) | Less than $0.005 per share. |
| (c) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
| (d) | Not annualized. |
| (e) | The ratios exclude the impact of expenses of the underlying funds in which the Fund invests as represented in the Schedule of Investments. |
| (f) | Annualized. |
See Notes to Financial Statements.
|
98
|
(888) 848-7569 | www.rivernorth.com
|
For a share outstanding throughout the periods presented
|
For the
Six Months Ended
March 31, 2016 (Unaudited)
|
For the
Year Ended September 30, 2015
|
For the
Year Ended September 30, 2014
|
For the
Year Ended September 30, 2013
|
For the
Year Ended September 30, 2012
|
For the Period December 30, 2010 (Inception) to September 30, 2011
|
|||||||||||||||||
|
$
|
10.37
|
$
|
10.88
|
$
|
10.62
|
$
|
11.33
|
$
|
10.59
|
$
|
10.00
|
|||||||||||
|
0.30
|
0.56
|
0.59
|
0.52
|
0.57
|
0.42
|
|||||||||||||||||
|
0.01
|
(0.55
|
)
|
0.38
|
(0.51
|
)
|
0.82
|
0.46
|
|||||||||||||||
|
0.31
|
0.01
|
0.97
|
0.01
|
1.39
|
0.88
|
|||||||||||||||||
|
(0.39
|
)
|
(0.52
|
)
|
(0.66
|
)
|
(0.63
|
)
|
(0.63
|
)
|
(0.30
|
)
|
|||||||||||
|
–
|
–
|
(0.05
|
)
|
(0.09
|
)
|
(0.02
|
)
|
–
|
||||||||||||||
|
(0.39
|
)
|
(0.52
|
)
|
(0.71
|
)
|
(0.72
|
)
|
(0.65
|
)
|
(0.30
|
)
|
|||||||||||
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.01
|
||||||||||||
|
(0.08
|
)
|
(0.51
|
)
|
0.26
|
(0.71
|
)
|
0.74
|
0.59
|
||||||||||||||
|
$
|
10.29
|
$
|
10.37
|
$
|
10.88
|
$
|
10.62
|
$
|
11.33
|
$
|
10.59
|
|||||||||||
|
3.04
|
%(d)
|
0.04
|
%
|
9.38
|
%
|
(0.03
|
%)
|
13.56
|
%
|
8.97
|
%(d)
|
|||||||||||
|
$
|
1,732,369
|
$
|
1,735,108
|
$
|
1,148,744
|
$
|
785,974
|
$
|
878,631
|
$
|
332,664
|
|||||||||||
|
0.85
|
%(f)
|
0.86
|
%
|
0.91
|
%
|
0.89
|
%
|
0.90
|
%
|
1.08
|
%(f)
|
|||||||||||
|
0.85
|
%(f)
|
0.86
|
%
|
0.91
|
%
|
0.89
|
%
|
0.90
|
%
|
0.95
|
%(f)
|
|||||||||||
|
5.85
|
%(f)
|
5.24
|
%
|
5.47
|
%
|
4.68
|
%
|
5.20
|
%
|
5.18
|
%(f)
|
|||||||||||
|
5.85
|
%(f)
|
5.24
|
%
|
5.47
|
%
|
4.68
|
%
|
5.20
|
%
|
5.31
|
%(f)
|
|||||||||||
|
20
|
%(d)
|
29
|
%
|
56
|
%
|
80
|
%
|
74
|
%
|
64
|
%(d)
|
|||||||||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2016
|
99
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Class R
|
Financial Highlights
|
Net asset value ‐ beginning of period
|
|
Income/(loss) from investment operations:
|
|
Net investment income(a)
|
|
Net realized and unrealized gain/ (loss) on investments(a)
|
|
Total income/(loss) from investment operations
|
|
Less distributions:
|
|
From net investment income
|
|
From net realized gain on investments
|
|
Total distributions
|
|
Paid‐in capital from redemption fees(a)
|
|
Net increase/(decrease) in net asset value
|
|
Net asset value ‐ end of period
|
|
Total Return(c)
|
|
Ratios/Supplemental Data:
|
|
Net assets, end of period (in thousands)
|
|
Ratio of expenses to average net assets excluding fee waivers and reimbursements(e)
|
|
Ratio of expenses to average net assets including fee waivers and reimbursements(e)
|
|
Ratio of net investment income to average net assets excluding fee waivers and reimbursements(e)
|
|
Ratio of net investment income to average net assets including fee waivers and reimbursements(e)
|
|
Portfolio turnover rate
|
| (a) | Based on average shares outstanding during the period. |
| (b) | Less than $0.005 per share. |
| (c) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
| (d) | Not annualized. |
| (e) | The ratios exclude the impact of expenses of the underlying funds in which the Fund invests as represented in the Schedule of Investments. |
| (f) | Annualized. |
See Notes to Financial Statements.
|
100
|
(888) 848-7569 | www.rivernorth.com
|
For a share outstanding throughout the periods presented
|
For the
Six Months Ended
March 31, 2016 (Unaudited)
|
For the
Year Ended September 30, 2015
|
For the
Year Ended September 30, 2014
|
For the
Year Ended September 30, 2013
|
For the
Year Ended September 30, 2012
|
For the Period December 30, 2010 (Inception) to September 30, 2011
|
|||||||||||||||||
|
$
|
10.39
|
$
|
10.89
|
$
|
10.63
|
$
|
11.34
|
$
|
10.60
|
$
|
10.00
|
|||||||||||
|
0.29
|
0.54
|
0.57
|
0.49
|
0.54
|
0.40
|
|||||||||||||||||
|
(0.01
|
)
|
(0.55
|
)
|
0.38
|
(0.51
|
)
|
0.82
|
0.46
|
||||||||||||||
|
0.28
|
(0.01
|
)
|
0.95
|
(0.02
|
)
|
1.36
|
0.86
|
|||||||||||||||
|
(0.37
|
)
|
(0.49
|
)
|
(0.64
|
)
|
(0.60
|
)
|
(0.61
|
)
|
(0.28
|
)
|
|||||||||||
|
–
|
–
|
(0.05
|
)
|
(0.09
|
)
|
(0.02
|
)
|
–
|
||||||||||||||
|
(0.37
|
)
|
(0.49
|
)
|
(0.69
|
)
|
(0.69
|
)
|
(0.63
|
)
|
(0.28
|
)
|
|||||||||||
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.01
|
0.02
|
|||||||||||||
|
(0.09
|
)
|
(0.50
|
)
|
0.26
|
(0.71
|
)
|
0.74
|
0.60
|
||||||||||||||
|
$
|
10.30
|
$
|
10.39
|
$
|
10.89
|
$
|
10.63
|
$
|
11.34
|
$
|
10.60
|
|||||||||||
|
2.80
|
%(d)
|
(0.12
|
%)
|
9.09
|
%
|
(0.29
|
%)
|
13.28
|
%
|
8.88
|
%(d)
|
|||||||||||
|
$
|
221,482
|
$
|
233,319
|
$
|
232,191
|
$
|
270,560
|
$
|
453,520
|
$
|
141,779
|
|||||||||||
|
1.10
|
%(f)
|
1.11
|
%
|
1.16
|
%
|
1.14
|
%
|
1.15
|
%
|
1.33
|
%(f)
|
|||||||||||
|
1.10
|
%(f)
|
1.11
|
%
|
1.16
|
%
|
1.14
|
%
|
1.15
|
%
|
1.20
|
%(f)
|
|||||||||||
|
5.59
|
%(f)
|
4.97
|
%
|
5.26
|
%
|
4.40
|
%
|
4.96
|
%
|
4.99
|
%(f)
|
|||||||||||
|
5.59
|
%(f)
|
4.97
|
%
|
5.26
|
%
|
4.40
|
%
|
4.96
|
%
|
5.11
|
%(f)
|
|||||||||||
|
20
|
%(d)
|
29
|
%
|
56
|
%
|
80
|
%
|
74
|
%
|
64
|
%(d)
|
|||||||||||
|
Semi-Annual Report | March 31, 2016
|
101
|
|
RiverNorth Equity Opportunity Fund
|
Class I
|
Financial Highlights
|
Net asset value ‐ beginning of period
|
|
Income/(loss) from investment operations:
|
|
Net investment income/(loss)(b)
|
|
Net realized and unrealized gain/(loss) on investments(b)
|
|
Total income/(loss) from investment operations
|
|
Less distributions:
|
|
From net investment income
|
|
From net realized gain on investments
|
|
Total distributions
|
|
Paid‐in capital from redemption fees(b)
|
|
Net increase/(decrease) in net asset value
|
|
Net asset value ‐ end of period
|
|
Total Return(d)
|
|
Ratios/Supplemental Data:
|
|
Net assets, end of period (in thousands)
|
|
Ratio of expenses to average net assets excluding fee waivers and reimbursements(f)
|
|
Ratio of expenses to average net assets including fee waivers and reimbursements(f)
|
|
Ratio of net investment income/(loss) to average net assets excluding fee waivers and reimbursements(f)
|
|
Ratio of net investment income/(loss) to average net assets including fee waivers and reimbursements(f)
|
|
Portfolio turnover rate
|
| (a) | Prior to January 1, 2014, the RiverNorth Equity Opportunity Fund was known as the RiverNorth/Manning & Napier Dividend Income Fund. |
| (b) | Based on average shares outstanding during the period. |
| (c) | Less than $0.005 per share. |
| (d) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
| (e) | Not annualized. |
| (f) | The ratios exclude the impact of expenses of the underlying funds in which the Fund invests as represented in the Schedule of Investments. |
|
(g)
|
Annualized. |
See Notes to Financial Statements.
|
102
|
(888) 848-7569 | www.rivernorth.com
|
For a share outstanding throughout the periods presented
|
For the
Six Months Ended
March 31, 2016
(Unaudited)
|
For the
Year Ended
September 30, 2015
|
For the
Year Ended
September 30, 2014(a)
|
For the
Year Ended
September 30, 2013
|
For the Period
July 18, 2012
(Inception) to
September 30, 2012
|
||||||||||||||
|
$
|
9.25
|
$
|
12.15
|
$
|
11.68
|
$
|
10.42
|
$
|
10.00
|
|||||||||
|
0.29
|
(0.01
|
)
|
0.17
|
0.22
|
0.02
|
|||||||||||||
|
(0.01
|
)
|
(0.59
|
)
|
1.48
|
1.50
|
0.42
|
||||||||||||
|
0.28
|
(0.60
|
)
|
1.65
|
1.72
|
0.44
|
|||||||||||||
|
(0.29
|
)
|
(0.41
|
)
|
(0.55
|
)
|
(0.39
|
)
|
(0.02
|
)
|
|||||||||
|
(0.30
|
)
|
(1.89
|
)
|
(0.63
|
)
|
(0.08
|
)
|
–
|
||||||||||
|
(0.59
|
)
|
(2.30
|
)
|
(1.18
|
)
|
(0.47
|
)
|
(0.02
|
)
|
|||||||||
|
0.00
|
(c)
|
0.00
|
(c)
|
0.00
|
(c)
|
0.01
|
–
|
|||||||||||
|
(0.31
|
)
|
(2.90
|
)
|
0.47
|
1.26
|
0.42
|
||||||||||||
|
$
|
8.94
|
$
|
9.25
|
$
|
12.15
|
$
|
11.68
|
$
|
10.42
|
|||||||||
|
2.99
|
%(e)
|
(6.99
|
%)
|
14.52
|
%
|
16.99
|
%
|
4.44
|
%(e)
|
|||||||||
|
$
|
9,406
|
$
|
1,683
|
$
|
1,925
|
$
|
3,067
|
$
|
1,069
|
|||||||||
|
1.72
|
%(g)
|
2.00
|
%
|
2.03
|
%
|
1.98
|
%
|
6.16
|
%(g)
|
|||||||||
|
1.35
|
%(g)
|
1.35
|
%
|
1.35
|
%
|
1.35
|
%
|
1.35
|
%(g)
|
|||||||||
|
6.19
|
%(g)
|
(0.71
|
%)
|
0.76
|
%
|
1.33
|
%
|
(3.92%
|
)(g)
|
|||||||||
|
6.56
|
%(g)
|
(0.05
|
%)
|
1.44
|
%
|
1.96
|
%
|
0.89
|
%(g)
|
|||||||||
|
36
|
%(e)
|
51
|
%
|
107
|
%
|
100
|
%
|
13
|
%(e)
|
|||||||||
|
Semi-Annual Report | March 31, 2016
|
103
|
|
RiverNorth Equity Opportunity Fund
|
Class R
|
Financial Highlights
|
Net asset value ‐ beginning of period
|
|
Income/(loss) from investment operations:
|
|
Net investment income(b)
|
|
Net realized and unrealized gain/(loss) on investments(b)
|
|
Total income/(loss) from investment operations
|
|
Less distributions:
|
|
From net investment income
|
|
From net realized gain on investments
|
|
Total distributions
|
|
Paid‐in capital from redemption fees(b)
|
|
Net increase/(decrease) in net asset value
|
|
Net asset value ‐ end of period
|
|
Total Return(d)
|
|
Ratios/Supplemental Data:
|
|
Net assets, end of period (in thousands)
|
|
Ratio of expenses to average net assets excluding fee waivers and reimbursements(f)
|
|
Ratio of expenses to average net assets including fee waivers and reimbursements(f)
|
|
Ratio of net investment income/(loss) to average net assets excluding fee waivers and reimbursements(f)
|
|
Ratio of net investment income to average net assets including fee waivers and reimbursements(f)
|
| (a) | Prior to January 1, 2014, the RiverNorth Equity Opportunity Fund was known as the RiverNorth/Manning & Napier Dividend Income Fund. |
| (b) | Based on average shares outstanding during the period. |
| (c) | Less than $0.005 per share. |
| (d) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
| (e) | Not annualized. |
| (f) | The ratios exclude the impact of expenses of the underlying funds in which the Fund invests as represented in the Schedule of Investments. |
| (g) | Annualized. |
See Notes to Financial Statements.
|
104
|
(888) 848-7569 | www.rivernorth.com
|
For a share outstanding throughout the periods presented
|
For the
Six Months Ended
March 31, 2016 (Unaudited)
|
For the
Year Ended
September 30, 2015
|
For the
Year Ended
September 30, 2014(a)
|
For the
Year Ended
September 30, 2013
|
For the Period
July 18, 2012
(Inception) to
September 30, 2012
|
||||||||||||||
|
$
|
9.25
|
$
|
12.15
|
$
|
11.68
|
$
|
10.42
|
$
|
10.00
|
|||||||||
|
0.27
|
0.00
|
(c)
|
0.13
|
0.19
|
0.01
|
|||||||||||||
|
0.00
|
(c)
|
(0.62
|
)
|
1.48
|
1.51
|
0.44
|
||||||||||||
|
0.27
|
(0.62
|
)
|
1.61
|
1.70
|
0.45
|
|||||||||||||
|
(0.28
|
)
|
(0.39
|
)
|
(0.52
|
)
|
(0.37
|
)
|
(0.03
|
)
|
|||||||||
|
(0.30
|
)
|
(1.89
|
)
|
(0.62
|
)
|
(0.08
|
)
|
–
|
||||||||||
|
(0.58
|
)
|
(2.28
|
)
|
(1.14
|
)
|
(0.45
|
)
|
(0.03
|
)
|
|||||||||
|
0.00
|
(c)
|
0.00
|
(c)
|
0.00
|
(c)
|
0.01
|
0.00
|
(c)
|
||||||||||
|
(0.31
|
)
|
(2.90
|
)
|
0.47
|
1.26
|
0.42
|
||||||||||||
|
$
|
8.94
|
$
|
9.25
|
$
|
12.15
|
$
|
11.68
|
$
|
10.42
|
|||||||||
|
2.87
|
%(e)
|
(7.20
|
%)
|
14.22
|
%
|
16.75
|
%
|
4.46
|
%(e)
|
|||||||||
|
$
|
4,210
|
$
|
5,217
|
$
|
8,820
|
$
|
10,923
|
$
|
6,282
|
|||||||||
|
1.97
|
%(g)
|
2.22
|
%
|
2.28
|
%
|
2.21
|
%
|
6.21
|
%(g)
|
|||||||||
|
1.60
|
%(g)
|
1.60
|
%
|
1.60
|
%
|
1.60
|
%
|
1.60
|
%(g)
|
|||||||||
|
5.67
|
%(g)
|
(0.60
|
%)
|
0.41
|
%
|
1.09
|
%
|
(4.12%
|
)(g)
|
|||||||||
|
6.04
|
%(g)
|
0.02
|
%
|
1.09
|
%
|
1.71
|
%
|
0.49
|
%(g)
|
|||||||||
|
36
|
%(e)
|
51
|
%
|
107
|
%
|
100
|
%
|
13
|
%(e)
|
|||||||||
|
Semi-Annual Report | March 31, 2016
|
105
|
|
RiverNorth/Oaktree High Income Fund
|
Class I
|
|
Financial Highlights
|
For a share outstanding throughout the periods presented
|
|
For the
Six Months
Ended
March 31, 2016
(Unaudited)
|
For the
Year Ended September 30, 2015
|
For the
Year Ended September 30, 2014
|
For the Period December 28, 2012 (Inception) to September 30, 2013
|
|||||||||||||
|
Net asset value ‐ beginning of period
|
$
|
9.18
|
$
|
10.25
|
$
|
9.95
|
$
|
10.00
|
||||||||
|
Income/(loss) from investment operations:
|
||||||||||||||||
|
Net investment income(a)
|
0.25
|
0.43
|
0.47
|
0.22
|
||||||||||||
|
Net realized and unrealized gain/(loss)on investments(a)
|
(0.08
|
)
|
(0.77
|
)
|
0.33
|
(0.07
|
)
|
|||||||||
|
Total income/(loss) from investment operations
|
0.17
|
(0.34
|
)
|
0.80
|
0.15
|
|||||||||||
|
Less distributions:
|
||||||||||||||||
|
From net investment income
|
(0.37
|
)
|
(0.53
|
)
|
(0.50
|
)
|
(0.20
|
)
|
||||||||
|
From net realized gain on investments
|
–
|
(0.20
|
)
|
–
|
–
|
|||||||||||
|
Total distributions
|
(0.37
|
)
|
(0.73
|
)
|
(0.50
|
)
|
(0.20
|
)
|
||||||||
|
Paid‐in capital from redemption fees(a)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
||||||||
|
Net increase/(decrease) in net asset value
|
(0.20
|
)
|
(1.07
|
)
|
0.30
|
(0.05
|
)
|
|||||||||
|
Net asset value ‐ end of period
|
$
|
8.98
|
$
|
9.18
|
$
|
10.25
|
$
|
9.95
|
||||||||
|
Total Return(c)
|
1.89
|
%(d)
|
(3.50
|
%)
|
8.16
|
%
|
1.52
|
%(d)
|
||||||||
See Notes to Financial Statements.
|
106
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/Oaktree High Income Fund
|
Class I
|
|
Financial Highlights
|
For a share outstanding throughout the periods presented
|
|
For the Six
Months Ended
March 31, 2016
(Unaudited)
|
For the
Year Ended September 30, 2015
|
For the
Year Ended September 30, 2014
|
For the Period December 28, 2012 (Inception) to September 30,
2013
|
|||||||||||||
|
Supplemental Data:
|
||||||||||||||||
|
Net assets, end of period (in thousands)
|
$
|
76,603
|
$
|
88,360
|
$
|
69,473
|
$
|
25,472
|
||||||||
|
Ratios to Average Net Assets (including interest expense)
|
||||||||||||||||
|
Ratio of expenses to average net assets excluding fee waivers and reimbursements(e)
|
1.33
|
%(f)(g)
|
1.36
|
%(g)
|
1.39
|
%
|
1.58
|
%(f)
|
||||||||
|
Ratio of expenses to average net assets including fee waivers and reimbursements(e)
|
1.33
|
%(f)(g)
|
1.36
|
%(g)
|
1.35
|
%
|
1.35
|
%(f)
|
||||||||
|
Ratio of net investment income to average net assets excluding fee waivers and reimbursements(e)
|
5.46
|
%(f)(g)
|
4.40
|
%(g)
|
4.45
|
%
|
2.65
|
%(f)
|
||||||||
|
Ratio of net investment income to average net assets including fee waivers and reimbursements(e)
|
5.46
|
%(f)(g)
|
4.40
|
%(g)
|
4.49
|
%
|
2.88
|
%(f)
|
||||||||
|
Ratios to Average Net Assets (excluding interest expense)
|
||||||||||||||||
|
Ratio of expenses to average net assets excluding fee waivers and reimbursements(e)
|
1.33
|
%(f)(g)
|
1.35
|
%(g)
|
1.39
|
%
|
1.58
|
%(f)
|
||||||||
|
Ratio of expenses to average net assets including fee waivers and reimbursements(e)
|
1.33
|
%(f)(g)
|
1.35
|
%(g)
|
1.35
|
%
|
1.35
|
%(f)
|
||||||||
|
Ratio of net investment income to average net assets excluding fee waivers and reimbursements(e)
|
5.46
|
%(f)(g)
|
4.41
|
%(g)
|
4.45
|
%
|
2.65
|
%(f)
|
||||||||
|
Ratio of net investment income to average net assets including fee waivers and reimbursements(e)
|
5.46
|
%(f)(g)
|
4.41
|
%(g)
|
4.49
|
%
|
2.88
|
%(f)
|
||||||||
|
Portfolio turnover rate
|
14
|
%(d)
|
70
|
%
|
91
|
%
|
117
|
%(d)
|
||||||||
| (a) | Based on average shares outstanding during the period. |
| (b) | Less than $0.005 per share. |
| (c) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
| (d) | Not annualized. |
|
Semi-Annual Report | March 31, 2016
|
107 |
|
RiverNorth/Oaktree High Income Fund
|
Class I
|
|
Financial Highlights
|
For a share outstanding throughout the periods presented
|
| (e) | The ratios exclude the impact of expenses of the underlying funds in which the Fund invests as represented in the Schedule of Investments. |
| (f) | Annualized. |
| (g) | The portion of the ratios attributable to recoupments for the year ended September 30, 2015 is 0.06% and 0.01% for the six months ended March 31, 2016. |
See Notes to Financial Statements.
| 108 |
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/Oaktree High Income Fund
|
Class R
|
|
Financial Highlights
|
For a share outstanding throughout the periods presented
|
|
For the Six
Months Ended
March 31, 2016
(Unaudited)
|
For the Year Ended September 30,
2015
|
For the Year Ended September 30,
2014
|
For the Period
December 28, 2012 (Inception) to September 30,
2013
|
|||||||||||||
|
Net asset value ‐ beginning of period
|
$
|
9.17
|
$
|
10.24
|
$
|
9.95
|
$
|
10.00
|
||||||||
|
Income/(loss) from investment operations:
|
||||||||||||||||
|
Net investment income(a)
|
0.23
|
0.41
|
0.46
|
0.21
|
||||||||||||
|
Net realized and unrealized gain/(loss)on investments(a)
|
(0.08
|
)
|
(0.77
|
)
|
0.31
|
(0.07
|
)
|
|||||||||
|
Total income/(loss) from investment operations
|
0.15
|
(0.36
|
)
|
0.77
|
0.14
|
|||||||||||
|
Less distributions:
|
||||||||||||||||
|
From net investment income
|
(0.35
|
)
|
(0.51
|
)
|
(0.48
|
)
|
(0.19
|
)
|
||||||||
|
From net realized gain on investments
|
–
|
(0.20
|
)
|
–
|
–
|
|||||||||||
|
Total distributions
|
(0.35
|
)
|
(0.71
|
)
|
(0.48
|
)
|
(0.19
|
)
|
||||||||
|
Paid‐in capital from redemption fees(a)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
||||||||
|
Net increase/(decrease) in net asset value
|
(0.20
|
)
|
(1.07
|
)
|
0.29
|
(0.05
|
)
|
|||||||||
|
Net asset value ‐ end of period
|
$
|
8.97
|
$
|
9.17
|
$
|
10.24
|
$
|
9.95
|
||||||||
|
Total Return(c)
|
1.76
|
%(d)
|
(3.76
|
%)
|
7.78
|
%
|
1.38
|
%(d)
|
||||||||
|
Semi-Annual Report | March 31, 2016
|
109 |
|
RiverNorth/Oaktree High Income Fund
|
Class R
|
|
Financial Highlights
|
For a share outstanding throughout the periods presented
|
|
For the Six Months Ended March 31, 2016 (Unaudited)
|
For the Year Ended September 30,
2015
|
For the Year Ended September 30,
2014
|
For the Period December 28, 2012 (Inception) to September 30, 2013
|
|||||||||||||
|
Supplemental Data:
|
||||||||||||||||
|
Net assets, end of period (in thousands)
|
$
|
7,420
|
$
|
10,368
|
$
|
16,163
|
$
|
22,115
|
||||||||
|
Ratios to Average Net Assets (including interest expense)
|
||||||||||||||||
|
Ratio of expenses to average net assets excluding fee waivers and reimbursements(e)
|
1.62%
|
%(f)(g)
|
1.61
|
%(g)
|
1.63
|
%
|
1.80
|
%(f)
|
||||||||
|
Ratio of expenses to average net assets including fee waivers and reimbursements(e)
|
1.60%
|
%(f)(g)
|
1.61
|
%(g)
|
1.60
|
%
|
1.60
|
%(f)
|
||||||||
|
Ratio of net investment income to average net assets excluding fee waivers and reimbursements(e)
|
5.17%
|
%(f)(g)
|
4.14
|
%(g)
|
4.40
|
%
|
2.60
|
%(f)
|
||||||||
|
Ratio of net investment income to average net assets including fee waivers and reimbursements(e)
|
5.19%
|
%(f)(g)
|
4.14
|
%(g)
|
4.43
|
%
|
2.80
|
%(f)
|
||||||||
|
Ratios to Average Net Assets (excluding interest expense)
|
||||||||||||||||
|
Ratio of expenses to average net assets excluding fee waivers and reimbursements(e)
|
1.62%
|
%(f)(g)
|
1.60
|
%(g)
|
1.63
|
%
|
1.80
|
%(f)
|
||||||||
|
Ratio of expenses to average net assets including fee waivers and reimbursements(e)
|
1.60%
|
%(f)(g)
|
1.60
|
%(g)
|
1.60
|
%
|
1.60
|
%(f)
|
||||||||
|
Ratio of net investment income to average net assets excluding fee waivers and reimbursements(e)
|
5.17%
|
%(f)(g)
|
4.15
|
%(g)
|
4.40
|
%
|
2.60
|
%(f)
|
||||||||
|
Ratio of net investment income to average net assets including fee waivers and reimbursements(e)
|
5.19%
|
%(f)(g)
|
4.15
|
%(g)
|
4.43
|
%
|
2.80
|
%(f)
|
||||||||
|
Portfolio turnover rate
|
14
|
%(d)
|
70
|
%
|
91
|
%
|
117
|
%(d)
|
||||||||
See Notes to Financial Statements.
|
110
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|
|
RiverNorth/Oaktree High Income Fund
|
Class R
|
|
Financial Highlights
|
For a share outstanding throughout the periods presented
|
| (a) | Based on average shares outstanding during the period. |
| (b) | Less than $0.005 per share. |
| (c) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
| (d) | Not annualized. |
| (e) | The ratios exclude the impact of expenses of the underlying funds in which the Fund invests as represented in the Schedule of Investments. |
| (f) | Annualized. |
| (g) | The portion of the ratios attributable to recoupments for the year ended September 30, 2015 is 0.05% and 0.05% for the six months ended March 31, 2016. |
|
Semi-Annual Report | March 31, 2016
|
111
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2016 (Unaudited)
1. ORGANIZATION
The RiverNorth Funds (the “Trust” or “Funds”) was established under the laws of Ohio by an Agreement and Declaration of Trust dated July 18, 2006 (the “Trust Agreement”). The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust Agreement permits the Board of Trustees (the “Board’ or “Trustees”) to authorize and issue an unlimited number of shares of beneficial interest of a separate series without par value. All classes of shares for each of the Funds have identical rights to earnings, assets and voting privileges, except for class-specific expenses and exclusive rights to vote on matters affecting only individual classes. The Funds are considered investment companies and therefore follow the Investment Company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services- Investment Companies.
The RiverNorth Core Opportunity Fund (the “Core Opportunity Fund”) was organized as a diversified series of the Trust on July 18, 2006 and commenced investment operations on December 27, 2006. The Core Opportunity Fund offers two series of shares, Class I Shares and Class R Shares. The investment adviser to the Core Opportunity Fund is RiverNorth Capital Management, LLC (the “Adviser”). The investment objective of the Core Opportunity Fund is to seek long-term capital appreciation and income.
The RiverNorth/DoubleLine Strategic Income Fund (the “Strategic Income Fund”) is a diversified series of the Trust and commenced investment operations on December 30, 2010. The Strategic Income Fund offers two series of shares, Class I Shares and Class R Shares. The investment adviser to the Strategic Income Fund is RiverNorth Capital Management, LLC. The Strategic Income Fund’s sub-adviser is DoubleLine Capital, LP (“DoubleLine”). The investment objective of the Strategic Income Fund is current income and overall total return.
The RiverNorth Equity Opportunity Fund (the “Equity Opportunity Fund”) is a diversified series of the Trust and commenced investment operations on July 18, 2012. The Equity Opportunity Fund offers two series of shares, Class I Shares and Class R Shares. The investment adviser to the Equity Opportunity Fund is RiverNorth Capital Management, LLC. The investment objective of the Equity Opportunity Fund is overall total return consisting of long-term capital appreciation and income. Prior to January 1, 2014 the name of the Equity Opportunity Fund was the RiverNorth/Manning & Napier Dividend Income Fund and the sub-adviser was Manning & Napier Advisors, LLC. On January 28, 2014 the strategy of the RiverNorth Equity Opportunity Fund changed to permit the RiverNorth Equity Opportunity Fund to gain exposure to the equity markets through exchange‐traded funds rather than individual dividend‐paying stocks.
The RiverNorth/Oaktree High Income Fund (the “High Income Fund”) is a diversified series of the Trust and commenced investment operations on December 28, 2012. The High Income Fund offers two series of shares, Class I Shares and Class R Shares. The investment adviser to the High Income Fund is RiverNorth Capital Management, LLC. The High Income Fund’s sub-adviser is Oaktree Capital Management, L.P. (“Oaktree Capital,” and with DoubleLine, each a “Sub-Adviser” or collectively, the “Sub-Advisers”). The investment objective of the High Income Fund is overall total return consisting of long-term capital appreciation and income.
|
112
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|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2016 (Unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the Funds. These policies are in conformity with generally accepted accounting principles in the United States of America (“GAAP”). The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements during the reporting period. Management believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the financial statements may differ from the value the Funds ultimately realize upon sale of the securities. The financial statements have been prepared as of the close of the New York Stock Exchange (“NYSE”) on March 31, 2016.
Security Valuation: The Funds’ assets and other financial instruments are generally valued at their market value using market quotations. If a market value quotation is unavailable a security may be valued at its estimated fair value as described in Note 3.
Security Transactions and Related Income: The Funds follow industry practice and record security transactions on the trade date basis. The specific identification method is used for determining gains or losses for financial statements and income tax purposes. Dividend income is recorded on the ex-dividend date or for certain foreign securities, when the information becomes available to the Funds and interest income and expenses are recorded on an accrual basis. Discounts and premiums on securities purchased are amortized or accreted using the effective interest method. Withholding taxes on foreign dividends have been provided for in accordance with the Funds’ understanding of the applicable country’s tax rules and rates. The ability of issuers of debt securities held by the Funds to meet their obligations may be affected by economic and political developments in a specific country or region.
Foreign Currency Translation: The books and records of the Funds are maintained in U.S. dollars. Investment valuations and other assets and liabilities initially expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates. Prevailing foreign exchange rates may generally be obtained at the close of the NYSE (normally, 4:00 p.m. Eastern time). The portion of realized and unrealized gains or losses on investments due to fluctuations in foreign currency exchange rates is not separately disclosed and is included in realized and unrealized gains or losses on investments, when applicable.
Foreign Securities: The Funds may directly purchase securities of foreign issuers. Investing in securities of foreign issuers involves special risks not typically associated with investing in securities of U.S. issuers. The risks include possible revaluation of currencies, the ability to repatriate funds, less complete financial information about companies and possible future adverse political and economic developments. Moreover, securities of many foreign issuers and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. issuers.
Other: The Funds hold certain investments which pay dividends to their shareholders based upon available funds from operations. It is possible for these dividends to exceed the underlying investments’ taxable earnings and profits resulting in the excess portion of such dividends being designated as a return of capital. Distributions received from investments in securities that represent a return of capital or capital gains are recorded as a reduction of the cost of investments or as a realized gain, respectively.
|
Semi-Annual Report | March 31, 2016
|
113
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2016 (Unaudited)
Share Valuation: The net asset value (the “NAV”) is generally calculated as of the close of trading on the New York Stock Exchange (“the Exchange”) (normally 4:00 p.m. Eastern time) every day the Exchange is open. The NAV is calculated by taking the total value of each Fund’s or class’ assets, subtracting their liabilities, and then dividing by the total number of shares outstanding, rounded to the nearest cent. The offering price and redemption price per share is equal to the net asset value per share, except that shares of each Fund are subject to a redemption fee of 2% if redeemed within 90 days of purchase. For the six months ended March 31, 2016, the Core Opportunity Fund, Strategic Income Fund, Equity Opportunity Fund and High Income Fund received redemption fees of $72,164, $137,174, $1,591 and $14,726, respectively.
Expenses: Some expenses of the Trust can be directly attributed to a Fund or a Fund specific share class. Expenses which cannot be directly attributed are apportioned among all Funds and Fund series classes in the Trust based on average net assets.
Federal Income Taxes: The Funds make no provision for federal income tax. Each Fund intends to qualify each year as a “regulated investment company” under subchapter M of the Internal Revenue Code of 1986, as amended, by distributing substantially all of its taxable income. If the required amount of net investment income is not distributed, the Funds could incur a
tax expense.
tax expense.
As of and during the six months ended March 31, 2016, the Funds did not have a liability for any unrecognized tax benefits. The Funds file U.S. federal, state, and local tax returns as required. The Funds’ tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations which is generally three years after the filing of the tax return for federal purposes and four years for most state returns. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.
Distributions to Shareholders: Distributions to shareholders, which are determined in accordance with income tax regulations, are recorded on the ex-dividend date. The treatment for financial reporting purposes of distributions made to shareholders during the year from net investment income or net realized capital gains may differ from their ultimate treatment for federal income tax purposes. These differences are caused primarily by differences in the timing of recognition of certain components of income, expense or realized capital gain for federal income tax purposes. Where such differences are permanent in nature, they are reclassified in the components of the net assets based on their ultimate characterization for federal income tax purposes. Any such reclassification will have no effect on net assets, results of operations or net asset values per share of the Funds.
3. SECURITIES VALUATION AND FAIR VALUE MEASUREMENTS
Fair value is defined as the price that a Fund might reasonably expect to receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. GAAP establishes a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes.
|
114
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|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2016 (Unaudited)
Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including using such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
Various inputs are used in determining the value of the Funds’ investments. These inputs are summarized in the three broad levels listed below.
| • | Level 1 – Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that a Fund has the ability to access at the measurement date; |
| • | Level 2 – Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and |
| • | Level 3 – Significant unobservable prices or inputs (including the Funds’ own assumptions in determining the fair value of investments) where there is little or no market activity for the asset or liability at the measurement date. |
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Equity securities, including common stocks, closed-end funds, exchange-traded funds, preferred stocks, business development companies, and business development company senior notes are generally valued by using market quotations, but may be valued on the basis of prices furnished by a pricing service when the Adviser or a Sub-Adviser believes such prices more accurately reflect the fair market value of such securities. Securities that are traded on any stock exchange are generally valued by the pricing service at the last quoted sale price. Lacking a last sale price, an exchange traded security is generally valued by the pricing service at its last bid price. Securities traded in the NASDAQ over-the-counter market are generally valued by the pricing service at the NASDAQ Official Closing Price. When using the market quotations or close prices provided by the pricing service and when the market is considered active, the security will be classified as a Level 1 security. Sometimes, an equity security owned by the Funds will be valued by the pricing service with factors other than market quotations or when the market is considered inactive. When this happens, the security will be classified as a Level 2 security. When market quotations are not readily available, when the Adviser or a Sub-Adviser determines that the market quotation or the price provided by the pricing service does not accurately reflect the current fair value, or when restricted or illiquid securities are being valued, such securities are valued as determined in good faith by the Adviser, Sub-Adviser, or valuation committee in conformity with guidelines adopted by and subject to review by the Board. These securities will be categorized as Level 3 securities.
|
Semi-Annual Report | March 31, 2016
|
115
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2016 (Unaudited)
Investments in mutual funds, including short-term investments and open-end funds, are generally priced at the ending net asset value (NAV) provided by the service agent of the funds. These securities will be categorized as Level 1 securities.
Domestic and foreign fixed income securities, including foreign and U.S. corporate bonds, foreign and U.S. government bonds and notes, supranationals and foreign agencies, non-agency collateralized mortgage obligations, U.S. Government/Agency mortgage backed securities, bank loans, collateralized loan obligations, contingent convertible securities, municipal bonds, and high yield debt, as well as non-exchange traded derivatives, including forward foreign currency contracts and total return swaps, are normally valued on the basis of quotes obtained from brokers and dealers or independent pricing services. Total Return swaps are valued based on a formula of the underlying asset’s nightly value, the Overnight London‐Interbank Offered Rate (“USD‐LIBOR”) and an annual fee or various agreed upon inputs. Foreign Currency positions, including forward foreign currency contracts, are priced at the mean between the closing bid and asked prices at 4:00 p.m. eastern time. Prices obtained from independent pricing services typically use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Data used to establish quotes includes analysis of cash flows, pre-payment speeds, default rates, delinquency assumptions and assumptions regarding collateral and loss assumptions. These securities will be classified as Level 2 securities.
Short-term investments in fixed income securities, with maturities of less than 60 days when acquired, or which subsequently are within 60 days of maturity, are valued by using the amortized cost method of valuation, which the Board has determined will represent fair value. These securities will be classified as Level 2 securities.
In accordance with the Funds’ good faith pricing guidelines, the Adviser, Sub-Adviser, or valuation committee is required to consider all appropriate factors relevant to the value of securities for which it has determined other pricing sources are not available or reliable as described above. No single standard exists for determining fair value, because fair value depends upon the circumstances of each individual case. As a general principle, the current fair value of an issue of securities being valued by the Adviser, Sub-Adviser, or valuation committee would appear to be the amount which the owner might reasonably expect to receive for them upon their current sale. Methods which are in accordance with this principle may, for example, be based on (i) a multiple of earnings; (ii) a discount from market of a similar freely traded security (including a derivative security or a basket of securities traded on other markets, exchanges or among dealers); or (iii) yield to maturity with respect to debt issues, or a combination of these and other methods. Good faith pricing is permitted if, in the Adviser’s, a Sub-Adviser’s, or the valuation committee’s opinion, the validity of market quotations appears to be questionable based on factors such as evidence of a thin market in the security based on a small number of quotations, a significant event occurs after the close of a market but before a Funds’ NAV calculation that may affect a security’s value, or the Adviser or a Sub-Adviser is aware of any other data that calls into question the reliability of market quotations.
Good faith pricing may also be used in instances when the bonds the Funds invest in default or otherwise cease to have market quotations readily available. Investments in foreign securities, junk bonds or other thinly traded securities are more likely to trigger good faith pricing than other securities.
|
116
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|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2016 (Unaudited)
The following is a summary of the inputs used at March 31, 2016 in valuing the Funds’ assets and liabilities:
|
Core Opportunity Fund
|
||||||||||||||||
|
Valuation Inputs
|
||||||||||||||||
|
Investments in Securities at Value*
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
Business Development Companies
|
$
|
25,943,531
|
$
|
–
|
$
|
–
|
$
|
25,943,531
|
||||||||
|
Closed-End Funds
|
502,347,236
|
–
|
–
|
502,347,236
|
||||||||||||
|
Common Stocks
|
909,336
|
–
|
–
|
909,336
|
||||||||||||
|
Exchange-Traded Funds
|
127,352,793
|
–
|
–
|
127,352,793
|
||||||||||||
|
Preferred Stocks
|
1,692,248
|
–
|
–
|
1,692,248
|
||||||||||||
|
Short-Term Investments
|
94,434,700
|
–
|
–
|
94,434,700
|
||||||||||||
|
Total
|
$
|
752,679,844
|
$
|
–
|
$
|
–
|
$
|
752,679,844
|
||||||||
|
Valuation Inputs
|
||||||||||||||||
|
Other Financial Instruments**
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
Assets
|
||||||||||||||||
|
Total Return Swap Contracts
|
$
|
–
|
$
|
340,269
|
$
|
–
|
$
|
340,269
|
||||||||
|
Net receivable on purchase and settlement agreement***
|
1,726,969
|
–
|
–
|
1,726,969
|
||||||||||||
|
Liabilities
|
||||||||||||||||
|
Total Return Swap Contracts
|
–
|
(630,932
|
)
|
–
|
(630,932
|
)
|
||||||||||
|
Total
|
$
|
1,726,969
|
$
|
(290,663
|
)
|
$
|
–
|
$
|
1,436,306
|
|||||||
|
Strategic Income Fund
|
||||||||||||||||
|
Valuation Inputs
|
||||||||||||||||
|
Investments in Securities at Value*
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
Business Development Companies
|
$
|
32,597,945
|
$
|
–
|
$
|
–
|
$
|
32,597,945
|
||||||||
|
Business Development Company Senior Notes
|
28,830,546
|
–
|
–
|
28,830,546
|
||||||||||||
|
Closed-End Funds
|
587,991,966
|
–
|
–
|
587,991,966
|
||||||||||||
|
Collateralized Loan Obligations
|
–
|
14,926,697
|
–
|
14,926,697
|
||||||||||||
|
Common Stocks
|
1,752,123
|
–
|
–
|
1,752,123
|
||||||||||||
|
Contingent Convertible Securities
|
–
|
1,108,098
|
–
|
1,108,098
|
||||||||||||
|
Exchange-Traded Funds
|
14,068,001
|
–
|
–
|
14,068,001
|
||||||||||||
|
Foreign Corporate Bonds
|
–
|
47,742,617
|
–
|
47,742,617
|
||||||||||||
|
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies
|
–
|
2,032,000
|
–
|
2,032,000
|
||||||||||||
|
Municipal Bonds
|
–
|
20,810,033
|
–
|
20,810,033
|
||||||||||||
|
Semi-Annual Report | March 31, 2016
|
117
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2016 (Unaudited)
|
Strategic Income Fund (continued)
|
||||||||||||||||
|
Valuation Inputs
|
||||||||||||||||
|
Investments in Securities at Value*
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
Non-Agency Collateralized Mortgage Obligations
|
$
|
–
|
$
|
417,302,250
|
$
|
–
|
$
|
417,302,250
|
||||||||
|
Open-End Funds
|
24,324,633
|
–
|
–
|
24,324,633
|
||||||||||||
|
Preferred Stocks
|
12,862,415
|
–
|
–
|
12,862,415
|
||||||||||||
|
Short-Term Investments
|
330,803,320
|
–
|
–
|
330,803,320
|
||||||||||||
|
U.S. Corporate Bonds
|
–
|
62,906,004
|
–
|
62,906,004
|
||||||||||||
|
U.S. Government / Agency Mortgage Backed Securities
|
–
|
228,447,063
|
–
|
228,447,063
|
||||||||||||
|
U.S. Government Bonds and Notes
|
–
|
96,866,117
|
–
|
96,866,117
|
||||||||||||
|
Total
|
$
|
1,033,230,949
|
$
|
892,140,879
|
$
|
–
|
$
|
1,925,371,828
|
||||||||
|
Valuation Inputs
|
||||||||||||||||
|
Other Financial Instruments**
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
Assets
|
||||||||||||||||
|
Total Return Swap Contracts
|
$
|
–
|
$
|
530,959
|
$
|
–
|
$
|
530,959
|
||||||||
|
Net receivable on purchase and settlement agreement***
|
2,810,925
|
–
|
–
|
2,810,925
|
||||||||||||
|
Liabilities
|
||||||||||||||||
|
Total Return Swap Contracts
|
–
|
(677,420
|
)
|
–
|
(677,420
|
)
|
||||||||||
|
Total
|
$
|
2,810,925
|
$
|
(146,461
|
)
|
$
|
–
|
$
|
2,664,464
|
|||||||
|
Equity Opportunity Fund
|
||||||||||||||||
|
Valuation Inputs
|
||||||||||||||||
|
Investments in Securities at Value*
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
Closed-End Funds
|
$
|
11,199,577
|
$
|
–
|
$
|
–
|
$
|
11,199,577
|
||||||||
|
Exchange-Traded Funds
|
2,535,267
|
–
|
–
|
2,535,267
|
||||||||||||
|
Total
|
$
|
13,734,844
|
$
|
–
|
$
|
–
|
$
|
13,734,844
|
||||||||
|
High Income Fund
|
||||||||||||||||
|
Valuation Inputs
|
||||||||||||||||
|
Investments in Securities at Value*
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
Business Development Companies
|
$
|
1,361,646
|
$
|
–
|
$
|
–
|
$
|
1,361,646
|
||||||||
|
118
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|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2016 (Unaudited)
|
High Income Fund (continued)
|
||||||||||||||||
|
Valuation Inputs
|
||||||||||||||||
|
Investments in Securities at Value*
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
Closed-End Funds
|
$
|
23,528,385
|
$
|
–
|
$
|
–
|
$
|
23,528,385
|
||||||||
|
Common Stocks
|
56,087
|
–
|
–
|
56,087
|
||||||||||||
|
Preferred Stocks
|
401,838
|
–
|
–
|
401,838
|
||||||||||||
|
Bank Loans
|
||||||||||||||||
|
Italy
|
–
|
–
|
314,431
|
314,431
|
||||||||||||
|
United States
|
–
|
19,167,122
|
320,198
|
19,487,320
|
||||||||||||
|
Other
|
–
|
8,869,323
|
–
|
8,869,323
|
||||||||||||
|
High Yield Debt
|
–
|
23,542,610
|
–
|
23,542,610
|
||||||||||||
|
Short-Term Investments
|
5,864,214
|
–
|
–
|
5,864,214
|
||||||||||||
|
Total
|
$
|
31,212,170
|
$
|
51,579,055
|
$
|
634,629
|
$
|
83,425,854
|
||||||||
|
Valuation Inputs
|
||||||||||||||||
|
Other Financial Instruments**
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
Assets
|
||||||||||||||||
|
Forward Foreign Currency Contracts
|
$
|
–
|
$
|
42,667
|
$
|
–
|
$
|
42,667
|
||||||||
|
Total Return Swap Contracts
|
–
|
117,318
|
–
|
117,318
|
||||||||||||
|
Liabilities
|
||||||||||||||||
|
Forward Foreign Currency Contracts
|
–
|
(670,514
|
)
|
–
|
(670,514
|
)
|
||||||||||
|
Total
|
$
|
–
|
$
|
(510,529
|
)
|
$
|
–
|
$
|
(510,529
|
)
|
||||||
|
*
|
Refer to each Fund’s Schedule of Investments for a listing of securities by type.
|
|
**
|
Other financial instruments are derivative instruments not reflected in the Schedule of Investments.
|
|
***
|
See Note 4.
|
The changes of the fair value of investments for which the Funds have used Level 3 inputs to determine the fair value are as follows:
|
Investments in Securities
|
Balance
as of September 30, 2015
|
Accrued discount/ premium
|
Return of Capital
|
Realized Gain/ (Loss)
|
Change in Unrealized Appreciation/ (Depreciation)
|
Purchases
|
Sales Proceeds
|
Transfer into Level 3
|
Transfer out of Level 3
|
Balance as of March 31, 2016
|
Net change in unrealized appreciation/ (depreciation) included in the Statement of Operations attributable to Level 3 investments held at March 31, 2016
|
|||||||||||||||||||||||||||||||||
|
High Income Fund
|
||||||||||||||||||||||||||||||||||||||||||||
|
Bank Loans
|
$
|
499,357
|
$
|
746
|
$
|
–
|
$
|
(1,915
|
)
|
$
|
8,745
|
$
|
–
|
$
|
(9,554
|
)
|
$
|
137,250
|
$
|
–
|
$
|
634,629
|
$
|
(2,750
|
)
|
|||||||||||||||||||
|
Total
|
$
|
499,357
|
$
|
746
|
$
|
–
|
$
|
(1,915
|
)
|
$
|
8,745
|
$
|
–
|
$
|
(9,554
|
)
|
$
|
137,250
|
$
|
–
|
$
|
634,629
|
$
|
(2,750
|
)
|
|||||||||||||||||||
|
Semi-Annual Report | March 31, 2016
|
119
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2016 (Unaudited)
The table below provides additional information about the Level 3 Fair Value Measurements as of March 31, 2016:
Quantitative Information about Level 3 Fair Value Measurements
High Income Fund
|
Asset Class
|
Fair Value (USD)
|
Valuation Technique
|
Unobservable Inputs(a)
|
|
Bank Loans
|
$634,629
|
Third-Party Vendor Pricing Service
|
Vendor Quote
|
| (a) | A change to the unobservable input may result in a significant change to the value of the investment as follows: |
|
Unobservable Input
|
Impact to Value if Input Increases
|
Impact to Value if Input Decreases
|
|
Vendor Quote
|
Increase
|
Decrease
|
It is the Funds’ policy to recognize transfers into and out of all levels at the end of the reporting period.
Transfer of securities from Level 2 to Level 3 occurred primarily due to the lack of observable market data due to decreased market activity or information for these securities.
There were no transfers into and out of Levels 1 and 2 during the current period presented.
4. DERIVATIVE FINANCIAL INSTRUMENTS
The following discloses the Funds’ use of derivative instruments. The Funds’ investment objectives not only permit the Funds to purchase investment securities, they also allow the Funds to enter into various types of derivative contracts such as total return swap contracts and forward foreign currency contracts. In doing so, the Funds will employ strategies in differing combinations to permit them to increase, decrease, or change the level or types of exposure to market factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity or debt securities; they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Funds to pursue their objectives more quickly and efficiently than if they were to make direct purchases or sales of securities capable of affecting a similar response to market factors.
Market Risk Factors: In pursuit of their investment objectives, the Funds may seek to use derivatives to increase or decrease their exposure to the following market risk factors:
Equity Risk: Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk: Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the value of the foreign currency denominated security will increase as the dollar depreciates against the currency.
|
120
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2016 (Unaudited)
Risk of Investing in Derivatives
The Funds’ use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Funds to increase their market value exposure relative to their net assets and can substantially increase the volatility of the Funds’ performance.
Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Funds. Typically, the associated risks are not the risks that the Funds are attempting to increase or decrease exposure to, per their investment objectives, but are the additional risks from investing in derivatives.
Examples of these associated risks are liquidity risk, which is the risk that the Funds will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Funds.
Forward Foreign Currency Contracts
The Funds may engage in currency transactions with counterparties to hedge the value of portfolio securities denominated in particular currencies against fluctuations in relative value, to gain or reduce exposure to certain currencies, or to generate income or gains. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. During the six months ended March 31, 2016, the High Income Fund engaged in forward foreign currency contracts. The contracts are marked‐to‐market daily and the change in value is recorded by the High Income Fund as an unrealized gain or loss. When a forward foreign currency contract is extinguished, through either delivery or offset by entering into another forward foreign currency contract, the High Income Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished.
Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statement of Assets and Liabilities. The High Income Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.
If required by the forward foreign currency contracts, the High income Fund, has segregated sufficient assets as collateral to satisfy the current obligations with respect to forward foreign currency contracts, and this is reflected as Cash segregated at custodian for forward foreign currency contracts on the High Income Fund’s Statement of Assets and Liabilities.
Total Return Swaps
Certain Funds may enter into total return swaps. During the six months ended March 31, 2016, the Core Opportunity Fund, the Strategic Income Fund, and the High Income Fund invested in total return swaps. Total return swaps are agreements that provide the Fund with a return based on the performance of an underlying asset (called a “reference asset”), in exchange for fee payments to a counterparty based on a specific rate of return. The difference in the value of these income streams is recorded daily by the Fund, and is settled in cash at the end of each month. The fee paid by the Fund will typically be determined by multiplying the face value of the swap agreement by an agreed upon interest rate. Generally, the basis of the total return swap is the unamortized premium received or paid. The periodic swap payments received or made by the Fund are recorded in the Statement of Operations as realized gains or losses, respectively. Any upfront fees paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown on each Fund’s respective Statement of Assets and Liabilities. When the swap is terminated, the Fund will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract, if any. In addition, if the reference asset declines in value over the term of the swap, the Fund would also be required to pay the dollar value of that decline to the counterparty. Total return swaps could result in losses if the reference asset does not perform as anticipated by the Adviser. The Fund may use its own net asset value or the net asset value of a similar fund as the reference asset in a total return swap. This strategy serves to reduce “cash drag” (the impact of uninvested cash on the Fund’s overall return) by replacing it with the total return of the Fund’s own, or a similar fund’s investment holdings. The Fund records fluctuations in the value of open swap contracts on a daily basis as unrealized gains or losses.
|
Semi-Annual Report | March 31, 2016
|
121
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2016 (Unaudited)
Separate from the total return swap agreement with Goldman Sachs, the Core Opportunity Fund and the Strategic Income Fund entered into a Purchase and Settlement Agreement (“PSA”) on February 18, 2016 with Fifth Street Finance Corp (“FSC”) and affiliated parties. Under the terms of the PSA, which was entered into to resolve a then-pending shareholder activism campaign, upon the close of the total return swap entered into with Goldman Sachs, FSC or its affiliated parties will pay the Funds the difference per share between the final closing price of the FSC common share and $6.25. If, upon the close of the swap, the price of the FSC common share is above $6.25, the Funds will pay FSC or its affiliated parties the difference. In addition, the Funds and FSC have agreed to split all monthly dividends paid on the FSC common shares through the closing of the total return swap. As of March 31, 2016 the price of the FSC common shares was $5.02, resulting in a net receivable (inclusive of the dividend payable noted above) of $1,726,969 in the Core Opportunity Fund and $2,810,925 in the Strategic Income Fund as reflected on each Fund’s Statement of Asset and Liabilities. The Funds also agreed not to amend, modify, waive, extend or voluntarily terminate or settle any of the total return swaps entered into with Goldman Sachs unless FSC directs them in writing. If early settlement of the total return swap occurs, the Funds may receive a daily finance charge from FSC or its affiliated parties if payment is not received from FSC or its affiliated parties concurrent with the total return swap settlement.
International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) govern OTC financial derivative transactions entered into by a Fund and those counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements.
If required by the swap agreement, the Funds, have segregated sufficient assets as collateral to satisfy the current obligations with respect to total return swaps, and this is reflected as Cash segregated at custodian for total return swap contracts on each Fund's respective Statement of Assets and Liabilities.
|
122
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2016 (Unaudited)
The effect of derivatives instruments on each Fund's Statement of Assets and Liabilities as of March 31, 2016:
|
Asset Derivatives
|
||||||
|
Fund
|
Risk Exposure
|
Statement of Assets and
Liabilities Location
|
Fair Value
|
|||
|
Core Opportunity Fund
|
Equity Contracts (Total return swap contracts)
|
Unrealized appreciation on total return swap contracts
|
$
|
340,269
|
||
|
Strategic Income Fund
|
Equity Contracts (Total return swap contracts)
|
Unrealized appreciation on total return swap contracts
|
$
|
530,959
|
||
|
High Income Fund
|
Equity Contracts (Total return swap contracts)
|
Unrealized appreciation on total return swap contracts
|
$
|
117,318
|
||
|
High Income Fund
|
Foreign exchange rate risk (Forward foreign currency contracts)
|
Unrealized appreciation on forward foreign currency contracts
|
$
|
42,667
|
||
|
Liabilities Derivatives
|
||||||
|
Fund
|
Risk Exposure
|
Statement of Assets and
Liabilities Location
|
Fair Value
|
|||
|
Core Opportunity Fund
|
Equity Contracts (Total return swap contracts)
|
Unrealized depreciation on total return swap contracts
|
$
|
(630,932
|
)
|
|
|
Strategic Income Fund
|
Equity Contracts (Total return swap contracts)
|
Unrealized depreciation on total return swap contracts
|
$
|
(677,420
|
)
|
|
|
High Income Fund
|
Foreign exchange rate risk (Forward foreign currency contracts)
|
Unrealized depreciation on forward foreign currency contracts
|
$
|
(670,514
|
)
|
|
|
Semi-Annual Report | March 31, 2016
|
123
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2016 (Unaudited)
The effect of derivatives instruments on each Fund's Statement of Operations for the six months ended March 31, 2016:
|
Fund
|
Risk Exposure
|
Statement of Operations Location
|
Realized Gain/(Loss) on Derivatives Recognized in Income
|
Change in Unrealized Appreciation/ (Depreciation) on Derivatives Recognized in Income
|
||||||
|
Core Opportunity Fund
|
Equity Contracts (Total return swap contracts)
|
Net realized gain/(loss) on Total return swap contracts/ Net change in unrealized appreciation/(depreciation) on Total return swap contracts
|
$
|
826,730
|
$
|
(278,617
|
)
|
|||
|
Strategic Income Fund
|
Equity Contracts (Total return swap contracts)
|
Net realized gain/(loss) on Total return swap contracts/ Net change in unrealized appreciation/(depreciation) on Total return swap contracts
|
$
|
1,732,442
|
$
|
37,623
|
||||
|
High Income Fund
|
Equity Contracts (Total return swap contracts)
|
Net realized gain/(loss) on Total return swap contracts/ Net change in unrealized appreciation/(depreciation) on Total return swap contracts
|
$
|
(54,898
|
)
|
$
|
117,318
|
|||
|
High Income Fund
|
Foreign exchange rate risk (Forward foreign currency contracts)
|
Net realized gain/(loss) on Translation of assets and liabilities denominated in foreign currencies and forward foreign currency contracts/ Net change in unrealized appreciation/ (depreciation) on Translation of assets and liabilities denominated in foreign currencies and forward foreign currency contracts
|
$
|
502,068
|
$
|
(592,055
|
)
|
|||
|
124
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2016 (Unaudited)
The forward currency contracts and total return swap contracts average notional amount during the six months ended March 31, 2016 is noted below.
|
Fund
|
Average Notional Amount of Total Return Swap Contracts*
|
|||
|
Core Opportunity Fund
|
$
|
74,593,757
|
||
|
Strategic Income Fund
|
$
|
47,730,584
|
||
|
High Income Fund*
|
$
|
3,000,000
|
||
| * | For the period in which the total return swap was held. |
|
Fund
|
Average Notional Amount of Forward Foreign Currency Contracts
|
|||
|
High Income Fund
|
$
|
15,881,802
|
||
Offsetting Arrangements: Certain derivative contracts are executed under standardized netting agreements. A derivative netting arrangement creates an enforceable right of set‐off that becomes effective, and affects the realization of settlement on individual assets, liabilities and collateral amounts, only following a specified event of default or early termination. Default events may include the failure to make payments or deliver securities timely, material adverse changes in financial condition or insolvency, the breach of minimum regulatory capital requirements, or loss of license, charter or other legal authorization necessary to perform under the contract. These agreements mitigate counterparty credit risk by providing for a single net settlement with a counterparty of all financial transactions covered by the agreement in an event of default as defined under such agreement.
|
Semi-Annual Report | March 31, 2016
|
125
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2016 (Unaudited)
The following table presents derivative financial instruments that are subject to enforceable netting arrangements, collateral arrangements or other similar agreements as of March 31, 2016.
Offsetting of Derivatives Asset
March 31, 2016
|
Gross Amounts Not Offset in the
Statement of Financial Position
|
||||||||||||||||||||||||
|
Description
|
Gross
Amounts of Recognized Assets
|
Gross Amounts Offset in the Statement of Assets and Liabilities
|
Net Amounts Presented in the Statement of Assets and Liabilities
|
Financial Instruments Available for Offset (a)
|
Cash
Collateral Received(a)
|
Net Amount
|
||||||||||||||||||
|
Core Opportunity Fund
|
||||||||||||||||||||||||
|
Total Return Swap Contracts
|
$
|
340,269
|
$
|
–
|
$
|
340,269
|
$
|
–
|
$
|
–
|
$
|
340,269
|
||||||||||||
|
Total
|
$
|
340,269
|
$
|
–
|
$
|
340,269
|
$
|
–
|
$
|
–
|
$
|
340,269
|
||||||||||||
|
Strategic Income Fund
|
||||||||||||||||||||||||
|
Total Return Swap Contracts
|
$
|
530,959
|
$
|
–
|
$
|
530,959
|
$
|
–
|
$
|
–
|
$
|
530,959
|
||||||||||||
|
Total
|
$
|
530,959
|
$
|
–
|
$
|
530,959
|
$
|
–
|
$
|
–
|
$
|
530,959
|
||||||||||||
|
High Income Fund
|
||||||||||||||||||||||||
|
Forward Foreign Currency Contracts
|
$
|
42,667
|
$
|
–
|
$
|
42,667
|
$
|
(42,667
|
)
|
$
|
–
|
$
|
–
|
|||||||||||
|
Total Return Swap Contracts
|
$
|
117,318
|
$
|
–
|
$
|
117,318
|
$
|
–
|
$
|
–
|
$
|
117,318
|
||||||||||||
|
Total
|
$
|
159,985
|
$
|
–
|
$
|
159,985
|
$
|
(42,667
|
)
|
$
|
–
|
$
|
117,318
|
|||||||||||
|
126
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2016 (Unaudited)
Offsetting of Derivatives Liability
March 31, 2016
|
Gross Amounts Not Offset in
the Statement of Financial Position
|
||||||||||||||||||||||||
|
Description
|
Gross Amounts of Recognized Liabilities
|
Gross Amounts Offset in the Statement of Assets and Liabilities
|
Net Amounts Presented in the Statement of Assets and Liabilities
|
Financial Instruments Available for Offset (a)
|
Cash Collateral Pledged(a)
|
Net Amount
|
||||||||||||||||||
|
Core Opportunity Fund
|
||||||||||||||||||||||||
|
Total Return Swap Contracts
|
$
|
630,932
|
$
|
–
|
$
|
630,932
|
$
|
–
|
$
|
–
|
$
|
630,932
|
||||||||||||
|
Total
|
$
|
630,932
|
$
|
–
|
$
|
630,932
|
$
|
–
|
$
|
–
|
$
|
630,932
|
||||||||||||
|
Strategic Income Fund
|
||||||||||||||||||||||||
|
Total Return Swap Contracts
|
$
|
677,420
|
$
|
–
|
$
|
677,420
|
$
|
–
|
$
|
–
|
$
|
677,420
|
||||||||||||
|
Total
|
$
|
677,420
|
$
|
–
|
$
|
677,420
|
$
|
–
|
$
|
–
|
$
|
677,420
|
||||||||||||
|
High Income Fund
|
||||||||||||||||||||||||
|
Forward Foreign Currency Contracts
|
$
|
670,514
|
$
|
–
|
$
|
670,514
|
$
|
(42,667
|
)
|
$
|
(598,000
|
)
|
$
|
29,847
|
||||||||||
|
Total
|
$
|
670,514
|
$
|
–
|
$
|
670,514
|
$
|
(42,667
|
)
|
$
|
(598,000
|
)
|
$
|
29,847
|
||||||||||
| (a) | These amounts are limited to the derivatives asset/liability balance and, accordingly, do not include excess collateral received/pledged. |
5. LOAN PARTICIPATIONS AND ASSIGNMENTS
The High Income Fund may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. The High Income Fund will normally invest in corporate debt issuers in North America and Europe. The High Income Fund investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The High Income Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. The High Income Fund will generally purchase assignments of these loans, in which case it will typically become a lender for purposes of the relevant loan agreement with direct contractual rights against the borrower, including the right to receive payments of principal and interest. When purchasing participation interests in a loan, the High Income Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the High Income Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. The High Income Fund may enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments represent a future obligation in full, even though a percentage of the notional loan amounts may not be utilized by the borrower. When investing in a loan participation, the High Income Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. The High Income Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a floating rate loan. In certain circumstances, the High Income Fund may receive a penalty fee upon the prepayment of a floating rate loan by a borrower. Fees earned are recorded as a component of interest income or interest expense, respectively, on the Statement of Operations. At March 31, 2016, the High Income Fund had $938,215 in unsettled domestic and foreign loan commitments.
|
Semi-Annual Report | March 31, 2016
|
127
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2016 (Unaudited)
6. INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
The Adviser serves as the investment adviser to the Funds. Under the terms of the management agreement (the “Agreement”), the Adviser, subject to the supervision of the Board, provides or arranges to be provided to the Funds such investment advice as it deems advisable and will furnish or arrange to be furnished a continuous investment program for the Funds consistent with the Funds’ investment objectives and policies. As compensation for its management services, the Funds are obligated to pay the Adviser a fee computed and accrued daily and paid monthly in arrears at an annual rate of the average daily net assets of the Funds.
The Chief Compliance Officer of the Funds is an affiliate of the Funds.
The following table reflects the Funds’ contractual management fee rates (expressed as an annual rate).
|
Fund
|
Contractual Management Fee
|
|
Core Opportunity Fund
|
1.00%
|
|
Strategic Income Fund
|
0.75%
|
|
Equity Opportunity Fund
|
1.00%
|
|
High Income Fund
|
1.00%
|
The Adviser has contractually agreed to defer the collection of the Funds’ management fees and/or reimburse expenses, but only to the extent necessary to limit net annual operating expenses (excluding brokerage fees and commissions; borrowing costs, such as (a) interest and (b) dividends on securities sold short; taxes; indirect expenses incurred by the underlying funds in which the Funds’ invest; and extraordinary expenses), as a percentage of the average daily net assets of the Funds. Each deferral of fees or reimbursements of expenses by the Adviser are subject to repayment by the Fund within the three fiscal years following the fiscal year in which the expenses were incurred, provided that the Fund is able to make the repayment without exceeding the below expense limitations and the repayment is approved by the Board.
|
Fund
|
Class I
|
Class R
|
Expiration of Expense Limitation Agreement
|
|
Core Opportunity Fund
|
1.35%
|
1.60%
|
January 31, 2017
|
|
Strategic Income Fund
|
0.95%
|
1.20%
|
January 31, 2017
|
|
Equity Opportunity Fund
|
1.35%
|
1.60%
|
January 31, 2017
|
|
High Income Fund
|
1.35%
|
1.60%
|
January 31, 2017
|
|
128
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|
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|
Notes to Financial Statements
|
March 31, 2016 (Unaudited)
As of the year ended September 30, 2015, reimbursed expenses for each Fund subject to potential recovery by year of expiration are as follows:
|
Expiring September 30,
|
||||||||||||
|
2016
|
2017
|
2018
|
||||||||||
|
Fund/Class
Core Opportunity Fund
|
||||||||||||
|
Class I
|
N/A
|
|
N/A
|
|
N/A
|
|
||||||
|
Class R
|
N/A
|
|
N/A
|
|
N/A
|
|
||||||
|
Strategic Income Fund
|
||||||||||||
|
Class I
|
N/A
|
|
N/A
|
|
N/A
|
|
||||||
|
Class R
|
N/A
|
|
N/A
|
|
N/A
|
|
||||||
|
Equity Opportunity Fund
|
||||||||||||
|
Class I
|
$
|
19,714
|
$
|
17,095
|
$
|
12,743
|
||||||
|
Class R
|
65,892
|
65,618
|
49,847
|
|||||||||
|
Total
|
$
|
85,606
|
$
|
82,713
|
$
|
62,590
|
||||||
|
High Income Fund
|
||||||||||||
|
Class I
|
N/A
|
|
$
|
2,451
|
N/A
|
|
||||||
|
Class R
|
$
|
12,668
|
7,302
|
N/A
|
|
|||||||
|
Total
|
$
|
12,668
|
$
|
9,753
|
N/A
|
|
||||||
For the year ended September 30, 2015, the High Income Fund repaid previously waived fees of $43,973 in Class I and $7,343 in Class R.
Additionally, for the six months ended March 31, 2016 the Adviser opted to forgo $69,185 in management fees in the Strategic Income Fund related to the Fund's investment in an affiliate fund, the High Income Fund.
DoubleLine is the investment sub‐adviser to the Strategic Income Fund. Oaktree Capital is the investment sub‐adviser to the High Income Fund. Under the terms of the sub‐advisory agreements, the Sub‐Advisers, subject to the supervision of the Adviser and the Board of the Trust, provide or arrange to be provided to the Strategic Income Fund and the High Income Fund such investment advice as deemed advisable and will furnish or arrange to be furnished a continuous investment program for the portion of assets managed in the respective Fund consistent with the respective Fund's investment objective and policies. As compensation for its sub‐advisory services, the Adviser is obligated to pay each Sub‐Adviser a fee computed and accrued daily and paid monthly in arrears based on an annual rate of the average daily net assets of the Strategic Income Fund and the High Income Fund.
ALPS Fund Services, Inc. (“ALPS”) provides the Funds with fund administration and fund accounting services. ALPS also serves as transfer, dividend paying and shareholder servicing agent for the Funds (“Transfer Agent”).
State Street Bank & Trust, Co. serves as the Funds’ custodian.
The Funds have adopted a plan pursuant to Rule 12b‐1 under the Investment Company Act of 1940, as amended (the “Plan”). The Plan permits the Funds to pay the Adviser for distribution and promotion expenses related to marketing shares of the Funds. The amount payable annually by the Class R shares of the Core Opportunity Fund, the Class R Shares of the Strategic Income Fund, the Class R Shares of the Equity Opportunity Fund, and the Class R Shares of the High Income Fund is 0.25% of the average daily net assets. Under the Plan the Trust may engage in any activities related to the distribution of Fund shares. The expenses of the Funds’ Plan are reflected as 12b‐1 fees in the Statement of Operations.
|
Semi-Annual Report | March 31, 2016
|
129
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2016 (Unaudited)
The Funds have entered into a Distribution Agreement with ALPS Distributors, Inc (“the Distributor”) to provide distribution services to the Funds. The Distributor serves as underwriter/distributor of shares of the Funds.
Officers of the Trust and Trustees who are “interested persons” of the Trust or the Adviser received no salary or fees from the Trust. Each Trustee who is not an “interested person” received a fee of $36,000 per year plus $1,500 per meeting attended. The audit committee chairman received an additional $1,000 per year. The Trust reimburses each Trustee and Officer for his or her travel and other expenses relating to attendance at such meetings.
Certain Trustees and Officers of the Trust are also officers of the Adviser, the Distributor or the Administrator.
7. TAX BASIS INFORMATION
Tax Basis of Distributions to Shareholders
Tax Basis of Distributions to Shareholders: The character of distributions made during the year from net investment income or net realized gains may differ from its ultimate characterization for federal income tax purposes. Also, due to the timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or realized gain were recorded by a Fund.
The amounts and characteristics of tax basis distributions and composition of distributable earnings/(accumulated losses) are finalized at fiscal year end; accordingly, tax basis balances have not been determined as of March 31, 2016.
The tax character of distributions paid by the Funds during the fiscal year ended September 30, 2015, was as follows:
|
Ordinary Income
|
Tax-Exempt Income
|
Distributions paid from Long-Term Capital Gain
|
Return of Capital
|
Total
|
||||||||||||||||
|
Core Opportunity Fund*
|
$
|
37,547,641
|
$
|
2,424,932
|
$
|
47,553,113
|
$
|
–
|
$
|
87,525,686
|
||||||||||
|
Strategic Income Fund*
|
87,553,232
|
–
|
–
|
–
|
87,553,232
|
|||||||||||||||
|
Equity Opportunity Fund*
|
363,478
|
–
|
1,715,207
|
–
|
2,078,685
|
|||||||||||||||
|
High Income Fund*
|
6,000,750
|
–
|
178,794
|
–
|
6,179,544
|
|||||||||||||||
| * | Classification of Distributions: Net investment income and net realized gain may differ for financial statement and tax purposes. The character of distributions made during the year from net investment income or net realized gains may differ from its ultimate characterization for federal income tax purposes. |
Components of Distributable Earnings on a Tax Basis: The tax components of distributable earnings are determined in accordance with income tax regulations which may differ from the composition of net assets reported under GAAP. Accordingly, for the year ended September 30, 2015, certain differences were reclassified. These differences were primarily due to book/tax distribution differences and to the different tax treatment of certain other investments; the amounts reclassified did not affect net assets. The reclassifications were as follows:
|
130
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|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2016 (Unaudited)
|
Paid-in Capital
|
Accumulated Net Investment Income/(Loss)
|
Accumulated Net Realized Gain/(Loss)
|
||||||||||
|
Core Opportunity Fund
|
$
|
–
|
$
|
(724,458
|
)
|
$
|
724,458
|
|||||
|
Strategic Income Fund
|
(1
|
)
|
4,828,392
|
(4,828,391
|
)
|
|||||||
|
Equity Opportunity Fund
|
–
|
52,805
|
(52,805
|
)
|
||||||||
|
High Income Fund
|
–
|
1,244,609
|
(1,244,609
|
)
|
||||||||
At September 30, 2015, the components of distributable earnings on a tax basis for the Funds were as follows:
|
Undistributed Ordinary
Income
|
Accumulated Capital Gains/(Losses)
|
Net Unrealized Appreciation/ (Depreciation)
|
Other Cumulative Effect of Timing Differences
|
Total
|
||||||||||||||||
|
Core Opportunity Fund
|
$
|
5,232,817
|
$
|
21,708,250
|
$
|
(44,024,257
|
)
|
$
|
(12,046
|
)
|
$
|
(17,095,236
|
)
|
|||||||
|
Strategic Income Fund
|
11,808,409
|
(7,865,431
|
)
|
(94,305,727
|
)
|
148,597
|
(90,214,152
|
)
|
||||||||||||
|
Equity Opportunity Fund
|
–
|
398,124
|
(557,974
|
)
|
–
|
(159,850
|
)
|
|||||||||||||
|
High Income Fund
|
768,488
|
(803,818
|
)
|
(9,213,383
|
)
|
35,793
|
(9,212,920
|
)
|
||||||||||||
Capital Losses: As of September 30, 2015 the following Funds had capital loss carryforwards which may reduce the applicable Fund’s taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Code and thus may reduce the amount of the distributions to shareholders which would otherwise be necessary to relieve the Funds of any liability for federal tax pursuant to the Code. The capital loss carryforwards may be carried forward indefinitely.
Capital losses carried forwards were as follows:
|
Fund
|
Short-Term
|
Long-Term
|
||||||
|
Strategic Income Fund
|
$
|
7,865,431
|
$
|
–
|
||||
|
High Income Fund
|
30,135
|
–
|
||||||
The High Income Fund has elected to defer to the year ending September 30, 2016, capital losses recognized during the period November 1, 2014 to September 30, 2015, in the amount of $773,683.
|
Semi-Annual Report | March 31, 2016
|
131
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
|
March 31, 2016 (Unaudited)
|
Unrealized Appreciation and Depreciation on Investments: The amount of net unrealized appreciation/(depreciation) and the cost of investment securities for tax purposes, including short-term securities at March 31, 2016, were as follows:
|
Fund
|
Gross Appreciation (excess of
value over tax)
|
Gross Depreciation (excess of tax
cost over value)
|
Net Unrealized Appreciation/(Depreciation)
|
Cost of Investments for Income Tax Purposes
|
||||||||||||
|
Core Opportunity Fund*
|
$
|
51,901,177
|
$
|
(83,815,339
|
)
|
$
|
(31,914,162
|
)
|
$
|
784,594,006
|
||||||
|
Strategic Income Fund*
|
50,478,053
|
(147,884,973
|
)
|
(97,406,920
|
)
|
2,022,778,748
|
||||||||||
|
Equity Opportunity Fund*
|
281,898
|
(1,029,476
|
)
|
(747,578
|
)
|
14,482,422
|
||||||||||
|
High Income Fund*
|
677,370
|
(7,844,867
|
)
|
(7,167,497
|
)
|
90,593,351
|
||||||||||
| * | The difference between book and tax basis unrealized appreciation/(depreciation) for the Funds is attributable primarily to PFIC’s, wash sales and tax treatment of certain other investments. |
8. INVESTMENT TRANSACTIONS
Investment transactions for the six months ended March 31, 2016, excluding U.S. Government Obligations and short-term investments, were as follows:
|
Fund
|
Purchases of Securities
|
Proceeds from Sales of Securities
|
||||||
|
Core Opportunity Fund
|
$
|
53,810,113
|
$
|
84,203,847
|
||||
|
Strategic Income Fund
|
198,079,975
|
249,683,714
|
||||||
|
Equity Opportunity Fund
|
11,917,282
|
4,657,426
|
||||||
|
High Income Fund
|
11,624,805
|
25,924,034
|
||||||
Investment Transactions in U.S. Government Obligations for the six months ended March 31, 2016 were as follows:
|
Fund
|
Purchases of Securities
|
Proceeds from Sales of Securities
|
||||||
|
Strategic Income Fund
|
$
|
115,641,676
|
$
|
84,043,097
|
||||
9. AFFILIATED COMPANIES
Funds may invest in certain securities that are considered securities issued by affiliated companies. As defined by the Investment Company Act of 1940, an affiliated person, including an affiliated company, is one in which a Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The purchases, sales, dividend income, capital gains, shares and value of investment in affiliated companies for the six months ended March 31, 2016 were as follows:
|
132
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|
RiverNorth Funds
|
Notes to Financial Statements
|
|
March 31, 2016 (Unaudited)
|
|
Strategic Income Fund
|
|||||||||||||||||||||||
|
Security Name
|
Share
Balance at October 1,
2015
|
Purchases
|
Sales
|
Share
Balance at
March 31,
2016
|
Dividends
|
Realized
Gains/
(Losses)
|
Market
Value
March 31,
2016
|
||||||||||||||||
|
RiverNorth/Oaktree High Income Fund, Class I
|
2,600,690
|
108,066
|
–
|
2,708,757
|
$
|
964,198
|
$
|
–
|
$
|
24,324,633
|
|||||||||||||
|
$
|
964,198
|
$
|
–
|
$
|
24,324,633
|
||||||||||||||||||
|
Core Opportunity Fund
|
|||||||||||||||||||||||
|
Security Name
|
Share
Balance at October 1,
2015
|
Purchases
|
Sales
|
Share
Balance at
March 31,
2016
|
Dividends
|
Realized
Gains/
(Losses)
|
Market Value March 31, 2016
|
||||||||||||||||
|
Clough Global Equity Fund
|
553,130
|
405,331
|
–
|
958,461
|
$
|
596,925
|
$
|
–
|
$
|
10,428,056
|
|||||||||||||
|
Clough Global Opportunities Fund
|
2,863,442
|
171,173
|
–
|
3,034,615
|
1,766,128
|
–
|
29,071,612
|
||||||||||||||||
|
$
|
2,363,053
|
$
|
–
|
$
|
39,499,668
|
||||||||||||||||||
The Strategic Income Fund and the High Income Fund engaged in cross trades with each other during the six months ended March 31, 2016, pursuant to Rule 17a-7 under the 1940 Act. Generally, cross trading is the buying or selling of portfolio securities between funds to which the Adviser serves as the investment adviser. The Board of Trustees previously adopted procedures that apply to transactions between the Funds and its affiliates pursuant to Rule 17a-7. At its regularly scheduled meetings, the Board of Trustees reviews such transactions as of the most current calendar quarter for compliance with the requirements set forth by Rule 17a-7 and the Funds’ procedures. The procedures require that the transactions be a purchase or sale for no consideration other than cash payment against prompt delivery of a security for which market quotations are readily available, and be consistent with the investment policies of each Fund. The Strategic Income Fund purchased securities from the High Income Fund in the amount of $3,803,116, resulting in a realized loss of $440,149 in the High Income Fund.
10. REVOLVING LINE OF CREDIT
On April 8, 2014, the Funds entered into a $100,000,000 unsecured Revolving Credit Agreement with State Street Bank & Trust, Co. The Revolving Credit Agreement was amended on April 17, 2015. Borrowings under this arrangement bear interest at the higher of the Federal Funds Rate and the One-Month LIBOR Rate in effect on the day the loan is made plus 1.25%, whichever is greater. From April 17, 2015 through March 31, 2016, the Funds paid a facility fee on unloaned balances equal to the product of $100,000,000 less the principal amount of loans outstanding and 0.15%. The Revolving Credit Agreement expires on April 5, 2016. For the six months ended March 31, 2016, the Funds did not borrow money under the Agreement.
|
Semi-Annual Report | March 31, 2016
|
133
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
|
March 31, 2016 (Unaudited)
|
11. BENEFICIAL OWNERSHIP
On March 31, 2016, there were an unlimited number of no par value shares of beneficial interest authorized for each Fund. Transactions in shares of beneficial interest are shown in the Statements of Changes in Net Assets.
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates a presumption of control of the fund, under Section 2(a)(9) of the Investment Company Act of 1940. Beneficial owners owning more than 25% of the voting securities for the benefit of their customers of each class of each Fund, as of March 31, 2016, are listed below:
|
Fund
|
Shareholder Name
|
Percentage Interest
|
|
Core Opportunity Fund- Class I
|
BMO Harris Bank
|
43.76%
|
|
Core Opportunity Fund- Class I
|
Charles Schwab & Company, Inc.
|
31.68%
|
|
Core Opportunity Fund- Class R
|
National Financial Services Corp.
|
81.06%
|
|
Strategic Income Fund- Class I
|
Charles Schwab & Company, Inc.
|
26.01%
|
|
Strategic Income Fund- Class R
|
Charles Schwab & Company, Inc.
|
38.38%
|
|
Equity Opportunity Fund- Class I
|
BMO Harris Bank
|
84.30%
|
|
Equity Opportunity Fund- Class R
|
Charles Schwab & Company, Inc.
|
37.97%
|
|
Equity Opportunity Fund- Class R
|
National Financial Services Corp.
|
28.76%
|
|
High Income Fund- Class I
|
RiverNorth/DoubleLine Strategic Income Fund
|
31.79%
|
|
High Income Fund- Class I
|
Charles Schwab & Company, Inc.
|
25.16%
|
|
High Income Fund- Class R
|
Charles Schwab & Company, Inc.
|
54.66%
|
12. INDEMNIFICATIONS
Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liability arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that may contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred.
13. SUBSEQUENT EVENTS
On April 5, 2016 the Revolving Credit Agreement was renewed for an additional 364-day period, to expire on April 4, 2017. Effective with this amendment, the facility fee for unloaned balances was increased from 0.10% to 0.25%.
|
134
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|
|
RiverNorth Funds
|
Additional Information
|
|
March 31, 2016 (Unaudited)
|
PROXY VOTING GUIDELINES
A description of the policies and procedures that the Funds used to determine how to vote proxies relating to portfolio securities and information regarding how the Funds voted proxies during the most recent 12-month period ended June 30, are available without charge upon request by (1) calling the Funds at (888) 848-7569 and (2) from Form N-PX filed by the Funds with the Securities and Exchange Commission (“SEC”) on the SEC’s website at www.sec.gov.
PORTFOLIO HOLDINGS DISCLOSURE POLICY
The Funds file a complete schedule of investments with the SEC for the first and third quarter of each fiscal year on Form N-Q. The Funds’ first and third fiscal quarters end on December 31 and June 30. The Form N-Q filing must be made within 60 days of the end of the quarter, and the Funds’ first Form N-Q was filed with the SEC on February 26, 2007. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC (call 1-800-732-0330 for information on the operations of the Public Reference Room). You may also obtain copies by calling the Funds at 1-888-848-7569.
|
Semi-Annual Report | March 31, 2016
|
135
|
|
RiverNorth Funds
|
Board Considerations Regarding Approval of Investment Advisory and Sub-Advisory Agreements
|
|
March 31, 2016 (Unaudited)
|
RENEWAL OF MANAGEMENT AGREEMENT
At an in-person meeting of the Board, held on November, 17 2015 and called expressly for that purpose, the Board, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act (the “Independent Trustees”)), considered the renewal of the Management Agreement between the Adviser and the Trust. The Board received materials compiled by the Adviser and the Funds’ administrator including a copy of the Management Agreement, the Adviser’s response to a questionnaire regarding the Adviser’s profitability, management and operations, a copy of the Adviser’s Form ADV, certifications regarding the Adviser’s compliance programs and information regarding the performance of Funds’ benchmark indices and peer funds. Prior to the in-person Board meeting held on November 17, 2015, the Independent Trustees held a special meeting on November 4, 2015 via teleconference to discuss the materials. The Board considered the following factors, among others, in reaching its determination to renew the Management Agreement: (i) the investment performance of the Funds and the investment performance of the Adviser, (ii) the nature, extent and quality of the services provided by the Adviser to the Funds, (iii) the experience and qualifications of the personnel providing such services, (iv) the costs of the services provided and the profits to be realized by the Adviser and any of its affiliates from the relationship with each Fund, (v) the extent to which economies of scale will be realized by each Fund as it grows, and (vi) whether each Fund’s fee levels reflected the economies of scale to the benefit of the Fund’s shareholders.
Core Opportunity Fund
Regarding the Core Opportunity Fund, the Board reviewed the performance of the Fund for the year-to-date, one-year, three-year and five-year periods ended September 30, 2015. These returns were compared to the returns of mutual funds in the Morningstar Moderate Allocation Fund and Multi-alternative Fund categories. The Trustees also reviewed the Fund’s performance relative to an appropriate peer group, to relevant securities indices, and to other funds managed by the Adviser. The Board concluded that the performance compared favorably to the Morningstar Multi-alternative Fund category peer group averages and underperformed the Morningstar Moderate Allocation Fund category for the year-to-date and one-year periods. The Board noted in its review of performance that the taxable closed-end funds market was down -14.5% during the year, while the broader funds market was down -8.94%. The Board further noted that the performance of the Core Opportunity Fund was mixed compared to the returns of the relative benchmark indices.
As to the comparative fees and expenses, the Trustees considered the management and the other fees paid by the Fund and compared those to the management and other fees paid by funds in the relative peer groups. The Board noted that the Core Opportunity Fund annual net expense ratio of 1.37% was higher than the median of 1.06% and higher than the average of 0.86% for the other funds in the Morningstar Moderate Allocation Fund category. The Board also noted that the annual gross expense ratio of 1.37% was higher than the median of 1.06% and higher than the average of 0.87% for the peer funds in the Morningstar Moderate Allocation Fund category. The Board noted, however, that the higher gross fees were attributable to the fees charged by the closed-end funds in which the Fund invests and were not direct operating expenses of the Fund.
|
136
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|
RiverNorth Funds
|
Board Considerations Regarding Approval of Investment Advisory and Sub-Advisory Agreements
|
|
March 31, 2016 (Unaudited)
|
The Board also noted that the annual management fee of 1.00% for the Fund was above the 0.65% median and the 0.53% average paid by the other peer funds in the Morningstar Moderate Allocation Fund category. The Board noted that the minimum fee for the same peer group was 0.10%. The Board noted, however, that the funds in the minimum management fee range, which reduced the average, were likely funds of funds where the adviser was likely paid on the underlying fund assets. The Board, including the Independent Trustees, determined that although fees were high relative to the Fund’s peers, the fees were reasonable given the unique investment characteristics of the Fund and the nature of the services to be provided by the Adviser.
The Board also noted that the Adviser had presented a comparison of fees to fund peer groups the Adviser determined to be more comparable to the Fund with regard to structure and investment product type and that the Fund’s fees were on the low end of such peer groups.
Strategic Income Fund
Regarding the Strategic Income Fund, the Board reviewed the performance of the Fund for the year-to-date, one-year period and three-year period ended September 30, 2015. The Board noted that the Strategic Income Fund outperformed peer mutual funds in Morningstar’s Multi-Sector Bond and Alternative Fund categories for each period. The Board also reviewed the Fund’s performance relative to appropriate peer groups, to relevant securities indices, and to other funds managed by the Adviser.
As to the comparative fees and expenses, the Trustees considered the management and the other fees paid by the Fund and compared those to the management and other fees paid by funds in the relative peer groups determined by Morningstar. The Board noted that the annual net expense ratio of 0.91% for the Institutional class was lower than the median of 1.00% and lower than the average of 1.03% for the other funds in the Morningstar Multi-Sector Bond Fund category, and less than the highest, which was 1.84%. The Board also noted that the annual gross expense ratio of 0.91% for the Institutional class was lower than the median of 1.04% and the average of 1.10% for the peer funds in the Morningstar Multi-Sector Bond Fund category.
The Board also noted that the annual management fee of 0.75% for the Strategic Income Fund was above the 0.56% median and the 0.62% average paid by the peer funds in the Morningstar Multi-Sector Bond Fund category. The Board noted that the Fund’s 0.75% management fee was lower; however, than the 1.25% highest fee charged by peers in the Morningstar Multi-Sector Bond Fund category and that the minimum fee for the same peer group was 0.05%. The Board noted that the funds with the lowest management fees in the peer groups were likely funds of funds where the adviser was likely paid on the underlying fund assets, which likely reduced the average and median management fees paid by the peer funds. The Board, including the Independent Trustees, determined that the Strategic Income Fund’s fees were reasonable given the nature of the Fund’s investment strategy, the capabilities of the Adviser and the Sub-Adviser, and the nature of the services to be provided to the Fund.
Equity Opportunity Fund
Regarding the Equity Opportunity Fund, the Board reviewed the performance of the Fund for the year-to-date, one-year and three-year periods ended September 30, 2015. The Board noted that the Fund underperformed the peer funds in the Morningstar Large Blend Equity Fund and Multi-Alternative Fund categories for each of the periods. The Board also reviewed the Fund’s performance relative to an appropriate peer group, to relevant securities indices, and to other funds managed by the Adviser. The Board noted in its review of performance that the taxable closed-end funds market was down -14.5% during the year, while the broader funds market was down -8.94%. The Board concluded that the performance of the Fund was in line with the returns of the relative benchmark index.
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Semi-Annual Report | March 31, 2016
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Board Considerations Regarding Approval of Investment Advisory and Sub-Advisory Agreements
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March 31, 2016 (Unaudited)
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As to the comparative fees and expenses, the Trustees considered the management and the other fees paid by the Equity Opportunity Fund and compared those to the management and other fees paid by funds in the relative peer groups. The Board noted that the annual net expense ratio of 1.35% for the Institutional class was higher than the median of 1.26%, but lower than the average of 1.37% for the other funds in the Morningstar Large Blend Equity Fund category, and also less than the highest, which was 2.64%. The Board also noted that the annual gross expense ratio of 2.03% for the Institutional class was higher than the median of 1.92% and lower than the average of 2.74% for the peer funds in the Morningstar Large Blend Equity Fund category.
The Board noted that the annual net expense ratio of 1.60% for the Retail class was higher than the median of 1.26% and the average of 1.37% for the peer funds in the Morningstar Large Blend Equity Fund category, but less than the highest, which was 2.64%. The Board also noted that the annual gross expense ratio of 2.28% for the Retail class was higher than the median of 1.92%, but lower than the average of 2.74% for the peer funds in the Morningstar Large Blend Equity Fund Category.
The Board also noted that the annual management fee of 1.00% for the Fund was above the 0.81% median and the 0.78% average paid by the peer funds in the Morningstar Large Blend Equity Fund category. The Board noted that the Fund’s 1.00% management fee was lower, however, than the 1.40% highest fee charged by the peers in the Morningstar Large Blend Equity Fund category and that the minimum fee for the same peer group is 0.04%. The Board noted that the funds within the lowest management fee range were likely funds of funds where the adviser was likely paid on the underlying fund assets, which likely reduced the average and median management fees paid by the peer funds. The Board, including the Independent Trustees, determined that although the fees were high relative to the Equity Opportunity Fund’s peers, the fees were reasonable given the nature of the Fund’s investment strategy, the capabilities of the Adviser, and the nature of the services to be provided to the Fund.
The Board also noted that the Adviser had presented a comparison of fees to fund peer groups the Adviser determined to be more comparable to the Fund with regard to structure and investment product type and that the Fund’s fees were on the low end of such peer groups.
High Income Fund
Regarding the High Income Fund, the Board reviewed the performance of the Fund for the year-to-date and one-year period ended September 30, 2015. The Board noted that the Fund underperformed the peer funds in the Morningstar Multi-Sector Bond Fund and Morningstar Multi-Alternative Fund categories for each period. The Board also reviewed the Fund’s performance relative to an appropriate peer group provided by the Adviser, to relevant securities indices, and to other funds managed by the Adviser. The Board noted in its review of performance that the taxable closed-end funds market was down -14.5% during the year, while the broader funds market was down -8.94%. The Board concluded that the performance compared in line with the peer group averages and the returns of the relative benchmark index.
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138
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RiverNorth Funds
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Board Considerations Regarding Approval of Investment Advisory and Sub-Advisory Agreements
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March 31, 2016 (Unaudited)
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As to the comparative fees and expenses, the Trustees considered the management and the other fees paid by the Fund and compared those to the management and other fees paid by funds in the relative peer groups. The Board noted that the annual net expense ratio of 1.35% for the Institutional class was higher than the median of 0.86% and the average of 0.84% for the other funds in the Morningstar Multi-Sector Bond Fund category. The Board also noted that the annual gross expense ratio of 1.39% for the Institutional class was higher than the median of 1.35%, but lower than the average of 1.48% for the peer funds in the Morningstar Multi-Sector Bond Fund category.
The Board noted that the annual net expense ratio of 1.60% for the High Income Fund’s Retail class was higher than the median of 0.86% and higher than the average of 0.84% for the other funds in the Morningstar Multi-Sector Bond Fund category. The Board also noted that the annual gross expense ratio of 1.63% for the Retail class was higher than the median of 1.35% and the average of 1.48% for the peer funds in the Morningstar Multi-Sector Bond Fund category.
The Board also noted that the annual management fee of 1.00% for the High Income Fund was above the 0.60% median and the 0.55% average paid by the peer funds in the Morningstar Multi-Sector Bond Fund category. The Board noted that the Fund’s 1.00% management fee was lower, however, than the 1.19% maximum fee charged by the peers in the Morningstar Multi-Sector Bond Fund category and that the minimum fee for the same peer group was 0.05%. The Board noted that the funds within the lowest management fee range were likely funds of funds where the adviser was likely paid on the underlying fund assets, which likely reduced the average and median management fees paid by the peer funds. The Board, including the Independent Trustees, determined that although the fees were high relative to the Fund’s peers, the fees were reasonable given the nature of the Fund’s investment strategy, the capabilities of the Adviser, and the nature of the services to be provided to the Fund.
As to the nature, extent and quality of the services to be provided by the Adviser to the Funds, the Board considered that under the terms of the Management Agreement, the Adviser would be subject to the supervision of the Board, provide or arrange to be provided to the Fund such investment advice as the Adviser, in its discretion, deems advisable and will furnish or arrange to be furnished a continuous investment program for the Fund consistent with the Fund’s investment objective and policies. The Board reviewed the Adviser’s Form ADV, which was previously provided to the Board and which provided details regarding the experience of each of the Adviser’s personnel. The Adviser also provided additional information regarding its experience managing other investment accounts. Based on the foregoing information, the Board, including the Independent Trustees, concluded that the Adviser had provided quality services and would continue to do so for the Funds.
As to the cost of the services to be provided and to the profits to be realized by the Adviser, the Board reviewed the Adviser’s estimates of its profitability and its financial condition. The Board noted the Adviser’s financial condition is stable as additional accounts and income from its mutual funds have contributed to higher revenues for the Adviser. The Board, including the Independent Trustees, determined that the Management Agreement, with respect to the Core Opportunity Fund and the Strategic Income Fund was not overly profitable to the Adviser and the financial condition of the Adviser was adequate.
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Semi-Annual Report | March 31, 2016
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139
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RiverNorth Funds
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Board Considerations Regarding Approval of Investment Advisory and Sub-Advisory Agreements
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March 31, 2016 (Unaudited)
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The Board noted that the Adviser has no affiliations with the Funds’ transfer agent, fund accountant, custodian, or distributor and therefore does not derive any benefits from the relationships these parties may have with the Trust.
Based upon such information as they considered necessary to the exercise of their reasonable business judgment, the Trustees, including all of the Independent Trustees, concluded that it was in the best interests of each of the Funds to continue the Management Agreement with the Adviser for an additional one-year period.
Consideration and Renewal of Investment Sub-Advisory Agreements with DoubleLine Capital, LP and Oaktree Capital Management, L.P. – Strategic Income Fund and High Income Fund
At an in-person meeting of the Board, held on November 17, 2015 and called expressly for that purpose, the Board, including the Independent Trustees, considered the renewal of the sub-advisory agreement (the “DoubleLine Agreement”) between the Adviser and DoubleLine Capital, LP (“DoubleLine”) related to the Strategic Income Fund and the materials provided in support of the proposed renewal of the sub-advisory agreement (the “Oaktree Agreement” and together with the DoubLine Agreement, the “Sub-Advisory Agreements”) between the Adviser and Oaktree Capital Management, L.P. (“Oaktree” and together with DoubeLine, the “Sub-Advisers”) related to the High Income Fund (together with the Strategic Income Fund, the “Funds”). Prior to the in-person Board meeting held on November 17, 2015, the Independent Trustees held a special meeting on November 4, 2015 via teleconference to discuss the materials. The Board then considered the renewal of the Sub-Advisory Agreements. The Board received materials compiled by each Sub-Adviser and the Funds’ administrator including a copy of the Sub-Advisory Agreements, each Sub-Adviser’s response to a questionnaire regarding its profitability, management and operations, a copy of each Sub-Adviser’s Form ADV, certifications regarding the Sub-Advisers’ compliance programs and information regarding the performance of the Funds’ benchmark indices and peer funds. The Board considered the following factors, among others, in reaching its determination to renew the Sub-Advisory Agreements: (i) the investment performance of each Fund and the investment performance of the Sub-Advisers, (ii) the nature, extent and quality of the services provided by Sub-Advisers to the Funds, (iii) the experience and qualifications of the personnel providing such services, (iv) the costs of the services provided and the profits to be realized by each Sub-Adviser and any of its affiliates from the relationship with the Funds, (iv) the extent to which economies of scale will be realized by the Funds as they grow, and (v) whether the fee levels of each Fund reflected the economies of scale to the benefit of each Fund’s shareholders.
The Board reviewed the performance of the Strategic Income Fund for the year-to-date, one-year and three-year period ended September 30, 2015. The Board noted that the Strategic Income Fund’s returns outperformed the funds in the Morningstar Multi-Sector Bond and Alternative Fund categories. The Board also reviewed the performance of the portion of the Strategic Income Fund managed by DoubleLine relative to relevant securities indices, and to other accounts managed by DoubleLine. The Board, including the Independent Trustees, concluded that the performance was in line with the peer group averages and to the returns of the relative benchmark index.
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140
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Board Considerations Regarding Approval of Investment Advisory and Sub-Advisory Agreements
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March 31, 2016 (Unaudited)
The Board reviewed the performance of the High Income Fund for the year-to-date and one-year period ended September 30, 2015. The Board noted that the High Income Fund underperformed the peer funds in the Morningstar Multi-Sector Bond Fund category for each period. The Board also reviewed the performance of the portion of the High Income Fund managed by Oaktree to relevant securities indices. The Board, including the Independent Trustees, concluded that the performance was in line with the peer group averages and to the returns of the relative benchmark index.
As to the comparative fees and expenses, the Board considered the management fee paid by the each Fund to the Adviser, and noted that the Adviser pays each Sub-Adviser from its fee, which the Board had previously determined was reasonable. The Board noted that the sub-advisory fee paid by the Adviser to each Sub-Adviser was reasonable as well, given the fees each Sub-Adviser charges other clients to manage similar strategies.
As to the nature, extent and quality of the services to be provided by the Sub-Advisers, the Board considered that under the terms of the Sub-Advisory Agreements, the Sub-Advisers would, subject to the supervision of the Board, provide to the Funds such investment advice as each Sub-Adviser, in its discretion, deems advisable and will furnish or arrange to be furnished a continuous investment program for the Funds consistent with each Fund’s investment objective and policies. The Board reviewed each Sub-Adviser’s Form ADV, which provided details regarding the experience of each Sub-Adviser’s investment personnel. The Sub-Advisers also provided additional information regarding their experience managing other investment accounts. Based on the foregoing information, the Board, including the Independent Trustees, concluded that each Sub-Adviser had provided quality services and would continue to do so for the Funds.
As to the cost of the services to be provided and to the profits to be realized by the Sub-Advisers, the Board reviewed each Sub-Adviser’s financial condition. The Board noted that the financial condition of each Sub-Adviser was stable, as additional accounts and income from its mutual funds had contributed to higher revenues. The Board, including the Independent Trustees determined that the Sub-Advisory Agreements were not overly profitable to the Sub-Advisers and the financial condition of each Sub-Adviser was adequate. The Board noted that neither Sub-Adviser has affiliations with the Funds’ transfer agent, fund accountant, custodian, or distributor and therefore do not derive any benefits from the relationships these parties may have with the Trust.
Based upon such information as they considered necessary to the exercise of their reasonable business judgment, the Trustees, including all of the Independent Trustees, concluded that it was in the best interests of each the Strategic Income Fund and High Income Fund to continue the Sub-Advisory Agreements between the Adviser and each Sub-Adviser with respect to the Funds for an additional one-year period.
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Notes
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Notes
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RiverNorth Funds
RiverNorth Core Opportunity Fund
RiverNorth/DoubleLine Strategic Income Fund
RiverNorth Equity Opportunity Fund
RiverNorth/Oaktree High Income Fund
Board of Trustees
Patrick W. Galley, CFA, Chairman
James G. Kelley
John S. Oakes
Fred G. Steingraber
John K. Carter
Investment Adviser
RiverNorth Capital Management, LLC
Sub Advisers
DoubleLine Capital LP
Oaktree Capital Management, L.P.
Transfer Agent, Administrator and
Dividend Disbursing Agent
ALPS Fund Services, Inc.
Distributor
ALPS Distributors, Inc.
Custodian
State Street Global Services
Independent Registered
Public Accounting Firm
Cohen Fund Audit Services, Ltd.
This report is provided for the general information of the shareholders of the RiverNorth Funds. This report is not intended for distribution to prospective investors in the Funds, unless preceded or accompanied by an effective prospectus.
| Item 2. | Code of Ethics. |
NOT APPLICABLE – disclosed with annual report.
| Item 3. | Audit Committee Financial Expert. |
NOT APPLICABLE – disclosed with annual report.
| Item 4. | Principal Accountant Fees and Services. |
NOT APPLICABLE - disclosed with annual report.
| Item 5. | Audit Committee of Listed Companies. |
NOT APPLICABLE – applies to listed companies only.
| Item 6. | Schedule of Investments. |
NOT APPLICABLE – schedule filed with Item 1.
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds. |
NOT APPLICABLE – applies to closed-end funds only.
| Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
NOT APPLICABLE – applies to closed-end funds only.
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers. |
NOT APPLICABLE – applies to closed-end funds only.
| Item 10. | Submission of Matters to a Vote of Security Holders. |
NOT APPLICABLE
The registrant has not adopted procedures by which shareholders may recommend nominees to the registrant's board of trustees.
| Item 11. | Controls and Procedures. |
(a) Based on an evaluation of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days of the filing date of this Form N-CSR, the disclosure controls and procedures are reasonably designed to ensure that the information required in filings on Forms N-CSR is recorded, processed, summarized, and reported on a timely basis.
(b) There were no significant changes in the registrant’s internal control over financial reporting that occurred during the registrant’s second fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
| Item 12. | Exhibits. |
| (a)(1) | Not Applicable – filed with annual report. |
| (a)(2) | Certifications by the registrant's principal executive officer and principal financial officer, pursuant to Section 302 of the Sarbanes- Oxley Act of 2002 and required by Rule 30a-2 under the Investment Company Act of 1940 are filed herewith. |
| (a)(3) | Not Applicable – there were no written solicitations to purchase securities under Rule 23c-1during the period. |
| (b) | Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 is filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: RiverNorth Funds
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By:
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/s/ Patrick W. Galley
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Name:
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Patrick W. Galley
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Title:
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President
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Date:
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June 8, 2016
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
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By:
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/s/ Patrick W. Galley
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Name:
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Patrick W. Galley
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Title:
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President & Chief Executive Officer
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Date:
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June 8, 2016
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By:
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/s/ Jonathan M. Mohrhardt
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Name:
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Jonathan M. Mohrhardt
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Title:
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Treasurer & Chief Financial Officer
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Date:
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June 8, 2016
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