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: 03/31/2017
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/Oaktree High Income Fund
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8
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RiverNorth Funds Schedule of Investments and Financial Statements
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Disclosure of Fund Expenses
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11
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Schedule of Investments
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RiverNorth Core Opportunity Fund
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13
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RiverNorth/DoubleLine Strategic Income Fund
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16
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RiverNorth/Oaktree High Income Fund
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50
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Statement of Assets and Liabilities
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RiverNorth Core Opportunity Fund
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67
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RiverNorth/DoubleLine Strategic Income Fund
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69
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RiverNorth/Oaktree High Income Fund
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71
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Statement of Operations
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RiverNorth Core Opportunity Fund
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73
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RiverNorth/DoubleLine Strategic Income Fund
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74
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RiverNorth/Oaktree High Income Fund
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75
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Statements of Changes in Net Assets
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RiverNorth Core Opportunity Fund
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76
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RiverNorth/DoubleLine Strategic Income Fund
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78
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RiverNorth/Oaktree High Income Fund
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80
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Financial Highlights
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RiverNorth Core Opportunity Fund
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82
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RiverNorth/DoubleLine Strategic Income Fund
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86
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RiverNorth/Oaktree High Income Fund
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90
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Notes to Financial Statements
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97
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Additional Information
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118
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Board Considerations Regarding Approval of Investment Advisory and Sub-Advisory Agreements
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119
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RiverNorth Funds
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Portfolio Update
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March 31, 2017 (Unaudited)
RiverNorth Core Opportunity Fund
The classifications and breakouts of the Fund’s portfolio shown below are made by the Adviser as of March 31, 2017.
Investment Vehicle Allocation(1) (percentages are based on net assets)
The allocation does not add up to 100% due to rounding.
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.
| 2 |
(888) 848-7569 | www.rivernorth.com
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RiverNorth Funds
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Portfolio Update
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March 31, 2017 (Unaudited)
Equity Capitalization Allocation(1) (percentages are based on net assets)
Fixed Income Allocation(1)(2) (percentages are based on net assets)
| (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, 2017
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3 |
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RiverNorth Funds
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Portfolio Update
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March 31, 2017 (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 S&P Global Ratings (“S&P”) or Baa3 or higher by Moody’s Investors Service, Inc. (“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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(888) 848-7569 | www.rivernorth.com
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RiverNorth Funds
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Portfolio Update
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March 31, 2017 (Unaudited)
RiverNorth/DoubleLine Strategic Income Fund
The classifications and breakouts of the Fund’s portfolio shown below are made by the Adviser as of March 31, 2017.
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, 2017
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5 |
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RiverNorth Funds
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Portfolio Update
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March 31, 2017 (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.
| (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 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. 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 |
(888) 848-7569 | www.rivernorth.com
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RiverNorth Funds
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Portfolio Update
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March 31, 2017 (Unaudited)
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(2)
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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 Ratings (“Fitch”)). Investment grade refers to a bond rated BBB- or higher by S&P 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, 2017
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7 |
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RiverNorth Funds
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Portfolio Update
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March 31, 2017 (Unaudited)
RiverNorth/Oaktree High Income Fund
The classifications and breakouts of the Fund’s portfolio shown below are made by the Adviser as of March 31, 2017.
Strategy Allocation
Credit Quality Distribution(1)(2) (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)
The allocation does not add up to 100% as it reflects the leverage utilized by the underlying funds.
| 8 |
(888) 848-7569 | www.rivernorth.com
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RiverNorth Funds
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Portfolio Update
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March 31, 2017 (Unaudited)
High Yield & Bank Loan Geographic Breakdown
Totals may not add up to 100% due to rounding.
Credit Exposure By Type
Totals may not add up to 100% due to rounding.
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(1)
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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. Derivatives Risk – derivatives are subject to counterparty risk. 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. 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. 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. Liquidity Risk – illiquid investments may be difficult or impossible to sell. 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. 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. 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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Semi-Annual Report | March 31, 2017
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9 |
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RiverNorth Funds
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Portfolio Update
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March 31, 2017 (Unaudited)
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(2)
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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 S&P 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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| 10 |
(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, 2017 (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 redemptions 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, 2016, and held for the six months ended March 31, 2017.
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, 2017
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11 |
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RiverNorth Funds
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Disclosure of Fund Expenses
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March 31, 2017 (Unaudited)
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Beginning
Account Value 10/01/2016 |
Ending
Account Value 03/31/2017 |
Expense
Ratio(a) |
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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$1,067.70
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1.11%
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$5.72
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Hypothetical (5% return before expenses)
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$1,000.00
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$1,019.40
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1.11%
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$5.59
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Class R Shares
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Actual
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$1,000.00
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$1,067.30
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1.36%
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$7.01
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Hypothetical (5% return before expenses)
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$1,000.00
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$1,018.15
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1.36%
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$6.84
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RiverNorth/DoubleLine Strategic Income Fund
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Class I Shares
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Actual
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$1,000.00
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$1,016.00
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0.85%
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$4.27
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Hypothetical (5% return before expenses)
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$1,000.00
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$1,020.69
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0.85%
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$4.28
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Class R Shares
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Actual
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$1,000.00
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$1,015.70
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1.10%
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$5.53
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Hypothetical (5% return before expenses)
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$1,000.00
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$1,019.45
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1.10%
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$5.54
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RiverNorth/Oaktree High Income Fund
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Class I Shares
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Actual
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$1,000.00
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$1,041.70
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1.31%
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$6.67
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Hypothetical (5% return before expenses)
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$1,000.00
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$1,018.40
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1.31%
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$6.59
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Class R Shares
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Actual
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$1,000.00
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$1,040.20
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1.60%
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$8.14
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Hypothetical (5% return before expenses)
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$1,000.00
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$1,016.95
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1.60%
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$8.05
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(a)
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Annualized, based on the Fund's most recent fiscal half-year expenses.
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(b)
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Expenses are equal to the Fund's annualized ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (182), then divided by 365. Note this expense example is typically based on a six-month period.
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| 12 |
(888) 848-7569 | www.rivernorth.com
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RiverNorth Core Opportunity Fund
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Schedule of Investments
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March 31, 2017 (Unaudited)
| Shares/Description |
Value
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| CLOSED-END FUNDS - 66.18% | |||||||
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1,294,915
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Adams Diversified Equity Fund, Inc.
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$
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17,805,081
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||||
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127,277
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Advent Claymore Convertible Securities and Income Fund II
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777,663
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|||||
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305,055
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AllianzGI Equity & Convertible Income Fund
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5,887,562
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|||||
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943,595
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AllianzGI NFJ Dividend, Interest & Premium Strategy Fund
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12,162,940
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|||||
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997,857
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Alpine Total Dynamic Dividend Fund
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8,242,299
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|||||
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964,563
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BlackRock Credit Allocation Income Trust
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12,693,649
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|||||
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218,622
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BlackRock Debt Strategies Fund, Inc.
|
2,518,525
|
|||||
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1,516,551
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BlackRock Global Opportunities Equity Trust
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18,805,232
|
|||||
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475,370
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BlackRock International Growth and Income Trust
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2,752,392
|
|||||
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331,604
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BlackRock Multi-Sector Income Trust
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5,740,065
|
|||||
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458,814
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BlackRock Resources & Commodity Strategy Trust
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3,945,800
|
|||||
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287,078
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Blackstone/GSO Long-Short Credit Income Fund
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4,616,214
|
|||||
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1,151,180
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Boulder Growth & Income Fund, Inc.
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10,705,974
|
|||||
|
55,130
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Brookfield Real Assets Income Fund, Inc.
|
1,255,861
|
|||||
|
1,427,335
|
CBRE Clarion Global Real Estate Income Fund
|
10,662,192
|
|||||
|
737,465
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Central Fund of Canada Ltd. -Class A
|
9,483,800
|
|||||
|
896,054
|
Clough Global Equity Fund(a)
|
11,326,123
|
|||||
|
2,727,345
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Clough Global Opportunities Fund(a)
|
28,064,380
|
|||||
|
329,569
|
Eaton Vance Limited Duration Income Fund
|
4,557,939
|
|||||
|
59,624
|
Eaton Vance Short Duration Diversified Income Fund
|
841,891
|
|||||
|
307,487
|
General American Investors Co., Inc.
|
10,303,889
|
|||||
|
256,479
|
Invesco Dynamic Credit Opportunities Fund
|
3,136,738
|
|||||
|
441,917
|
Legg Mason BW Global Income Opportunities Fund, Inc.
|
5,647,699
|
|||||
|
6,925,510
|
Liberty All Star® Equity Fund
|
37,813,285
|
|||||
|
375,348
|
LMP Capital and Income Fund, Inc.
|
5,341,202
|
|||||
|
143,600
|
Morgan Stanley Emerging Markets Debt Fund, Inc.
|
1,341,224
|
|||||
|
407,487
|
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.
|
3,088,752
|
|||||
|
113,672
|
Neuberger Berman High Yield Strategies Fund, Inc.
|
1,350,423
|
|||||
|
1,042,814
|
Neuberger Berman Real Estate Securities Income Fund, Inc.
|
5,547,771
|
|||||
|
200,476
|
NexPoint Credit Strategies Fund
|
4,590,900
|
|||||
|
441,842
|
Nuveen AMT-Free Municipal Income Fund
|
5,903,009
|
|||||
|
675,203
|
Nuveen Credit Strategies Income Fund
|
5,867,514
|
|||||
|
376,198
|
Nuveen Dividend Advantage Municipal Fund
|
5,150,151
|
|||||
|
201,759
|
Nuveen Dividend Advantage Municipal Income Fund
|
2,949,717
|
|||||
|
365,646
|
Nuveen Intermediate Duration Quality Municipal Term Fund
|
4,724,146
|
|||||
|
471,275
|
Nuveen Mortgage Opportunity Term Fund
|
11,673,482
|
|||||
|
138,035
|
Nuveen Mortgage Opportunity Term Fund 2
|
3,278,331
|
|||||
|
105,528
|
Prudential Global Short Duration High Yield Fund, Inc.
|
1,571,312
|
|||||
|
769,866
|
Royce Micro-Cap Trust, Inc.
|
6,459,176
|
|||||
|
1,751,362
|
Royce Value Trust, Inc.
|
24,519,068
|
|||||
|
1,336,120
|
Sprott Focus Trust, Inc.
|
9,927,372
|
|||||
|
1,822,940
|
Templeton Global Income Fund
|
12,122,551
|
|||||
|
793,366
|
Tri-Continental Corp.
|
18,342,622
|
|||||
|
245,335
|
Voya Global Equity Dividend and Premium Opportunity Fund
|
1,800,759
|
|||||
|
483,772
|
Wells Fargo Multi-Sector Income Fund
|
6,448,681
|
|||||
|
1,370,623
|
Western Asset Emerging Markets Income Fund, Inc.
|
21,244,657
|
|||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
13
|
|
RiverNorth Core Opportunity Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Shares/Description | Value | ||||||
|
1,890,560
|
Western Asset High Income Opportunity Fund, Inc.
|
$
|
9,528,422
|
||||
| 320,401 |
Zweig Fund, Inc.
|
3,562,859
|
|||||
| TOTAL CLOSED-END FUNDS (Cost $374,614,822) |
406,081,294
|
||||||
| EXCHANGE-TRADED FUNDS - 9.08% | |||||||
|
209,517
|
Market Vectors® Gold Miners ETF
|
4,779,083
|
|||||
|
475,245
|
PowerShares® FTSE RAFI Emerging Markets Portfolio
|
9,428,861
|
|||||
|
155,495
|
PowerShares® FTSE RAFI US 1000 Portfolio
|
15,933,572
|
|||||
|
195,120
|
Vanguard® FTSE Developed Markets ETF
|
7,668,216
|
|||||
|
450,975
|
Vanguard® FTSE Emerging Markets ETF
|
17,912,727
|
|||||
| TOTAL EXCHANGE-TRADED FUNDS (Cost $53,311,632) |
55,722,459
|
||||||
| PREFERRED STOCKS - 0.26% | |||||||
|
61,158
|
General American Investors Co., Inc., Series B, 5.950%
|
1,593,166
|
|||||
| TOTAL PREFERRED STOCKS (Cost $1,444,152) |
1,593,166
|
||||||
| SHORT-TERM INVESTMENTS - 20.66% | |||||||
| Money Market Fund | |||||||
|
126,765,081
|
State Street Institutional Trust (7 Day Yield 0.53%)
|
126,765,081
|
|||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $126,765,081) |
126,765,081
|
||||||
| TOTAL INVESTMENTS - 96.18% (Cost $556,135,687) |
590,162,000
|
||||||
|
CASH SEGREGATED AT CUSTODIAN FOR TOTAL RETURN SWAP CONTRACTS - 0.07%
|
400,000
|
||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES -3.75% |
23,043,400
|
||||||
| NET ASSETS - 100.00% |
|
$
|
613,605,400
|
||||
|
(a)
|
Affiliated company. See Note 9 to Notes to Financial Statements.
|
See Notes to Financial Statements.
|
14
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth Core Opportunity Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
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
|
12/16/2017
|
2.73%(b)
|
$
|
32,000,000
|
$
|
–
|
$
|
92,884
|
||||||||
|
$
|
92,884
|
||||||||||||||||
|
(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.
|
|
(b)
|
Floating or variable rate security. Interest rate disclosed is that which is in effect at March 31, 2017.
|
|
*
|
See Note 4 in the Notes to Financial Statements.
|
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
15
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Shares/Description |
Value
|
||||||
| CLOSED-END FUNDS - 27.32% | |||||||
|
1,662,845
|
Aberdeen Asia-Pacific Income Fund, Inc.
|
$
|
8,297,597
|
||||
|
315,609
|
Advent Claymore Convertible Securities and Income Fund
|
4,942,437
|
|||||
|
805,025
|
Advent Claymore Convertible Securities and Income Fund II
|
4,918,703
|
|||||
|
408,091
|
Advent/Claymore Enhanced Growth & Income Fund
|
3,444,288
|
|||||
|
197,700
|
AllianceBernstein Global High Income Fund, Inc.
|
2,487,066
|
|||||
|
341,450
|
AllianceBernstein National Municipal Income Fund, Inc.
|
4,568,601
|
|||||
|
232,546
|
AllianzGI Diversified Income & Convertible Fund
|
4,725,335
|
|||||
|
583,137
|
Ares Dynamic Credit Allocation Fund, Inc.
|
9,341,855
|
|||||
|
2,485,437
|
BlackRock Corporate High Yield Fund, Inc.
|
27,140,972
|
|||||
|
1,729,417
|
BlackRock Credit Allocation Income Trust
|
22,759,128
|
|||||
|
1,185,775
|
BlackRock Debt Strategies Fund, Inc.
|
13,660,128
|
|||||
|
274,826
|
BlackRock Limited Duration Income Trust
|
4,279,041
|
|||||
|
523,862
|
BlackRock Multi-Sector Income Trust
|
9,068,051
|
|||||
|
467,759
|
BlackRock Muni Intermediate Duration Fund, Inc.
|
6,478,462
|
|||||
|
826,617
|
Blackstone/GSO Strategic Credit Fund
|
13,093,613
|
|||||
|
1,359,758
|
Brookfield Real Assets Income Fund, Inc.
|
30,975,287
|
|||||
|
140,895
|
Deutsche Global High Income Fund, Inc.
|
1,196,199
|
|||||
|
453,240
|
Deutsche High Income Opportunities Fund, Inc.
|
6,639,966
|
|||||
|
597,911
|
Deutsche Multi-Market Income Trust
|
5,201,826
|
|||||
|
2,367,484
|
Eaton Vance Limited Duration Income Fund
|
32,742,304
|
|||||
|
798,067
|
Eaton Vance Senior Income Trust
|
5,410,894
|
|||||
|
267,675
|
Eaton Vance Short Duration Diversified Income Fund
|
3,779,571
|
|||||
|
265,855
|
First Trust Aberdeen Global Opportunity Income Fund
|
3,089,235
|
|||||
|
555,365
|
First Trust High Income Long/Short Fund
|
9,252,381
|
|||||
|
211,045
|
Franklin Limited Duration Income Trust
|
2,526,209
|
|||||
|
1,471,170
|
Invesco Dynamic Credit Opportunities Fund
|
17,992,409
|
|||||
|
219,867
|
Invesco High Income Trust II
|
3,172,681
|
|||||
|
270,076
|
Invesco Municipal Trust
|
3,384,052
|
|||||
|
2,228,771
|
Invesco Senior Income Trust
|
10,319,210
|
|||||
|
16,749
|
KKR Income Opportunities Fund
|
284,900
|
|||||
|
455,821
|
Legg Mason BW Global Income Opportunities Fund, Inc.
|
5,825,392
|
|||||
|
817,951
|
MFS Charter Income Trust
|
7,042,558
|
|||||
|
1,035,979
|
MFS Multimarket Income Trust
|
6,340,191
|
|||||
|
483,942
|
Morgan Stanley Emerging Markets Debt Fund, Inc.
|
4,520,018
|
|||||
|
1,490,864
|
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.
|
11,300,749
|
|||||
|
230,385
|
Morgan Stanley Income Securities, Inc.
|
4,119,284
|
|||||
|
374,040
|
Neuberger Berman High Yield Strategies Fund, Inc.
|
4,443,595
|
|||||
|
134,985
|
NexPoint Credit Strategies Fund
|
3,091,156
|
|||||
|
2,563,737
|
Nuveen AMT-Free Municipal Income Fund
|
34,251,526
|
|||||
|
1,870,041
|
Nuveen Credit Strategies Income Fund
|
16,250,656
|
|||||
|
1,229,137
|
Nuveen Dividend Advantage Municipal Fund
|
16,826,886
|
|||||
|
323,305
|
Nuveen Dividend Advantage Municipal Fund 3
|
4,652,359
|
|||||
|
464,427
|
Nuveen Dividend Advantage Municipal Income Fund
|
6,789,923
|
|||||
|
560,578
|
Nuveen Global High Income Fund
|
9,232,720
|
|||||
|
1,071,785
|
Nuveen Preferred Income Opportunities Fund
|
10,514,211
|
|||||
|
700,196
|
PIMCO Dynamic Credit Income Fund
|
15,012,202
|
|||||
See Notes to Financial Statements.
|
16
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Shares/Description |
Value
|
||||||
|
922,310
|
Prudential Global Short Duration High Yield Fund, Inc.
|
$
|
13,733,196
|
||||
|
586,869
|
Putnam Premier Income Trust
|
3,092,800
|
|||||
|
1,244,514
|
Templeton Emerging Markets Income Fund
|
13,975,892
|
|||||
|
2,166,040
|
Templeton Global Income Fund
|
14,404,166
|
|||||
|
385,272
|
The GDL Fund
|
3,791,076
|
|||||
|
294,306
|
Wells Fargo Advantage Income Opportunities Fund
|
2,472,170
|
|||||
|
751,459
|
Wells Fargo Multi-Sector Income Fund
|
10,016,948
|
|||||
|
1,987,682
|
Western Asset Emerging Markets Income Fund, Inc.
|
30,809,071
|
|||||
|
162,856
|
Western Asset Global Corporate Defined Opportunity Fund, Inc.
|
2,836,952
|
|||||
|
763,129
|
Western Asset Global High Income Fund, Inc.
|
7,707,603
|
|||||
|
4,554,180
|
Western Asset High Income Opportunity Fund, Inc.
|
22,953,067
|
|||||
|
839,688
|
Western Asset High Yield Defined Opportunity Fund, Inc.
|
12,897,608
|
|||||
|
1,555,387
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund
|
17,373,673
|
|||||
|
511,001
|
Western Asset/Claymore Inflation-Linked Securities & Income Fund
|
5,881,622
|
|||||
| TOTAL CLOSED-END FUNDS (Cost $602,588,654) |
597,331,671
|
||||||
| BUSINESS DEVELOPMENT COMPANIES - 0.58% | |||||||
|
678,659
|
Ares Capital Corp.
|
11,795,093
|
|||||
|
52,330
|
SandRidge Energy, Inc.(a)
|
967,584
|
|||||
| TOTAL BUSINESS DEVELOPMENT COMPANIES (Cost $12,781,512) |
12,762,677
|
||||||
| BUSINESS DEVELOPMENT COMPANY BONDS - 0.28% | |||||||
|
112,010
|
THL Credit, Inc., 6.750%
|
2,916,740
|
|||||
|
124,486
|
THL Credit, Inc., 6.750%
|
3,175,638
|
|||||
| TOTAL BUSINESS DEVELOPMENT COMPANY BONDS (Cost $5,843,504) |
6,092,378
|
||||||
| COMMON STOCKS - 0.34% | |||||||
|
622,740
|
Barington/Hilco Acquisition Corp.(a)
|
6,351,948
|
|||||
|
32,970
|
Energy XXI Gulf Coast, Inc.(a)
|
988,111
|
|||||
|
6,082
|
Pacific Rubiales Energy Corp.(a)
|
189,150
|
|||||
| TOTAL COMMON STOCKS (Cost $9,254,212) |
7,529,209
|
||||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
17
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Shares/Description |
Value
|
||||||
| OPEN-END FUNDS - 1.25% | |||||||
|
2,839,990
|
RiverNorth/Oaktree High Income Fund, Class I(b)
|
$
|
27,375,800
|
||||
| TOTAL OPEN-END FUNDS (Cost $27,803,362) |
27,375,800
|
||||||
| PREFERRED STOCKS - 0.73% | |||||||
|
84,225
|
Apollo Commercial Real Estate Finance, Inc., Series A, 8.625%
|
2,153,861
|
|||||
|
81,800
|
Gladstone Investment Corp., 6.250%
|
2,088,534
|
|||||
|
128,627
|
Gladstone Investment Corp., Series C, 6.500%
|
3,292,851
|
|||||
|
56,444
|
Hercules Capital, Inc., 6.250%
|
1,447,794
|
|||||
|
125,774
|
Kayne Anderson MLP Investment Co., Series F, 3.500%
|
3,188,371
|
|||||
|
76,371
|
The GDL Fund, Series B, 3.000%
|
3,849,099
|
|||||
| TOTAL PREFERRED STOCKS (Cost $15,926,774) |
16,020,510
|
||||||
| Shares/Description |
Rate
|
Maturity
|
Value | ||||||
| BUSINESS DEVELOPMENT COMPANY SENIOR NOTES - 0.60% | |||||||||
|
232,005
|
Fifth Street Finance Corp.
|
6.13%
|
04/30/2028
|
5,834,926
|
|||||
|
147,345
|
Main Street Capital Corp.
|
6.13%
|
04/01/2023
|
3,832,443
|
|||||
|
135,503
|
MVC Capital, Inc.
|
7.25%
|
01/15/2023
|
3,454,012
|
|||||
| TOTAL BUSINESS DEVELOPMENT COMPANY SENIOR NOTES (Cost $12,787,393) |
13,121,381
|
||||||||
| Principal Amount/Description |
Rate
|
Maturity
|
Value | ||||||
| FOREIGN CORPORATE BONDS - 0.99% | |||||||||
| Australia - 0.05% | |||||||||
| $ |
585,000
|
Australia & New Zealand Banking Group Ltd.(c)
|
4.88%
|
01/12/2021
|
634,289
|
||||
|
320,000
|
Westpac Banking Corp.
|
2.60%
|
11/23/2020
|
322,511
|
|||||
|
75,000
|
Westpac Banking Corp.
|
2.00%
|
08/19/2021
|
73,333
|
|||||
|
1,030,133
|
|||||||||
| Bermuda - 0.04% | |||||||||
|
600,000
|
Digicel Group Ltd.(c)
|
7.13%
|
04/01/2022
|
469,500
|
|||||
|
400,000
|
Digicel Group Ltd.(d)
|
7.13%
|
04/01/2022
|
313,000
|
|||||
|
782,500
|
|||||||||
| Brazil - 0.01% | |||||||||
|
100,000
|
Cosan Overseas Ltd.(e)
|
8.25%
|
Perpetual
Maturity |
100,750
|
|||||
|
1,500,000
|
OAS Finance Ltd.(c)(e)(f)
|
8.88%
|
Perpetual
Maturity |
67,500
|
|||||
|
168,250
|
|||||||||
See Notes to Financial Statements.
|
18
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Principal Amount/Description |
Rate
|
Maturity
|
Value | |||||||
| British Virgin Islands - 0.01% | ||||||||||
| $ |
300,000
|
CNOOC Finance 2011 Ltd.(d)
|
4.25%
|
01/26/2021
|
$
|
314,555
|
||||
| Canada - 0.05% | ||||||||||
|
110,000
|
Open Text Corp.(c)
|
5.88%
|
06/01/2026
|
115,500
|
||||||
|
135,000
|
Potash Corp. of Saskatchewan, Inc.
|
4.00%
|
12/15/2026
|
138,465
|
||||||
|
160,000
|
Royal Bank of Canada
|
2.50%
|
01/19/2021
|
161,171
|
||||||
|
670,000
|
The Toronto-Dominion Bank
|
1.80%
|
07/13/2021
|
652,246
|
||||||
|
1,067,382
|
||||||||||
| Cayman Islands - 0.07% | ||||||||||
|
300,000
|
Banco Nacional de Comercio Exterior SNC/Cayman
Islands(d)(g) |
3.80%
|
08/11/2026
|
294,750
|
||||||
|
150,000
|
Bantrab Senior Trust(d)
|
9.00%
|
11/14/2020
|
140,250
|
||||||
|
583,056
|
Guanay Finance Ltd.(d)
|
6.00%
|
12/15/2020
|
601,276
|
||||||
|
600,000
|
Industrial Senior Trust(c)
|
5.50%
|
11/01/2022
|
602,784
|
||||||
|
1,639,060
|
||||||||||
| Chile - 0.06% | ||||||||||
|
200,000
|
Colbun SA(d)
|
6.00%
|
01/21/2020
|
217,287
|
||||||
|
550,000
|
CorpGroup Banking SA(c)
|
6.75%
|
03/15/2023
|
529,369
|
||||||
|
500,000
|
Empresa Electrica Guacolda SA(d)
|
4.56%
|
04/30/2025
|
479,669
|
||||||
|
200,000
|
GNL Quintero SA(d)
|
4.63%
|
07/31/2029
|
205,000
|
||||||
|
1,431,325
|
||||||||||
| Costa Rica - 0.02% | ||||||||||
|
400,000
|
Instituto Costarricense de Electricidad(c)
|
6.95%
|
11/10/2021
|
422,968
|
||||||
| Curacao - 0.01% | ||||||||||
|
312,000
|
Teva Pharmaceutical Finance Co. BV
|
2.95%
|
12/18/2022
|
305,025
|
||||||
| Dominican Republic - 0.02% | ||||||||||
|
300,000
|
Banco de Reservas de la Republica Dominicana(c)
|
7.00%
|
02/01/2023
|
306,198
|
||||||
|
200,000
|
Banco de Reservas de la Republica Dominicana(d)
|
7.00%
|
02/01/2023
|
204,132
|
||||||
|
510,330
|
||||||||||
| France - 0.03% | ||||||||||
|
631,000
|
Orange SA
|
2.75%
|
02/06/2019
|
638,638
|
||||||
| Great Britain - 0.07% | ||||||||||
|
155,000
|
AstraZeneca PLC
|
2.38%
|
11/16/2020
|
155,309
|
||||||
|
1,188,000
|
British Telecommunications PLC
|
5.95%
|
01/15/2018
|
1,227,342
|
||||||
|
107,000
|
Delphi Automotive PLC
|
4.25%
|
01/15/2026
|
111,888
|
||||||
|
1,494,539
|
||||||||||
| India - 0.01% | ||||||||||
|
300,000
|
Bharti Airtel Ltd.(d)
|
4.38%
|
06/10/2025
|
300,268
|
||||||
| Ireland - 0.02% | ||||||||||
|
415,000
|
Shire Acquisitions Investments Ireland DAC
|
2.88%
|
09/23/2023
|
403,185
|
||||||
| Israel - 0.08% | ||||||||||
|
1,600,000
|
Israel Electric Corp. Ltd.(c)
|
5.00%
|
11/12/2024
|
1,684,800
|
||||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
19
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Principal Amount/Description |
Rate
|
Maturity
|
Value | |||||||
| Japan - 0.03% | ||||||||||
| $ |
350,000
|
Sumitomo Mitsui Financial Group, Inc.
|
2.93%
|
03/09/2021
|
$
|
353,099
|
||||
|
310,000
|
Sumitomo Mitsui Financial Group, Inc.
|
2.06%
|
07/14/2021
|
301,919
|
||||||
|
655,018
|
||||||||||
| Luxembourg - 0.04% | ||||||||||
|
270,000
|
Actavis Funding SCS
|
2.35%
|
03/12/2018
|
271,229
|
||||||
|
60,000
|
Camelot Finance SA(c)
|
7.88%
|
10/15/2024
|
63,749
|
||||||
|
65,000
|
Intelsat Jackson Holdings SA
|
5.50%
|
08/01/2023
|
53,706
|
||||||
|
35,000
|
Intelsat Jackson Holdings SA(c)
|
8.00%
|
02/15/2024
|
37,188
|
||||||
|
400,000
|
Minerva Luxembourg SA(c)(e)(g)
|
8.75%
|
Perpetual
Maturity |
420,000
|
||||||
|
845,872
|
||||||||||
| Mexico - 0.10% | ||||||||||
|
600,000
|
Banco Mercantil del Norte SA(d)(g)
|
5.75%
|
10/04/2031
|
588,750
|
||||||
|
700,000
|
BBVA Bancomer SA(d)(g)
|
5.35%
|
11/12/2029
|
693,000
|
||||||
|
200,000
|
Comision Federal de Electricidad(d)
|
4.75%
|
02/23/2027
|
201,000
|
||||||
|
200,000
|
Grupo Idesa SA de CV(c)
|
7.88%
|
12/18/2020
|
177,250
|
||||||
|
200,000
|
Grupo Idesa SA de CV(d)
|
7.88%
|
12/18/2020
|
177,250
|
||||||
|
300,000
|
TV Azteca SAB de CV(d)
|
7.50%
|
05/25/2018
|
300,000
|
||||||
|
2,137,250
|
||||||||||
| Netherlands - 0.07% | ||||||||||
|
400,000
|
AES Andres BV / Dominican Power Partners / Empresa Generadora de Electricidad It(c)
|
7.95%
|
05/11/2026
|
430,148
|
||||||
|
250,000
|
Ajecorp BV(d)
|
6.50%
|
05/14/2022
|
185,625
|
||||||
|
300,000
|
CIMPOR Financial Operations BV(c)
|
5.75%
|
07/17/2024
|
267,000
|
||||||
|
410,000
|
Shell International Finance BV
|
1.38%
|
05/10/2019
|
406,454
|
||||||
|
235,000
|
Teva Pharmaceutical Finance Netherlands III BV
|
2.80%
|
07/21/2023
|
223,320
|
||||||
|
1,512,547
|
||||||||||
| Panama - 0.09% | ||||||||||
|
398,154
|
Aeropuerto Internacional de Tocumen SA
|
5.75%
|
10/09/2023
|
427,020
|
||||||
|
700,000
|
AES El Salvador Trust II(d)
|
6.75%
|
03/28/2023
|
652,750
|
||||||
|
400,000
|
Avianca Holdings SA / Avianca Leasing LLC / Grupo Taca Holdings Ltd.(d)
|
8.38%
|
05/10/2020
|
398,400
|
||||||
|
395,995
|
ENA Norte Trust(d)
|
4.95%
|
04/25/2023
|
409,855
|
||||||
|
1,888,025
|
||||||||||
| Peru - 0.07% | ||||||||||
|
199,580
|
Abengoa Transmision Sur SA(d)
|
6.88%
|
04/30/2043
|
214,548
|
||||||
|
180,000
|
Camposol SA(c)
|
10.50%
|
07/15/2021
|
190,350
|
||||||
|
200,000
|
El Fondo MIVIVIENDA SA(c)
|
3.50%
|
01/31/2023
|
202,000
|
||||||
|
500,000
|
Pesquera Exalmar SAA(c)
|
7.38%
|
01/31/2020
|
424,950
|
||||||
|
500,000
|
Pesquera Exalmar SAA(d)
|
7.38%
|
01/31/2020
|
424,950
|
||||||
|
1,456,798
|
||||||||||
See Notes to Financial Statements.
|
20
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
||||||
|
Singapore ‐ 0.03%
|
|||||||||
|
$
|
600,000
|
ONGC Videsh Vankorneft Pte Ltd.
|
3.75%
|
07/27/2026
|
$
|
588,731
|
|||
|
Trinidad/Tobago ‐ 0.01%
|
|||||||||
|
300,000
|
National Gas Co. of Trinidad & Tobago Ltd.(d)
|
6.05%
|
01/15/2036
|
312,000
|
|||||
|
TOTAL FOREIGN CORPORATE BONDS (Cost $23,391,562)
|
21,589,199
|
||||||||
|
U.S. CORPORATE BONDS ‐ 3.35%
|
|||||||||
|
Advertising ‐ 0.03%
|
|||||||||
|
635,000
|
Omnicom Group, Inc.
|
3.60%
|
04/15/2026
|
635,826
|
|||||
|
Aerospace/Defense ‐ 0.04%
|
|||||||||
|
365,000
|
Lockheed Martin Corp.
|
4.70%
|
05/15/2046
|
396,837
|
|||||
|
336,000
|
The Boeing Co.
|
6.88%
|
03/15/2039
|
475,194
|
|||||
|
872,031
|
|||||||||
|
Agriculture ‐ 0.02%
|
|||||||||
|
390,000
|
Reynolds American, Inc.
|
4.00%
|
06/12/2022
|
409,762
|
|||||
|
Airlines ‐ 0.01%
|
|||||||||
|
215,000
|
Delta Air Lines, Inc.
|
3.63%
|
03/15/2022
|
219,692
|
|||||
|
Apparel ‐ 0.00%(h)
|
|||||||||
|
35,000
|
Levi Strauss & Co.
|
5.00%
|
05/01/2025
|
36,057
|
|||||
|
Auto Manufacturers ‐ 0.06%
|
|||||||||
|
305,000
|
Ford Motor Co.
|
7.45%
|
07/16/2031
|
385,560
|
|||||
|
510,000
|
General Motors Financial Co., Inc.
|
2.40%
|
05/09/2019
|
511,313
|
|||||
|
345,000
|
General Motors Financial Co., Inc.
|
3.20%
|
07/13/2020
|
351,163
|
|||||
|
145,000
|
General Motors Financial Co., Inc.
|
3.20%
|
07/06/2021
|
145,677
|
|||||
|
1,393,713
|
|||||||||
|
Auto Parts & Equipment ‐ 0.02%
|
|||||||||
|
35,000
|
Allison Transmission, Inc.(c)
|
5.00%
|
10/01/2024
|
35,438
|
|||||
|
105,000
|
American Axle & Manufacturing, Inc.
|
6.63%
|
10/15/2022
|
108,675
|
|||||
|
265,000
|
Delphi Corp.
|
4.15%
|
03/15/2024
|
277,101
|
|||||
|
75,000
|
The Goodyear Tire & Rubber Co.
|
5.13%
|
11/15/2023
|
78,234
|
|||||
|
499,448
|
|||||||||
|
Banks ‐ 0.32%
|
|||||||||
|
200,000
|
Banco GNB Sudameris SA(c)
|
6.50%
|
04/03/2027
|
203,190
|
|||||
|
375,000
|
Bank of America Corp.
|
2.00%
|
01/11/2018
|
376,033
|
|||||
|
285,000
|
Bank of America Corp.
|
2.50%
|
10/21/2022
|
277,940
|
|||||
|
410,000
|
Bank of Montreal
|
1.90%
|
08/27/2021
|
399,574
|
|||||
|
650,000
|
Citigroup, Inc.
|
2.70%
|
03/30/2021
|
651,325
|
|||||
|
750,000
|
Commonwealth Bank of Australia(c)
|
2.75%
|
03/10/2022
|
752,283
|
|||||
|
410,000
|
JPMorgan Chase & Co.
|
2.97%
|
01/15/2023
|
409,909
|
|||||
|
375,000
|
JPMorgan Chase & Co.
|
4.25%
|
10/01/2027
|
385,651
|
|||||
|
155,000
|
Morgan Stanley
|
2.50%
|
04/21/2021
|
154,295
|
|||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
21
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
||||||
|
$
|
355,000
|
Morgan Stanley
|
2.63%
|
11/17/2021
|
$
|
352,569
|
|||
|
405,000
|
Morgan Stanley
|
3.63%
|
01/20/2027
|
402,689
|
|||||
|
370,000
|
PNC Funding Corp.
|
3.30%
|
03/08/2022
|
381,243
|
|||||
|
320,000
|
Royal Bank of Canada
|
2.13%
|
03/02/2020
|
320,238
|
|||||
|
180,000
|
State Street Corp.
|
3.55%
|
08/18/2025
|
185,163
|
|||||
|
230,000
|
State Street Corp.
|
2.65%
|
05/19/2026
|
220,583
|
|||||
|
150,000
|
The Goldman Sachs Group, Inc.
|
2.35%
|
11/15/2021
|
147,161
|
|||||
|
260,000
|
The Goldman Sachs Group, Inc.
|
3.00%
|
04/26/2022
|
260,508
|
|||||
|
405,000
|
Wells Fargo & Co.
|
3.07%
|
01/24/2023
|
407,005
|
|||||
|
105,000
|
Wells Fargo & Co.
|
3.00%
|
04/22/2026
|
100,663
|
|||||
|
565,000
|
Wells Fargo & Co.
|
3.00%
|
10/23/2026
|
541,567
|
|||||
|
6,929,589
|
|||||||||
|
Beverages ‐ 0.05%
|
|||||||||
|
300,000
|
Anheuser‐Busch InBev Finance, Inc.
|
4.90%
|
02/01/2046
|
325,200
|
|||||
|
445,000
|
PepsiCo, Inc.
|
3.45%
|
10/06/2046
|
403,567
|
|||||
|
255,000
|
The Coca‐Cola Co.
|
1.55%
|
09/01/2021
|
249,171
|
|||||
|
977,938
|
|||||||||
|
Biotechnology ‐ 0.01%
|
|||||||||
|
145,000
|
Celgene Corp.
|
3.88%
|
08/15/2025
|
148,448
|
|||||
|
Building Materials ‐ 0.00%(h)
|
|||||||||
|
37,000
|
Builders FirstSource, Inc.(c)
|
5.63%
|
09/01/2024
|
37,694
|
|||||
|
Chemicals ‐ 0.01%
|
|||||||||
|
50,000
|
Ashland, Inc.
|
4.75%
|
08/15/2022
|
51,937
|
|||||
|
75,000
|
Hexion, Inc.(c)
|
10.38%
|
02/01/2022
|
75,000
|
|||||
|
40,000
|
Olin Corp.
|
5.13%
|
09/15/2027
|
40,776
|
|||||
|
50,000
|
PQ Corp.(c)
|
6.75%
|
11/15/2022
|
53,375
|
|||||
|
221,088
|
|||||||||
|
Coal ‐ 0.00%(h)
|
|||||||||
|
15,000
|
Foresight Energy LLC / Foresight Energy Finance Corp.(c)
|
11.50%
|
04/01/2023
|
14,100
|
|||||
|
35,000
|
Peabody Securities Finance Corp.(c)
|
6.00%
|
03/31/2022
|
34,956
|
|||||
|
49,056
|
|||||||||
|
Commercial Services ‐ 0.01%
|
|||||||||
|
20,000
|
Gartner, Inc.(c)
|
5.13%
|
04/01/2025
|
20,425
|
|||||
|
75,000
|
Live Nation Entertainment, Inc.(c)
|
4.88%
|
11/01/2024
|
75,187
|
|||||
|
70,000
|
Prime Security Services Borrower LLC / Prime Finance, Inc.(c)
|
9.25%
|
05/15/2023
|
76,913
|
|||||
|
75,000
|
Team Health Holdings, Inc.(c)
|
6.38%
|
02/01/2025
|
73,688
|
|||||
|
40,000
|
The ServiceMaster Co. LLC(c)
|
5.13%
|
11/15/2024
|
41,100
|
|||||
|
30,000
|
United Rentals North America, Inc.
|
5.50%
|
05/15/2027
|
30,375
|
|||||
|
317,688
|
|||||||||
|
Computers ‐ 0.02%
|
|||||||||
|
75,000
|
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.(c)
|
7.13%
|
06/15/2024
|
82,951
|
|||||
|
320,000
|
Hewlett Packard Enterprise Co.
|
3.60%
|
10/15/2020
|
329,129
|
|||||
See Notes to Financial Statements.
|
22
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
||||||
|
$
|
25,000
|
Western Digital Corp.(c)
|
7.38%
|
04/01/2023
|
$
|
27,469
|
|||
|
439,549
|
|||||||||
|
Cosmetics/Personal Care ‐ 0.00%(h)
|
|||||||||
|
70,000
|
Revlon Consumer Products Corp.
|
5.75%
|
02/15/2021
|
70,263
|
|||||
|
15,000
|
Revlon Consumer Products Corp.
|
6.25%
|
08/01/2024
|
15,000
|
|||||
|
85,263
|
|||||||||
|
Diversified Financial Services ‐ 0.27%
|
|||||||||
|
635,000
|
Air Lease Corp.
|
3.75%
|
02/01/2022
|
654,654
|
|||||
|
645,000
|
Ally Financial, Inc.
|
4.13%
|
03/30/2020
|
659,512
|
|||||
|
40,000
|
Ally Financial, Inc.
|
4.25%
|
04/15/2021
|
40,900
|
|||||
|
590,000
|
American Express Credit Corp.
|
2.25%
|
05/05/2021
|
584,653
|
|||||
|
520,000
|
American Express Credit Corp.
|
2.70%
|
03/03/2022
|
519,826
|
|||||
|
400,000
|
CK Hutchison International 17 Ltd.(c)
|
3.50%
|
04/05/2027
|
399,285
|
|||||
|
300,000
|
Credito Real SAB de CV SOFOM ER(c)
|
7.25%
|
07/20/2023
|
304,500
|
|||||
|
45,000
|
Dana Financing Luxembourg Sarl(c)
|
5.75%
|
04/15/2025
|
45,506
|
|||||
|
1,177,661
|
Interoceanica IV Finance Ltd.(d)(i)
|
0.00%
|
11/30/2025
|
962,738
|
|||||
|
485,000
|
National Rural Utilities Cooperative Finance Corp.
|
2.00%
|
01/27/2020
|
483,347
|
|||||
|
60,000
|
Nationstar Mortgage LLC / Nationstar Capital Corp.
|
6.50%
|
07/01/2021
|
61,050
|
|||||
|
60,000
|
Navient Corp.
|
6.50%
|
06/15/2022
|
60,600
|
|||||
|
400,000
|
Pontis IV Ltd.(c)
|
5.13%
|
03/31/2027
|
401,200
|
|||||
|
659,000
|
Synchrony Financial
|
3.00%
|
08/15/2019
|
669,586
|
|||||
|
5,847,357
|
|||||||||
|
Electric ‐ 0.33%
|
|||||||||
|
300,000
|
AES Gener SA(d)
|
5.00%
|
07/14/2025
|
305,423
|
|||||
|
787,000
|
Berkshire Hathaway Energy Co.
|
6.50%
|
09/15/2037
|
1,026,746
|
|||||
|
40,000
|
Calpine Corp.
|
5.75%
|
01/15/2025
|
39,895
|
|||||
|
1,000,000
|
DTE Energy Co.
|
2.85%
|
10/01/2026
|
937,487
|
|||||
|
230,000
|
Duke Energy Corp.
|
3.75%
|
09/01/2046
|
208,153
|
|||||
|
450,000
|
Duke Energy Progress, Inc.
|
4.15%
|
12/01/2044
|
457,944
|
|||||
|
400,000
|
Engie Energia Chile SA(d)
|
4.50%
|
01/29/2025
|
409,908
|
|||||
|
315,000
|
Exelon Corp.
|
3.40%
|
04/15/2026
|
310,375
|
|||||
|
500,000
|
Fortis, Inc.(c)
|
2.10%
|
10/04/2021
|
484,933
|
|||||
|
800,000
|
Great Plains Energy, Inc.
|
3.90%
|
04/01/2027
|
808,202
|
|||||
|
70,000
|
NRG Energy, Inc.
|
7.25%
|
05/15/2026
|
72,450
|
|||||
|
350,000
|
Pampa Energia SA(c)
|
7.50%
|
01/24/2027
|
354,865
|
|||||
|
655,000
|
The Southern Co.
|
2.45%
|
09/01/2018
|
660,686
|
|||||
|
1,000,000
|
Virginia Electric & Power Co.
|
3.50%
|
03/15/2027
|
1,022,539
|
|||||
|
7,099,606
|
|||||||||
|
Engineering & Construction ‐ 0.10%
|
|||||||||
|
55,000
|
AECOM(c)
|
5.13%
|
03/15/2027
|
55,275
|
|||||
|
150,000
|
Aeropuertos Argentina 2000 SA(c)
|
6.88%
|
02/01/2027
|
155,250
|
|||||
|
950,000
|
Mexico City Airport Trust(c)
|
4.25%
|
10/31/2026
|
965,437
|
|||||
|
500,000
|
Sydney Airport Finance Co. Pty Ltd.(c)
|
3.38%
|
04/30/2025
|
490,837
|
|||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
23
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
||||||
|
$
|
500,000
|
Sydney Airport Finance Co. Pty Ltd.(c)
|
3.63%
|
04/28/2026
|
$
|
498,595
|
|||
|
2,165,394
|
|||||||||
|
Entertainment ‐ 0.03%
|
|||||||||
|
35,000
|
AMC Entertainment Holdings, Inc.(c)
|
5.88%
|
11/15/2026
|
35,481
|
|||||
|
35,000
|
AMC Entertainment Holdings, Inc.(c)
|
6.13%
|
05/15/2027
|
35,394
|
|||||
|
35,000
|
GLP Capital LP / GLP Financing II, Inc.
|
5.38%
|
04/15/2026
|
36,225
|
|||||
|
75,000
|
PNK Entertainment, Inc.(c)
|
5.63%
|
05/01/2024
|
76,219
|
|||||
|
45,000
|
Scientific Games International, Inc.(c)
|
7.00%
|
01/01/2022
|
48,206
|
|||||
|
135,000
|
Six Flags Entertainment Corp.(c)
|
4.88%
|
07/31/2024
|
133,566
|
|||||
|
140,000
|
Six Flags Entertainment Corp.(c)
|
5.50%
|
04/15/2027
|
140,000
|
|||||
|
85,000
|
WMG Acquisition Corp.(c)
|
6.75%
|
04/15/2022
|
89,675
|
|||||
|
594,766
|
|||||||||
|
Environmental Control ‐ 0.01%
|
|||||||||
|
275,000
|
Waste Management, Inc.
|
4.10%
|
03/01/2045
|
276,792
|
|||||
|
Food ‐ 0.13%
|
|||||||||
|
120,000
|
Albertsons Cos. LLC / Safeway, Inc. / New Albertson's, Inc. / Albertson's LLC(c)
|
5.75%
|
03/15/2025
|
116,700
|
|||||
|
55,000
|
Aramark Services, Inc.(c)
|
5.00%
|
04/01/2025
|
56,787
|
|||||
|
110,000
|
B&G Foods, Inc.
|
5.25%
|
04/01/2025
|
111,237
|
|||||
|
300,000
|
Cencosud SA(d)
|
5.15%
|
02/12/2025
|
313,158
|
|||||
|
55,000
|
JBS USA LLC / JBS USA Finance, Inc.(c)
|
5.75%
|
06/15/2025
|
55,825
|
|||||
|
500,000
|
Kraft Heinz Foods Co.
|
2.00%
|
07/02/2018
|
501,343
|
|||||
|
200,000
|
MARB BondCo PLC(c)
|
7.00%
|
03/15/2024
|
199,000
|
|||||
|
75,000
|
Pilgrim's Pride Corp.(c)
|
5.75%
|
03/15/2025
|
75,938
|
|||||
|
35,000
|
Post Holdings, Inc.(c)
|
5.50%
|
03/01/2025
|
35,088
|
|||||
|
395,000
|
Smithfield Foods, Inc.(c)
|
4.25%
|
02/01/2027
|
400,139
|
|||||
|
515,000
|
The Kroger Co.
|
3.40%
|
04/15/2022
|
526,734
|
|||||
|
35,000
|
TreeHouse Foods, Inc.(c)
|
6.00%
|
02/15/2024
|
36,838
|
|||||
|
390,000
|
Tyson Foods, Inc.
|
3.95%
|
08/15/2024
|
398,290
|
|||||
|
2,827,077
|
|||||||||
|
Forest Products & Paper ‐ 0.08%
|
|||||||||
|
885,000
|
Georgia‐Pacific LLC(c)
|
3.60%
|
03/01/2025
|
905,317
|
|||||
|
290,000
|
International Paper Co.
|
3.00%
|
02/15/2027
|
271,617
|
|||||
|
500,000
|
Inversiones CMPC SA(c)
|
4.38%
|
04/04/2027
|
498,126
|
|||||
|
1,675,060
|
|||||||||
|
Gas ‐ 0.04%
|
|||||||||
|
35,000
|
NGL Energy Partners LP / NGL Energy Finance Corp.(c)
|
7.50%
|
11/01/2023
|
36,313
|
|||||
|
60,000
|
NGL Energy Partners LP / NGL Energy Finance Corp.(c)
|
6.13%
|
03/01/2025
|
58,500
|
|||||
|
800,000
|
Transportadora de Gas del Peru SA(d)
|
4.25%
|
04/30/2028
|
810,000
|
|||||
|
904,813
|
|||||||||
|
Healthcare‐Products ‐ 0.06%
|
|||||||||
|
20,000
|
DJO Finco, Inc. / DJO Finance LLC / DJO Finance Corp.(c)
|
8.13%
|
06/15/2021
|
17,350
|
|||||
See Notes to Financial Statements.
|
24
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
||||||
|
$
|
625,000
|
Thermo Fisher Scientific, Inc.
|
3.30%
|
02/15/2022
|
$
|
637,917
|
|||
|
55,000
|
Universal Hospital Services, Inc.
|
7.63%
|
08/15/2020
|
55,000
|
|||||
|
660,000
|
Zimmer Biomet Holdings, Inc.
|
1.45%
|
04/01/2017
|
660,000
|
|||||
|
1,370,267
|
|||||||||
|
Healthcare‐Services ‐ 0.13%
|
|||||||||
|
75,000
|
Acadia Healthcare Co., Inc.
|
5.63%
|
02/15/2023
|
78,046
|
|||||
|
115,000
|
Air Medical Merger Sub Corp.(c)
|
6.38%
|
05/15/2023
|
111,838
|
|||||
|
658,000
|
Anthem, Inc.
|
2.30%
|
07/15/2018
|
661,099
|
|||||
|
30,000
|
Centene Corp.
|
5.63%
|
02/15/2021
|
31,473
|
|||||
|
75,000
|
Centene Corp.
|
4.75%
|
01/15/2025
|
75,610
|
|||||
|
40,000
|
CHS/Community Health Systems, Inc.
|
8.00%
|
11/15/2019
|
39,350
|
|||||
|
55,000
|
CHS/Community Health Systems, Inc.
|
6.25%
|
03/31/2023
|
56,306
|
|||||
|
90,000
|
Envision Healthcare Corp.(c)
|
6.25%
|
12/01/2024
|
94,725
|
|||||
|
660,000
|
Laboratory Corp. of America Holdings
|
2.50%
|
11/01/2018
|
665,957
|
|||||
|
45,000
|
LifePoint Health, Inc.(c)
|
5.38%
|
05/01/2024
|
45,878
|
|||||
|
160,000
|
MPH Acquisition Holdings LLC(c)
|
7.13%
|
06/01/2024
|
172,420
|
|||||
|
35,000
|
RegionalCare Hospital Partners Holdings, Inc.(c)
|
8.25%
|
05/01/2023
|
37,520
|
|||||
|
75,000
|
Select Medical Corp.
|
6.38%
|
06/01/2021
|
76,125
|
|||||
|
75,000
|
Tenet Healthcare Corp.
|
6.75%
|
06/15/2023
|
73,875
|
|||||
|
620,000
|
UnitedHealth Group, Inc.
|
4.20%
|
01/15/2047
|
630,123
|
|||||
|
55,000
|
WellCare Health Plans, Inc.
|
5.25%
|
04/01/2025
|
56,856
|
|||||
|
2,907,201
|
|||||||||
|
Holding Companies‐Diversified ‐ 0.02%
|
|||||||||
|
155,000
|
Argos Merger Sub, Inc.(c)
|
7.13%
|
03/15/2023
|
147,638
|
|||||
|
390,000
|
MUFG Americas Holdings Corp.
|
1.63%
|
02/09/2018
|
390,105
|
|||||
|
537,743
|
|||||||||
|
Home Furnishings ‐ 0.00%(h)
|
|||||||||
|
35,000
|
Tempur Sealy International, Inc.
|
5.63%
|
10/15/2023
|
35,350
|
|||||
|
Household Products/Wares ‐ 0.00%(h)
|
|||||||||
|
15,000
|
Kronos Acquisition Holdings, Inc.(c)
|
9.00%
|
08/15/2023
|
15,300
|
|||||
|
55,000
|
Spectrum Brands, Inc.
|
5.75%
|
07/15/2025
|
58,438
|
|||||
|
73,738
|
|||||||||
|
Housewares ‐ 0.01%
|
|||||||||
|
155,000
|
Newell Brands, Inc.
|
3.15%
|
04/01/2021
|
158,707
|
|||||
|
Insurance ‐ 0.10%
|
|||||||||
|
855,000
|
Liberty Mutual Group, Inc.(c)
|
6.50%
|
05/01/2042
|
1,067,816
|
|||||
|
415,000
|
New York Life Global Funding(c)
|
2.90%
|
01/17/2024
|
416,430
|
|||||
|
660,000
|
TIAA Asset Management Finance Co., LLC(c)
|
2.95%
|
11/01/2019
|
671,207
|
|||||
|
2,155,453
|
|||||||||
|
Investment Companies ‐ 0.12%
|
|||||||||
|
2,500,000
|
FS Investment Corp.
|
4.25%
|
01/15/2020
|
2,520,273
|
|||||
|
Iron/Steel ‐ 0.03%
|
|||||||||
|
15,000
|
Cliffs Natural Resources, Inc.(c)
|
5.75%
|
03/01/2025
|
14,587
|
|||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
25
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
||||||
|
$
|
75,000
|
Signode Industrial Group Lux SA / Signode Industrial Group US, Inc.(c)
|
6.38%
|
05/01/2022
|
$
|
77,297
|
|||
|
450,000
|
Vale Overseas Ltd.
|
5.88%
|
06/10/2021
|
483,354
|
|||||
|
575,238
|
|||||||||
|
Leisure Time ‐ 0.01%
|
|||||||||
|
75,000
|
NCL Corp. Ltd.(c)
|
4.75%
|
12/15/2021
|
76,313
|
|||||
|
70,000
|
Sabre GLBL, Inc.(c)
|
5.25%
|
11/15/2023
|
71,925
|
|||||
|
105,000
|
Viking Cruises Ltd.(c)
|
8.50%
|
10/15/2022
|
109,331
|
|||||
|
257,569
|
|||||||||
|
Lodging ‐ 0.04%
|
|||||||||
|
600,000
|
Gohl Capital Ltd.
|
4.25%
|
01/24/2027
|
606,542
|
|||||
|
175,000
|
Hilton Domestic Operating Co., Inc.(c)
|
4.25%
|
09/01/2024
|
173,687
|
|||||
|
75,000
|
Jack Ohio Finance LLC / Jack Ohio Finance 1 Corp.(c)
|
6.75%
|
11/15/2021
|
77,813
|
|||||
|
70,000
|
Station Casinos LLC
|
7.50%
|
03/01/2021
|
72,975
|
|||||
|
931,017
|
|||||||||
|
Machinery‐Construction & Mining ‐ 0.00%(h)
|
|||||||||
|
35,000
|
Blueline Rental Corp.(c)
|
9.25%
|
03/15/2024
|
35,919
|
|||||
|
Machinery‐Diversified ‐ 0.01%
|
|||||||||
|
290,000
|
John Deere Capital Corp.
|
2.65%
|
01/06/2022
|
291,209
|
|||||
|
Media ‐ 0.08%
|
|||||||||
|
20,000
|
CCO Holdings LLC / CCO Holdings Capital Corp.
|
5.25%
|
09/30/2022
|
20,800
|
|||||
|
25,000
|
CCO Holdings LLC / CCO Holdings Capital Corp.(c)
|
5.13%
|
05/01/2023
|
25,812
|
|||||
|
10,000
|
CCO Holdings LLC / CCO Holdings Capital Corp.(c)
|
5.13%
|
05/01/2027
|
10,094
|
|||||
|
70,000
|
Cengage Learning, Inc.(c)
|
9.50%
|
06/15/2024
|
63,000
|
|||||
|
105,000
|
Cequel Communications Holdings I LLC / Cequel Capital
Corp.(c) |
6.38%
|
09/15/2020
|
108,281
|
|||||
|
605,000
|
Charter Communications Operating LLC / Charter Communications Operating Capital
|
4.91%
|
07/23/2025
|
639,900
|
|||||
|
395,000
|
Comcast Corp.
|
4.40%
|
08/15/2035
|
410,094
|
|||||
|
40,000
|
CSC Holdings LLC
|
5.25%
|
06/01/2024
|
39,950
|
|||||
|
40,000
|
Gray Television, Inc.(c)
|
5.13%
|
10/15/2024
|
39,600
|
|||||
|
60,000
|
Gray Television, Inc.(c)
|
5.88%
|
07/15/2026
|
61,200
|
|||||
|
55,000
|
Nexstar Broadcasting, Inc.(c)
|
5.63%
|
08/01/2024
|
55,963
|
|||||
|
20,000
|
Sinclair Television Group, Inc.(c)
|
5.63%
|
08/01/2024
|
20,300
|
|||||
|
75,000
|
Sirius XM Radio, Inc.(c)
|
5.38%
|
07/15/2026
|
76,875
|
|||||
|
110,000
|
TEGNA, Inc.(c)
|
4.88%
|
09/15/2021
|
111,925
|
|||||
|
30,000
|
Videotron Ltd. / Videotron Ltee(c)
|
5.13%
|
04/15/2027
|
30,000
|
|||||
|
1,713,794
|
|||||||||
See Notes to Financial Statements.
|
26
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
||||||
|
Metal Fabricate/Hardware ‐ 0.01%
|
|||||||||
|
$
|
35,000
|
Grinding Media, Inc. / MC Grinding Media Canada, Inc.(c)
|
7.38%
|
12/15/2023
|
$
|
36,837
|
|||
|
50,000
|
Novelis Corp.(c)
|
6.25%
|
08/15/2024
|
52,250
|
|||||
|
25,000
|
Novelis Corp.(c)
|
5.88%
|
09/30/2026
|
25,563
|
|||||
|
114,650
|
|||||||||
|
Miscellaneous Manufacturing ‐ 0.00%(h)
|
|||||||||
|
80,000
|
Gates Global LLC / Gates Global Co.(c)
|
6.00%
|
07/15/2022
|
81,800
|
|||||
|
Oil & Gas ‐ 0.25%
|
|||||||||
|
145,000
|
Apache Corp.
|
4.75%
|
04/15/2043
|
145,699
|
|||||
|
400,000
|
BP Capital Markets PLC
|
3.72%
|
11/28/2028
|
407,135
|
|||||
|
600,000
|
BPRL International Singapore Pte. Ltd.
|
4.38%
|
01/18/2027
|
612,737
|
|||||
|
49,000
|
Chevron Corp.
|
1.37%
|
03/02/2018
|
48,979
|
|||||
|
195,000
|
Chevron Corp.
|
1.56%
|
05/16/2019
|
194,402
|
|||||
|
255,000
|
Chevron Corp.
|
2.50%
|
03/03/2022
|
256,463
|
|||||
|
400,000
|
CNOOC Finance 2015 USA LLC
|
3.50%
|
05/05/2025
|
396,564
|
|||||
|
10,000
|
EP Energy LLC / Everest Acquisition Finance, Inc.
|
9.38%
|
05/01/2020
|
9,475
|
|||||
|
35,000
|
Extraction Oil & Gas Holdings LLC / Extraction Finance Corp.(c)
|
7.88%
|
07/15/2021
|
37,100
|
|||||
|
18,000
|
FTS International, Inc.
|
6.25%
|
05/01/2022
|
15,840
|
|||||
|
20,000
|
Halcon Resources Corp.(c)
|
6.75%
|
02/15/2025
|
19,740
|
|||||
|
15,000
|
MEG Energy Corp.(c)
|
7.00%
|
03/31/2024
|
13,500
|
|||||
|
130,000
|
Memorial Production Partners LP / Memorial Production Finance Corp.(f)
|
6.88%
|
08/01/2022
|
48,750
|
|||||
|
20,000
|
Noble Holding International Ltd.
|
7.75%
|
01/15/2024
|
19,300
|
|||||
|
155,000
|
Occidental Petroleum Corp.
|
3.40%
|
04/15/2026
|
154,864
|
|||||
|
25,000
|
PDC Energy, Inc.(c)
|
6.13%
|
09/15/2024
|
25,750
|
|||||
|
200,000
|
Petrobras Global Finance BV
|
7.38%
|
01/17/2027
|
211,940
|
|||||
|
600,000
|
Petrobras Global Finance BV
|
7.25%
|
03/17/2044
|
595,500
|
|||||
|
310,000
|
Petroleos Mexicanos
|
6.75%
|
09/21/2047
|
315,459
|
|||||
|
300,000
|
Petronas Capital Ltd.(d)
|
3.50%
|
03/18/2025
|
305,253
|
|||||
|
263,000
|
Phillips 66
|
5.88%
|
05/01/2042
|
301,969
|
|||||
|
250,000
|
Reliance Holding USA, Inc.(d)
|
5.40%
|
02/14/2022
|
273,061
|
|||||
|
40,000
|
Sanchez Energy Corp.
|
6.13%
|
01/15/2023
|
37,300
|
|||||
|
145,000
|
Schlumberger Holdings Corp.(c)
|
2.35%
|
12/21/2018
|
145,999
|
|||||
|
800,000
|
Sinopec Group Overseas Development 2016 Ltd.(d)
|
2.75%
|
09/29/2026
|
742,944
|
|||||
|
45,000
|
SM Energy Co.
|
5.00%
|
01/15/2024
|
42,750
|
|||||
|
5,378,473
|
|||||||||
|
Packaging & Containers ‐ 0.01%
|
|||||||||
|
70,000
|
Berry Plastics Corp.
|
5.50%
|
05/15/2022
|
72,975
|
|||||
|
70,000
|
BWAY Holding Co.(c)
|
5.50%
|
04/15/2024
|
70,700
|
|||||
|
55,000
|
Flex Acquisition Co., Inc.(c)
|
6.88%
|
01/15/2025
|
56,237
|
|||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
27
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
||||||
|
$
|
50,000
|
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC(c)
|
7.00%
|
07/15/2024
|
$
|
53,625
|
|||
|
253,537
|
|||||||||
|
Pharmaceuticals ‐ 0.08%
|
|||||||||
|
405,000
|
AbbVie, Inc.
|
4.70%
|
05/14/2045
|
405,380
|
|||||
|
410,000
|
Cardinal Health, Inc.
|
1.95%
|
06/15/2018
|
411,356
|
|||||
|
150,000
|
Express Scripts Holding Co.
|
4.50%
|
02/25/2026
|
154,123
|
|||||
|
135,000
|
Express Scripts Holding Co.
|
3.40%
|
03/01/2027
|
127,398
|
|||||
|
70,000
|
inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc.(c)
|
7.50%
|
10/01/2024
|
72,363
|
|||||
|
410,000
|
Mylan NV
|
3.15%
|
06/15/2021
|
412,108
|
|||||
|
35,000
|
Valeant Pharmaceuticals International, Inc.(c)
|
7.00%
|
03/15/2024
|
36,006
|
|||||
|
65,000
|
Vizient, Inc.(c)
|
10.38%
|
03/01/2024
|
74,344
|
|||||
|
1,693,078
|
|||||||||
|
Pipelines ‐ 0.11%
|
|||||||||
|
1,000,000
|
APT Pipelines Ltd.(c)
|
4.25%
|
07/15/2027
|
1,010,397
|
|||||
|
505,000
|
Enable Midstream Partners LP
|
4.40%
|
03/15/2027
|
502,176
|
|||||
|
55,000
|
Energy Transfer Equity LP
|
5.50%
|
06/01/2027
|
57,750
|
|||||
|
395,000
|
Energy Transfer Partners LP
|
4.75%
|
01/15/2026
|
407,163
|
|||||
|
340,000
|
Kinder Morgan Energy Partners LP
|
6.95%
|
01/15/2038
|
395,561
|
|||||
|
35,000
|
Targa Resources Partners LP / Targa Resources Partners Finance Corp.(c)
|
5.38%
|
02/01/2027
|
36,400
|
|||||
|
75,000
|
Williams Partners LP / ACMP Finance Corp.
|
4.88%
|
03/15/2024
|
77,221
|
|||||
|
2,486,668
|
|||||||||
|
Private Equity ‐ 0.00%(h)
|
|||||||||
|
55,000
|
Icahn Enterprises LP / Icahn Enterprises Finance Corp.(c)
|
6.25%
|
02/01/2022
|
55,963
|
|||||
|
REITS ‐ 0.14%
|
|||||||||
|
800,000
|
American Tower Corp.
|
3.38%
|
10/15/2026
|
764,201
|
|||||
|
625,000
|
Boston Properties LP
|
4.13%
|
05/15/2021
|
657,766
|
|||||
|
800,000
|
Crown Castle International Corp.
|
3.70%
|
06/15/2026
|
786,510
|
|||||
|
25,000
|
CyrusOne LP / CyrusOne Finance Corp.(c)
|
5.00%
|
03/15/2024
|
25,750
|
|||||
|
70,000
|
Equinix, Inc.
|
5.88%
|
01/15/2026
|
74,638
|
|||||
|
75,000
|
ESH Hospitality, Inc.(c)
|
5.25%
|
05/01/2025
|
75,796
|
|||||
|
20,000
|
MGM Growth Properties Operating Partnership LP / MGP Finance Co.‐Issuer, Inc.
|
5.63%
|
05/01/2024
|
21,200
|
|||||
|
655,000
|
Simon Property Group LP
|
3.30%
|
01/15/2026
|
647,099
|
|||||
|
3,052,960
|
|||||||||
|
Retail ‐ 0.03%
|
|||||||||
|
60,000
|
Asbury Automotive Group, Inc.
|
6.00%
|
12/15/2024
|
62,250
|
|||||
|
70,000
|
Rite Aid Corp.(c)
|
6.13%
|
04/01/2023
|
69,650
|
|||||
|
105,000
|
Sally Holdings LLC / Sally Capital, Inc.
|
5.75%
|
06/01/2022
|
108,544
|
|||||
See Notes to Financial Statements.
|
28
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
||||||
|
$
|
80,000
|
The Home Depot, Inc.
|
3.35%
|
09/15/2025
|
$
|
82,355
|
|||
|
330,000
|
The Home Depot, Inc.
|
3.00%
|
04/01/2026
|
329,776
|
|||||
|
652,575
|
|||||||||
|
Semiconductors ‐ 0.05%
|
|||||||||
|
410,000
|
Analog Devices, Inc.
|
2.50%
|
12/05/2021
|
406,470
|
|||||
|
250,000
|
Applied Materials, Inc.
|
4.35%
|
04/01/2047
|
253,499
|
|||||
|
290,000
|
Broadcom Corp. / Broadcom Cayman Finance Ltd.(c)
|
3.63%
|
01/15/2024
|
292,501
|
|||||
|
55,000
|
Micron Technology, Inc.(c)
|
5.25%
|
08/01/2023
|
56,650
|
|||||
|
1,009,120
|
|||||||||
|
Software ‐ 0.12%
|
|||||||||
|
265,000
|
Fidelity National Information Services, Inc.
|
3.63%
|
10/15/2020
|
275,566
|
|||||
|
50,000
|
First Data Corp.(c)
|
7.00%
|
12/01/2023
|
53,750
|
|||||
|
50,000
|
First Data Corp.(c)
|
5.75%
|
01/15/2024
|
51,762
|
|||||
|
80,000
|
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho(c)
|
10.00%
|
11/30/2024
|
87,200
|
|||||
|
70,000
|
Infor US, Inc.
|
6.50%
|
05/15/2022
|
72,282
|
|||||
|
120,000
|
Informatica LLC(c)
|
7.13%
|
07/15/2023
|
117,300
|
|||||
|
330,000
|
McGraw‐Hill Financials, Inc.
|
4.40%
|
02/15/2026
|
350,828
|
|||||
|
380,000
|
Microsoft Corp.
|
4.45%
|
11/03/2045
|
402,301
|
|||||
|
565,000
|
Oracle Corp.
|
1.90%
|
09/15/2021
|
555,683
|
|||||
|
355,000
|
Oracle Corp.
|
4.13%
|
05/15/2045
|
346,111
|
|||||
|
70,000
|
Quintiles Transnational Corp.(c)
|
4.88%
|
05/15/2023
|
71,312
|
|||||
|
50,000
|
Solera LLC / Solera Finance, Inc.(c)
|
10.50%
|
03/01/2024
|
57,359
|
|||||
|
105,000
|
Sophia LP / Sophia Finance, Inc.(c)
|
9.00%
|
09/30/2023
|
110,775
|
|||||
|
2,552,229
|
|||||||||
|
Telecommunications ‐ 0.14%
|
|||||||||
|
495,000
|
AT&T, Inc.
|
3.80%
|
03/01/2024
|
501,039
|
|||||
|
70,000
|
Cincinnati Bell, Inc.(c)
|
7.00%
|
07/15/2024
|
73,587
|
|||||
|
405,000
|
Cisco Systems, Inc.
|
1.85%
|
09/20/2021
|
397,394
|
|||||
|
75,000
|
CommScope, Inc.(c)
|
5.00%
|
06/15/2021
|
77,344
|
|||||
|
60,000
|
Embarq Corp.
|
8.00%
|
06/01/2036
|
60,000
|
|||||
|
600,000
|
Empresa Nacional de Telecomunicaciones SA(d)
|
4.75%
|
08/01/2026
|
616,361
|
|||||
|
50,000
|
Frontier Communications Corp.
|
8.50%
|
04/15/2020
|
52,937
|
|||||
|
165,000
|
Level 3 Communications, Inc.
|
5.75%
|
12/01/2022
|
171,187
|
|||||
|
400,000
|
Ooredoo International Finance Ltd.(d)
|
3.88%
|
01/31/2028
|
394,274
|
|||||
|
55,000
|
Telesat Canada / Telesat LLC(c)
|
8.88%
|
11/15/2024
|
60,500
|
|||||
|
660,000
|
Verizon Communications, Inc.
|
4.40%
|
11/01/2034
|
626,286
|
|||||
|
3,030,909
|
|||||||||
|
Textiles ‐ 0.01%
|
|||||||||
|
170,000
|
Cintas Corp. No.2
|
3.70%
|
04/01/2027
|
174,044
|
|||||
|
Transportation ‐ 0.19%
|
|||||||||
|
200,000
|
Autoridad del Canal de Panama(d)
|
4.95%
|
07/29/2035
|
219,500
|
|||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
29
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
||||||
|
$
|
465,000
|
Burlington Northern Santa Fe LLC
|
4.55%
|
09/01/2044
|
$
|
491,402
|
|||
|
420,000
|
CSX Corp.
|
3.80%
|
11/01/2046
|
384,466
|
|||||
|
900,000
|
Empresa de Transporte de Pasajeros Metro SA(c)
|
5.00%
|
01/25/2047
|
944,235
|
|||||
|
550,000
|
FedEx Corp.
|
4.75%
|
11/15/2045
|
565,326
|
|||||
|
1,000,000
|
Lima Metro Line 2 Finance Ltd.(c)
|
5.88%
|
07/05/2034
|
1,067,500
|
|||||
|
35,000
|
OPE KAG Finance Sub, Inc.(c)
|
7.88%
|
07/31/2023
|
35,962
|
|||||
|
400,000
|
Union Pacific Corp.
|
3.00%
|
04/15/2027
|
395,618
|
|||||
|
4,104,009
|
|||||||||
|
Trucking & Leasing ‐ 0.01%
|
|||||||||
|
245,000
|
Penske Truck Leasing Co. LP / PTL Finance Corp.(c)
|
4.20%
|
04/01/2027
|
249,922
|
|||||
|
TOTAL U.S. CORPORATE BONDS (Cost $72,446,622)
|
|||||||||
|
73,117,122
|
|||||||||
|
FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND FOREIGN AGENCIES ‐ 0.44%
|
|||||||||
|
700,000
|
Argentine Republic Government International Bond(c)
|
6.88%
|
01/26/2027
|
709,275
|
|||||
|
700,000
|
Brazilian Government International Bond
|
5.63%
|
01/07/2041
|
684,250
|
|||||
|
400,000
|
Chile Government International Bond
|
3.13%
|
01/21/2026
|
407,200
|
|||||
|
400,000
|
Costa Rica Government International Bond(d)
|
10.00%
|
08/01/2020
|
470,720
|
|||||
|
1,000,000
|
Dominican Republic International Bond(c)
|
5.95%
|
01/25/2027
|
1,023,750
|
|||||
|
300,000
|
Dominican Republic International Bond(d)
|
6.85%
|
01/27/2045
|
311,250
|
|||||
|
700,000
|
Guatemala Government International Bond(d)
|
4.50%
|
05/03/2026
|
698,376
|
|||||
|
700,000
|
Korea International Bond
|
2.75%
|
01/19/2027
|
689,132
|
|||||
|
400,000
|
Mexico Government International Bond
|
4.13%
|
01/21/2026
|
412,200
|
|||||
|
1,140,000
|
Mexico Government International Bond
|
4.15%
|
03/28/2027
|
1,161,375
|
|||||
|
200,000
|
Mexico Government International Bond
|
4.75%
|
03/08/2044
|
195,000
|
|||||
|
200,000
|
Panama Government International Bond
|
3.88%
|
03/17/2028
|
203,750
|
|||||
|
300,000
|
Pertamina Persero PT International Bond(d)
|
5.63%
|
05/20/2043
|
308,721
|
|||||
|
600,000
|
Perusahaan Penerbit SBSN Indonesia III International Bond(c)
|
4.15%
|
03/29/2027
|
603,270
|
|||||
|
400,000
|
Philippine Government International Bond
|
3.70%
|
02/02/2042
|
396,086
|
|||||
|
400,000
|
Poland Government International Bond
|
5.13%
|
04/21/2021
|
438,672
|
|||||
|
200,000
|
Poland Government International Bond
|
3.25%
|
04/06/2026
|
198,711
|
|||||
|
400,000
|
Provincia de Buenos Aires/Argentina International Bond(c)
|
7.88%
|
06/15/2027
|
406,080
|
|||||
See Notes to Financial Statements.
|
30
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value | ||||||
| $ |
200,000
|
The Korea Development Bank International Bond
|
3.00%
|
01/13/2026
|
$
|
199,619
|
|||
| TOTAL FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND FOREIGN AGENCIES | |||||||||
|
(Cost $9,371,148)
|
9,517,437
|
||||||||
|
COLLATERALIZED LOAN OBLIGATIONS - 0.66%
|
|||||||||
|
Adams Mill CLO Ltd.
|
|||||||||
|
500,000
|
Series 2014‐1A(c)(g)
|
4.52%
|
07/15/2026
|
495,000
|
|||||
|
250,000
|
Series 2014‐1A(c)(g)
|
6.02%
|
07/15/2026
|
239,254
|
|||||
|
Apidos CLO XVIII
|
|||||||||
|
500,000
|
Series 2014‐18A(c)(g)
|
4.69%
|
07/22/2026
|
500,031
|
|||||
|
250,000
|
Series 2014‐18A(c)(g)
|
6.24%
|
07/22/2026
|
247,923
|
|||||
|
Avery Point II CLO Ltd.
|
|||||||||
|
500,000
|
Series 2013‐2A(c)(g)
|
4.47%
|
07/17/2025
|
497,427
|
|||||
|
Babson CLO Ltd.
|
|||||||||
|
500,000
|
Series 2015‐2A(c)(g)
|
4.83%
|
07/20/2027
|
499,439
|
|||||
|
500,000
|
Series 2015‐IA(c)(g)
|
4.48%
|
04/20/2027
|
500,025
|
|||||
|
Barings CLO Ltd. 2016-III
|
|||||||||
|
500,000
|
Series 2016‐3A(c)(g)
|
4.87%
|
01/15/2028
|
505,595
|
|||||
|
Betony CLO Ltd.
|
|||||||||
|
500,000
|
Series 2015‐1A(c)(g)
|
4.62%
|
04/15/2027
|
495,367
|
|||||
|
Birchwood Park CLO Ltd.
|
|||||||||
|
250,000
|
Series 2014‐1A(c)(g)
|
7.42%
|
07/15/2026
|
251,743
|
|||||
|
BlueMountain CLO Ltd.
|
|||||||||
|
500,000
|
Series 2012‐1A(c)(g)
|
6.53%
|
07/20/2023
|
502,497
|
|||||
|
500,000
|
Series 2015‐3A(c)(g)
|
4.13%
|
10/20/2027
|
506,520
|
|||||
|
500,000
|
Series 2015‐3A(c)(g)
|
4.58%
|
10/20/2027
|
502,554
|
|||||
|
Brookside Mill CLO Ltd.
|
|||||||||
|
250,000
|
Series 2013‐1A(c)(g)
|
3.72%
|
04/17/2025
|
248,484
|
|||||
|
500,000
|
Series 2013‐1A(c)(g)
|
4.07%
|
04/17/2025
|
490,293
|
|||||
|
500,000
|
Series 2013‐1A(c)(g)
|
5.42%
|
04/17/2025
|
462,366
|
|||||
|
Catamaran CLO Ltd.
|
|||||||||
|
500,000
|
Series 2015‐1A(c)(g)
|
4.14%
|
04/22/2027
|
500,132
|
|||||
|
Dorchester Park CLO Ltd.
|
|||||||||
|
250,000
|
Series 2015‐1A(c)(g)
|
4.23%
|
01/20/2027
|
252,920
|
|||||
|
250,000
|
Series 2015‐1A(c)(g)
|
4.58%
|
01/20/2027
|
249,120
|
|||||
|
Emerson Park CLO Ltd.
|
|||||||||
|
250,000
|
Series 2013‐1A(c)(g)
|
3.77%
|
07/15/2025
|
249,957
|
|||||
|
Flatiron CLO Ltd.
|
|||||||||
|
250,000
|
Series 2014‐1A(c)(g)
|
4.32%
|
07/17/2026
|
245,919
|
|||||
|
Galaxy XV CLO Ltd.
|
|||||||||
|
500,000
|
Series 2013‐15A(c)(g)
|
4.42%
|
04/15/2025
|
501,402
|
|||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
31
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value | ||||||
|
Halcyon Loan Advisors Funding Ltd.
|
|||||||||
| $ |
250,000
|
Series 2013‐2A(c)(g)
|
3.73%
|
08/01/2025
|
$
|
251,533
|
|||
|
ING IM CLO Ltd.
|
|||||||||
|
250,000
|
Series 2013‐3A(c)(g)
|
3.72%
|
01/18/2026
|
250,645
|
|||||
|
LCM XII LP
|
|||||||||
|
250,000
|
Series 2015‐12A(c)(g)
|
4.72%
|
10/19/2022
|
252,231
|
|||||
|
LCM XIV LP
|
|||||||||
|
500,000
|
Series 2013‐14A(c)(g)
|
4.52%
|
07/15/2025
|
502,543
|
|||||
|
LCM XV LP
|
|||||||||
|
250,000
|
Series 2014-15A(c)(g)
|
4.15%
|
08/25/2024
|
250,286
|
|||||
|
Madison Park Funding XIV Ltd.
|
|||||||||
|
250,000
|
Series 2014‐14A(c)(g)
|
4.63%
|
07/20/2026
|
252,163
|
|||||
|
250,000
|
Series 2014‐14A(c)(g)
|
5.78%
|
07/20/2026
|
245,833
|
|||||
|
Nomad CLO Ltd.
|
|||||||||
|
250,000
|
Series 2013‐1A(c)(g)
|
3.97%
|
01/15/2025
|
251,245
|
|||||
|
250,000
|
Series 2013‐1A(c)(g)
|
4.52%
|
01/15/2025
|
251,236
|
|||||
|
Octagon Investment Partners XVI Ltd.
|
|||||||||
|
500,000
|
Series 2013‐1A(c)(g)
|
4.37%
|
07/17/2025
|
500,182
|
|||||
|
500,000
|
Series 2013‐1A(c)(g)
|
5.52%
|
07/17/2025
|
466,637
|
|||||
|
Symphony CLO XI Ltd.
|
|||||||||
|
500,000
|
Series 2013‐11A(c)(g)
|
4.17%
|
01/17/2025
|
500,949
|
|||||
|
THL Credit Wind River 2017‐1 CLO Ltd.
|
|||||||||
|
500,000
|
Series 2017‐1A(c)(g)
|
4.78%
|
04/18/2029
|
500,522
|
|||||
|
Venture XII CLO Ltd.
|
|||||||||
|
1,000,000
|
Series 2017‐12A(c)(g)
|
4.75%
|
02/28/2026
|
1,002,080
|
|||||
|
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $14,149,921)
|
14,422,053
|
||||||||
|
NON‐AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS -20.44%
|
|||||||||
|
Adjustable Rate Mortgage Trust
|
|||||||||
|
1,166,646
|
Series 2005‐1(g)
|
3.60%
|
05/25/2035
|
1,173,005
|
|||||
|
5,428,300
|
Series 2005‐10(g)
|
3.43%
|
01/25/2036
|
4,641,438
|
|||||
|
1,015,075
|
Series 2005‐7(g)
|
3.62%
|
10/25/2035
|
891,210
|
|||||
|
Alternative Loan Trust
|
|||||||||
|
462,535
|
Series 2005‐20CB
|
5.50%
|
07/25/2035
|
421,617
|
|||||
|
174,909
|
Series 2005‐54CB
|
5.50%
|
11/25/2035
|
151,376
|
|||||
|
805,276
|
Series 2005‐6CB
|
5.50%
|
04/25/2035
|
828,117
|
|||||
|
1,834,540
|
Series 2005‐85CB(g)
|
2.08%
|
02/25/2036
|
1,457,449
|
|||||
|
387,426
|
Series 2005‐85CB(g)
|
18.03%
|
02/25/2036
|
464,122
|
|||||
|
436,095
|
Series 2005‐86CB
|
5.50%
|
02/25/2036
|
379,200
|
|||||
|
860,475
|
Series 2005‐9CB(g)
|
4.07%
|
05/25/2035
|
89,871
|
|||||
|
484,502
|
Series 2005‐9CB(g)
|
1.48%
|
05/25/2035
|
396,918
|
|||||
|
396,020
|
Series 2006‐12CB(g)
|
5.75%
|
05/25/2036
|
291,587
|
|||||
See Notes to Financial Statements.
|
32
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value | ||||||
|
$
|
1,877,458
|
Series 2006‐15CB
|
6.50%
|
06/25/2036
|
$
|
1,466,988
|
|||
|
237,436
|
Series 2006‐30T1
|
6.25%
|
11/25/2036
|
209,147
|
|||||
|
193,552
|
Series 2006‐32CB
|
5.50%
|
11/25/2036
|
161,508
|
|||||
|
393,295
|
Series 2006‐36T2(g)
|
23.54%
|
12/25/2036
|
458,194
|
|||||
|
1,523,557
|
Series 2007‐19
|
6.00%
|
08/25/2037
|
1,259,809
|
|||||
|
5,377,652
|
Series 2007‐20
|
6.25%
|
08/25/2047
|
4,476,705
|
|||||
|
1,596,425
|
Series 2007‐23CB(g)
|
1.48%
|
09/25/2037
|
1,012,817
|
|||||
|
1,524,320
|
Series 2007‐23CB(g)
|
5.52%
|
09/25/2037
|
349,780
|
|||||
|
9,797,269
|
Series 2007‐HY2(g)
|
3.26%
|
03/25/2047
|
8,591,698
|
|||||
| American Home Mortgage Investment Trust | |||||||||
|
180,876
|
Series 2007- A(c)(j)
|
6.60%
|
01/25/2037
|
99,858
|
|||||
|
Atrium IX
|
|||||||||
|
500,000
|
Series 2017‐9A(c)(g)
|
4.97%
|
05/28/2030
|
496,180
|
|||||
|
AVANT Loans Funding Trust
|
|||||||||
|
57,672
|
Series 2016‐B(c)
|
3.92%
|
08/15/2019
|
57,778
|
|||||
|
BAMLL Commercial Mortgage Securities Trust
|
|||||||||
|
400,000
|
Series 2014‐IP(c)(g)
|
2.72%
|
06/15/2018
|
394,813
|
|||||
|
17,000,000
|
Series 2015‐200P(c)(g)
|
0.38%
|
04/14/2025
|
483,155
|
|||||
|
Banc of America Alternative Loan Trust
|
|||||||||
|
69,747
|
Series 2005‐6
|
6.00%
|
07/25/2035
|
66,546
|
|||||
|
135,747
|
Series 2005‐6
|
5.50%
|
07/25/2035
|
116,250
|
|||||
|
Banc of America Commercial Mortgage Trust
|
|||||||||
|
306,300
|
Series 2007‐5(g)
|
5.77%
|
10/10/2017
|
312,589
|
|||||
|
Banc of America Funding Corp.
|
|||||||||
|
635,677
|
Series 2008‐R2(c)
|
6.00%
|
09/25/2037
|
660,487
|
|||||
|
Banc of America Funding Trust
|
|||||||||
|
3,000,000
|
Series 2005‐B(g)
|
1.43%
|
04/20/2035
|
2,510,743
|
|||||
|
344,833
|
Series 2006‐2
|
5.50%
|
03/25/2036
|
339,151
|
|||||
|
1,105,829
|
Series 2006‐A(g)
|
3.44%
|
02/20/2036
|
1,028,549
|
|||||
|
7,986,764
|
Series 2007‐4(g)
|
5.77%
|
05/25/2037
|
7,474,782
|
|||||
|
7,183,145
|
Series 2010‐R5(c)
|
6.00%
|
10/26/2037
|
6,369,484
|
|||||
|
BBCMS Mortgage Trust
|
|||||||||
|
4,127,287
|
Series 2017‐C1(g)
|
1.53%
|
02/15/2027
|
465,306
|
|||||
|
BCAP LLC Trust
|
|||||||||
|
191,081
|
Series 2007‐AA2(g)
|
7.50%
|
04/25/2037
|
182,274
|
|||||
|
123,977
|
Series 2007‐AA2
|
6.00%
|
04/25/2037
|
108,180
|
|||||
|
3,532,594
|
Series 2009‐RR1(c)(g)
|
6.00%
|
10/26/2036
|
3,516,346
|
|||||
|
8,116,264
|
Series 2010‐RR6A(c)(g)
|
6.00%
|
07/26/2036
|
6,901,667
|
|||||
|
Bear Stearns ALT‐A Trust
|
|||||||||
|
1,618,885
|
Series 2004‐11(g)
|
3.05%
|
11/25/2034
|
1,479,875
|
|||||
|
1,804,902
|
Series 2005‐3(g)
|
3.20%
|
04/25/2035
|
1,516,139
|
|||||
|
12,883,185
|
Series 2006‐3(g)
|
3.13%
|
05/25/2036
|
9,847,379
|
|||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
33
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Principal Amount/Description |
Rate
|
Maturity
|
Value | ||||||
| $ |
7,897,676
|
Series 2006‐4(g)
|
3.14%
|
07/25/2036
|
$ |
6,617,388
|
|||
|
1,615,198
|
Series 2006‐6(g)
|
3.40%
|
11/25/2036
|
1,469,830
|
|||||
|
Bear Stearns Asset‐Backed Securities Trust
|
|||||||||
|
360,635
|
Series 2005‐HE3(g)
|
2.00%
|
03/25/2035
|
358,662
|
|||||
|
2,765,857
|
Series 2006‐AC1(j)
|
6.25%
|
02/25/2036
|
2,146,785
|
|||||
|
Bear Stearns Commercial Mortgage Securities Trust
|
|||||||||
|
27,024
|
Series 2006‐PW13(g)
|
5.61%
|
08/11/2016
|
27,000
|
|||||
|
Blue Elephant Loan Trust
|
|||||||||
|
1,300,000
|
Series 2015‐1(c)
|
5.56%
|
12/15/2022
|
1,302,419
|
|||||
|
CFCRE Commercial Mortgage Trust
|
|||||||||
|
5,202,406
|
Series 2016‐C3(g)
|
1.09%
|
12/10/2025
|
379,828
|
|||||
|
486,000
|
Series 2016‐C7
|
3.84%
|
12/10/2026
|
501,745
|
|||||
|
Chase Mortgage Finance Trust
|
|||||||||
|
5,834,548
|
Series 2007‐S2
|
6.00%
|
03/25/2037
|
4,971,572
|
|||||
|
11,852,543
|
Series 2007‐S2
|
6.00%
|
03/25/2037
|
10,148,432
|
|||||
|
655,367
|
Series 2007‐S3
|
5.50%
|
05/25/2037
|
508,371
|
|||||
|
Chicago Skyscraper Trust
|
|||||||||
|
193,000
|
Series 2017‐SKY(c)(g)
|
2.01%
|
02/15/2019
|
193,116
|
|||||
|
107,000
|
Series 2017‐SKY(c)(g)
|
2.16%
|
02/15/2019
|
107,000
|
|||||
|
CIM Trust
|
|||||||||
|
12,000,000
|
Series 2016‐1RR(c)(g)
|
12.32%
|
07/26/2055
|
10,521,708
|
|||||
|
12,000,000
|
Series 2016‐2RR B2(c)(g)
|
24.65%
|
02/27/2056
|
10,526,354
|
|||||
|
12,000,000
|
Series 2016‐3RR B2(c)(g)
|
12.17%
|
02/27/2056
|
10,527,864
|
|||||
|
11,430,000
|
Series 2016‐3RR B2(c)(g)
|
12.17%
|
01/27/2057
|
12,573,000
|
|||||
|
Citicorp Mortgage Securities Trust
|
|||||||||
|
1,056,349
|
Series 2007‐1
|
6.00%
|
01/25/2037
|
1,084,593
|
|||||
|
259,523
|
Series 2007‐2
|
5.50%
|
02/25/2037
|
258,863
|
|||||
|
Citigroup Commercial Mortgage Trust
|
|||||||||
|
3,983,320
|
Series 2014‐GC25(g)
|
1.06%
|
10/10/2047
|
248,164
|
|||||
|
355,500
|
Series 2015‐GC27(c)(g)
|
4.43%
|
01/10/2025
|
286,066
|
|||||
|
400,000
|
Series 2015‐GC31(g)
|
4.06%
|
06/10/2025
|
383,516
|
|||||
|
420,000
|
Series 2015‐GC35(g)
|
4.50%
|
11/10/2025
|
419,933
|
|||||
|
5,509,396
|
Series 2015‐GC35(g)
|
0.90%
|
11/10/2048
|
290,144
|
|||||
|
488,000
|
Series 2016‐P4
|
2.90%
|
07/10/2026
|
475,154
|
|||||
|
3,356,803
|
Series 2016‐P4(g)
|
2.01%
|
07/10/2049
|
436,014
|
|||||
|
388,000
|
Series 2016‐P6(g)
|
3.72%
|
11/10/2026
|
402,593
|
|||||
|
494,000
|
Series 2016‐SMPLC D(c)
|
3.52%
|
09/10/2021
|
490,214
|
|||||
|
Citigroup Mortgage Loan Trust
|
|||||||||
|
1,099,326
|
Series 2006‐WF1(j)
|
5.13%
|
03/25/2036
|
790,442
|
|||||
|
1,549,413
|
Series 2007‐OPX1(j)
|
6.33%
|
01/25/2037
|
1,040,860
|
|||||
|
2,000,000
|
Series 2008‐AR4(c)(g)
|
3.58%
|
11/25/2038
|
1,969,207
|
|||||
|
1,400,000
|
Series 2008‐AR4(c)(g)
|
3.25%
|
11/25/2038
|
1,377,334
|
|||||
|
1,178,303
|
Series 2010‐8(c)(g)
|
6.00%
|
11/25/2036
|
1,215,348
|
|||||
|
3,534,368
|
Series 2010‐8(c)(g)
|
6.00%
|
12/25/2036
|
3,559,187
|
|||||
See Notes to Financial Statements.
|
34
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Principal Amount/Description |
Rate
|
Maturity
|
Value | ||||||
|
CitiMortgage Alternative Loan Trust
|
|||||||||
|
$
|
959,871
|
Series 2007‐A1
|
6.00%
|
01/25/2037
|
$ |
878,846
|
|||
|
189,069
|
Series 2007‐A1(g)
|
4.42%
|
01/25/2037
|
29,223
|
|||||
|
309,626
|
Series 2007‐A3(g)
|
4.42%
|
03/25/2037
|
43,850
|
|||||
|
134,543
|
Series 2007‐A3(g)
|
6.00%
|
03/25/2037
|
121,278
|
|||||
|
1,099,988
|
Series 2007‐A4
|
5.75%
|
04/25/2037
|
948,837
|
|||||
|
975,273
|
Series 2007‐A6
|
5.50%
|
06/25/2037
|
823,062
|
|||||
|
COBALT CMBS Commercial Mortgage Trust
|
|||||||||
|
320,700
|
Series 2007‐C2(g)
|
5.57%
|
04/15/2047
|
324,308
|
|||||
|
Commercial Mortgage Pass‐Through Certificates
|
|||||||||
|
340,466
|
Series 2010‐C1(c)(g)
|
1.59%
|
07/10/2046
|
3,324
|
|||||
|
312,400
|
Series 2014‐CR19(g)
|
4.72%
|
08/10/2047
|
318,182
|
|||||
|
400,000
|
Series 2014‐CR20(g)
|
4.51%
|
11/10/2047
|
394,256
|
|||||
|
5,797,416
|
Series 2014‐UBS4(c)
|
3.75%
|
08/10/2047
|
1,780,885
|
|||||
|
11,000
|
Series 2014‐UBS4(c)(g)(k)
|
0.00%
|
08/10/2047
|
0
|
|||||
|
2,705,400
|
Series 2014‐UBS4(c)
|
3.75%
|
08/10/2047
|
1,782,964
|
|||||
|
3,091,920
|
Series 2014‐UBS4(c)
|
3.75%
|
08/10/2047
|
1,818,578
|
|||||
|
3,941,962
|
Series 2015‐CR22(g)
|
1.01%
|
03/10/2025
|
209,940
|
|||||
|
475,000
|
Series 2015‐CR25(g)
|
4.55%
|
08/10/2025
|
467,406
|
|||||
|
5,054,017
|
Series 2015‐CR26(g)
|
1.05%
|
09/10/2025
|
315,633
|
|||||
|
419,000
|
Series 2015‐LC23(g)
|
4.65%
|
10/10/2025
|
410,366
|
|||||
|
3,713,044
|
Series 2016‐DC2(g)
|
1.07%
|
10/10/2025
|
255,984
|
|||||
|
249,000
|
Series 2016‐DC2(g)
|
4.64%
|
02/10/2026
|
240,908
|
|||||
|
Commercial Mortgage Trust
|
|||||||||
|
312,200
|
Series 2007‐GG11(g)
|
6.05%
|
12/10/2049
|
317,586
|
|||||
|
659,000
|
Series 2012‐CR4(c)(g)
|
4.57%
|
11/15/2022
|
601,393
|
|||||
|
Consumer Credit Origination Loan Trust
|
|||||||||
|
3,750,000
|
Series 2015‐1(c)
|
5.21%
|
04/15/2018
|
3,752,621
|
|||||
|
Cosmopolitan Hotel Trust
|
|||||||||
|
245,000
|
Series 2016‐CSMO(c)(g)
|
3.56%
|
11/15/2021
|
248,798
|
|||||
|
Countrywide Home Loan Mortgage Pass‐Through Trust
|
|||||||||
|
3,850,695
|
Series 2005‐HYB7(g)
|
3.00%
|
11/20/2035
|
3,273,748
|
|||||
|
107,358
|
Series 2005‐J4
|
5.50%
|
11/25/2035
|
104,443
|
|||||
|
3,149,607
|
Series 2006‐18
|
6.00%
|
12/25/2036
|
2,892,532
|
|||||
|
501,089
|
Series 2007‐17
|
6.00%
|
10/25/2037
|
481,366
|
|||||
|
527,054
|
Series 2007‐3
|
6.00%
|
04/25/2037
|
450,603
|
|||||
|
611,365
|
Series 2007‐7
|
5.75%
|
06/25/2037
|
554,205
|
|||||
|
Credit Suisse First Boston Mortgage Securities Corp.
|
|||||||||
|
2,165
|
Series 1998‐C2(c)(g)
|
6.75%
|
11/15/2030
|
2,166
|
|||||
|
104,774
|
Series 2005‐10
|
5.50%
|
11/25/2035
|
100,412
|
|||||
|
3,386,003
|
Series 2005‐11
|
6.00%
|
12/25/2035
|
3,250,606
|
|||||
|
82,724
|
Series 2005‐8
|
5.50%
|
08/25/2025
|
78,446
|
|||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
35
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Principal Amount/Description |
Rate
|
Maturity
|
Value | ||||||
|
$
|
6,622,914
|
Series 2005‐9
|
6.00%
|
10/25/2035
|
$
|
4,194,045
|
|||
|
CSAB Mortgage‐Backed Trust
|
|||||||||
|
8,781,274
|
Series 2006‐2(j)
|
5.70%
|
09/25/2036
|
1,759,119
|
|||||
|
168,809
|
Series 2007‐1(g)
|
5.90%
|
05/25/2037
|
79,360
|
|||||
|
CSAIL Commercial Mortgage Trust
|
|||||||||
|
5,919,458
|
Series 2015‐C1(g)
|
0.95%
|
01/15/2025
|
322,069
|
|||||
|
419,000
|
Series 2015‐C4(g)
|
4.58%
|
11/15/2025
|
411,289
|
|||||
|
CSMC Mortgage‐Backed Trust
|
|||||||||
|
265,011
|
Series 2006‐1
|
6.00%
|
02/25/2036
|
189,702
|
|||||
|
5,563,323
|
Series 2006‐2
|
5.75%
|
03/25/2036
|
5,054,766
|
|||||
|
71,741
|
Series 2006‐4
|
5.50%
|
05/25/2021
|
68,104
|
|||||
|
1,008,336
|
Series 2006‐5
|
6.25%
|
06/25/2036
|
505,042
|
|||||
|
136,722
|
Series 2006‐9
|
6.00%
|
11/25/2036
|
109,886
|
|||||
|
2,994,110
|
Series 2007‐1
|
6.00%
|
02/25/2037
|
2,559,960
|
|||||
|
16,984
|
Series 2007‐2
|
5.00%
|
03/25/2037
|
16,701
|
|||||
|
633,172
|
Series 2007‐3(g)
|
5.84%
|
04/25/2037
|
304,098
|
|||||
|
57,565
|
Series 2007‐4
|
6.00%
|
06/25/2037
|
53,889
|
|||||
|
302,900
|
Series 2007‐C4(g)
|
5.96%
|
09/15/2039
|
304,860
|
|||||
|
5,623,329
|
Series 2009‐16R(c)
|
6.00%
|
07/26/2037
|
5,393,690
|
|||||
|
1,531,950
|
Series 2010‐7R(c)(g)
|
6.00%
|
04/26/2037
|
1,458,729
|
|||||
|
6,133,901
|
Series 2016‐PR1(c)(j)
|
5.10%
|
05/25/2019
|
6,018,331
|
|||||
|
Deutsche Alt‐A Securities, Inc. Mortgage Loan Trust
|
|||||||||
|
486,198
|
Series 2005‐6(g)
|
4.10%
|
12/25/2035
|
69,448
|
|||||
|
213,048
|
Series 2005‐6(g)
|
2.38%
|
12/25/2035
|
158,939
|
|||||
|
1,080,558
|
Series 2007‐1(g)
|
1.12%
|
08/25/2037
|
1,023,986
|
|||||
|
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust
|
|||||||||
|
212,063
|
Series 2006‐PR1(c)(g)
|
11.05%
|
04/15/2036
|
217,291
|
|||||
|
Earnest Student Loan Program
|
|||||||||
|
35,000
|
Series 2016‐D(c)
|
0.00%
|
05/25/2025
|
3,094,219
|
|||||
|
Element Rail Leasing II LLC
|
|||||||||
|
1,783,459
|
Series 2016‐1A(c)
|
5.05%
|
03/19/2046
|
1,831,900
|
|||||
|
First Horizon Alternative Mortgage Securities Trust
|
|||||||||
|
104,352
|
Series 2005‐FA6
|
5.50%
|
09/25/2035
|
91,158
|
|||||
|
1,349,280
|
Series 2005‐FA6
|
5.50%
|
09/25/2035
|
1,178,683
|
|||||
|
113,814
|
Series 2006‐FA7
|
6.25%
|
12/25/2036
|
94,679
|
|||||
|
214,933
|
Series 2007‐FA2
|
6.00%
|
04/25/2037
|
163,329
|
|||||
|
First Horizon Mortgage Pass‐Through Trust
|
|||||||||
|
3,505,357
|
Series 2007‐AR3(g)
|
2.89%
|
11/25/2037
|
3,066,239
|
|||||
|
Freddie Mac Multifamily Structured Pass Through Certificates
|
|||||||||
|
3,627,718
|
Series 2016‐K722(g)
|
1.31%
|
03/25/2023
|
231,325
|
|||||
See Notes to Financial Statements.
|
36
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Principal Amount/Description |
Rate
|
Maturity
|
Value | ||||||
|
GE Commercial Mortgage Corp. Trust
|
|||||||||
|
$
|
489,000
|
Series 2007‐C1(g)
|
5.61%
|
12/10/2049
|
$
|
486,565
|
|||
|
GRACE Mortgage Trust
|
|||||||||
|
400,000
|
Series 2014‐GRCE(c)
|
3.37%
|
06/10/2028
|
414,661
|
|||||
|
GS Mortgage Securities Trust
|
|||||||||
|
88,599
|
Series 2006‐GG6(c)(g)
|
0.00%
|
04/10/2038
|
1
|
|||||
|
331,922
|
Series 2011‐GC3(c)(g)
|
0.68%
|
03/10/2021
|
7,173
|
|||||
|
2,394,910
|
Series 2011‐GC5(c)(g)
|
1.36%
|
08/10/2044
|
114,822
|
|||||
|
881,000
|
Series 2014‐GC26(c)(g)
|
4.51%
|
11/10/2047
|
736,230
|
|||||
|
7,438,615
|
Series 2015‐GS1(g)
|
0.83%
|
11/10/2025
|
425,210
|
|||||
|
412,000
|
Series 2016‐ICE2(c)(g)
|
2.84%
|
02/15/2018
|
422,428
|
|||||
|
GSAA Home Equity Trust
|
|||||||||
|
2,950,216
|
Series 2006‐13(g)
|
6.04%
|
07/25/2036
|
1,715,529
|
|||||
|
651,824
|
Series 2006‐18(j)
|
5.68%
|
11/25/2036
|
321,092
|
|||||
|
204,269
|
Series 2006‐6(g)
|
5.69%
|
03/25/2036
|
105,028
|
|||||
|
1,116,997
|
Series 2007‐2(j)
|
6.10%
|
03/25/2037
|
552,555
|
|||||
|
GSR Mortgage Loan Trust
|
|||||||||
|
725,418
|
Series 2005‐AR4(g)
|
3.22%
|
07/25/2035
|
716,374
|
|||||
|
2,369,909
|
Series 2006‐2F
|
5.25%
|
02/25/2036
|
1,858,788
|
|||||
|
1,677,839
|
Series 2007‐2F
|
5.75%
|
02/25/2037
|
1,617,614
|
|||||
|
4,573,928
|
Series 2007‐2F
|
6.00%
|
03/25/2037
|
4,352,036
|
|||||
|
2,297,701
|
Series 2007‐AR2(g)
|
3.30%
|
05/25/2037
|
1,880,747
|
|||||
|
HSI Asset Loan Obligation Trust
|
|||||||||
|
118,973
|
Series 2007‐2
|
5.50%
|
09/25/2037
|
114,467
|
|||||
|
IndyMac IMJA Mortgage Loan Trust
|
|||||||||
|
1,659,931
|
Series 2007‐A1
|
6.00%
|
08/25/2037
|
1,379,227
|
|||||
|
IndyMac IMSC Mortgage Loan Trust
|
|||||||||
|
5,096,936
|
Series 2007‐F2
|
6.50%
|
07/25/2037
|
3,359,521
|
|||||
|
IndyMac Index Mortgage Loan Trust
|
|||||||||
|
4,320,307
|
Series 2005‐AR31(g)
|
3.07%
|
01/25/2036
|
3,844,568
|
|||||
|
1,741,355
|
Series 2005‐AR35(g)
|
3.22%
|
02/25/2036
|
1,393,744
|
|||||
|
4,997,906
|
Series 2006‐AR25(g)
|
3.12%
|
09/25/2036
|
4,488,860
|
|||||
|
546,511
|
Series 2007‐FLX1(g)
|
1.16%
|
02/25/2037
|
541,623
|
|||||
|
JP Morgan Alternative Loan Trust
|
|||||||||
|
436,739
|
Series 2005‐S1
|
6.00%
|
12/25/2035
|
397,942
|
|||||
|
73,582
|
Series 2006‐S1
|
5.00%
|
02/25/2021
|
73,017
|
|||||
|
567,158
|
Series 2006‐S3(j)
|
6.12%
|
08/25/2036
|
559,070
|
|||||
|
JP Morgan BB Commercial Mortgage Securities Trust
|
|||||||||
|
400,000
|
Series 2014‐C21(g)
|
4.66%
|
08/15/2047
|
399,030
|
|||||
|
388,000
|
Series 2014‐C26(g)
|
4.43%
|
12/15/2024
|
378,262
|
|||||
|
627,390
|
Series 2015‐C27(c)(g)
|
3.84%
|
02/15/2025
|
495,739
|
|||||
|
5,933,682
|
Series 2015‐C28(g)
|
1.19%
|
03/15/2025
|
354,225
|
|||||
|
10,350,502
|
Series 2015‐C30(g)
|
0.70%
|
07/15/2025
|
372,880
|
|||||
|
3,969,998
|
Series 2015‐C31(g)
|
1.01%
|
08/15/2025
|
230,799
|
|||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
37
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Principal Amount/Description |
Rate
|
Maturity
|
Value | ||||||
|
$
|
200,000
|
Series 2015‐C32(g)
|
4.67%
|
10/15/2025
|
$
|
189,791
|
|||
|
489,000
|
Series 2015‐C33(g)
|
4.62%
|
11/15/2025
|
490,929
|
|||||
|
414,000
|
Series 2016‐C1(g)
|
4.75%
|
02/15/2026
|
427,719
|
|||||
|
JP Morgan Chase Commercial Mortgage Securities Corp.
|
|||||||||
|
50,754
|
Series 2006‐LDP8(g)
|
0.42%
|
05/15/2045
|
1
|
|||||
|
456,783
|
Series 2006‐LDP8(g)
|
0.42%
|
05/15/2045
|
5
|
|||||
|
193,624
|
Series 2006‐LDP9
|
5.37%
|
05/15/2047
|
193,467
|
|||||
|
310,000
|
Series 2007‐CB19(g)
|
5.83%
|
05/12/2017
|
310,210
|
|||||
|
400,000
|
Series 2007‐CB20(g)
|
6.18%
|
02/12/2051
|
409,750
|
|||||
|
4,000,000
|
Series 2007‐CH1(j)
|
4.99%
|
11/25/2036
|
3,786,536
|
|||||
|
495,000
|
Series 2007‐LD11(g)
|
5.84%
|
06/15/2017
|
506,759
|
|||||
|
480,000
|
Series 2007‐LD12(g)
|
6.07%
|
08/15/2017
|
486,979
|
|||||
|
469,479
|
Series 2007‐LDPX(g)
|
5.46%
|
03/15/2017
|
469,095
|
|||||
|
3,236,629
|
Series 2012‐C8(g)
|
1.93%
|
10/15/2045
|
245,428
|
|||||
|
400,000
|
Series 2014‐DSTY(c)
|
3.43%
|
06/10/2027
|
407,464
|
|||||
|
262,000
|
Series 2015‐JP1(c)(g)
|
4.74%
|
12/15/2025
|
187,877
|
|||||
|
155,000
|
Series 2016‐JP2
|
3.46%
|
07/15/2026
|
152,684
|
|||||
|
119,000
|
Series 2016‐JP2(g)
|
3.80%
|
07/15/2026
|
115,679
|
|||||
|
JP Morgan Mortgage Acquisition Corp.
|
|||||||||
|
394,953
|
Series 2006‐CH2(j)
|
5.46%
|
10/25/2036
|
305,461
|
|||||
|
JP Morgan Mortgage Trust
|
|||||||||
|
9,658,793
|
Series 2005‐S3
|
6.50%
|
01/25/2036
|
8,464,123
|
|||||
|
253,468
|
Series 2007‐S3
|
6.00%
|
08/25/2037
|
225,671
|
|||||
|
1,409,577
|
Series 2007‐S3
|
6.00%
|
08/25/2037
|
1,256,957
|
|||||
|
4,004,524
|
Series 2015‐3(c)(g)
|
3.50%
|
01/25/2035
|
4,048,950
|
|||||
|
JP Morgan Resecuritization Trust
|
|||||||||
|
2,135,552
|
Series 2011‐1(c)(g)
|
6.00%
|
06/26/2037
|
2,103,466
|
|||||
|
Labrador Aviation Finance Ltd.
|
|||||||||
|
12,369,792
|
Series 2016‐1A(c)
|
5.68%
|
01/15/2024
|
12,607,118
|
|||||
|
LB‐UBS Commercial Mortgage Trust
|
|||||||||
|
309,286
|
Series 2006‐C7(c)(g)
|
0.49%
|
11/15/2038
|
1,092
|
|||||
|
231,964
|
Series 2006‐C7(c)(g)
|
0.49%
|
11/15/2038
|
819
|
|||||
|
210,593
|
Series 2007‐C2(g)
|
5.49%
|
02/15/2040
|
210,702
|
|||||
|
400,000
|
Series 2007‐C7(g)
|
6.25%
|
09/15/2045
|
407,971
|
|||||
|
Lehman Mortgage Trust
|
|||||||||
|
9,834,159
|
Series 2006‐1(g)
|
5.58%
|
02/25/2036
|
9,253,313
|
|||||
|
844,426
|
Series 2006‐6
|
5.50%
|
10/25/2036
|
740,430
|
|||||
|
3,995,837
|
Series 2006‐7(g)
|
1.23%
|
11/25/2036
|
354,653
|
|||||
|
3,995,837
|
Series 2006‐7(g)
|
6.77%
|
11/25/2036
|
859,619
|
|||||
|
1,804,785
|
Series 2006‐8(g)
|
1.40%
|
12/25/2036
|
677,598
|
|||||
|
1,804,785
|
Series 2006‐8(g)
|
5.60%
|
12/25/2036
|
449,327
|
|||||
|
1,231,149
|
Series 2007‐10
|
6.00%
|
01/25/2038
|
1,217,693
|
|||||
|
435,342
|
Series 2007‐10
|
6.50%
|
01/25/2038
|
320,196
|
|||||
See Notes to Financial Statements.
|
38
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Principal Amount/Description |
Rate
|
Maturity
|
Value | ||||||
|
Lehman XS Trust
|
|||||||||
|
$
|
279,350
|
Series 2006‐5(j)
|
5.89%
|
04/25/2036
|
$
|
268,201
|
|||
|
Madison Park Funding XI Ltd.
|
|||||||||
|
500,000
|
Series 2013‐11A(c)(g)
|
4.54%
|
10/23/2025
|
504,123
|
|||||
|
Merrill Lynch Alternative Note Asset Trust
|
|||||||||
|
935,437
|
Series 2007‐F1
|
6.00%
|
03/25/2037
|
497,191
|
|||||
|
Morgan Stanley Bank of America Merrill Lynch Trust
|
|||||||||
|
3,970,600
|
Series 2012‐C5(c)(g)
|
1.57%
|
08/15/2045
|
225,975
|
|||||
|
450,000
|
Series 2014‐C19
|
4.00%
|
12/15/2024
|
420,538
|
|||||
|
380,000
|
Series 2015‐C25(g)
|
4.53%
|
09/15/2025
|
386,757
|
|||||
|
600,000
|
Series 2015‐C26(c)
|
3.06%
|
10/15/2025
|
457,459
|
|||||
|
350,000
|
Series 2015‐C27(g)
|
4.54%
|
11/15/2025
|
334,295
|
|||||
|
502,000
|
Series 2015‐C27(c)(g)
|
3.24%
|
11/15/2025
|
334,718
|
|||||
|
404,000
|
Series 2016‐C32
|
3.72%
|
12/15/2026
|
419,320
|
|||||
|
Morgan Stanley Capital I Trust
|
|||||||||
|
53,793
|
Series 2006‐HQ8(g)
|
5.40%
|
03/12/2044
|
53,853
|
|||||
|
173,863
|
Series 2007‐HQ11(g)
|
5.51%
|
02/12/2044
|
170,734
|
|||||
|
68,933
|
Series 2007‐IQ13
|
5.41%
|
03/15/2044
|
68,790
|
|||||
|
4,116,176
|
Series 2011‐C1(c)(g)
|
0.46%
|
09/15/2020
|
55,085
|
|||||
|
400,000
|
Series 2014‐MP(c)(g)
|
3.69%
|
08/11/2021
|
405,014
|
|||||
|
6,927,642
|
Series 2015‐UBS8(g)
|
0.97%
|
12/15/2025
|
439,091
|
|||||
|
426,000
|
Series 2015‐XLF2(c)(g)
|
3.91%
|
08/15/2016
|
426,100
|
|||||
|
1,445,596
|
Series 2016‐UB11 XA(g)
|
1.68%
|
08/15/2026
|
153,372
|
|||||
|
379,000
|
Series 2017‐PRME(c)(g)
|
4.31%
|
02/15/2019
|
381,039
|
|||||
|
Morgan Stanley Mortgage Loan Trust
|
|||||||||
|
3,980,037
|
Series 2005‐3AR(g)
|
3.07%
|
07/25/2035
|
3,575,845
|
|||||
|
252,646
|
Series 2006‐11
|
6.00%
|
08/25/2036
|
203,699
|
|||||
|
1,374,971
|
Series 2006‐7(g)
|
5.13%
|
06/25/2036
|
1,135,764
|
|||||
|
1,423,758
|
Series 2006‐7
|
6.00%
|
06/25/2036
|
1,274,605
|
|||||
|
528,684
|
Series 2007‐3XS(j)
|
5.70%
|
01/25/2047
|
321,865
|
|||||
|
Morgan Stanley Re‐REMIC Trust
|
|||||||||
|
473,838
|
Series 2011‐R1(c)(g)
|
5.94%
|
02/26/2037
|
522,951
|
|||||
|
Mosaic Solar Loans
|
|||||||||
|
288,967
|
Series 2017‐1A(c)
|
4.45%
|
05/22/2028
|
290,551
|
|||||
|
MSCG Trust
|
|||||||||
|
300,000
|
Series 2016‐SNR(c)
|
5.21%
|
11/13/2021
|
301,274
|
|||||
|
Nomura Asset Acceptance Corp. Alternative Loan Trust
|
|||||||||
|
1,650,952
|
Series 2005‐AP3(g)
|
5.32%
|
08/25/2035
|
1,030,872
|
|||||
|
OneMain Financial Issuance Trust
|
|||||||||
|
2,000,000
|
Series 2015‐1A(c)
|
3.19%
|
03/18/2026
|
2,023,702
|
|||||
|
PFP Ltd.
|
|||||||||
|
176,000
|
Series 2017‐3(c)(g)
|
1.83%
|
07/14/2019
|
176,577
|
|||||
|
146,000
|
Series 2017‐3(c)(g)
|
2.08%
|
08/14/2019
|
146,903
|
|||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
39
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Principal Amount/Description |
Rate
|
Maturity
|
Value | ||||||
|
$
|
84,000
|
Series 2017‐3(c)(g)
|
2.53%
|
11/14/2019
|
$
|
84,631
|
|||
|
88,000
|
Series 2017‐3(c)(g)
|
3.28%
|
11/14/2019
|
88,812
|
|||||
|
PHH Alternative Mortgage Trust
|
|||||||||
|
2,203,109
|
Series 2007‐2
|
6.00%
|
05/25/2037
|
1,956,694
|
|||||
|
PR Mortgage Loan Trust
|
|||||||||
|
13,890,993
|
Series 2014‐1(g)
|
5.92%
|
09/25/2047
|
13,851,293
|
|||||
|
Prime Mortgage Trust
|
|||||||||
|
107,251
|
Series 2006‐1
|
5.50%
|
06/25/2036
|
107,130
|
|||||
|
115,446
|
Series 2006‐DR1(c)
|
5.50%
|
05/25/2035
|
108,458
|
|||||
|
RBSGC Structured Trust
|
|||||||||
|
325,163
|
Series 2008‐B(c)
|
6.00%
|
06/25/2037
|
280,849
|
|||||
|
Residential Accredit Loans, Inc.
|
|||||||||
|
223,047
|
Series 2004‐QS15
|
5.25%
|
11/25/2034
|
226,943
|
|||||
|
2,521,316
|
Series 2005‐QS17
|
6.00%
|
12/25/2035
|
2,349,557
|
|||||
|
5,881,967
|
Series 2006‐QA5(g)
|
1.20%
|
07/25/2036
|
3,894,618
|
|||||
|
3,902,319
|
Series 2006‐QS10
|
6.50%
|
08/25/2036
|
3,407,297
|
|||||
|
1,429,953
|
Series 2006‐QS4
|
6.00%
|
04/25/2036
|
1,240,243
|
|||||
|
948,606
|
Series 2006‐QS6
|
6.00%
|
06/25/2036
|
814,134
|
|||||
|
1,331,360
|
Series 2006‐QS6
|
6.00%
|
06/25/2036
|
1,142,629
|
|||||
|
414,514
|
Series 2006‐QS7(g)
|
4.62%
|
06/25/2036
|
62,433
|
|||||
|
138,171
|
Series 2006‐QS7(g)
|
1.38%
|
06/25/2036
|
88,876
|
|||||
|
2,628,231
|
Series 2006‐QS7
|
6.00%
|
06/25/2036
|
2,214,502
|
|||||
|
505,373
|
Series 2006‐QS8(g)
|
4.57%
|
08/25/2036
|
72,902
|
|||||
|
168,458
|
Series 2006‐QS8(g)
|
1.43%
|
08/25/2036
|
109,645
|
|||||
|
3,471,114
|
Series 2007‐QS3
|
6.50%
|
02/25/2037
|
2,887,445
|
|||||
|
104,344
|
Series 2007‐QS6
|
6.25%
|
04/25/2037
|
94,204
|
|||||
|
14,702
|
Series 2007‐QS6(g)
|
46.82%
|
04/25/2037
|
28,143
|
|||||
|
4,927,347
|
Series 2007‐QS9
|
6.50%
|
07/25/2037
|
4,378,899
|
|||||
|
389,195
|
Series 2008‐QR1
|
6.00%
|
08/25/2036
|
287,596
|
|||||
|
Residential Asset Mortgage Products Trust
|
|||||||||
|
16,790
|
Series 2004‐RS4(g)
|
5.07%
|
04/25/2034
|
17,223
|
|||||
|
Residential Asset Securitization Trust
|
|||||||||
|
643,776
|
Series 2006‐A1
|
6.00%
|
04/25/2036
|
484,276
|
|||||
|
1,319,186
|
Series 2006‐A2
|
6.00%
|
05/25/2036
|
1,025,514
|
|||||
|
1,060,616
|
Series 2006‐A6
|
6.50%
|
07/25/2036
|
548,750
|
|||||
|
6,104,712
|
Series 2006‐A7CB
|
6.25%
|
07/25/2036
|
5,922,125
|
|||||
|
175,968
|
Series 2006‐A8
|
6.50%
|
08/25/2036
|
111,100
|
|||||
|
529,737
|
Series 2006‐A8
|
6.00%
|
08/25/2036
|
467,213
|
|||||
|
372,576
|
Series 2006‐A8(g)
|
4.92%
|
08/25/2036
|
90,494
|
|||||
|
1,957,285
|
Series 2007‐A1
|
6.00%
|
03/25/2037
|
1,277,150
|
|||||
|
3,135,335
|
Series 2007‐A2
|
6.00%
|
04/25/2037
|
2,763,709
|
|||||
|
110,770
|
Series 2007‐A6
|
6.00%
|
06/25/2037
|
100,906
|
|||||
|
3,376,579
|
Series 2007‐A7
|
6.00%
|
07/25/2037
|
2,300,142
|
|||||
|
12,524,824
|
Series 2007‐A8
|
6.00%
|
08/25/2037
|
10,482,219
|
|||||
See Notes to Financial Statements.
|
40
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||
|
Residential Funding Mortgage Securities I Trust
|
||||||||
| $ |
1,533,829
|
Series 2006-S3
|
5.50%
|
03/25/2036
|
$
|
1,380,353
|
||
|
352,052
|
Series 2006-S6
|
6.00%
|
07/25/2036
|
336,926
|
||||
|
2,494,702
|
Series 2006-S6
|
6.00%
|
07/25/2036
|
2,387,516
|
||||
|
628,574
|
Series 2007-S3
|
6.00%
|
03/25/2037
|
562,680
|
||||
|
475,229
|
Series 2007-S6
|
6.00%
|
06/25/2037
|
439,878
|
||||
|
Sequoia Mortgage Trust
|
||||||||
|
3,703,035
|
Series 2007-3(g)
|
3.31%
|
07/20/2037
|
3,130,538
|
||||
|
Sofi Consumer Loan Program LLC
|
||||||||
|
250,000
|
Series 2017-2(c)
|
3.28%
|
02/25/2026
|
250,313
|
||||
|
Springleaf Funding Trust
|
||||||||
|
2,500,000
|
Series 2015-AA(c)
|
3.16%
|
05/15/2019
|
2,524,710
|
||||
|
Structured Adjustable Rate Mortgage Loan Trust
|
||||||||
|
1,480,376
|
Series 2005-15(g)
|
3.30%
|
07/25/2035
|
1,194,076
|
||||
|
Structured Asset Securities Corp.
|
||||||||
|
297,078
|
Series 2005-RF1(c)(g)
|
1.33%
|
03/25/2035
|
258,510
|
||||
|
298,298
|
Series 2005-RF1(c)(g)
|
4.30%
|
03/25/2035
|
37,674
|
||||
|
Suntrust Alternative Loan Trust
|
||||||||
|
9,994,629
|
Series 2005-1F
|
6.50%
|
12/25/2035
|
9,408,254
|
||||
|
Sutherland Commercial Mortgage Loans LLC
|
||||||||
|
301,787
|
Series 2015-SBC4(c)
|
4.00%
|
06/25/2039
|
300,693
|
||||
|
TAL Advantage LLC
|
||||||||
|
1,000,000
|
Series 17-1A
|
4.50%
|
04/21/2042
|
1,012,131
|
||||
|
TBW Mortgage-Backed Trust
|
||||||||
|
1,604,988
|
Series 2006-2
|
7.00%
|
07/25/2036
|
713,643
|
||||
|
Textainer Marine Containers III Ltd.
|
||||||||
|
758,333
|
Series 2014-1A(c)
|
3.27%
|
10/20/2024
|
741,914
|
||||
|
Wachovia Bank Commercial Mortgage Trust
|
||||||||
|
278,242
|
Series 2006-C28(g)
|
5.63%
|
10/15/2016
|
279,285
|
||||
|
181,814
|
Series 2006-C29(g)
|
0.28%
|
11/15/2048
|
2
|
||||
|
386,679
|
Series 2007-C30(g)
|
5.41%
|
12/15/2043
|
389,578
|
||||
|
419,052
|
Series 2007-C33(g)
|
6.05%
|
07/15/2017
|
422,367
|
||||
|
Wachovia Mortgage Loan Trust LLC Series Trust
|
||||||||
|
1,487,804
|
Series 2005-B(g)
|
3.21%
|
10/20/2035
|
1,281,182
|
||||
|
Washington Mutual Alternative Mortgage Pass-Through Certificates
|
||||||||
|
2,382,816
|
Series 2005-1
|
6.00%
|
03/25/2035
|
2,422,471
|
||||
|
91,273
|
Series 2005-9
|
5.50%
|
11/25/2035
|
78,627
|
||||
|
722,698
|
Series 2006-5
|
6.00%
|
07/25/2036
|
597,555
|
||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
41
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Principal Amount/Description |
Rate
|
Maturity
|
Value
|
|||||
|
Washington Mutual Mortgage Pass- Through Certificates Trust
|
||||||||
| $ |
1,266,141
|
Series 2006-2
|
6.00%
|
03/25/2036
|
$
|
1,209,265
|
||
|
Wells Fargo Alternative Loan Trust
|
||||||||
|
966,117
|
Series 2007-PA2(g)
|
1.41%
|
06/25/2037
|
714,612
|
||||
|
966,117
|
Series 2007-PA2(g)
|
5.09%
|
06/25/2037
|
148,383
|
||||
|
392,629
|
Series 2007-PA3
|
5.75%
|
07/25/2037
|
357,369
|
||||
|
1,245,558
|
Series 2007-PA3
|
6.25%
|
07/25/2037
|
1,180,251
|
||||
|
7,397,559
|
Series 2007-PA5
|
6.25%
|
11/25/2037
|
7,133,490
|
||||
|
Wells Fargo Commercial Mortgage Trust
|
||||||||
|
525,000
|
Series 2014-LC16(c)
|
3.94%
|
06/15/2024
|
434,935
|
||||
|
6,085,838
|
Series 2015-C31(g)
|
1.11%
|
07/15/2025
|
417,063
|
||||
|
420,000
|
Series 2015-C31(g)
|
4.61%
|
11/15/2025
|
426,684
|
||||
|
340,000
|
Series 2015-LC22(g)
|
4.54%
|
09/15/2058
|
343,730
|
||||
|
380,000
|
Series 2015-NXS3(g)
|
4.49%
|
09/15/2025
|
362,197
|
||||
|
420,000
|
Series 2015-NXS4(g)
|
4.60%
|
11/15/2025
|
431,252
|
||||
|
Wells Fargo Mortgage-Backed Securities Trust
|
||||||||
|
2,244,953
|
Series 2005-12
|
5.50%
|
11/25/2035
|
2,265,821
|
||||
|
673,924
|
Series 2006-11
|
6.00%
|
09/25/2036
|
647,899
|
||||
|
94,678
|
Series 2006-2
|
5.75%
|
03/25/2036
|
95,149
|
||||
|
241,844
|
Series 2006-2
|
5.50%
|
03/25/2036
|
233,769
|
||||
|
936,966
|
Series 2007-13
|
6.00%
|
09/25/2037
|
945,607
|
||||
|
960,767
|
Series 2007-14
|
6.00%
|
10/25/2037
|
946,891
|
||||
|
808,671
|
Series 2007-2
|
6.00%
|
03/25/2037
|
803,274
|
||||
|
WF-RBS Commercial Mortgage Trust
|
||||||||
|
2,845,066
|
Series 2012-C9(c)(g)
|
2.09%
|
11/15/2045
|
207,438
|
||||
|
4,421,640
|
Series 2014-C21(g)
|
1.15%
|
08/15/2047
|
256,919
|
||||
|
4,894,074
|
Series 2014-C22(g)
|
0.93%
|
09/15/2057
|
234,953
|
||||
|
TOTAL NON -AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $436,485,089)
|
446,828,587
|
|||||||
|
U.S. GOVERNMENT BONDS AND NOTES - 4.90%
|
||||||||
|
13,190,000
|
U.S. Treasury Bonds
|
1.63%
|
05/15/2026
|
12,372,062
|
||||
|
10,950,000
|
U.S. Treasury Bonds
|
2.75%
|
11/15/2042
|
10,426,666
|
||||
|
2,147,292
|
U.S. Treasury Inflation Indexed Bonds
|
0.13%
|
07/15/2024
|
2,129,147
|
||||
|
2,176,015
|
U.S. Treasury Inflation Indexed Bonds
|
0.13%
|
07/15/2026
|
2,124,718
|
||||
|
5,225,919
|
U.S. Treasury Inflation Indexed Bonds
|
1.00%
|
02/15/2046
|
5,312,476
|
||||
|
2,750,000
|
U.S. Treasury Notes
|
0.63%
|
05/31/2017
|
2,749,755
|
||||
|
7,660,000
|
U.S. Treasury Notes
|
0.63%
|
09/30/2017
|
7,649,828
|
||||
|
10,480,000
|
U.S. Treasury Notes
|
1.00%
|
02/15/2018
|
10,475,494
|
||||
|
930,000
|
U.S. Treasury Notes
|
1.00%
|
05/15/2018
|
928,874
|
||||
|
6,060,000
|
U.S. Treasury Notes
|
1.00%
|
05/31/2018
|
6,051,716
|
||||
|
9,570,000
|
U.S. Treasury Notes
|
1.50%
|
05/31/2020
|
9,546,266
|
||||
See Notes to Financial Statements.
|
42
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||
| $ |
9,140,000
|
U.S. Treasury Notes
|
2.00%
|
11/30/2020
|
$
|
9,234,617
|
||
|
380,000
|
U.S. Treasury Notes
|
1.75%
|
12/31/2020
|
380,304
|
||||
|
10,080,000
|
U.S. Treasury Notes
|
2.25%
|
03/31/2021
|
10,259,948
|
||||
|
14,790,000
|
U.S. Treasury Notes
|
1.75%
|
03/31/2022
|
14,650,767
|
||||
|
260,000
|
U.S. Treasury Notes
|
1.50%
|
02/28/2023
|
251,337
|
||||
|
2,650,000
|
U.S. Treasury Notes
|
2.13%
|
02/29/2024
|
2,635,457
|
||||
|
TOTAL U.S. GOVERNMENT BONDS AND NOTES (Cost $107,697,394)
|
107,179,432
|
|||||||
|
MUNICIPAL BONDS - 1.02%
|
||||||||
|
33,700,000
|
Commonwealth of Puerto Rico, Series A Revenue Bonds(f)
|
8.00%
|
07/01/2035
|
20,978,250
|
||||
|
360,000
|
Houston, Texas Utility System Revenue, Reference First Lien Revenue Bonds, Series B
|
5.00%
|
11/15/2035
|
412,596
|
||||
|
140,000
|
Los Angeles County California Metro Transportation Authority Tax Revenue, Reference Revenue Bonds, Series A
|
5.00%
|
06/01/2033
|
164,347
|
||||
|
240,000
|
Massachusetts School Building Authority Sales Tax Revenue , Reference Senior Revenue Bonds, Series C
|
5.00%
|
11/15/2034
|
278,292
|
||||
|
240,000
|
North Texas State Municipal Water District Water System Revenue, Reference Revenue Bonds
|
5.00%
|
09/01/2035
|
276,526
|
||||
|
90,000
|
State of California, Revenue Bonds
|
5.00%
|
08/01/2033
|
102,463
|
||||
|
TOTAL MUNICIPAL BONDS (Cost $27,240,805)
|
22,212,474
|
|||||||
|
U.S. GOVERNMENT / AGENCY MORTGAGE BACKED SECURITIES - 9.78%
|
||||||||
|
Fannie Mae-Aces
|
||||||||
|
413,000
|
Series 2016-M3
|
2.70%
|
02/25/2026
|
406,591
|
||||
|
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates
|
||||||||
|
311,000
|
Series 2015-K050(g)
|
3.33%
|
08/25/2025
|
323,161
|
||||
|
412,000
|
Series 2016-K053
|
3.00%
|
12/25/2025
|
416,598
|
||||
|
Federal Home Loan Mortgage Corp. Pool
|
||||||||
|
443,812
|
Series Pool #G01840
|
5.00%
|
07/01/2035
|
487,838
|
||||
|
168,424
|
Series Pool #G04817
|
5.00%
|
09/01/2038
|
183,327
|
||||
|
Federal Home Loan Mortgage Corp. REMICS
|
||||||||
|
2,012,182
|
Series 2003-2722(g)
|
8.88%
|
12/15/2033
|
2,310,895
|
||||
|
402,178
|
Series 2005-R003
|
5.50%
|
10/15/2035
|
455,514
|
||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
43
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||
| $ |
2,746,634
|
Series 2006-3244(g)
|
5.75%
|
11/15/2036
|
$
|
504,383
|
||
|
128,131
|
Series 2007-3261(g)
|
5.52%
|
01/15/2037
|
23,505
|
||||
|
385,376
|
Series 2007-3262(g)
|
5.49%
|
01/15/2037
|
43,286
|
||||
|
1,306,141
|
Series 2007-3301(g)
|
5.19%
|
04/15/2037
|
178,752
|
||||
|
1,053,523
|
Series 2007-3303(g)
|
5.19%
|
04/15/2037
|
186,709
|
||||
|
1,986,643
|
Series 2007-3303(g)
|
5.17%
|
04/15/2037
|
293,989
|
||||
|
617,702
|
Series 2007-3382(g)
|
5.09%
|
11/15/2037
|
68,874
|
||||
|
845,249
|
Series 2007-3384(g)
|
5.40%
|
08/15/2036
|
116,310
|
||||
|
727,521
|
Series 2007-3384(g)
|
5.48%
|
11/15/2037
|
98,895
|
||||
|
650,427
|
Series 2008-3417(g)
|
5.27%
|
02/15/2038
|
94,884
|
||||
|
5,181,515
|
Series 2008-3419(g)
|
5.52%
|
02/15/2038
|
810,278
|
||||
|
667,455
|
Series 2008-3423(g)
|
4.74%
|
03/15/2038
|
76,074
|
||||
|
14,131,933
|
Series 2008-3423(g)
|
0.35%
|
03/15/2038
|
162,342
|
||||
|
9,598,629
|
Series 2008-3435(g)
|
5.07%
|
04/15/2038
|
1,377,010
|
||||
|
2,651,395
|
Series 2009-3510(g)
|
5.84%
|
02/15/2037
|
487,517
|
||||
|
735,609
|
Series 2009-3523(g)
|
5.09%
|
04/15/2039
|
112,569
|
||||
|
137,281
|
Series 2009-3524
|
3.97%
|
06/15/2038
|
132,196
|
||||
|
54,246
|
Series 2009-3549(g)
|
4.89%
|
07/15/2039
|
6,361
|
||||
|
1,765,235
|
Series 2009-3560(g)
|
5.49%
|
11/15/2036
|
255,955
|
||||
|
637,873
|
Series 2010-3641
|
4.50%
|
03/15/2040
|
686,552
|
||||
|
838,207
|
Series 2010-3726(g)
|
5.14%
|
09/15/2040
|
128,350
|
||||
|
5,138,671
|
Series 2010-3728(g)
|
3.54%
|
09/15/2040
|
476,824
|
||||
|
250,000
|
Series 2010-3779
|
4.00%
|
12/15/2030
|
264,903
|
||||
|
750,000
|
Series 2010-3779
|
3.50%
|
12/15/2030
|
776,825
|
||||
|
504,836
|
Series 2010-3779
|
4.50%
|
12/15/2040
|
526,795
|
||||
|
85,116
|
Series 2011-3786(g)
|
7.68%
|
01/15/2041
|
88,278
|
||||
|
1,279,228
|
Series 2011-3795
|
4.00%
|
01/15/2041
|
1,347,952
|
||||
|
84,005
|
Series 2011-3798(g)
|
7.68%
|
11/15/2040
|
92,334
|
||||
|
600,000
|
Series 2011-3808
|
3.50%
|
02/15/2031
|
621,767
|
||||
|
39,198
|
Series 2011-3809(g)
|
7.93%
|
02/15/2041
|
39,986
|
||||
|
1,542,974
|
Series 2011-3815(g)
|
4.94%
|
02/15/2041
|
214,649
|
||||
|
500,000
|
Series 2011-3824
|
3.50%
|
03/15/2031
|
530,370
|
||||
|
823,306
|
Series 2011-3824(g)
|
6.19%
|
08/15/2036
|
163,143
|
||||
|
1,004,253
|
Series 2011-3863
|
5.50%
|
08/15/2034
|
1,098,079
|
||||
|
646,115
|
Series 2011-3864(g)
|
7.63%
|
05/15/2041
|
697,843
|
||||
|
1,085,160
|
Series 2011-3871
|
5.50%
|
06/15/2041
|
1,238,685
|
||||
|
1,125,444
|
Series 2011-3872(g)
|
5.04%
|
06/15/2041
|
148,137
|
||||
|
2,213,235
|
Series 2011-3888
|
4.00%
|
07/15/2041
|
2,344,781
|
||||
|
3,456,949
|
Series 2011-3894
|
4.50%
|
07/15/2041
|
3,657,610
|
||||
|
2,642,522
|
Series 2011-3910
|
5.00%
|
08/15/2041
|
3,032,444
|
||||
|
2,149,683
|
Series 2011-3924(g)
|
5.09%
|
09/15/2041
|
292,853
|
||||
|
4,800,608
|
Series 2011-3924(g)
|
5.09%
|
09/15/2041
|
795,665
|
||||
|
1,620,543
|
Series 2011-3925
|
3.00%
|
09/15/2021
|
70,987
|
||||
|
7,025,198
|
Series 2012-3(g)
|
4.97%
|
02/25/2042
|
1,012,814
|
||||
See Notes to Financial Statements.
|
44
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||
| $ |
3,626,603
|
Series 2012-4057
|
4.00%
|
06/15/2042
|
$
|
3,813,911
|
||
|
9,718,102
|
Series 2013-4196(g)
|
4.31%
|
03/15/2043
|
9,013,601
|
||||
|
9,883,602
|
Series 2013-4218
|
2.50%
|
02/15/2043
|
8,462,671
|
||||
|
7,945,918
|
Series 2013-4239(i)
|
0.00%
|
07/15/2043
|
5,612,555
|
||||
|
5,509,017
|
Series 2014-4302(g)
|
5.24%
|
02/15/2044
|
893,010
|
||||
|
4,339,860
|
Series 2014-4413
|
3.50%
|
11/15/2044
|
4,369,246
|
||||
|
11,051,418
|
Series 2015-4427(g)
|
4.69%
|
07/15/2044
|
1,688,716
|
||||
|
3,193,234
|
Series 2015-4434
|
3.00%
|
02/15/2045
|
2,915,532
|
||||
|
3,160,219
|
Series 2015-4440
|
2.50%
|
02/15/2045
|
2,727,954
|
||||
|
Federal National Mortgage Association Pool
|
||||||||
|
123,587
|
Series Pool #555743
|
5.00%
|
09/01/2033
|
135,609
|
||||
|
150,961
|
Series Pool #735382
|
5.00%
|
04/01/2035
|
165,258
|
||||
|
381,544
|
Series Pool #735383
|
5.00%
|
04/01/2035
|
417,695
|
||||
|
273,400
|
Series Pool #735484
|
5.00%
|
05/01/2035
|
299,275
|
||||
|
110,860
|
Series Pool #AH4437
|
4.00%
|
01/01/2041
|
115,457
|
||||
|
3,862,538
|
Series Pool #AL9238
|
3.00%
|
10/01/2041
|
3,853,574
|
||||
|
4,093,604
|
Series Pool #AS4645
|
3.00%
|
03/01/2045
|
4,068,558
|
||||
|
4,684,530
|
Series Pool #AS7661
|
3.00%
|
08/01/2046
|
4,629,992
|
||||
|
487,278
|
Series Pool #MA0264
|
4.50%
|
12/01/2029
|
523,826
|
||||
|
7,084,308
|
Series Pool #MA2737
|
3.00%
|
09/01/2046
|
7,032,699
|
||||
|
1,176,321
|
Series Pool #MA3894
|
4.00%
|
09/01/2031
|
1,245,380
|
||||
|
Federal National Mortgage Association REMICS
|
||||||||
|
160,854
|
Series 2004-46(g)
|
5.02%
|
03/25/2034
|
19,289
|
||||
|
136,894
|
Series 2005-104(g)
|
5.72%
|
12/25/2033
|
1,558
|
||||
|
458,872
|
Series 2006-101(g)
|
5.60%
|
10/25/2036
|
76,761
|
||||
|
1,377,245
|
Series 2006-123(g)
|
5.34%
|
01/25/2037
|
244,810
|
||||
|
6,605,163
|
Series 2006-92(g)
|
5.60%
|
10/25/2036
|
1,252,073
|
||||
|
187,301
|
Series 2007-102(g)
|
5.42%
|
11/25/2037
|
28,598
|
||||
|
218,114
|
Series 2007-108(g)
|
5.38%
|
12/25/2037
|
23,389
|
||||
|
51,036
|
Series 2007-30(g)
|
5.13%
|
04/25/2037
|
6,682
|
||||
|
661,521
|
Series 2007-38(g)
|
5.10%
|
05/25/2037
|
95,241
|
||||
|
46,633
|
Series 2007-51(g)
|
5.12%
|
06/25/2037
|
6,119
|
||||
|
120,095
|
Series 2007-53(g)
|
5.12%
|
06/25/2037
|
16,826
|
||||
|
968,493
|
Series 2007-57(g)
|
5.64%
|
10/25/2036
|
175,329
|
||||
|
317,908
|
Series 2007-68(g)
|
5.67%
|
07/25/2037
|
41,199
|
||||
|
1,187,628
|
Series 2008-3(g)
|
5.48%
|
02/25/2038
|
225,141
|
||||
|
658,870
|
Series 2008-56(g)
|
5.08%
|
07/25/2038
|
84,010
|
||||
|
228,534
|
Series 2008-81
|
5.50%
|
09/25/2038
|
246,988
|
||||
|
690,152
|
Series 2009-111
|
5.00%
|
01/25/2040
|
725,407
|
||||
|
612,869
|
Series 2009-111(g)
|
5.27%
|
01/25/2040
|
89,909
|
||||
|
1,904,745
|
Series 2009-12(g)
|
5.62%
|
03/25/2036
|
399,132
|
||||
|
85,152
|
Series 2009-28(g)
|
5.02%
|
04/25/2037
|
9,066
|
||||
|
659,336
|
Series 2009-41
|
4.50%
|
06/25/2039
|
691,395
|
||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
45
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
|
Principal Amount/Description
|
Rate
|
Maturity
|
Value
|
|||||
| $ |
307,498
|
Series 2009-42(g)
|
5.02%
|
06/25/2039
|
$
|
42,754
|
||
|
730,214
|
Series 2009-47(g)
|
5.12%
|
07/25/2039
|
82,027
|
||||
|
419,169
|
Series 2009-62(g)
|
5.12%
|
08/25/2039
|
52,748
|
||||
|
161,780
|
Series 2009-66(g)
|
4.82%
|
02/25/2038
|
19,927
|
||||
|
142,860
|
Series 2009-68(g)
|
4.27%
|
09/25/2039
|
16,588
|
||||
|
18,497
|
Series 2010-109(g)
|
46.37%
|
10/25/2040
|
69,531
|
||||
|
1,099,253
|
Series 2010-11(g)
|
3.82%
|
02/25/2040
|
109,616
|
||||
|
157,253
|
Series 2010-111(g)
|
5.02%
|
10/25/2040
|
17,355
|
||||
|
195,918
|
Series 2010-112
|
4.00%
|
10/25/2040
|
200,670
|
||||
|
529,451
|
Series 2010-115(g)
|
5.62%
|
11/25/2039
|
83,471
|
||||
|
3,213,954
|
Series 2010-115(g)
|
5.02%
|
10/25/2040
|
609,771
|
||||
|
7,667,718
|
Series 2010-123(g)
|
5.07%
|
11/25/2040
|
1,381,614
|
||||
|
1,387,471
|
Series 2010-15(g)
|
3.97%
|
03/25/2040
|
163,250
|
||||
|
208,114
|
Series 2010-34(g)
|
3.95%
|
04/25/2040
|
22,232
|
||||
|
127,122
|
Series 2010-4(g)
|
5.25%
|
02/25/2040
|
19,157
|
||||
|
172,719
|
Series 2010-58(g)
|
9.95%
|
06/25/2040
|
194,947
|
||||
|
3,057,695
|
Series 2010-75
|
4.50%
|
07/25/2040
|
3,290,677
|
||||
|
151,556
|
Series 2010-9(g)
|
4.32%
|
02/25/2040
|
15,873
|
||||
|
897,992
|
Series 2010-9(g)
|
3.77%
|
02/25/2040
|
84,229
|
||||
|
50,410
|
Series 2010-90(g)
|
5.02%
|
08/25/2040
|
6,392
|
||||
|
500,000
|
Series 2011-16
|
3.50%
|
03/25/2031
|
527,776
|
||||
|
2,955,842
|
Series 2011-2
|
4.00%
|
02/25/2041
|
3,115,559
|
||||
|
1,000,000
|
Series 2011-25
|
3.00%
|
04/25/2026
|
1,024,207
|
||||
|
500,000
|
Series 2011-29
|
3.50%
|
04/25/2031
|
515,628
|
||||
|
473,983
|
Series 2011-48(g)
|
7.24%
|
06/25/2041
|
482,535
|
||||
|
1,017,067
|
Series 2011-5(g)
|
5.42%
|
11/25/2040
|
126,334
|
||||
|
17,550,620
|
Series 2011-51(g)
|
5.02%
|
06/25/2041
|
2,573,333
|
||||
|
1,919,260
|
Series 2011-58(g)
|
5.57%
|
07/25/2041
|
352,097
|
||||
|
6,622,899
|
Series 2012-106(g)
|
5.18%
|
10/25/2042
|
1,145,915
|
||||
|
1,194,654
|
Series 2012-124(g)
|
6.07%
|
11/25/2042
|
1,150,610
|
||||
|
9,795,601
|
Series 2012-128(g)
|
4.53%
|
11/25/2042
|
8,463,598
|
||||
|
9,555,331
|
Series 2012-20
|
3.50%
|
03/25/2042
|
9,637,157
|
||||
|
774,499
|
Series 2012-29(g)
|
5.02%
|
04/25/2042
|
104,460
|
||||
|
1,521,554
|
Series 2012-32
|
5.00%
|
04/25/2042
|
319,530
|
||||
|
6,089,860
|
Series 2012-65(g)
|
5.00%
|
06/25/2042
|
1,032,419
|
||||
|
5,154,397
|
Series 2012-92
|
3.50%
|
08/25/2042
|
5,200,488
|
||||
|
4,154,122
|
Series 2013-19(g)
|
4.22%
|
03/25/2043
|
3,583,252
|
||||
|
9,646,208
|
Series 2013-51(g)
|
4.22%
|
04/25/2043
|
8,973,369
|
||||
|
13,535,767
|
Series 2014-50(g)
|
5.22%
|
08/25/2044
|
2,060,654
|
||||
|
7,384,389
|
Series 2014-73(g)
|
5.22%
|
11/25/2044
|
1,338,282
|
||||
|
3,671,058
|
Series 2015-59
|
3.00%
|
06/25/2041
|
3,742,652
|
||||
|
9,477,476
|
Series 2015-79
|
3.00%
|
11/25/2045
|
8,874,473
|
||||
|
3,197,877
|
Series 2015-9
|
3.00%
|
01/25/2045
|
3,264,952
|
||||
See Notes to Financial Statements.
|
46
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Principal Amount/Description |
Rate
|
Maturity
|
Value
|
|||||
|
Freddie Mac Gold Pool
|
||||||||
| $ |
5,820,958
|
Series Pool #GO8721
|
3.00%
|
09/01/2046
|
$
|
5,772,249
|
||
|
Government National Mortgage Association
|
||||||||
|
98,150
|
Series 2004-83(g)
|
5.10%
|
10/20/2034
|
15,317
|
||||
|
87,853
|
Series 2008-6(g)
|
5.48%
|
02/20/2038
|
16,209
|
||||
|
83,394
|
Series 2008-67(g)
|
5.02%
|
08/20/2038
|
11,099
|
||||
|
1,305,689
|
Series 2008-69(g)
|
6.65%
|
08/20/2038
|
263,912
|
||||
|
99,987
|
Series 2009-10(g)
|
5.72%
|
02/16/2039
|
18,253
|
||||
|
1,734,388
|
Series 2009-35
|
4.50%
|
05/20/2039
|
1,868,811
|
||||
|
6,421,198
|
Series 2009-58(g)
|
5.27%
|
06/20/2039
|
947,394
|
||||
|
93,659
|
Series 2009-6(g)
|
4.97%
|
02/20/2038
|
15,325
|
||||
|
3,391,350
|
Series 2009-75
|
5.00%
|
09/20/2039
|
3,664,907
|
||||
|
8,077,888
|
Series 2010-121(g)
|
5.02%
|
09/20/2040
|
1,265,217
|
||||
|
5,130,227
|
Series 2010-26(g)
|
5.27%
|
02/20/2040
|
873,442
|
||||
|
11,765,142
|
Series 2010-35(g)
|
4.70%
|
03/20/2040
|
1,677,614
|
||||
|
142,189
|
Series 2010-61(g)
|
5.57%
|
09/20/2039
|
20,529
|
||||
|
395,707
|
Series 2010-98(g)
|
5.81%
|
03/20/2039
|
45,103
|
||||
|
2,489,568
|
Series 2011-45
|
4.50%
|
03/20/2041
|
2,631,748
|
||||
|
1,190,196
|
Series 2011-69(i)
|
0.00%
|
05/20/2041
|
1,040,374
|
||||
|
2,599,077
|
Series 2011-71
|
4.50%
|
02/20/2041
|
2,771,476
|
||||
|
2,207,616
|
Series 2011-71(g)
|
4.42%
|
05/20/2041
|
307,930
|
||||
|
688,353
|
Series 2011-72(g)
|
5.17%
|
05/20/2041
|
121,247
|
||||
|
3,524,126
|
Series 2011-89(g)
|
4.47%
|
06/20/2041
|
463,732
|
||||
|
962,275
|
Series 2012-105(g)
|
5.22%
|
01/20/2041
|
79,619
|
||||
|
9,504,995
|
Series 2013-102(g)
|
5.17%
|
03/20/2043
|
1,513,621
|
||||
|
10,631,065
|
Series 2013-113(g)
|
5.27%
|
03/20/2043
|
1,535,510
|
||||
|
12,715,834
|
Series 2013-122(g)
|
5.17%
|
08/16/2043
|
2,183,955
|
||||
|
7,311,284
|
Series 2013-148(g)
|
4.75%
|
10/16/2043
|
1,049,994
|
||||
|
14,136,271
|
Series 2013-186(g)
|
5.32%
|
02/16/2043
|
2,021,367
|
||||
|
8,955,744
|
Series 2014-156(g)
|
5.27%
|
10/20/2044
|
1,455,654
|
||||
|
16,982,299
|
Series 2014-3(g)
|
5.12%
|
01/20/2044
|
2,750,801
|
||||
|
18,150,835
|
Series 2014-4(g)
|
5.17%
|
01/16/2044
|
3,086,401
|
||||
|
12,818,722
|
Series 2014-5(g)
|
5.17%
|
07/20/2043
|
1,855,002
|
||||
|
9,992,168
|
Series 2014-95(g)
|
5.32%
|
06/16/2044
|
1,971,269
|
||||
| TOTAL U.S. GOVERNMENT / AGENCY MORTGAGE BACKED SECURITIES (Cost $265,106,455) |
213,813,070
|
|||||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
47
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
|
Shares/Description
|
Value
|
|||||
|
RIGHTS AND WARRANTS - 0.00%(h)
|
||||||
|
672
|
Energy XXI Gulf Coast, Inc. (Strike Price $43.66 and Expiration Date 12/30/2021), Expires 12/30/2021
|
$ |
4,200
|
|||
| TOTAL RIGHTS AND WARRANTS (Cost $0) |
4,200
|
|||||
|
Shares/Description
|
Value
|
|||||
|
SHORT-TERM INVESTMENTS - 27.35%
|
||||||
|
Money Market Fund
|
||||||
|
597,872,872
|
State Street Institutional Trust (7 Day Yield 0.53%)(l)
|
597,872,872
|
||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost $597,872,872)
|
597,872,872
|
|||||
|
TOTAL INVESTMENTS - 100.03% (Cost $2,240,747,279)
|
2,186,790,072
|
|||||
|
CASH SEGREGATED AT CUSTODIAN FOR TOTAL RETURN SWAP CONTRACTS - 0.02%
|
400,000
|
|||||
|
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.05)%
|
|
(1,018,309)
|
||||
| NET ASSETS - 100.00% |
$
|
2,186,171,763 | ||||
See Notes to Financial Statements.
|
48
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
|
(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 $177,275,730, which represents approximately 8.11% of net assets as of March 31, 2017.
|
|
(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, 2017, the aggregate fair value of those securities was $14,770,002, representing 0.68% of net assets.
|
|
(e)
|
Security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.
|
|
(f)
|
Security is currently in default.
|
|
(g)
|
Floating or variable rate security. Interest rate disclosed is that which is in effect at March 31, 2017.
|
|
(h)
|
Less than 0.005%.
|
|
(i)
|
Issued with a zero coupon. Income is recognized through the accretion of discount.
|
|
(j)
|
Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect at March 31, 2017.
|
|
(k)
|
Security does 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)
|
The performance of the Fund may be directly affected by the performance of the security. The annual report, along with the report of the independent registered public accounting firm, is included in the security’s Form N-CSR available at www.sec.gov.
|
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
49
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Shares/Description | Value | |||||||
| CLOSED-END FUNDS - 24.33% | ||||||||
| 92,345 | Ares Dynamic Credit Allocation Fund, Inc. | $ | 1,479,367 | |||||
| 82,745 | BlackRock Corporate High Yield Fund, Inc. | 903,575 | ||||||
| 160,724 | BlackRock Debt Strategies Fund, Inc. | 1,851,540 | ||||||
| 33,353 | BlackRock Multi-Sector Income Trust | 577,340 | ||||||
| 47,518 | Blackstone/GSO Long-Short Credit Income Fund | 764,089 | ||||||
| 144,670 | Brookfield Real Assets Income Fund, Inc. | 3,295,583 | ||||||
| 130,386 | Eaton Vance Limited Duration Income Fund | 1,803,238 | ||||||
| 18,412 | Invesco High Income Trust II | 265,685 | ||||||
| 42,438 | Legg Mason BW Global Income Opportunities Fund, Inc. | 542,358 | ||||||
| 189,803 | Nuveen Credit Strategies Income Fund | 1,649,388 | ||||||
| 203,894 | Pacholder High Yield Fund, Inc. | 1,574,062 | ||||||
| 27,384 | Prudential Global Short Duration High Yield Fund, Inc. | 407,748 | ||||||
| 165,047 | Western Asset Emerging Markets Income Fund, Inc. | 2,558,229 | ||||||
| 83,003 | Western Asset Global High Income Fund, Inc. | 838,330 | ||||||
| 374,270 | Western Asset High Income Opportunity Fund, Inc. | 1,886,321 | ||||||
| TOTAL CLOSED-END FUNDS (Cost $20,318,559) | 20,396,853 | |||||||
| COMMON STOCKS - 0.12% | ||||||||
| 3,300 | Linn Energy, Inc.(a) | 95,700 | ||||||
| 3,296 | New Millennium Holding Co. - Private Equity(a)(b) | 5,134 | ||||||
| TOTAL COMMON STOCKS (Cost $240,692) | 100,834 | |||||||
| Principal Amount/Description | Rate | Maturity | Value | ||||||||||||
| BANK LOANS - 38.84% | |||||||||||||||
| Austria - 0.06% | |||||||||||||||
| $ | 49,750 | Constantia Flex First Lien, Term B3 Loan | 4.00% | 04/30/2022 | 50,030 | ||||||||||
| Bermuda - 0.71% | |||||||||||||||
| 97,250 | Belmond Interfin Ltd., Euro Term Loan | 4.00% | 03/19/2021 | 105,368 | |||||||||||
| 500,000 | Intelsat Jackson Holdings SA, Tranche B-2 Term Loan | 3.75% | 06/30/2019 | 490,708 | |||||||||||
| 596,076 | |||||||||||||||
| Canada - 0.72% | |||||||||||||||
| 75,000 | Air Canada First Lien, Term Loan | 3.61% | 09/21/2023 | 75,563 | |||||||||||
| 79,600 | GFL Environmental, Inc., Term B Loan | 3.75% | 09/22/2023 | 80,073 | |||||||||||
| 294,931 | Hudson’s Bay Company, Initial Term Loan | 4.25% | 09/30/2022 | 283,871 | |||||||||||
| 100,000 | New Red Finance, Inc. (aka Burger King/Tim Hortons), Term B-3 Loan(c) | L+2.25% | 02/16/2024 | 100,209 | |||||||||||
|
See Notes to Financial Statements.
|
| 50 |
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Principal Amount/Description | Rate | Maturity | Value | ||||||||||||
| $ | 59,700 | Telesat Canada, Term B-4 Loan | 4.15% | 11/17/2023 | $ | 60,297 | |||||||||
| 600,013 | |||||||||||||||
| France - 3.31% | |||||||||||||||
| 300,000 | Cerba Healthcare (Newco SAB Bidco SASU), First Lien Term Loan(c) | E+3.00% | 03/21/2024 | 319,191 | |||||||||||
| 235,000 | Ceva Sante Animale SA (Financiere Top Mendel), First Lien Term B Loan | 3.75% | 06/30/2021 | 253,393 | |||||||||||
| 200,000 | Financiere Verdi II S.A.S., Term Loan(c) | L+4.75% | 07/21/2023 | 252,863 | |||||||||||
| 144,380 | Generale de Sante Development International Services Ltd., Facility B1A Loan | 3.19% | 10/01/2020 | 155,441 | |||||||||||
| 245,000 | Oberthur Technologies Group SAS, Facility B1 Term Loan(c) | L+3.75% | 01/10/2024 | 262,086 | |||||||||||
| 228,376 | SAM Bidco., Facility B3B Assignment | 3.50% | 12/17/2021 | 246,221 | |||||||||||
| 240,927 | SAM Bidco., Facility B6 Assignment | 4.24% | 12/17/2021 | 242,283 | |||||||||||
| 200,000 | SFR Group S.A. (Ypso France SAS), Term B11 Loan(c) | L+2.75% | 06/22/2025 | 199,641 | |||||||||||
| 490,000 | Technicolor SA, First Lien Term B Loan | 3.50% | 11/18/2023 | 525,534 | |||||||||||
| 295,000 | Verallia Packaging S.A.S., Facility B2 Term Loan | 3.75% | 10/29/2022 | 316,591 | |||||||||||
| 2,773,244 | |||||||||||||||
| Germany - 1.32% | |||||||||||||||
| 169,575 | Coherent Holding GmbH, Term B Loan | 4.25% | 11/07/2023 | 184,230 | |||||||||||
| 108,829 | Orion Engineered Carbons GmbH (OEC Finance US LLC), Initial Euro Term Loan | 3.75% | 07/25/2021 | 117,672 | |||||||||||
| 402,825 | Springer SBM Two Gmbh, Initial Term B8 Loan | 4.50% | 08/14/2020 | 430,976 | |||||||||||
| 119,700 | Springer Science, First Lien Term B10 Loan | 4.75% | 06/15/2020 | 127,869 | |||||||||||
| 230,000 | Tele Columbus AG, Term Loan | 4.00% | 01/02/2023 | 245,313 | |||||||||||
| 1,106,060 | |||||||||||||||
| Great Britain - 1.64% | |||||||||||||||
| 402,822 | Ineos Finance PLC, New 2022 Euro Term Loan | 3.25% | 03/31/2022 | 429,611 | |||||||||||
| 215,000 | Intervias Finco Ltd., (fka Optima Sub-Finco Ltd.), C Term Loan | 5.87% | 01/30/2023 | 270,624 | |||||||||||
| 200,000 | LSF9 Robin Investments Ltd., Facility B1 Term Loan(c) | L+5.00% | 12/14/2023 | 254,026 | |||||||||||
| 155,000 | Onex Eagle Acquisition Company Ltd., Facility B Tranche 2 Term Loan | 4.00% | 02/24/2022 | 165,767 | |||||||||||
| 200,186 | UMV Global Foods Co. Ltd., Facility B1 Term Loan | 4.65% | 11/19/2021 | 251,979 | |||||||||||
| 1,372,007 | |||||||||||||||
| Ireland - 0.13% | |||||||||||||||
| 100,000 | Valeo Foods Group Ltd., Facility B Term Loan | 4.25% | 05/06/2022 | 107,366 | |||||||||||
| Italy - 0.35% | |||||||||||||||
| 275,217 | Inter Media and Communications S.r.l., Term Loan B | 5.50% | 06/05/2019 | 293,235 | |||||||||||
|
See Notes to Financial Statements.
|
|
Semi-Annual Report | March 31, 2017
|
51 |
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Principal Amount/Description | Rate | Maturity | Value | ||||||||||||
| Luxembourg - 2.15% | |||||||||||||||
| $ | 100,000 |
Allnex (Luxembourg) & Cy S.C.A. (fka Al Chem & Cy S.C.A.), Tranche B-2 Term Loan(c)
|
L+3.25% | 09/13/2023 | $ | 100,250 | |||||||||
| 284,213 | Auris Luxembourg III S.A.R.L. (aka Siemens Audiology), Facility B7 Term Loan | 4.15% | 01/17/2022 | 287,144 | |||||||||||
| 70,000 | Delta 2 (Lux) S.A.R.L., Facility B3 Term Loan | 8.07% | 07/29/2022 | 70,569 | |||||||||||
| 200,000 | Delta 2 (Lux) S.A.R.L., Facility B3 Term Loan | 4.57% | 02/01/2024 | 200,225 | |||||||||||
| 27,506 | Diaverum Holdings S.A.R.L., Facility C1 France Term Loan | 4.00% | 04/01/2022 | 29,615 | |||||||||||
| 192,494 | Diaverum Holdings S.A.R.L., Facility C1 Luxembourg Term Loan | 4.00% | 04/01/2022 | 207,252 | |||||||||||
| 160,309 | Evergreen Skills Lux S.A.R.L., First Lien Initial Term Loan | 5.84% | 04/28/2021 | 147,886 | |||||||||||
| 75,000 | HLF Financing S.A.R.L. (HLF Financing US, LLC), Senior Lien Term Loan(c) | L+5.50% | 02/15/2023 | 75,172 | |||||||||||
| 450,054 | SIG Combibloc Holdings SCA (fka Onex Wizard Acquisition Company II SCA), Initial Euro Term Loan | 4.00% | 03/11/2022 | 477,351 | |||||||||||
| 195,000 | Telenet International Finance S.A.R.L., Facility Term Loan | 3.25% | 01/31/2025 | 208,061 | |||||||||||
| 1,803,525 | |||||||||||||||
| Netherlands - 1.78% | |||||||||||||||
| 283,418 | Action Holding BV (fka Peer Holdings BV), Term B Loan | 4.25% | 02/25/2022 | 307,669 | |||||||||||
| 118,748 | Jacobs Douwe Egberts International BV (fka Charger OpCo BV), Term B-1 Euro Term Loan | 3.50% | 07/02/2022 | 122,826 | |||||||||||
| 200,000 | Keter Group B.V., Facility B1 Term Loan(c) | E+4.25% | 10/31/2023 | 213,535 | |||||||||||
| 370,000 | Mediq B.V. (fka Media N.V.), Facility B3 Loan | 4.50% | 02/28/2022 | 398,806 | |||||||||||
| 419,249 | Platform Specialty (Macdermid), First Lien Term B Loan | 4.75% | 06/07/2023 | 449,306 | |||||||||||
| 1,492,142 | |||||||||||||||
| Spain - 0.23% | |||||||||||||||
| 180,000 | Livister Investments, S.L.U., Facility B Term Loan | 4.38% | 06/28/2021 | 192,744 | |||||||||||
| 192,744 | |||||||||||||||
| Sweden - 0.85% | |||||||||||||||
| 370,000 | Unilabs Diagnostics AB, Term B Loan(c) | E+3.00% | 03/21/2024 | 392,841 | |||||||||||
| 300,000 | Verisure Midholding AB, Facility B1A Term Loan | 3.75% | 10/10/2022 | 323,129 | |||||||||||
| 715,970 | |||||||||||||||
| United Kingdom - 0.69% | |||||||||||||||
| 250,000 | LGC Science Holdings Ltd. (fka Figaro Bidco Ltd.), Facility Term B-3 Loan | 4.73% | 03/08/2023 | 250,625 | |||||||||||
|
See Notes to Financial Statements.
|
| 52 |
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Principal Amount/Description | Rate | Maturity | Value | ||||||||||||
|
$
|
99,234 | Multi Packaging Solutions Global Holdings Ltd. (fka Chesapeake Finance 2 Limited), Sterling Tranche B Term Loan Retired 10/14/2016 | 5.00% | 09/30/2020 | $ | 125,082 | |||||||||
| 160,000 | Richmond UK Holdco Ltd., Facility B Term Loan(c) | L+4.25% | 03/04/2024 | 203,378 | |||||||||||
| 579,085 | |||||||||||||||
| United States - 24.90% | |||||||||||||||
| 277,098 | Acadia Healthcare Co., Inc., Tranche B-2 Term Loan | 3.75% | 02/16/2023 | 279,003 | |||||||||||
| 418,791 | Access CIG LLC, First Lien Term B Loan | 6.00% | 10/18/2021 | 421,513 | |||||||||||
| 100,000 | ADMI, Corp. (aka Aspen Dental), Initial Term Loan(c) | L+3.75% | 04/29/2022 | 101,063 | |||||||||||
| 40,000 | Al Aqua Merger Sub, Inc. (aka Culligan International Company), First Lien B Term Loan(c) | L+4.00% | 12/13/2023 | 40,600 | |||||||||||
| 79,800 | A-L Parent LLC (aka Learfield Communications), First Lien Term Loan | 4.25% | 12/01/2023 | 80,748 | |||||||||||
| 100,000 | AlixPartners LLP, Term B Loan(c) | L+3.00% | 03/28/2024 | 100,625 | |||||||||||
| 100,000 | Altice US Finance I Corp. (Suddenlink), First Lien Term B Loan(c) | L+2.25% | 07/25/2025 | 100,079 | |||||||||||
| 40,000 | AMC Entertainment Holdings, Inc. (fka AMC Entertainment, Inc.), Incremental Term Loan | 3.51% | 12/15/2023 | 40,406 | |||||||||||
| 105,000 | American Builders & Contractors Supply Co., First Lien Term Loan | 3.73% | 09/22/2023 | 105,394 | |||||||||||
| 249,334 | American Renal Holdings Inc., First Lien Term B Loan(c) | L+3.50% | 08/20/2019 | 249,906 | |||||||||||
| 150,196 | American Rock Salt Co. LLC, First Lien Term Loan | 4.75% | 05/20/2021 | 150,008 | |||||||||||
| 100,000 | Aramark Intermediate HoldCo. Corp., U.S. Term B Loan(c) | L+2.00% | 03/08/2024 | 100,771 | |||||||||||
| 244,018 | AssuredPartners, Inc., Term Loan | 5.25% | 10/21/2022 | 246,276 | |||||||||||
| 186,494 | Asurion, LLC (fka Asurion Corporation), Replacement B-4 Term Loan | 4.25% | 08/04/2022 | 187,683 | |||||||||||
| 653,363 | AVSC Holding Corp., Tranche 1 Incremental Term Loan | 4.50% | 01/25/2021 | 657,038 | |||||||||||
| 365,000 | Bass Pro Group LLC, Initial Term Loan(c) | L+5.00% | 12/15/2023 | 352,455 | |||||||||||
| 205,000 | BCPE Eagle Buyer LLC, Initial First LienTerm Loan(c) | L+4.25% | 03/16/2024 | 205,256 | |||||||||||
| 331,326 | Berry Plastics Corp., Term I Loan | 3.52% | 10/01/2022 | 333,846 | |||||||||||
| 100,000 | Boyd Gaming Corp., Term B Loan(c) | L+2.50% | 09/15/2023 | 100,727 | |||||||||||
| 25,000 | Bright Horizons (fka Bright Horizons Family Solutions), Incremental Term Loan | 3.50% | 11/07/2023 | 25,306 | |||||||||||
| 349,200 | Caesars Entertainment Resort Properties LLC, Term B Loan | 7.00% | 10/11/2020 | 351,821 | |||||||||||
| 265,455 | Calpine Corp., First Lien Bridge Term Loan | 2.74% | 11/03/2017 | 265,952 | |||||||||||
|
See Notes to Financial Statements.
|
|
Semi-Annual Report | March 31, 2017
|
53 |
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Principal Amount/Description | Rate | Maturity | Value | ||||||||||||
| $ | 79,800 | Camelot Finance LP (aka Thomson Reuters Intellectual Property & Science), Initial Term Loan | 4.75% | 09/15/2023 | $ | 80,050 | |||||||||
| 100,000 | Caraustar Industries, Inc., Refinancing Term Loanceva san | 6.65% | 03/14/2022 | 101,110 | |||||||||||
| 195,003 | Catalent Pharma Solutions, Inc. (fka Cardinal Health 409, Inc.), Extended Euro Term Loan | 3.50% | 05/20/2021 | 211,438 | |||||||||||
| 225,298 | Cengage Learning, Inc., Refinancing Term Loan | 5.25% | 06/07/2023 | 215,547 | |||||||||||
| 51,309 | Charter Nex Films, Inc., First Lien Tem B Loan | 5.25% | 02/07/2022 | 51,865 | |||||||||||
| 99,497 | CHG Healthcare Services, Inc. (fka CHG Buyer Corporation), First Lien Term Loan(c) | L+3.75% | 06/07/2023 | 100,878 | |||||||||||
| 100,000 | Colorado Buyer, Inc. (aka Cyxtera Technologies), Term B Loan(c) | L+3.00% | 03/15/2024 | 100,738 | |||||||||||
| 550,238 | Communications Sales & Leasing, Inc. (CSL Capital, LLC), Term Loan | 4.00% | 10/24/2022 | 549,482 | |||||||||||
| 200,000 | Delta 2 (Lux) S.A.R.L., Facility B3 Term Loan | 4.57% | 02/01/2024 | 200,225 | |||||||||||
| 99,379 | DH Publishing, L.P., Term B-4 Loan | 3.38% | 08/22/2022 | 99,918 | |||||||||||
| 47,143 | Donnelley Financial First Lien, Term B Loan | 5.00% | 09/27/2023 | 47,624 | |||||||||||
| 302,444 | Eastern Power LLC, First Lien Term B Loan(c) | L+4.00% | 10/02/2023 | 304,221 | |||||||||||
| 295,000 | Element Materials Technology Group US Holdings, Inc., Term B2 Loan | 4.75% | 02/22/2023 | 315,493 | |||||||||||
| 154,441 | Emmis Operating Co., Term Loan | 7.00% | 06/10/2021 | 146,719 | |||||||||||
| 438,750 | Encompass Digital Media, Inc., First Lien Tranche B Term Loan | 5.50% | 06/06/2021 | 419,555 | |||||||||||
| 150,000 | Encompass Digital Media, Inc., Second Lien Tranche B Term Loan | 8.75% | 06/06/2022 | 137,906 | |||||||||||
| 513,713 | Envision Healthcare Corp. (fka Emergency Medical Corporation), Initial Term Loan(c) | L+3.00% | 12/01/2023 | 518,850 | |||||||||||
| 185,000 | Equinix, Inc., Term B2 Loan(c) | E+3.25% | 12/22/2023 | 199,719 | |||||||||||
| 150,000 | ESH Hospitality, Inc., Repriced Term Loan(c) | L+2.50% | 08/30/2023 | 150,956 | |||||||||||
| 100,000 | ExamWorks Group, Inc. (fka Gold Merger Co., Inc.), Term B-1 Loan(c) | L+3.25% | 07/27/2023 | 100,750 | |||||||||||
| 69,825 | Fitness International LLC, Term B Loan | 5.40% | 07/01/2020 | 70,785 | |||||||||||
| 100,000 | Freedom Mortgage Corp., Initial Term Loan | 6.86% | 02/23/2022 | 101,625 | |||||||||||
| 164,857 | GCI Holdings Term B Loan | 3.77% | 02/02/2022 | 166,146 | |||||||||||
| 54,863 | Genoa, a QoL Healthcare Company LLC, First Lien Term Loan | 4.75% | 10/30/2023 | 55,251 | |||||||||||
| 103,454 | Getty Images, Inc., Initial Term Loan | 4.75% | 10/18/2019 | 90,878 | |||||||||||
| 100,000 | Go Daddy Operating Co. (GD Finance Co., Inc.), Initial Term Loan(c) | L+2.50% | 02/15/2024 | 100,269 | |||||||||||
| 160,276 | GOBP Holdings, Inc., First Lien Initial Term Loan | 5.00% | 10/21/2021 | 160,803 | |||||||||||
| 175,000 | Greeneden U.S. Holdings I, LLC, Tranche B-1 Term Loan | 5.02% | 12/01/2023 | 176,641 | |||||||||||
|
See Notes to Financial Statements.
|
| 54 |
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Principal Amount/Description | Rate | Maturity | Value | ||||||||||
| $ | 260,175 | HD Supply, Inc., Incremental Term Loan Retired 10/17/2016 | 3.90% | 08/13/2021 | $ | 262,533 | |||||||
| 223,100 | Hi-Crush Partners LP, Advance Term Loan | 4.75% | 04/28/2021 | 215,570 | |||||||||
| 141,750 | HUB International Ltd., Initial Term Loan | 4.00% | 10/02/2020 | 142,685 | |||||||||
| 149,625 | Ineos US Finance LLC, New 2024 Term Loan(c) | L+2.75% | 04/01/2024 | 150,630 | |||||||||
| 300,000 | Invent Farma, First Lien Term B Loan | 3.75% | 08/03/2023 | 319,240 | |||||||||
| 676,408 | Jaguar Holding Co. I (aka Pharmaceutical Product Development, Inc.), Initial Term Loan | 4.25% | 08/18/2022 | 679,472 | |||||||||
| 250,000 | JBS USA Lux S.A. (fka JBS USA, LLC), Initial Term Loan(c) | L+2.50% | 10/30/2022 | 251,276 | |||||||||
| 378,287 | Kleopatra Holdings 2, Initial U.S. Dollar Term Loan | 4.25% | 04/28/2020 | 381,880 | |||||||||
| 90,000 | Landry’s, Inc. (fka Lamdry’s Restaurants, Inc.), Term B Loan | 4.00% | 09/19/2023 | 90,876 | |||||||||
| 100,000 | Leslie’s Poolmart, Inc., Tranche B-1 Term Loan | 4.77% | 08/16/2023 | 100,537 | |||||||||
| 150,000 | Level 3 Financing, Inc., Tranche B 2024 Term Loan(c) | L+2.25% | 02/22/2024 | 150,437 | |||||||||
| 275,239 | Lifetime Fitness, Inc., Term Loan | 4.00% | 06/10/2022 | 276,305 | |||||||||
| 200,000 | Mallinckrodt International Finance S.A., 2017 Term B Loan | 3.90% | 09/24/2024 | 200,125 | |||||||||
| 189,614 | Michaels Stores, Inc., New Replacement Term B-1 Loan | 3.75% | 01/28/2023 | 189,338 | |||||||||
| 64,675 | Monitronics International Inc., Term B-2 Loan | 6.50% | 09/21/2022 | 65,423 | |||||||||
| 145,368 | Navistar, Inc., Tranche B Term Loan | 5.00% | 08/07/2020 | 147,215 | |||||||||
| 538,350 | Neiman Marcus Group, Inc., Other Term Loan | 4.25% | 10/25/2020 | 434,284 | |||||||||
| 100,000 | NeuStar, Inc., Term B2 Loan(c) | L+3.75% | 03/01/2024 | 101,406 | |||||||||
| 210,000 | Nexstar Broadcasting, Inc., Term B Loan | 3.94% | 01/17/2024 | 212,100 | |||||||||
| 93,575 | NM Z Parent, Inc., (aka Zep, Inc.), Initial Term Loan Retired 11/04/2016 | 5.00% | 06/27/2022 | 94,979 | |||||||||
| 59,828 | NVA Holdings, Inc., First Lien Term B-2 Loan | 4.65% | 08/14/2021 | 60,520 | |||||||||
| 100,000 | Onvoy LLC, First Lien Initial Term Loan(c) | L+4.50% | 02/10/2024 | 99,938 | |||||||||
| 162,317 | Ortho-Clinical Diagnostics Holdings Luxembourg S.A.R.L., Initial Term Loan | 4.75% | 06/30/2021 | 161,709 | |||||||||
| 109,632 | OSG International Inc., (OIN Delaware LLC), Initial Term Loan | 5.75% | 08/05/2019 | 109,701 | |||||||||
| 227,125 | Paragon Offshore Finance Co., Term Loan | 5.75% | 07/16/2021 | 89,857 | |||||||||
| 70,954 | Penn Engineering & Manufacturing Corp., Incremental Tranche C Term Loan | 4.00% | 08/27/2021 | 76,671 | |||||||||
| 99,750 | Pinnacle Foods Finance LLC, Initial Term Loan(c) | L+2.00% | 02/02/2024 | 100,300 | |||||||||
| 65,000 | ProAmpac PG Borrower LLC, First Lien Initial Term Loan | 5.00% | 11/20/2023 | 65,715 | |||||||||
| 179,550 | Quikrete Holdings, Inc., First Lien Term Loan | 4.00% | 11/04/2023 | 181,442 | |||||||||
| 405,000 | RP Crown Parent LLC, Initial Term Loan | 4.50% | 10/12/2023 | 408,333 | |||||||||
| 100,000 | RPI Finance Trust, Initial B-6 Term Loan(c) | L+2.00% | 03/27/2023 | 100,406 | |||||||||
|
See Notes to Financial Statements.
|
|
Semi-Annual Report | March 31, 2017
|
55 |
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Principal Amount/Description | Rate | Maturity | Value | ||||||||||
| $ | 60,000 | Sable International Finance Ltd., First Lien Term B Loan | 5.65% | 12/31/2022 | $ | 60,637 | |||||||
| 127,974 | Scientific Games International, Inc., Initial Term B-3 Loan | 4.94% | 10/01/2021 | 129,764 | |||||||||
| 217,250 | Securus Technologies Holdings, Inc., First Lien Incremental Term Loan | 5.25% | 04/17/2020 | 217,523 | |||||||||
| 250,000 | Sedgwick Claims Management Services, Inc., Second Lien Term Loan | 6.75% | 02/28/2022 | 250,625 | |||||||||
| 174,563 | Servicemaster Company, LLC, Tranche C Term Loan | 3.27% | 11/08/2023 | 176,444 | |||||||||
| 107,250 | Signode Industrial Group Lux S.A. (Signode Industrial Group US, Inc.), Initial Term Loan | 4.00% | 05/01/2021 | 115,845 | |||||||||
| 199,000 | Solenis International LP, Tranche C Term Loan | 5.00% | 07/31/2021 | 215,478 | |||||||||
| 272,938 | Solera LLC (Solera Finance, Inc.), Euro Term Loan | 3.75% | 03/03/2023 | 295,621 | |||||||||
| 47,447 | Spectrum Brands, Inc., Euro Term Loan | 3.50% | 06/23/2022 | 51,081 | |||||||||
| 200,000 | Sprint Communications, Inc., Initial Term Loan(c) | L+2.50% | 02/02/2024 | 200,215 | |||||||||
| 113,275 | Sterigenics-Nordion Holdings LLC, Initial Term Loan | 4.25% | 05/16/2022 | 113,629 | |||||||||
| 100,000 | Team Health Holdings, Inc., Initial Term Loan(c) | L+2.75% | 02/06/2024 | 99,437 | |||||||||
| 170,000 | Telenet Financing USD LLC, Facility Term Loan(c) | L+3.00% | 01/31/2025 | 170,521 | |||||||||
| 99,500 | The Nature’s Bounty Co., (aka NBTY), Sterling Term B-1 Loan | 5.25% | 05/05/2023 | 125,754 | |||||||||
| 148,125 | TI Group Automotive Systems LLC, Initial Euro Term Loan | 3.75% | 06/30/2022 | 159,769 | |||||||||
| 97,090 | TI Group Automotive Systems LLC, Initial US Term Loan | 3.73% | 06/30/2022 | 97,495 | |||||||||
| 220,782 | Toys “R” US Property Co. I LLC, Initial Term Loan | 6.00% | 08/21/2019 | 212,503 | |||||||||
| 437,630 | Trans Union LLC, Term B-2 Loan | 3.52% | 04/09/2023 | 441,004 | |||||||||
| 451,242 | TransDigm, Inc., Tranche E Term Loan | 4.00% | 05/16/2022 | 450,358 | |||||||||
| 195,000 | United Airlines, Inc., Term B Loan(c) | L+2.25% | 04/01/2024 | 195,732 | |||||||||
| 100,000 | Univision Communications, 2017 Replacement Term Loan(c) | L+2.75% | 03/15/2024 | 99,531 | |||||||||
| 150,000 | UPC Financing Partnership, Facility AP Term Loan(c) | L+2.75% | 04/15/2025 | 150,640 | |||||||||
| 172,813 | US Renal Care, Inc., First Lien Initial Term Loan | 5.25% | 12/30/2022 | 162,605 | |||||||||
| 151,125 | Utex Industries, Inc., First Lien Initial Term Loan | 5.00% | 05/21/2021 | 142,171 | |||||||||
| 242,930 | Versum Materials, Inc., Term Loan | 4.58% | 11/15/2022 | 242,914 | |||||||||
| 169,231 | Welbilt, Inc. (fka Manitowoc Foodservice, Inc.), Term B Loan | 4.00% | 03/03/2023 | 171,276 | |||||||||
|
See Notes to Financial Statements.
|
| 56 |
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments
|
March 31, 2017 (Unaudited)
| Principal Amount/Description | Rate | Maturity | Value | ||||||||||
| $ | 218,900 | Western Digital Corp., Euro Term B-2 Term Loan | 2.75% | 04/29/2023 | $ | 234,398 | |||||||
| 100,000 | William Morris Endeavor Entertainment LLC (IMG Worldwide Holdings LLC), First Lien Term Loan(c) | L+3.25% | 05/06/2021 | 100,625 | |||||||||
| 259,350 | Windstream Services LLC (fka Windstream Corp.), Tranche B-6 Term Loan | 4.95% | 03/29/2021 | 261,512 | |||||||||
| 136,011 | York Risk Services Holding Corp., Term Loan | 4.75% | 10/01/2021 | 132,993 | |||||||||
| 20,870,921 | |||||||||||||
|
TOTAL BANK LOANS (Cost $33,128,524)
|
32,552,418 | ||||||||||||
| Principal Amount/Description | Rate | Maturity | Value | ||||||||||
| HIGH YIELD DEBT- 31.71% | |||||||||||||
| Australia - 0.07% | |||||||||||||
| $ | 55,000 | BlueScope Steel Finance Ltd. / BlueScope Steel Finance USA LLC(d) | 6.50% | 05/15/2021 | 57,887 | ||||||||
| Bermuda - 0.10% | |||||||||||||
| 65,000 | Weatherford International Ltd. | 7.75% | 06/15/2021 | 70,363 | |||||||||
| 10,000 | Weatherford International Ltd. | 4.50% | 04/15/2022 | 9,625 | |||||||||
| 5,000 | Weatherford International Ltd. | 8.25% | 06/15/2023 | 5,450 | |||||||||
| 85,438 | |||||||||||||
| Canada - 1.52% | |||||||||||||
| 65,000 | Baytex Energy Corp.(d) | 5.13% | 06/01/2021 | 58,988 | |||||||||
| 170,000 | Cascades, Inc.(d) | 5.50% | 07/15/2022 | 170,425 | |||||||||
| 15,000 | Cascades, Inc.(d) | 5.75% | 07/15/2023 | 15,075 | |||||||||
| 85,000 | Eldorado Gold Corp.(d) | 6.13% | 12/15/2020 | 87,550 | |||||||||
| 100,000 | First Quantum Minerals Ltd.(d) | 7.25% | 05/15/2022 | 103,375 | |||||||||
| 35,000 | First Quantum Minerals Ltd.(d) | 7.25% | 04/01/2023 | 35,481 | |||||||||
| 20,000 | Hudbay Minerals, Inc.(d) | 7.25% | 01/15/2023 | 21,300 | |||||||||
| 30,000 | Hudbay Minerals, Inc.(d) | 7.63% | 01/15/2025 | 32,700 | |||||||||
| 135,000 | Open Text Corp.(d) | 5.63% | 01/15/2023 | 141,075 | |||||||||
| 25,000 | Open Text Corp.(d) | 5.88% | 06/01/2026 | 26,250 | |||||||||
| 35,875 | Precision Drilling Corp. | 6.63% | 11/15/2020 | 36,233 | |||||||||
| 60,000 | Precision Drilling Corp.(d) | 7.75% | 12/15/2023 | 63,450 | |||||||||
| 55,000 | Teck Resources Ltd.(d) | 8.50% | 06/01/2024 | 63,594 | |||||||||
| 390,000 | Valeant Pharmaceuticals International, Inc.(d) | 5.38% | 03/15/2020 | 350,513 | |||||||||
| 10,000 | Valeant Pharmaceuticals International, Inc.(d) | 5.63% | 12/01/2021 | 8,100 | |||||||||
| 25,000 | Valeant Pharmaceuticals International, Inc.(d) | 6.50% | 03/15/2022 | 25,781 | |||||||||
| 40,000 | Valeant Pharmaceuticals International, Inc.(d) | 5.88% | 05/15/2023 | 31,250 | |||||||||
| 1,271,140 | |||||||||||||
|
See Notes to Financial Statements.
|
|
Semi-Annual Report | March 31, 2017
|
57 |
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments |
March 31, 2017 (Unaudited)
| Principal Amount/Description | Rate | Maturity | Value | ||||||||||||
| Cayman Islands - 0.16% | |||||||||||||||
| $ | 125,000 | UPCB Finance IV Ltd.(e) | 4.00% | 01/15/2027 | $ | 136,190 | |||||||||
| France - 0.79% | |||||||||||||||
| 110,000 | Crown European Holdings SA(d) | 2.63% | 09/30/2024 | 115,386 | |||||||||||
| 100,000 | Holding Medi-Partenaires SAS(e) | 7.00% | 05/15/2020 | 111,374 | |||||||||||
| 290,000 | Numericable-SFR SAS(e) | 5.63% | 05/15/2024 | 329,102 | |||||||||||
| 100,000 | SPCM SA(e) | 2.88% | 06/15/2023 | 108,816 | |||||||||||
| 664,678 | |||||||||||||||
| Germany - 0.63% | |||||||||||||||
| 65,000 | IHO Verwaltungs GmbH(d)(f) | 4.50% | 09/15/2023 | 64,432 | |||||||||||
| 120,000 | IHO Verwaltungs GmbH(e)(f) | 3.25% | 09/15/2023 | 131,473 | |||||||||||
| 100,000 | Unitymedia GmbH(e) | 3.75% | 01/15/2027 | 107,400 | |||||||||||
| 205,000 | Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH(e) |
4.00% | 01/15/2025 | 227,852 | |||||||||||
| 531,157 | |||||||||||||||
| Great Britain - 2.74% | |||||||||||||||
| 300,000 | Anglo American Capital PLC | 3.25% | 04/03/2023 | 341,988 | |||||||||||
| 150,000 | Arqiva Broadcast Finance PLC(e) | 9.50% | 03/31/2020 | 203,628 | |||||||||||
| 100,000 | Boparan Finance PLC(e) | 5.50% | 07/15/2021 | 124,007 | |||||||||||
| 100,000 | IDH Finance PLC(d) | 6.25% | 08/15/2022 | 121,674 | |||||||||||
| 100,000 | IDH Finance PLC(d)(g) | 6.36% | 08/15/2022 | 120,748 | |||||||||||
| 200,000 | Inmarsat Finance PLC(d) | 6.50% | 10/01/2024 | 207,750 | |||||||||||
| 100,000 | Inovyn Finance PLC(d) | 6.25% | 05/15/2021 | 112,716 | |||||||||||
| 110,000 | Iron Mountain Europe PLC(e) | 6.13% | 09/15/2022 | 146,639 | |||||||||||
| 130,000 | Synlab Bondco PLC(d) | 6.25% | 07/01/2022 | 149,786 | |||||||||||
| 150,000 | TA MFG. Ltd.(d) | 3.63% | 04/15/2023 | 162,925 | |||||||||||
| 200,000 | Tullow Oil PLC(d) | 6.00% | 11/01/2020 | 194,036 | |||||||||||
| 110,000 | Virgin Media Finance PLC(e) | 7.00% | 04/15/2023 | 148,249 | |||||||||||
| 100,000 | Vougeot Bidco PLC(d) | 7.88% | 07/15/2020 | 130,243 | |||||||||||
| 100,000 | Vougeot Bidco PLC(e) | 7.88% | 07/15/2020 | 130,243 | |||||||||||
| 2,294,632 | |||||||||||||||
| Ireland - 0.70% | |||||||||||||||
| 150,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc.(d) | 4.63% | 05/15/2023 | 151,687 | |||||||||||
| 135,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc.(d) | 6.75% | 05/15/2024 | 157,817 | |||||||||||
| 140,000 | Park Aerospace Holdings Ltd.(d) | 5.50% | 02/15/2024 | 145,950 | |||||||||||
| 100,000 | Virgin Media Receivables Financing Notes I DAC(e) | 5.50% | 09/15/2024 | 130,662 | |||||||||||
| 586,116 | |||||||||||||||
| Italy - 0.15% | |||||||||||||||
| 110,000 | LKQ Italia Bondco SpA(d) | 3.88% | 04/01/2024 | 124,064 | |||||||||||
See Notes to Financial Statements.
| 58 |
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments |
March 31, 2017 (Unaudited)
| Principal Amount/Description | Rate | Maturity | Value | ||||||||||||
| Jersey - 0.56% | |||||||||||||||
| $ | 150,000 | AA Bond Co. Ltd.(d) | 5.50% | 07/31/2022 | $ | 193,583 | |||||||||
| 120,000 | CPUK Finance Ltd.(d) | 7.00% | 08/28/2020 | 158,578 | |||||||||||
| 100,000 | Lincoln Finance Ltd.(d) | 6.88% | 04/15/2021 | 114,334 | |||||||||||
| 466,495 | |||||||||||||||
| Luxembourg - 2.59% | |||||||||||||||
| 100,000 | Altice Financing SA(d) | 5.25% | 02/15/2023 | 114,036 | |||||||||||
| 100,000 | Altice Luxembourg SA(e) | 7.25% | 05/15/2022 | 113,057 | |||||||||||
| 240,000 | ArcelorMittal | 6.25% | 03/01/2021 | 260,400 | |||||||||||
| 20,000 | ArcelorMittal | 6.13% | 06/01/2025 | 22,300 | |||||||||||
| 116,000 | Capsugel SA(d)(f) | 7.00% | 05/15/2019 | 115,739 | |||||||||||
| 55,000 | Dana Financing Luxembourg Sarl(d) | 5.75% | 04/15/2025 | 55,619 | |||||||||||
| 200,000 | FAGE International SA/ FAGE USA Dairy Industry, Inc.(d) | 5.63% | 08/15/2026 | 201,000 | |||||||||||
| 125,000 | Hanesbrands Finance Luxembourg SCA(d) | 3.50% | 06/15/2024 | 136,803 | |||||||||||
| 60,000 | Intelsat Jackson Holdings SA | 7.50% | 04/01/2021 | 54,375 | |||||||||||
| 105,000 | Intelsat Jackson Holdings SA(d) | 8.00% | 02/15/2024 | 111,562 | |||||||||||
| 140,000 | Matterhorn Telecom SA(d) | 3.88% | 05/01/2022 | 151,595 | |||||||||||
| 100,000 | Matterhorn Telecom SA(e) | 4.88% | 05/01/2023 | 106,747 | |||||||||||
| 100,000 | SIG Combibloc Holdings SCA(d) | 7.75% | 02/15/2023 | 114,134 | |||||||||||
| 100,000 | Telenet Finance VI Luxembourg SCA(e) | 4.88% | 07/15/2027 | 114,770 | |||||||||||
| 480,000 | Wind Acquisition Finance SA(d) | 7.38% | 04/23/2021 | 500,400 | |||||||||||
| 2,172,537 | |||||||||||||||
| Netherlands - 0.80% | |||||||||||||||
| 130,000 | Alcoa Nederland Holding BV(d) | 6.75% | 09/30/2024 | 140,075 | |||||||||||
| 25,000 | Alcoa Nederland Holding BV(d) | 7.00% | 09/30/2026 | 27,313 | |||||||||||
| 60,000 | Alpha 3 BV / Alpha US Bidco, Inc.(d) | 6.25% | 02/01/2025 | 60,900 | |||||||||||
| 220,000 | Darling Global Finance BV(d) | 4.75% | 05/30/2022 | 247,428 | |||||||||||
| 175,000 | Ziggo Bond Finance BV(e) | 4.63% | 01/15/2025 | 194,439 | |||||||||||
| 670,155 | |||||||||||||||
| United States - 20.90% | |||||||||||||||
| 110,000 | Acadia Healthcare Co., Inc. | 5.13% | 07/01/2022 | 111,650 | |||||||||||
| 55,000 | Acadia Healthcare Co., Inc. | 5.63% | 02/15/2023 | 57,234 | |||||||||||
| 75,000 | ACCO Brands Corp.(d) | 5.25% | 12/15/2024 | 75,562 | |||||||||||
| 90,000 | AECOM | 5.75% | 10/15/2022 | 94,837 | |||||||||||
| 95,000 | AES Corp. | 6.00% | 05/15/2026 | 98,800 | |||||||||||
| 75,000 | Albertsons Cos. LLC / Safeway, Inc. / New Albertson's, Inc. / Albertson's LLC(d) | 6.63% | 06/15/2024 | 76,875 | |||||||||||
| 110,000 | Albertsons Cos. LLC / Safeway, Inc. / New Albertson's, Inc. / Albertson's LLC(d) | 5.75% | 03/15/2025 | 106,975 | |||||||||||
| 110,000 | Allegion US Holding Co., Inc. | 5.75% | 10/01/2021 | 115,087 | |||||||||||
| 105,000 | American Builders & Contractors Supply Co., Inc.(d) | 5.63% | 04/15/2021 | 108,150 | |||||||||||
| 135,000 | AmeriGas Partners LP / AmeriGas Finance Corp. | 5.63% | 05/20/2024 | 136,350 | |||||||||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
59 |
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments |
March 31, 2017 (Unaudited)
| Principal Amount/Description | Rate | Maturity | Value | ||||||||||||
| $ | 40,000 | AmeriGas Partners LP / AmeriGas Finance Corp. | 5.50% | 05/20/2025 | $ | 39,900 | |||||||||
| 110,000 | Amsurg Corp. | 5.63% | 07/15/2022 | 113,162 | |||||||||||
| 20,000 | Antero Midstream Partners LP / Antero Midstream Finance Corp.(d) |
5.38% | 09/15/2024 | 20,400 | |||||||||||
| 35,000 | Antero Resources Corp. | 5.38% | 11/01/2021 | 36,079 | |||||||||||
| 15,000 | Antero Resources Corp. | 5.13% | 12/01/2022 | 15,272 | |||||||||||
| 30,000 | Antero Resources Corp. | 5.63% | 06/01/2023 | 30,825 | |||||||||||
| 125,000 | Apex Tool Group LLC(d) | 7.00% | 02/01/2021 | 113,750 | |||||||||||
| 105,000 | Argos Merger Sub, Inc.(d) | 7.13% | 03/15/2023 | 100,012 | |||||||||||
| 90,000 | Ascent Resources Utica Holdings LLC / ARU Finance Corp.(d) | 10.00% | 04/01/2022 | 93,487 | |||||||||||
| 56,000 | Ashtead Capital, Inc.(d) | 6.50% | 07/15/2022 | 58,520 | |||||||||||
| 15,000 | Ashtead Capital, Inc.(d) | 5.63% | 10/01/2024 | 15,862 | |||||||||||
| 115,000 | Axalta Coating Systems(e) | 4.25% | 08/15/2024 | 130,995 | |||||||||||
| 10,000 | B&G Foods, Inc. | 4.63% | 06/01/2021 | 10,125 | |||||||||||
| 75,000 | B&G Foods, Inc. | 5.25% | 04/01/2025 | 75,844 | |||||||||||
| 85,000 | Boyd Gaming Corp. | 6.38% | 04/01/2026 | 91,162 | |||||||||||
| 45,000 | Building Materials Corp. of America(d) | 5.38% | 11/15/2024 | 45,815 | |||||||||||
| 90,000 | Carrizo Oil & Gas, Inc. | 6.25% | 04/15/2023 | 90,675 | |||||||||||
| 75,000 | CCO Holdings LLC / CCO Holdings Capital Corp.(d) | 5.13% | 05/01/2023 | 77,437 | |||||||||||
| 45,000 | CCO Holdings LLC / CCO Holdings Capital Corp.(d) | 5.88% | 04/01/2024 | 47,588 | |||||||||||
| 70,000 | Centene Corp. | 5.63% | 02/15/2021 | 73,437 | |||||||||||
| 30,000 | Centene Corp. | 4.75% | 05/15/2022 | 30,975 | |||||||||||
| 45,000 | Centene Corp. | 6.13% | 02/15/2024 | 48,431 | |||||||||||
| 105,000 | CenturyLink, Inc. | 5.63% | 04/01/2025 | 100,931 | |||||||||||
| 135,000 | Change Healthcare Holdings LLC / Change Healthcare Finance, Inc.(d) | 5.75% | 03/01/2025 | 138,881 | |||||||||||
| 100,000 | Cheniere Corpus Christi Holdings LLC(d) | 7.00% | 06/30/2024 | 110,625 | |||||||||||
| 80,000 | Chesapeake Energy Corp. | 5.38% | 06/15/2021 | 74,800 | |||||||||||
| 105,000 | Chesapeake Energy Corp.(d) | 8.00% | 01/15/2025 | 105,394 | |||||||||||
| 35,000 | CHS/Community Health Systems, Inc. | 5.13% | 08/01/2021 | 34,737 | |||||||||||
| 180,000 | CHS/Community Health Systems, Inc. | 6.88% | 02/01/2022 | 154,800 | |||||||||||
| 105,000 | CHS/Community Health Systems, Inc. | 6.25% | 03/31/2023 | 107,494 | |||||||||||
| 105,000 | CITGO Petroleum Corp.(d) | 6.25% | 08/15/2022 | 106,837 | |||||||||||
| 100,000 | Cliffs Natural Resources, Inc.(d) | 8.25% | 03/31/2020 | 108,375 | |||||||||||
| 110,000 | CommScope Technologies LLC(d) | 5.00% | 03/15/2027 | 110,104 | |||||||||||
| 105,000 | CommScope, Inc.(d) | 5.50% | 06/15/2024 | 108,971 | |||||||||||
| 20,000 | CoreCivic, Inc. | 5.00% | 10/15/2022 | 20,750 | |||||||||||
| 100,000 | CoreCivic, Inc. | 4.63% | 05/01/2023 | 100,375 | |||||||||||
| 100,000 | Cott Corp.(d) | 5.50% | 07/01/2024 | 112,809 | |||||||||||
| 100,000 | Cott Corp.(e) | 5.50% | 07/01/2024 | 112,809 | |||||||||||
| 155,000 | Covanta Holding Corp. | 6.38% | 10/01/2022 | 160,425 | |||||||||||
See Notes to Financial Statements.
| 60 |
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments |
March 31, 2017 (Unaudited)
| Principal Amount/Description | Rate | Maturity | Value | ||||||||||||
| $ | 15,000 | Covanta Holding Corp. | 5.88% | 07/01/2025 | $ | 15,066 | |||||||||
| 10,000 | CSC Holdings LLC | 5.25% | 06/01/2024 | 9,987 | |||||||||||
| 185,000 | CSC Holdings LLC(d) | 5.50% | 04/15/2027 | 188,469 | |||||||||||
| 5,000 | DaVita HealthCare Partners, Inc. | 5.00% | 05/01/2025 | 4,997 | |||||||||||
| 125,000 | DaVita, Inc. | 5.13% | 07/15/2024 | 126,484 | |||||||||||
| 145,000 | DBP Holding Corp.(d) | 7.75% | 10/15/2020 | 98,600 | |||||||||||
| 40,000 | Denbury Resources, Inc.(d) | 9.00% | 05/15/2021 | 42,400 | |||||||||||
| 120,000 | Denbury Resources, Inc. | 5.50% | 05/01/2022 | 94,200 | |||||||||||
| 55,000 | DISH DBS Corp. | 5.88% | 07/15/2022 | 57,921 | |||||||||||
| 5,000 | DISH DBS Corp. | 5.88% | 11/15/2024 | 5,269 | |||||||||||
| 55,000 | DISH DBS Corp. | 7.75% | 07/01/2026 | 64,075 | |||||||||||
| 15,000 | DISH DBS Corp. | 5.00% | 03/15/2023 | 15,105 | |||||||||||
| 125,000 | Dynegy, Inc. | 6.75% | 11/01/2019 | 129,062 | |||||||||||
| 85,000 | Endo Finance LLC(d) | 5.75% | 01/15/2022 | 77,775 | |||||||||||
| 55,000 | Endo Finance LLC / Endo Ltd. / Endo Finco, Inc.(d) | 6.00% | 07/15/2023 | 48,400 | |||||||||||
| 80,000 | Energizer SpinCo, Inc.(d) | 5.50% | 06/15/2025 | 81,800 | |||||||||||
| 5,000 | Energy Transfer Equity LP | 5.88% | 01/15/2024 | 5,337 | |||||||||||
| 120,000 | EnerSys(d) | 5.00% | 04/30/2023 | 121,200 | |||||||||||
| 115,000 | Envision Healthcare Corp.(d) | 5.13% | 07/01/2022 | 117,623 | |||||||||||
| 150,000 | ESH Hospitality, Inc.(d) | 5.25% | 05/01/2025 | 151,593 | |||||||||||
| 30,000 | FBM Finance, Inc.(d) | 8.25% | 08/15/2021 | 31,950 | |||||||||||
| 400,000 | First Data Corp.(d) | 7.00% | 12/01/2023 | 430,000 | |||||||||||
| 130,000 | First Quality Finance Co., Inc.(d) | 4.63% | 05/15/2021 | 128,050 | |||||||||||
| 40,000 | Flex Acquisition Co., Inc.(d) | 6.88% | 01/15/2025 | 40,900 | |||||||||||
| 140,000 | Flexi-Van Leasing, Inc.(d) | 7.88% | 08/15/2018 | 127,400 | |||||||||||
| 180,000 | Frontier Communications Corp. | 6.88% | 01/15/2025 | 149,850 | |||||||||||
| 125,000 | Gates Global LLC / Gates Global Co.(d) | 6.00% | 07/15/2022 | 127,812 | |||||||||||
| 60,000 | GLP Capital LP / GLP Financing II, Inc. | 5.38% | 04/15/2026 | 62,100 | |||||||||||
| 115,000 | Gulfport Energy Corp. | 6.63% | 05/01/2023 | 116,869 | |||||||||||
| 225,000 | HCA Holdings, Inc. | 6.25% | 02/15/2021 | 243,422 | |||||||||||
| 15,000 | HCA, Inc. | 5.25% | 06/15/2026 | 15,751 | |||||||||||
| 185,000 | HCA, Inc. | 5.88% | 05/01/2023 | 200,263 | |||||||||||
| 165,000 | HD Supply, Inc.(d) | 5.75% | 04/15/2024 | 173,960 | |||||||||||
| 5,000 | HealthSouth Corp. | 5.13% | 03/15/2023 | 5,025 | |||||||||||
| 135,000 | HealthSouth Corp. | 5.75% | 11/01/2024 | 136,688 | |||||||||||
| 75,000 | HUB International Ltd.(d) | 7.88% | 10/01/2021 | 78,375 | |||||||||||
| 25,000 | Hughes Satellite Systems Corp.(d) | 5.25% | 08/01/2026 | 25,000 | |||||||||||
| 25,000 | Hughes Satellite Systems Corp.(d) | 6.63% | 08/01/2026 | 25,625 | |||||||||||
| 220,000 | IMS Health, Inc.(d) | 4.13% | 04/01/2023 | 246,072 | |||||||||||
| 180,000 | Ingles Markets, Inc. | 5.75% | 06/15/2023 | 182,250 | |||||||||||
| 100,000 | Intrepid Aviation Group Holdings LLC / Intrepid Finance Co.(d) | 6.88% | 02/15/2019 | 95,500 | |||||||||||
| 100,000 | Jaguar Holding Co. II / Pharmaceutical Product Development LLC(d) | 6.38% | 08/01/2023 | 104,750 | |||||||||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
61 |
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments |
March 31, 2017 (Unaudited)
| Principal Amount/Description | Rate | Maturity | Value | ||||||||||||
| $ | 120,000 | JBS USA LLC / JBS USA Finance, Inc.(d) | 7.25% | 06/01/2021 | $ | 123,900 | |||||||||
| 80,000 | Kennedy-Wilson, Inc. | 5.88% | 04/01/2024 | 82,300 | |||||||||||
| 95,000 |
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America
LLC(d)
|
5.00% | 06/01/2024 | 97,256 | |||||||||||
| 60,000 | Kraton Polymers LLC / Kraton Polymers Capital Corp.(d) | 7.00% | 04/15/2025 | 61,050 | |||||||||||
| 90,000 | Lamar Media Corp. | 5.75% | 02/01/2026 | 96,638 | |||||||||||
| 5,000 | Laredo Petroleum, Inc. | 5.63% | 01/15/2022 | 5,013 | |||||||||||
| 75,000 | Laredo Petroleum, Inc. | 6.25% | 03/15/2023 | 76,500 | |||||||||||
| 135,000 | Level 3 Financing, Inc. | 5.13% | 05/01/2023 | 138,375 | |||||||||||
| 35,000 | Level 3 Financing, Inc. | 5.38% | 01/15/2024 | 35,919 | |||||||||||
| 100,000 | Levi Strauss & Co.(d) | 3.38% | 03/15/2027 | 107,213 | |||||||||||
| 80,000 | LifePoint Health, Inc. | 5.50% | 12/01/2021 | 83,050 | |||||||||||
| 95,000 | LifePoint Health, Inc.(d) | 5.38% | 05/01/2024 | 96,853 | |||||||||||
| 30,000 | Mallinckrodt International Finance SA / Mallinckrodt CB LLC(d) | 4.88% | 04/15/2020 | 30,188 | |||||||||||
| 100,000 | Mallinckrodt International Finance SA / Mallinckrodt CB LLC(d) | 5.75% | 08/01/2022 | 99,050 | |||||||||||
| 5,000 | Mallinckrodt International Finance SA / Mallinckrodt CB LLC(d) | 5.63% | 10/15/2023 | 4,775 | |||||||||||
| 95,000 | MGM Growth Properties Operating Partnership LP / MGP Finance Co.-Issuer, Inc. | 5.63% | 05/01/2024 | 100,700 | |||||||||||
| 80,000 | MPT Operating Partnership LP / MPT Finance Corp. | 6.38% | 03/01/2024 | 86,400 | |||||||||||
| 165,000 | Natural Resource Partners LP / NRP Finance Corp.(d) | 10.50% | 03/15/2022 | 171,600 | |||||||||||
| 10,000 | NCR Corp. | 5.88% | 12/15/2021 | 10,463 | |||||||||||
| 160,000 | Neiman Marcus Group Ltd. LLC(d)(f) | 8.75% | 10/15/2021 | 90,800 | |||||||||||
| 65,000 | Nielsen Finance LLC / Nielsen Finance Co.(d) | 5.00% | 04/15/2022 | 66,625 | |||||||||||
| 60,000 | Novelis Corp.(d) | 6.25% | 08/15/2024 | 62,700 | |||||||||||
| 70,000 | Novelis Corp.(d) | 5.88% | 09/30/2026 | 71,575 | |||||||||||
| 135,000 | NRG Energy, Inc. | 6.63% | 03/15/2023 | 138,797 | |||||||||||
| 140,000 | NRG Yield Operating LLC(d) | 5.00% | 09/15/2026 | 136,850 | |||||||||||
| 15,000 | Oasis Petroleum, Inc. | 6.50% | 11/01/2021 | 15,112 | |||||||||||
| 95,000 | Oasis Petroleum, Inc. | 6.88% | 03/15/2022 | 97,613 | |||||||||||
| 35,000 | Oasis Petroleum, Inc. | 6.88% | 01/15/2023 | 35,788 | |||||||||||
| 60,000 | Olin Corp. | 5.13% | 09/15/2027 | 61,164 | |||||||||||
| 155,000 | Party City Holdings, Inc.(d) | 6.13% | 08/15/2023 | 157,713 | |||||||||||
| 50,000 | Performance Food Group, Inc.(d) | 5.50% | 06/01/2024 | 51,250 | |||||||||||
| 110,000 | PHI, Inc. | 5.25% | 03/15/2019 | 104,500 | |||||||||||
| 70,000 | Pilgrim's Pride Corp.(d) | 5.75% | 03/15/2025 | 70,875 | |||||||||||
| 115,000 | Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp. | 4.88% | 05/01/2021 | 117,703 | |||||||||||
| 85,000 | Plantronics, Inc.(d) | 5.50% | 05/31/2023 | 85,956 | |||||||||||
See Notes to Financial Statements.
| 62 |
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments |
March 31, 2017 (Unaudited)
| Principal Amount/Description | Rate | Maturity | Value | ||||||||||||
| $ | 140,000 | Plastipak Holdings, Inc.(d) | 6.50% | 10/01/2021 | $ | 144,200 | |||||||||
| 80,000 | Post Holdings, Inc.(d) | 6.00% | 12/15/2022 | 84,500 | |||||||||||
| 25,000 | Post Holdings, Inc.(d) | 7.75% | 03/15/2024 | 27,693 | |||||||||||
| 30,000 | Post Holdings, Inc.(d) | 5.50% | 03/01/2025 | 30,075 | |||||||||||
| 65,000 | Post Holdings, Inc.(d) | 5.00% | 08/15/2026 | 62,400 | |||||||||||
| 135,000 | Prestige Brands, Inc.(d) | 5.38% | 12/15/2021 | 138,713 | |||||||||||
| 100,000 | PSPC Escrow Corp.(d) | 6.00% | 02/01/2023 | 110,134 | |||||||||||
| 50,000 | Range Resources Corp.(d) | 5.00% | 08/15/2022 | 49,750 | |||||||||||
| 30,000 | Range Resources Corp. | 4.88% | 05/15/2025 | 28,875 | |||||||||||
| 65,000 | Rent-A-Center, Inc. | 6.63% | 11/15/2020 | 57,850 | |||||||||||
| 95,000 | Rent-A-Center, Inc. | 4.75% | 05/01/2021 | 79,325 | |||||||||||
| 65,000 | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC(d) | 5.13% | 07/15/2023 | 66,869 | |||||||||||
| 60,000 | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC(d) | 7.00% | 07/15/2024 | 64,350 | |||||||||||
| 145,000 | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC | 5.75% | 10/15/2020 | 149,351 | |||||||||||
| 90,000 | RHP Hotel Properties LP / RHP Finance Corp. | 5.00% | 04/15/2023 | 91,800 | |||||||||||
| 80,000 | Rite Aid Corp.(d) | 6.13% | 04/01/2023 | 79,600 | |||||||||||
| 50,000 | Sabine Pass Liquefaction LLC(d) | 5.88% | 06/30/2026 | 55,220 | |||||||||||
| 50,000 | Sabine Pass Liquefaction LLC(d) | 5.00% | 03/15/2027 | 52,320 | |||||||||||
| 75,000 | Sally Holdings LLC / Sally Capital, Inc. | 5.75% | 06/01/2022 | 77,531 | |||||||||||
| 100,000 | SBA Communications Corp. | 4.88% | 07/15/2022 | 101,750 | |||||||||||
| 65,000 | SBA Communications Corp.(d) | 4.88% | 09/01/2024 | 64,337 | |||||||||||
| 155,000 | Scientific Games International, Inc.(d) | 7.00% | 01/01/2022 | 166,044 | |||||||||||
| 75,000 | Sequa Corp.(d) | 7.00% | 12/15/2017 | 40,125 | |||||||||||
| 10,000 | SESI LLC | 6.38% | 05/01/2019 | 10,025 | |||||||||||
| 25,000 | SESI LLC | 7.13% | 12/15/2021 | 25,438 | |||||||||||
| 150,000 | Silgan Holdings, Inc.(d) | 3.25% | 03/15/2025 | 159,715 | |||||||||||
| 120,000 | Six Flags Entertainment Corp.(d) | 4.88% | 07/31/2024 | 118,725 | |||||||||||
| 35,000 | SM Energy Co. | 6.13% | 11/15/2022 | 35,438 | |||||||||||
| 20,000 | SM Energy Co. | 5.00% | 01/15/2024 | 19,000 | |||||||||||
| 10,000 | SM Energy Co. | 5.63% | 06/01/2025 | 9,620 | |||||||||||
| 20,000 | SM Energy Co. | 6.75% | 09/15/2026 | 20,200 | |||||||||||
| 45,000 | Southwestern Energy Co. | 4.10% | 03/15/2022 | 42,188 | |||||||||||
| 70,000 | Southwestern Energy Co. | 6.70% | 01/23/2025 | 69,650 | |||||||||||
| 495,000 | Sprint Corp. | 7.25% | 09/15/2021 | 535,684 | |||||||||||
| 65,000 | SS&C Technologies Holdings, Inc. | 5.88% | 07/15/2023 | 69,063 | |||||||||||
| 60,000 | Standard Industries, Inc.(d) | 5.50% | 02/15/2023 | 61,500 | |||||||||||
| 150,000 | Standard Industries, Inc.(d) | 6.00% | 10/15/2025 | 155,625 | |||||||||||
| 85,000 | Steel Dynamics, Inc. | 5.13% | 10/01/2021 | 88,081 | |||||||||||
| 20,000 | Steel Dynamics, Inc. | 5.50% | 10/01/2024 | 20,950 | |||||||||||
| 120,000 | Suburban Propane Partners LP/Suburban Energy Finance Corp. | 5.88% | 03/01/2027 | 118,800 | |||||||||||
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
63 |
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments |
March 31, 2017 (Unaudited)
| Principal Amount/Description | Rate | Maturity | Value | ||||||||||||
| $ | 195,000 | Summit Materials LLC / Summit Materials Finance Corp. | 6.13% | 07/15/2023 | $ | 199,875 | |||||||||
| 150,000 | SunCoke Energy Partners LP / SunCoke Energy Partners Finance Corp. | 7.38% | 02/01/2020 | 152,250 | |||||||||||
| 105,000 | Targa Resources Partners LP / Targa Resources Partners Finance Corp. | 6.75% | 03/15/2024 | 114,450 | |||||||||||
| 40,000 | Targa Resources Partners LP / Targa Resources Partners Finance Corp.(d) | 5.13% | 02/01/2025 | 41,350 | |||||||||||
| 15,000 | Tempur Sealy International, Inc. | 5.63% | 10/15/2023 | 15,150 | |||||||||||
| 160,000 | Tempur Sealy International, Inc. | 5.50% | 06/15/2026 | 158,160 | |||||||||||
| 125,000 | Tenet Healthcare Corp. | 4.50% | 04/01/2021 | 125,625 | |||||||||||
| 110,000 | Tenet Healthcare Corp.(d) | 7.50% | 01/01/2022 | 119,075 | |||||||||||
| 75,000 | Tenet Healthcare Corp. | 6.75% | 06/15/2023 | 73,875 | |||||||||||
| 50,000 | Tenneco, Inc. | 5.38% | 12/15/2024 | 51,750 | |||||||||||
| 105,000 | TerraForm Power Operating LLC(d)(h) | 6.38% | 02/01/2023 | 109,594 | |||||||||||
| 115,000 | The GEO Group, Inc. | 5.13% | 04/01/2023 | 114,712 | |||||||||||
| 110,000 | The Goodyear Tire & Rubber Co. | 5.13% | 11/15/2023 | 114,744 | |||||||||||
| 160,000 | T-Mobile USA, Inc. | 6.00% | 03/01/2023 | 171,248 | |||||||||||
| 145,000 | T-Mobile USA, Inc. | 6.00% | 04/15/2024 | 154,969 | |||||||||||
| 130,000 | TMS International Corp.(d) | 7.63% | 10/15/2021 | 131,625 | |||||||||||
| 90,000 | TransDigm, Inc.(d) | 6.50% | 05/15/2025 | 91,013 | |||||||||||
| 95,000 | TreeHouse Foods, Inc.(d) | 6.00% | 02/15/2024 | 99,988 | |||||||||||
| 45,000 | Tronox Finance LLC | 6.38% | 08/15/2020 | 45,394 | |||||||||||
| 130,000 | Tronox Finance LLC(d) | 7.50% | 03/15/2022 | 134,550 | |||||||||||
| 55,000 | Ultra Petroleum Corp.(d)(i) | 6.13% | 10/01/2024 | 39,325 | |||||||||||
| 40,000 | United Rentals NA | 5.88% | 09/15/2026 | 41,850 | |||||||||||
| 80,000 | United Rentals North America, Inc. | 5.50% | 07/15/2025 | 82,700 | |||||||||||
| 125,000 | Univision Communications, Inc.(d) | 5.13% | 05/15/2023 | 125,000 | |||||||||||
| 10,000 | USG Corp.(d) | 5.50% | 03/01/2025 | 10,438 | |||||||||||
| 125,000 | VWR Funding, Inc.(d) | 4.63% | 04/15/2022 | 138,944 | |||||||||||
| 100,000 | Walter Investment Management Corp. | 7.88% | 12/15/2021 | 59,250 | |||||||||||
| 100,000 | Watco Cos. LLC / Watco Finance Corp.(d) | 6.38% | 04/01/2023 | 102,000 | |||||||||||
| 120,000 | WMG Acquisition Corp.(d) | 4.13% | 11/01/2024 | 133,306 | |||||||||||
| 17,520,353 | |||||||||||||||
| TOTAL HIGH YIELD DEBT (Cost $26,620,489) | 26,580,842 | ||||||||||||||
| Shares/Description | Value | ||||||||||||||
| SHORT-TERM INVESTMENTS - 7.81% | |||||||||||||||
| 6,547,601 | State Street Institutional Trust (7 Day Yield 0.53%) | 6,547,601 | |||||||||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $6,547,601) | 6,547,601 | ||||||||||||||
See Notes to Financial Statements.
| 64 |
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/Oaktree High Income Fund
|
Schedule of Investments |
March 31, 2017 (Unaudited)
| Shares/Description | Value | |||
| TOTAL INVESTMENTS - 102.81% (Cost $86,855,865 ) | $ | 86,178,548 | ||
| CASH SEGREGATED AT CUSTODIAN FOR FORWARD FOREIGN CURRENCY CONTRACTS AND TOTAL RETURN SWAP CONTRACTS - 0.66% | 556,000 | |||
| LIABILITIES IN EXCESS OF OTHER ASSETS - (3.47)% | (2,909,707 | ) | ||
| NET ASSETS - 100.00% | $ | 83,824,841 | ||
|
(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)
|
All or a portion of this position has not settled as of March 31, 2017. 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.
|
|
(d)
|
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 $14,695,121, which represents approximately 17.53% of net assets as of March 31, 2017.
|
|
(e)
|
Securities were purchased pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. These securities have been deemed liquid under procedures approved by the Fund's Board of Trustees. As of March 31, 2017, the aggregate fair value of those securities was $2,808,453, representing 3.35% of net assets.
|
|
(f)
|
Pay-in-kind securities.
|
|
(g)
|
Floating or variable rate security. Interest rate disclosed is that which is in effect at March 31, 2017.
|
|
(h)
|
Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect at March 31, 2017.
|
|
(i)
|
Security is currently in default.
|
See Notes to Financial Statements.
|
Semi-Annual Report | March 31, 2017
|
65 |
| RiverNorth/Oaktree High Income Fund | Schedule of Investments |
March 31, 2017 (Unaudited)
| OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS | ||||||||||||||||||||||||
| Foreign | Contracted | Contract | Settlement | Current | Unrealized | |||||||||||||||||||
| Counterparty | Currency | Amount* | Type | Date | Value | Depreciation | ||||||||||||||||||
| State Street Corp. | EUR | 13,484,434 | Sale | 04/06/2017 | 14,386,499 | (177,668 | ) | |||||||||||||||||
| State Street Corp. | GBP | 2,424,719 | Sale | 04/06/2017 | 3,038,077 | (55,500 | ) | |||||||||||||||||
| $ | (233,168 | ) | ||||||||||||||||||||||
|
* |
The contracted amount is stated in the currency in which the security is denominated. |
| See Notes to Financial Statements. |
| 66 | (888) 848-7569 | www.rivernorth.com |
|
RiverNorth Core Opportunity Fund
|
|
Statement of Assets and Liabilities |
March 31, 2017 (Unaudited) |
| ASSETS: | ||||
| Investment in securities: | ||||
| At cost | $ | 514,502,212 | ||
| At value | $ | 550,771,497 | ||
| Investment in affiliates: | ||||
| At cost | 41,633,475 | |||
| At value | 39,390,503 | |||
| Receivable for fund investments sold | 23,025,855 | |||
| Dividends receivable | 708,614 | |||
| Cash segregated at custodian for total return swap contracts | 400,000 | |||
| Receivable for fund shares sold | 296,635 | |||
| Unrealized appreciation on total return swap contracts | 92,884 | |||
| Prepaid expenses and other assets | 24,082 | |||
| Total Assets | 614,710,070 | |||
| LIABILITIES: | ||||
| Facility loan fee payable | 16,532 | |||
| Payable for fund shares redeemed | 389,271 | |||
| Payable to Adviser | 522,648 | |||
| Payable for Fund Accounting and Administration fees | 17,234 | |||
| Accrued 12b-1 fees - Class R Shares | 97,810 | |||
| Payable for Custodian fees | 8,212 | |||
| Payable for Audit fees | 3,369 | |||
| Payable to Transfer agency | 6,480 | |||
| Payable to Trustees and Officers | 23,939 | |||
| Other accrued expenses | 19,175 | |||
| Total Liabilities | 1,104,670 | |||
| Net Assets | $ | 613,605,400 | ||
| NET ASSETS CONSIST OF: | ||||
| Paid-in capital | $ | 567,592,276 | ||
| Accumulated net investment loss | (1,388,587 | ) | ||
| Accumulated undistributed net realized gain/(loss) | 13,282,514 | |||
| Net unrealized appreciation/(depreciation) | 34,119,197 | |||
| Net Assets | $ | 613,605,400 | ||
| See Notes to Financial Statements. |
| Semi-Annual Report | March 31, 2017 | 67 |
|
RiverNorth Core Opportunity Fund
|
|
Statement of Assets and Liabilities |
March 31, 2017 (Unaudited) |
| PRICING OF SHARES: | ||||
| Class I Shares | ||||
| Net Assets | $ | 152,007,571 | ||
| Shares of beneficial interest outstanding (unlimited number of shares, no par value) | 12,932,441 | |||
| Net Asset Value Per Share, Offering and Redemption Price Per Share | $ | 11.75 | ||
| Minimum Redemption Price Per Share(a) | $ | 11.52 | ||
| Class R Shares | ||||
| Net Assets | $ | 461,597,829 | ||
| Shares of beneficial interest outstanding (unlimited number of shares, no par value) | 39,277,985 | |||
| Net Asset Value Per Share, Offering and Redemption Price Per Share | $ | 11.75 | ||
| Minimum Redemption Price Per Share(a) | $ | 11.52 | ||
|
(a) |
The Fund will impose a 2.00% redemption fee on shares redeemed within 90 days of purchase. |
| See Notes to Financial Statements. |
| 68 | (888) 848-7569 | www.rivernorth.com |
|
RiverNorth/DoubleLine Strategic Income Fund
|
|
Statement of Assets and Liabilities |
March 31, 2017 (Unaudited) |
| ASSETS: | ||||
| Investment in securities: | ||||
| At cost | $ | 2,212,943,918 | ||
| At value | $ | 2,159,414,272 | ||
| Investment in affiliates: | ||||
| At cost | 27,803,361 | |||
| At value | 27,375,800 | |||
| Receivable for fund investments sold | 6,181,586 | |||
| Interest receivable | 4,734,276 | |||
| Receivable for fund shares sold | 2,127,366 | |||
| Dividends receivable | 2,024,602 | |||
| Cash segregated at custodian for total return swap contracts | 400,000 | |||
| Prepaid expenses and other assets | 36,216 | |||
| Total Assets | 2,202,294,118 | |||
| LIABILITIES: | ||||
| Facility loan fee payable | 35,085 | |||
| Payable for fund investments purchased | 11,054,480 | |||
| Payable for fund shares redeemed | 3,324,794 | |||
| Payable to Adviser | 1,367,534 | |||
| Payable for Fund Accounting and Administration fees | 153,729 | |||
| Accrued 12b-1 fees - Class R Shares | 46,683 | |||
| Payable for Custodian fees | 18,452 | |||
| Payable for Audit fees | 7,683 | |||
| Payable to Transfer agency | 38,640 | |||
| Payable to Trustees and Officers | 50,898 | |||
| Other accrued expenses | 24,377 | |||
| Total Liabilities | 16,122,355 | |||
| Net Assets | $ | 2,186,171,763 | ||
| NET ASSETS CONSIST OF: | ||||
| Paid-in capital | $ | 2,241,904,957 | ||
| Accumulated net investment loss | (6,747,712 | ) | ||
| Accumulated undistributed net realized gain/(loss) | 4,971,725 | |||
| Net unrealized appreciation/(depreciation) | (53,957,207 | ) | ||
| Net Assets | $ | 2,186,171,763 | ||
| See Notes to Financial Statements. |
| Semi-Annual Report | March 31, 2017 | 69 |
|
RiverNorth/DoubleLine Strategic Income Fund
|
|
Statement of Assets and Liabilities |
March 31, 2017 (Unaudited) |
| PRICING OF SHARES: | ||||
| Class I Shares | ||||
| Net Assets | $ | 1,966,325,568 | ||
| Shares of beneficial interest outstanding (unlimited number of shares, no par value) | 186,695,219 | |||
| Net Asset Value Per Share, Offering and Redemption Price Per Share | $ | 10.53 | ||
| Minimum Redemption Price Per Share(a) | $ | 10.32 | ||
| Class R Shares | ||||
| Net Assets | $ | 219,846,195 | ||
| Shares of beneficial interest outstanding (unlimited number of shares, no par value) | 20,843,854 | |||
| 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. |
| 70 | (888) 848-7569 | www.rivernorth.com |
| RiverNorth/Oaktree High Income Fund |
|
Statement of Assets and Liabilities |
March 31, 2017 (Unaudited) |
| ASSETS: | ||||
| Investment in securities: | ||||
| At cost | $ | 86,855,865 | ||
| At value | $ | 86,178,548 | ||
| Foreign currency, at value (Cost $690,490) | 688,097 | |||
| Receivable for fund investments sold | 3,719,930 | |||
| Interest receivable | 503,989 | |||
| Cash segregated at custodian for forward foreign currency contracts | 356,000 | |||
| Cash segregated at custodian for total return swap contracts | 200,000 | |||
| Dividends receivable | 49,729 | |||
| Receivable for fund shares sold | 3,749 | |||
| Prepaid expenses and other assets | 21,701 | |||
| Total Assets | 91,721,743 | |||
| LIABILITIES: | ||||
| Facility loan fee payable | 1,302 | |||
| Payable for fund investments purchased | 7,443,156 | |||
| Payable for fund shares redeemed | 77,505 | |||
| Unrealized depreciation on forward foreign currency contracts | 233,168 | |||
| Payable to Adviser | 74,485 | |||
| Payable for Fund Accounting and Administration fees | 30,872 | |||
| Accrued 12b-1 fees - Class R Shares | 1,784 | |||
| Payable for Custodian fees | 7,348 | |||
| Payable for Audit fees | 13,992 | |||
| Payable to Transfer agency | 2,664 | |||
| Payable to Trustees and Officers | 5,371 | |||
| Other accrued expenses | 5,255 | |||
| Total Liabilities | 7,896,902 | |||
| Net Assets | $ | 83,824,841 | ||
| NET ASSETS CONSIST OF: | ||||
| Paid-in capital | $ | 89,056,936 | ||
| Accumulated net investment loss | (696,502 | ) | ||
| Accumulated undistributed net realized gain/(loss) | (3,624,424 | ) | ||
| Net unrealized appreciation/(depreciation) | (911,169 | ) | ||
| Net Assets | $ | 83,824,841 | ||
| See Notes to Financial Statements. |
| Semi-Annual Report | March 31, 2017 | 71 |
| RiverNorth/Oaktree High Income Fund |
|
Statement of Assets and Liabilities |
March 31, 2017 (Unaudited) |
| PRICING OF SHARES: | ||||
| Class I Shares | ||||
| Net Assets | $ | 75,205,717 | ||
| Shares of beneficial interest outstanding (unlimited number of shares, no par value) | 7,803,572 | |||
| Net Asset Value Per Share, Offering and Redemption Price Per Share | $ | 9.64 | ||
| Minimum Redemption Price Per Share(a) | $ | 9.45 | ||
| Class R Shares | ||||
| Net Assets | $ | 8,619,124 | ||
| Shares of beneficial interest outstanding (unlimited number of shares, no par value) | 895,323 | |||
| Net Asset Value Per Share, Offering and Redemption Price Per Share | $ | 9.63 | ||
| Minimum Redemption Price Per Share(a) | $ | 9.44 | ||
|
(a) |
The Fund will impose a 2.00% redemption fee on shares redeemed within 90 days of purchase. |
| See Notes to Financial Statements. |
| 72 | (888) 848-7569 | www.rivernorth.com |
| RiverNorth Core Opportunity Fund |
|
Statement of Operations |
For the Six Months Ended March 31, 2017 (Unaudited) |
| INVESTMENT INCOME: | ||||
| Dividend income | $ | 18,591,809 | ||
| Dividend income from affiliated securities | 2,547,735 | |||
| Foreign taxes withheld | (1,106 | ) | ||
| Total Investment Income | 21,138,438 | |||
| EXPENSES: | ||||
| Investment Adviser fee | 3,260,416 | |||
| 12b-1 fees - Class R Shares | 606,728 | |||
| Accounting and administration fee | 105,671 | |||
| Printing expenses | 38,379 | |||
| Compliance expenses | 34,093 | |||
| Facility loan fee | 30,750 | |||
| Transfer agent expenses | 30,702 | |||
| Registration expenses | 28,584 | |||
| Trustee expenses | 23,010 | |||
| Legal expenses | 21,004 | |||
| Custodian expenses | 15,610 | |||
| Audit expenses | 11,344 | |||
| Insurance expenses | 8,048 | |||
| 24f-2 expenses | 103 | |||
| Miscellaneous expenses | 18,486 | |||
| Total Expenses | 4,232,928 | |||
| Net Investment Income | 16,905,510 | |||
| REALIZED AND UNREALIZED GAIN/(LOSS): | ||||
| Net realized gain/(loss) on: | 15,979,046 | |||
| Investments | 14,997,684 | |||
| Investments - affiliated securities | 284,617 | |||
| Total return swap contracts | 696,745 | |||
| Net realized gain/(loss) | 15,979,046 | |||
| Net change in unrealized appreciation/depreciation on: | ||||
| Investments | 4,968,533 | |||
| Total return swap contracts | (742,401 | ) | ||
| Net change in unrealized appreciation/depreciation | 4,226,132 | |||
| Net Realized and Unrealized Gain on Investments and Total return swap contracts | 20,205,178 | |||
| Net Increase in Net Assets Resulting from Operations | $ | 37,110,688 | ||
| See Notes to Financial Statements. |
| Semi-Annual Report | March 31, 2017 | 73 |
|
RiverNorth/DoubleLine Strategic Income Fund
|
|
Statement of Operations |
For the Six Months Ended March 31, 2017 (Unaudited) |
| INVESTMENT INCOME: | ||||
| Dividend income | $ | 22,527,914 | ||
| Dividend income from affiliated securities | 732,041 | |||
| Interest income | 30,139,800 | |||
| Other income | 1,624 | |||
| Foreign taxes withheld | (5,285 | ) | ||
| Total Investment Income | 53,396,094 | |||
| EXPENSES: | ||||
| Investment Adviser fee | 7,732,142 | |||
| Accounting and administration fee | 468,329 | |||
| 12b-1 fees - Class R Shares | 273,710 | |||
| Transfer agent expenses | 124,210 | |||
| Compliance expenses | 87,587 | |||
| Facility loan fee | 84,528 | |||
| Printing expenses | 72,548 | |||
| Trustee expenses | 64,251 | |||
| Legal expenses | 58,118 | |||
| Registration expenses | 39,732 | |||
| Custodian expenses | 31,874 | |||
| Insurance expenses | 21,471 | |||
| Audit expenses | 15,658 | |||
| Miscellaneous expenses | 52,315 | |||
| Net Expenses | 9,126,473 | |||
| Net Investment Income | 44,269,621 | |||
| REALIZED AND UNREALIZED GAIN/(LOSS): | (9,248,407 | ) | ||
| Net realized gain/(loss) on: | ||||
| Investments | 11,232,997 | |||
| Total return swap contracts | 1,077,134 | |||
| Net realized gain/(loss) | 12,310,131 | |||
| Net change in unrealized appreciation/depreciation on: | ||||
| Investments | (21,558,538 | ) | ||
| Total return swap contracts | (1,364,980 | ) | ||
| Net change in unrealized appreciation/depreciation | (22,923,518 | ) | ||
| Net Realized and Unrealized Loss on Investments and Total return swap contracts | (10,613,387 | ) | ||
| Net Increase in Net Assets Resulting from Operations | $ | 33,656,234 | ||
| See Notes to Financial Statements. |
| 74 | (888) 848-7569 | www.rivernorth.com |
|
RiverNorth/Oaktree High Income Fund
|
|
Statement of Operations |
For the Six Months Ended March 31, 2017 (Unaudited) |
| INVESTMENT INCOME: | ||||
| Dividend income | $ | 988,615 | ||
| Interest income | 1,211,377 | |||
| Other income | 17,594 | |||
| Foreign taxes withheld | (1,189 | ) | ||
| Total Investment Income | 2,216,397 | |||
| EXPENSES: | ||||
| Investment Adviser fee | 422,200 | |||
| Accounting and administration fee | 57,507 | |||
| Registration expenses | 18,117 | |||
| Transfer agent expenses | 16,130 | |||
| Audit expenses | 14,467 | |||
| 12b-1 fees - Class R Shares | 9,593 | |||
| Compliance expenses | 6,855 | |||
| Facility loan fee | 3,332 | |||
| Printing expenses | 2,913 | |||
| Trustee expenses | 2,565 | |||
| Legal expenses | 2,255 | |||
| Custodian expenses | 1,763 | |||
| Insurance expenses | 804 | |||
| Repayment of previously waived fees | ||||
| Class I | 1,586 | |||
| Miscellaneous expenses | 3,528 | |||
| Total Expenses | 563,615 | |||
| Net Investment Income | 1,652,782 | |||
| REALIZED AND UNREALIZED GAIN/(LOSS): | ||||
| Net realized gain/(loss) on: | 290,359 | |||
| Investments | (757,384 | ) | ||
| Translation of assets and liabilities denominated in foreign currencies and forward foreign currency contracts | 1,047,743 | |||
| Net realized gain/(loss) | 290,359 | |||
| Net change in unrealized appreciation/depreciation on: | ||||
| Investments | 1,649,663 | |||
| Translation of assets and liabilities denominated in foreign currencies and forward foreign currency contracts | (168,649 | ) | ||
| Net change in unrealized appreciation/depreciation | 1,481,014 | |||
| Net Realized and Unrealized Gain on Investments, translation of assets and liabilities denominated in foreign currencies and forward foreign currency contracts | 1,771,373 | |||
| Net Increase in Net Assets Resulting from Operations | $ | 3,424,155 | ||
| See Notes to Financial Statements. |
| Semi-Annual Report | March 31, 2017 | 75 |
|
RiverNorth Core Opportunity Fund
|
|
Statements of Changes in Net Assets
|
|
| For the Six Months Ended March 31, 2017 (Unaudited) | For the Year Ended September 30, 2016 | |||||||
| NET INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
| Net investment income | $ | 16,905,510 | $ | 14,802,435 | ||||
| Net realized gain/(loss) | 15,979,046 | 4,184,469 | ||||||
| Long-term capital gain distributions from other investment companies | – | 12,375,866 | ||||||
| Net change in unrealized appreciation/depreciation | 4,226,132 | 72,508,169 | ||||||
| Net increase in net assets resulting from operations | 37,110,688 | 103,870,939 | ||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
| From net investment income: | ||||||||
| Class I shares | (4,278,200 | ) | (6,736,524 | ) | ||||
| Class R shares | (12,750,376 | ) | (22,371,981 | ) | ||||
| From net realized gains on investments: | ||||||||
| Class I shares | – | (7,344,643 | ) | |||||
| Class R shares | – | (24,391,543 | ) | |||||
| From tax return of capital | ||||||||
| Class I shares | – | (1,484,480 | ) | |||||
| Class R shares | – | (4,929,957 | ) | |||||
| Net decrease in net assets from distributions to shareholders | (17,028,576 | ) | (67,259,128 | ) | ||||
| CAPITAL SHARE TRANSACTIONS: | ||||||||
| Class I Shares | ||||||||
| Proceeds from shares sold | 35,453,152 | 121,823,509 | ||||||
| Reinvestment of distributions | 2,932,887 | 6,606,226 | ||||||
| Cost of shares redeemed | (92,621,818 | ) | (103,465,701 | ) | ||||
| Redemption fees(a) | 34,590 | 30,962 | ||||||
| Net increase/(decrease) in net assets from capital share transactions | (54,201,189 | ) | 24,994,996 | |||||
| Class R Shares | ||||||||
| Proceeds from shares sold | 33,248,969 | 188,454,090 | ||||||
| Reinvestment of distributions | 12,668,176 | 51,279,929 | ||||||
| Cost of shares redeemed | (168,103,378 | ) | (237,125,522 | ) | ||||
| Redemption fees(a) | 665 | 100,098 | ||||||
| Net increase/(decrease) in net assets from capital share transactions | (122,185,568 | ) | 2,708,595 | |||||
| Net Increase/(Decrease) in Net Assets | (156,304,645 | ) | 64,315,402 | |||||
| NET ASSETS: | ||||||||
| Beginning of period | $ | 769,910,045 | $ | 705,594,643 | ||||
| End of period (including accumulated net investment loss of $(1,388,587) and $(1,265,521)) | 613,605,400 | 769,910,045 | ||||||
| See Notes to Financial Statements. |
| 76 | (888) 848-7569 | www.rivernorth.com |
|
RiverNorth Core Opportunity Fund
|
|
Statements of Changes in Net Assets
|
|
| For the Six Months Ended March 31, 2017 (Unaudited) | For the Year Ended September 30, 2016 | |||||||
| OTHER INFORMATION: | ||||||||
| Share Transactions: | ||||||||
| Class I Shares | ||||||||
| Shares sold | 3,077,616 | 11,289,586 | ||||||
| Shares issued in reinvestment of distributions | 256,877 | 619,966 | ||||||
| Shares redeemed | (8,212,041 | ) | (9,635,098 | ) | ||||
| Net increase/(decrease) from share transactions | (4,877,548 | ) | 2,274,454 | |||||
| Class R Shares | ||||||||
| Shares sold | 2,913,780 | 17,251,837 | ||||||
| Shares issued in reinvestment of distributions | 1,109,779 | 4,838,916 | ||||||
| Shares redeemed | (14,925,917 | ) | (22,055,062 | ) | ||||
| Net increase/(decrease) from share transactions | (10,902,358 | ) | 35,691 | |||||
|
(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, 2017 | 77 |
RiverNorth/DoubleLine Strategic Income Fund
Statements of Changes in Net Assets
|
For the Six Months Ended March 31, 2017 (Unaudited)
|
For the Year Ended September 30, 2016
|
|||||||
|
NET INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:
|
||||||||
|
Net investment income
|
$
|
44,269,621
|
$
|
96,592,250
|
||||
|
Net realized gain/(loss)
|
12,310,131
|
10,688,426
|
||||||
|
Long-term capital gain distributions from other investment companies
|
–
|
487,125
|
||||||
|
Net change in unrealized appreciation/depreciation
|
(22,923,518
|
)
|
62,525,390
|
|||||
|
Net increase in net assets resulting from operations
|
33,656,234
|
170,293,191
|
||||||
|
DISTRIBUTIONS TO SHAREHOLDERS:
|
||||||||
|
From net investment income:
|
||||||||
|
Class I shares
|
(44,121,299
|
)
|
(106,976,753
|
)
|
||||
|
Class R shares
|
(4,839,743
|
)
|
(13,530,672
|
)
|
||||
|
From net realized gains on investments:
|
||||||||
|
Class I shares
|
–
|
–
|
||||||
|
Class R shares
|
–
|
–
|
||||||
|
From tax return of capital
|
||||||||
|
Class I shares
|
–
|
(2,958,882
|
)
|
|||||
|
Class R shares
|
–
|
(374,246
|
)
|
|||||
|
Net decrease in net assets from distributions to shareholders
|
(48,961,042
|
)
|
(123,840,553
|
)
|
||||
|
CAPITAL SHARE TRANSACTIONS:
|
||||||||
|
Class I Shares
|
||||||||
|
Proceeds from shares sold
|
392,014,303
|
712,566,527
|
||||||
|
Reinvestment of distributions
|
32,040,246
|
76,214,367
|
||||||
|
Cost of shares redeemed
|
(267,042,620
|
)
|
(742,568,835
|
)
|
||||
|
Redemption fees(a)
|
41,025
|
210,017
|
||||||
|
Net increase in net assets from capital share transactions
|
157,052,954
|
46,422,076
|
||||||
|
Class R Shares
|
||||||||
|
Proceeds from shares sold
|
36,951,041
|
68,010,418
|
||||||
|
Reinvestment of distributions
|
4,623,956
|
13,444,782
|
||||||
|
Cost of shares redeemed
|
(50,993,169
|
)
|
(88,957,417
|
)
|
||||
|
Redemption fees(a)
|
14,885
|
27,609
|
||||||
|
Net decrease in net assets from capital share transactions
|
(9,403,287
|
)
|
(7,474,608
|
)
|
||||
|
Net Increase in Net Assets
|
132,344,859
|
85,400,106
|
||||||
|
NET ASSETS:
|
||||||||
|
Beginning of period
|
$
|
2,053,826,904
|
$
|
1,968,426,798
|
||||
|
End of period (including accumulated net investment loss of $(6,747,712) and $(2,056,291))
|
2,186,171,763
|
2,053,826,904
|
||||||
|
See Notes to Financial Statements.
|
|
78
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/DoubleLine Strategic Income Fund
|
|
Statements of Changes in Net Assets
|
|
For the Six Months Ended March 31, 2017 (Unaudited)
|
For the Year Ended September 30, 2016
|
|||||||
|
OTHER INFORMATION:
|
||||||||
|
Share Transactions:
|
||||||||
|
Class I Shares
|
||||||||
|
Shares sold
|
37,203,653
|
68,830,101
|
||||||
|
Shares issued in reinvestment of distributions
|
3,047,156
|
7,369,921
|
||||||
|
Shares redeemed
|
(25,392,125
|
)
|
(71,637,895
|
)
|
||||
|
Net increase from share transactions
|
14,858,684
|
4,562,127
|
||||||
|
Class R Shares
|
||||||||
|
Shares sold
|
3,503,144
|
6,550,575
|
||||||
|
Shares issued in reinvestment of distributions
|
439,062
|
1,299,306
|
||||||
|
Shares redeemed
|
(4,839,406
|
)
|
(8,574,332
|
)
|
||||
|
Net decrease from share transactions
|
(897,200
|
)
|
(724,451
|
)
|
||||
|
(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, 2017
|
79
|
|
RiverNorth/Oaktree High Income Fund
|
|
Statements of Changes in Net Assets
|
|
For the Six Months Ended March 31, 2017 (Unaudited)
|
For the Year Ended September 30, 2016
|
|||||||
|
NET INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:
|
||||||||
|
Net investment income
|
$
|
1,652,782
|
$
|
4,071,206
|
||||
|
Net realized gain/(loss)
|
290,359
|
(3,178,207
|
)
|
|||||
|
Long-term capital gain distributions from other investment companies
|
–
|
20,217
|
||||||
|
Net change in unrealized appreciation/depreciation
|
1,481,014
|
6,764,746
|
||||||
|
Net increase in net assets resulting from operations
|
3,424,155
|
7,677,962
|
||||||
|
DISTRIBUTIONS TO SHAREHOLDERS:
|
||||||||
|
From net investment income:
|
||||||||
|
Class I Shares
|
(1,856,615
|
)
|
(4,642,974
|
)
|
||||
|
Class R Shares
|
(175,760
|
)
|
(445,943
|
)
|
||||
|
From tax return of capital
|
||||||||
|
Class I Shares
|
–
|
(210,875
|
)
|
|||||
|
Class R Shares
|
–
|
(20,254
|
)
|
|||||
|
|
||||||||
|
Net decrease in net assets from distributions to shareholders
|
(2,032,375
|
)
|
(5,320,046
|
)
|
||||
|
CAPITAL SHARE TRANSACTIONS:
|
||||||||
|
Class I Shares
|
||||||||
|
Proceeds from shares sold
|
9,634,586
|
24,410,340
|
||||||
|
Reinvestment of distributions
|
1,568,120
|
4,118,885
|
||||||
|
Cost of shares redeemed
|
(10,856,074
|
)
|
(45,430,640
|
)
|
||||
|
Redemption fees(a)
|
5,775
|
13,755
|
||||||
|
Net increase/(decrease) in net assets from capital share transactions
|
352,407
|
(16,887,660
|
)
|
|||||
|
Class R Shares
|
||||||||
|
Proceeds from shares sold
|
1,938,801
|
1,411,129
|
||||||
|
Reinvestment of distributions
|
173,635
|
461,945
|
||||||
|
Cost of shares redeemed
|
(815,494
|
)
|
(5,289,180
|
)
|
||||
|
Redemption fees(a)
|
211
|
1,378
|
||||||
|
Net increase/(decrease) in net assets from capital share transactions
|
1,297,153
|
(3,414,728
|
)
|
|||||
|
Net Increase/(Decrease) in Net Assets
|
3,041,340
|
(17,944,472
|
)
|
|||||
|
NET ASSETS:
|
||||||||
|
Beginning of period
|
$
|
80,783,501
|
$
|
98,727,973
|
||||
|
End of period (including accumulated net investment income of $696,502 and $316,909)
|
83,824,841
|
80,783,501
|
||||||
|
See Notes to Financial Statements.
|
|
80
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth/Oaktree High Income Fund
|
|
Statements of Changes in Net Assets
|
|
For the Six Months Ended March 31, 2017 (Unaudited)
|
For the Year Ended September 30, 2016
|
|||||||
|
OTHER INFORMATION:
|
||||||||
|
Share Transactions:
|
||||||||
|
Class I Shares
|
||||||||
|
Shares sold
|
1,006,521
|
2,711,494
|
||||||
|
Shares issued in reinvestment of distributions
|
163,769
|
454,857
|
||||||
|
Shares redeemed
|
(1,127,682
|
)
|
(5,034,866
|
)
|
||||
|
Net increase/(decrease) from share transactions
|
42,608
|
(1,868,515
|
)
|
|||||
|
Class R Shares
|
||||||||
|
Shares sold
|
201,878
|
155,491
|
||||||
|
Shares issued in reinvestment of distributions
|
18,154
|
51,076
|
||||||
|
Shares redeemed
|
(85,299
|
)
|
(576,858
|
)
|
||||
|
Net increase/(decrease) from share transactions
|
134,733
|
(370,291
|
)
|
|||||
|
(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, 2017
|
81
|
|
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
|
|
From tax return of capital
|
|
Total distributions
|
|
Paid‐in capital from redemption fees(b)
|
|
Net increase/(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.
|
82
|
(888) 848-7569 | www.rivernorth.com
|
For a share outstanding throughout the periods presented
|
For the Six Months Ended March 31, 2017 (Unaudited)
|
For the Year Ended September 30, 2016
|
For the Year Ended September 30, 2015
|
For the Period ended September 30, 2014(a)
|
|||||||||||
|
$
|
11.33
|
$
|
10.74
|
$
|
13.06
|
$
|
13.16
|
|||||||
|
0.30
|
0.23
|
0.44
|
0.08
|
|||||||||||
|
0.46
|
1.33
|
(1.30
|
)
|
(0.18
|
)(c)
|
|||||||||
|
0.76
|
1.56
|
(0.86
|
)
|
(0.10
|
)
|
|||||||||
|
(0.34
|
)
|
(0.42
|
)
|
(0.60
|
)
|
–
|
||||||||
|
–
|
(0.45
|
)
|
(0.86
|
)
|
–
|
|||||||||
|
–
|
(0.10
|
)
|
–
|
–
|
||||||||||
|
(0.34
|
)
|
(0.97
|
)
|
(1.46
|
)
|
–
|
||||||||
|
0.00
|
(d)
|
0.00
|
(d)
|
0.00
|
(d)
|
–
|
||||||||
|
0.42
|
0.59
|
(2.32
|
)
|
(0.10
|
)
|
|||||||||
|
$
|
11.75
|
$
|
11.33
|
$
|
10.74
|
$
|
13.06
|
|||||||
|
6.77
|
%(f)
|
15.35
|
%
|
(7.50
|
%)
|
(0.76
|
%)(f)
|
|||||||
|
$
|
152,008
|
$
|
201,712
|
$
|
166,905
|
$
|
39,623
|
|||||||
|
1.11
|
%(h)
|
1.11
|
%
|
1.11
|
%
|
1.20
|
%(h)
|
|||||||
|
1.11
|
%(h)
|
1.11
|
%
|
1.11
|
%
|
1.20
|
%(h)
|
|||||||
|
5.36
|
%(h)
|
2.11
|
%
|
3.62
|
%
|
2.93
|
%(h)
|
|||||||
|
5.36
|
%(h)
|
2.11
|
%
|
3.62
|
%
|
2.93
|
%(h)
|
|||||||
|
22
|
%(f)
|
19
|
%
|
23
|
%
|
46
|
%(f)
|
|||||||
|
Semi-Annual Report | March 31, 2017
|
83
|
|
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
|
|
From tax return of capital
|
|
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.
|
84
|
(888) 848-7569 | www.rivernorth.com
|
For a share outstanding throughout the periods presented
|
For the Six Months Ended March 31, 2017 (Unaudited)
|
For the Year Ended September 30, 2016
|
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
|
|||||||||||||||||
|
$
|
11.32
|
$
|
10.74
|
$
|
13.05
|
$
|
12.65
|
$
|
12.37
|
$
|
11.18
|
|||||||||||
|
0.29
|
0.20
|
0.39
|
0.32
|
0.20
|
0.20
|
|||||||||||||||||
|
0.46
|
1.32
|
(1.27
|
)
|
1.00
|
0.96
|
2.01
|
||||||||||||||||
|
0.75
|
1.52
|
(0.88
|
)
|
1.32
|
1.16
|
2.21
|
||||||||||||||||
|
(0.32
|
)
|
(0.40
|
)
|
(0.57
|
)
|
(0.24
|
)
|
(0.35
|
)
|
(0.50
|
)
|
|||||||||||
|
–
|
(0.45
|
)
|
(0.86
|
)
|
(0.68
|
)
|
(0.53
|
)
|
(0.52
|
)
|
||||||||||||
|
–
|
(0.09
|
)
|
–
|
–
|
–
|
–
|
||||||||||||||||
|
(0.32
|
)
|
(0.94
|
)
|
(1.43
|
)
|
(0.92
|
)
|
(0.88
|
)
|
(1.02
|
)
|
|||||||||||
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
|||||||||||
|
0.43
|
0.58
|
(2.31
|
)
|
0.40
|
0.28
|
1.19
|
||||||||||||||||
|
$
|
11.75
|
$
|
11.32
|
$
|
10.74
|
$
|
13.05
|
$
|
12.65
|
$
|
12.37
|
|||||||||||
|
6.73
|
%(d)
|
14.98
|
%
|
(7.67
|
%)
|
10.81
|
%
|
10.08
|
%
|
21.05
|
%
|
|||||||||||
|
$
|
461,598
|
$
|
568,198
|
$
|
538,689
|
$
|
705,299
|
$
|
647,365
|
$
|
569,324
|
|||||||||||
|
1.36
|
%(f)
|
1.36
|
%
|
1.35
|
%
|
1.37
|
%
|
1.35
|
%
|
1.36
|
%
|
|||||||||||
|
1.36
|
%(f)
|
1.36
|
%
|
1.35
|
%
|
1.37
|
%
|
1.35
|
%
|
1.36
|
%
|
|||||||||||
|
5.13
|
%(f)
|
1.90
|
%
|
3.16
|
%
|
2.60
|
%
|
1.66
|
%
|
1.74
|
%
|
|||||||||||
|
5.13
|
%(f)
|
1.90
|
%
|
3.16
|
%
|
2.60
|
%
|
1.66
|
%
|
1.74
|
%
|
|||||||||||
|
22
|
%(d)
|
19
|
%
|
23
|
%
|
46
|
%
|
46
|
%
|
30
|
%
|
|||||||||||
|
Semi-Annual Report | March 31, 2017
|
85
|
|
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
|
|
From tax return of capital
|
|
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.
|
86
|
(888) 848-7569 | www.rivernorth.com
|
For a share outstanding throughout the periods presented
|
For the Six Months Ended March 31, 2017 (Unaudited)
|
For the Year Ended September 30, 2016
|
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
|
|||||||||||||||||
|
$
|
10.61
|
$
|
10.37
|
$
|
10.88
|
$
|
10.62
|
$
|
11.33
|
$
|
10.59
|
|||||||||||
|
0.23
|
0.51
|
0.56
|
0.59
|
0.52
|
0.57
|
|||||||||||||||||
|
(0.06
|
)
|
0.39
|
(0.55
|
)
|
0.38
|
(0.51
|
)
|
0.82
|
||||||||||||||
|
0.17
|
0.90
|
0.01
|
0.97
|
0.01
|
1.39
|
|||||||||||||||||
|
(0.25
|
)
|
(0.64
|
)
|
(0.52
|
)
|
(0.66
|
)
|
(0.63
|
)
|
(0.63
|
)
|
|||||||||||
|
–
|
–
|
–
|
(0.05
|
)
|
(0.09
|
)
|
(0.02
|
)
|
||||||||||||||
|
–
|
(0.02
|
)
|
–
|
–
|
–
|
–
|
||||||||||||||||
|
(0.25
|
)
|
(0.66
|
)
|
(0.52
|
)
|
(0.71
|
)
|
(0.72
|
)
|
(0.65
|
)
|
|||||||||||
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
|||||||||||
|
(0.08
|
)
|
0.24
|
(0.51
|
)
|
0.26
|
(0.71
|
)
|
0.74
|
||||||||||||||
|
$
|
10.53
|
$
|
10.61
|
$
|
10.37
|
$
|
10.88
|
$
|
10.62
|
$
|
11.33
|
|||||||||||
|
1.60
|
%(d)
|
9.00
|
%
|
0.04
|
%
|
9.38
|
%
|
(0.03
|
%)
|
13.56
|
%
|
|||||||||||
|
$
|
1,966,326
|
$
|
1,822,874
|
$
|
1,735,108
|
$
|
1,148,744
|
$
|
785,974
|
$
|
878,631
|
|||||||||||
|
0.85
|
%(f)
|
0.86
|
%
|
0.86
|
%
|
0.91
|
%
|
0.89
|
%
|
0.90
|
%
|
|||||||||||
|
0.85
|
%(f)
|
0.86
|
%
|
0.86
|
%
|
0.91
|
%
|
0.89
|
%
|
0.90
|
%
|
|||||||||||
|
4.35
|
%(f)
|
4.92
|
%
|
5.24
|
%
|
5.47
|
%
|
4.68
|
%
|
5.20
|
%
|
|||||||||||
|
4.35
|
%(f)
|
4.92
|
%
|
5.24
|
%
|
5.47
|
%
|
4.68
|
%
|
5.20
|
%
|
|||||||||||
|
28
|
%(d)
|
36
|
%
|
29
|
%
|
56
|
%
|
80
|
%
|
74
|
%
|
|||||||||||
|
Semi-Annual Report | March 31, 2017
|
87
|
|
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
|
|
From tax return of capital
|
|
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.
|
88
|
(888) 848-7569 | www.rivernorth.com
|
For a share outstanding throughout the periods presented
|
For the Six Months Ended March 31, 2017 (Unaudited)
|
For the Year Ended September 30, 2016
|
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
|
|||||||||||||||||
|
$
|
10.62
|
$
|
10.39
|
$
|
10.89
|
$
|
10.63
|
$
|
11.34
|
$
|
10.60
|
|||||||||||
|
0.22
|
0.49
|
0.54
|
0.57
|
0.49
|
0.54
|
|||||||||||||||||
|
(0.06
|
)
|
0.37
|
(0.55
|
)
|
0.38
|
(0.51
|
)
|
0.82
|
||||||||||||||
|
0.16
|
0.86
|
(0.01
|
)
|
0.95
|
(0.02
|
)
|
1.36
|
|||||||||||||||
|
(0.23
|
)
|
(0.61
|
)
|
(0.49
|
)
|
(0.64
|
)
|
(0.60
|
)
|
(0.61
|
)
|
|||||||||||
|
–
|
–
|
–
|
(0.05
|
)
|
(0.09
|
)
|
(0.02
|
)
|
||||||||||||||
|
–
|
(0.02
|
)
|
–
|
–
|
–
|
–
|
||||||||||||||||
|
(0.23
|
)
|
(0.63
|
)
|
(0.49
|
)
|
(0.69
|
)
|
(0.69
|
)
|
(0.63
|
)
|
|||||||||||
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.01
|
||||||||||||
|
(0.07
|
)
|
0.23
|
(0.50
|
)
|
0.26
|
(0.71
|
)
|
0.74
|
||||||||||||||
|
$
|
10.55
|
$
|
10.62
|
$
|
10.39
|
$
|
10.89
|
$
|
10.63
|
$
|
11.34
|
|||||||||||
|
1.57
|
%(d)
|
8.62
|
%
|
(0.12
|
%)
|
9.09
|
%
|
(0.29
|
%)
|
13.28
|
%
|
|||||||||||
|
$
|
219,846
|
$
|
230,953
|
$
|
233,319
|
$
|
232,191
|
$
|
270,560
|
$
|
453,520
|
|||||||||||
|
1.10
|
%(f)
|
1.11
|
%
|
1.11
|
%
|
1.16
|
%
|
1.14
|
%
|
1.15
|
%
|
|||||||||||
|
1.10
|
%(f)
|
1.11
|
%
|
1.11
|
%
|
1.16
|
%
|
1.14
|
%
|
1.15
|
%
|
|||||||||||
|
4.10
|
%(f)
|
4.67
|
%
|
4.97
|
%
|
5.26
|
%
|
4.40
|
%
|
4.96
|
%
|
|||||||||||
|
4.10
|
%(f)
|
4.67
|
%
|
4.97
|
%
|
5.26
|
%
|
4.40
|
%
|
4.96
|
%
|
|||||||||||
|
28
|
%(d)
|
36
|
%
|
29
|
%
|
56
|
%
|
80
|
%
|
74
|
%
|
|||||||||||
|
Semi-Annual Report | March 31, 2017
|
89
|
|
RiverNorth/Oaktree High Income Fund
|
Class I
|
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
|
|
From tax return of capital
|
|
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)
|
|
Supplemental Data:
|
|
Net assets, end of period (in thousands)
|
|
Ratios to Average Net Assets (including interest expense)
|
|
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)
|
|
Ratios to Average Net Assets (excluding interest expense)
|
|
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
|
See Notes to Financial Statements.
|
90
|
(888) 848-7569 | www.rivernorth.com
|
For a share outstanding throughout the periods presented
|
For the Six Months Ended March 31, 2017 (Unaudited)
|
For the Year Ended September 30, 2016
|
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
|
||||||||||||||
|
$
|
9.48
|
$
|
9.18
|
$
|
10.25
|
$
|
9.95
|
$
|
10.00
|
|||||||||
|
0.19
|
0.44
|
0.43
|
0.47
|
0.22
|
||||||||||||||
|
0.20
|
0.44
|
(0.77
|
)
|
0.33
|
(0.07
|
)
|
||||||||||||
|
0.39
|
0.88
|
(0.34
|
)
|
0.80
|
0.15
|
|||||||||||||
|
(0.23
|
)
|
(0.55
|
)
|
(0.53
|
)
|
(0.50
|
)
|
(0.20
|
)
|
|||||||||
|
–
|
–
|
(0.20
|
)
|
–
|
–
|
|||||||||||||
|
–
|
(0.03
|
)
|
–
|
–
|
–
|
|||||||||||||
|
(0.23
|
)
|
(0.58
|
)
|
(0.73
|
)
|
(0.50
|
)
|
(0.20
|
)
|
|||||||||
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
|||||||||
|
0.16
|
0.30
|
(1.07
|
)
|
0.30
|
(0.05
|
)
|
||||||||||||
|
$
|
9.64
|
$
|
9.48
|
$
|
9.18
|
$
|
10.25
|
$
|
9.95
|
|||||||||
|
4.17
|
%(d)
|
10.09
|
%
|
(3.50
|
%)
|
8.16
|
%
|
1.52
|
%(d)
|
|||||||||
|
$
|
75,206
|
$
|
73,580
|
$
|
88,360
|
$
|
69,473
|
$
|
25,472
|
|||||||||
|
1.31
|
%(f)(g)
|
1.34
|
%(g)
|
1.36
|
%(g)
|
1.39
|
%
|
1.58
|
%(f)
|
|||||||||
|
1.31
|
%(f)(g)
|
1.34
|
%(g)
|
1.36
|
%(g)
|
1.35
|
%
|
1.35
|
%(f)
|
|||||||||
|
3.94
|
%(f)(g)
|
4.86
|
%(g)
|
4.40
|
%(g)
|
4.45
|
%
|
2.65
|
%(f)
|
|||||||||
|
3.94
|
%(f)(g)
|
4.86
|
%(g)
|
4.40
|
%(g)
|
4.49
|
%
|
2.88
|
%(f)
|
|||||||||
|
1.31
|
%(f)(g)
|
1.34
|
%(g)
|
1.35
|
%(g)
|
N/A
|
N/A
|
|||||||||||
|
1.31
|
%(f)(g)
|
1.34
|
%(g)
|
1.35
|
%(g)
|
N/A
|
N/A
|
|||||||||||
|
3.94
|
%(f)(g)
|
4.86
|
%(g)
|
4.41
|
%(g)
|
N/A
|
N/A
|
|||||||||||
|
3.94
|
%(f)(g)
|
4.86
|
%(g)
|
4.41
|
%(g)
|
N/A
|
N/A
|
|||||||||||
|
68
|
%(d)
|
40
|
%
|
70
|
%
|
91
|
%
|
117
|
%(d)
|
|||||||||
|
Semi-Annual Report | March 31, 2017
|
91
|
|
RiverNorth/Oaktree High Income Fund
|
Class I
|
Financial Highlights
| (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 periods ended March 31, 2017, September 30, 2016 and September 30, 2015 were 0.00%, 0.00% and 0.06%, respectively.
|
See Notes to Financial Statements.
|
92
|
(888) 848-7569 | www.rivernorth.com
|
Intentionally Left Blank
|
RiverNorth/Oaktree High 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
|
|
From tax return of capital
|
|
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)
|
|
Supplemental Data:
|
|
Net assets, end of period (in thousands)
|
|
Ratios to Average Net Assets (including interest expense)
|
|
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)
|
|
Ratios to Average Net Assets (excluding interest expense)
|
|
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
|
|
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, 2017 (Unaudited)
|
For the Year Ended September 30, 2016
|
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
|
||||||||||||||
|
$
|
9.47
|
$
|
9.17
|
$
|
10.24
|
$
|
9.95
|
$
|
10.00
|
|||||||||
|
0.17
|
0.43
|
0.41
|
0.46
|
0.21
|
||||||||||||||
|
0.21
|
0.43
|
(0.77
|
)
|
0.31
|
(0.07
|
)
|
||||||||||||
|
0.38
|
0.86
|
(0.36
|
)
|
0.77
|
0.14
|
|||||||||||||
|
(0.22
|
)
|
(0.54
|
)
|
(0.51
|
)
|
(0.48
|
)
|
(0.19
|
)
|
|||||||||
|
–
|
–
|
(0.20
|
)
|
–
|
–
|
|||||||||||||
|
–
|
(0.02
|
)
|
–
|
–
|
–
|
|||||||||||||
|
(0.22
|
)
|
(0.56
|
)
|
(0.71
|
)
|
(0.48
|
)
|
(0.19
|
)
|
|||||||||
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
0.00
|
(b)
|
|||||||||
|
0.16
|
0.30
|
(1.07
|
)
|
0.29
|
(0.05
|
)
|
||||||||||||
|
$
|
9.63
|
$
|
9.47
|
$
|
9.17
|
$
|
10.24
|
$
|
9.95
|
|||||||||
|
4.02
|
%(d)
|
9.83
|
%
|
(3.76
|
%)
|
7.78
|
%
|
1.38
|
%(d)
|
|||||||||
|
$
|
8,619
|
$
|
7,203
|
$
|
10,368
|
$
|
16,163
|
$
|
22,115
|
|||||||||
|
1.60
|
%(f)(g)
|
1.62
|
%(g)
|
1.61
|
%(g)
|
1.63
|
%
|
1.80
|
%(f)
|
|||||||||
|
1.60
|
%(f)(g)
|
1.60
|
%(g)
|
1.61
|
%(g)
|
1.60
|
%
|
1.60
|
%(f)
|
|||||||||
|
3.64
|
%(f)(g)
|
4.69
|
%(g)
|
4.14
|
%(g)
|
4.40
|
%
|
2.60
|
%(f)
|
|||||||||
|
3.64
|
%(f)(g)
|
4.71
|
%(g)
|
4.14
|
%(g)
|
4.43
|
%
|
2.80
|
%(f)
|
|||||||||
|
1.60
|
%(f)(g)
|
1.62
|
%(g)
|
1.60
|
%(g)
|
N/A
|
N/A
|
|||||||||||
|
1.60
|
%(f)(g)
|
1.60
|
%(g)
|
1.60
|
%(g)
|
N/A
|
N/A
|
|||||||||||
|
3.64
|
%(f)(g)
|
4.69
|
%(g)
|
4.15
|
%(g)
|
N/A
|
N/A
|
|||||||||||
|
3.64
|
%(f)(g)
|
4.71
|
%(g)
|
4.15
|
%(g)
|
N/A
|
N/A
|
|||||||||||
|
68
|
%(d)
|
40
|
%
|
70
|
%
|
91
|
%
|
117
|
%(d)
|
|||||||||
|
Semi-Annual Report | March 31, 2017
|
95
|
|
RiverNorth/Oaktree High Income Fund
|
Class R
|
|
|
Financial Highlights
|
|
(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 periods ended March 31, 2017, September 30, 2016 and September 30, 2015 were 0.04%, 0.01% and 0.07%, respectively.
|
|
See Notes to Financial Statements.
|
|
96
|
(888) 848-7569 | www.rivernorth.com
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2017 (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/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.
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, 2017.
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Semi-Annual Report | March 31, 2017
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97
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2017 (Unaudited)
Security Valuation: The Funds’ assets and other financial instruments are generally valued at their fair value using market quotations. If a market value quotation is unavailable a security may be valued at its estimated fair value as described in Note 3.
Security Transactions and 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.
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, 2017, the Core Opportunity Fund, Strategic Income Fund, and High Income Fund received redemption fees of $35,255, $55,910, and $5,986, respectively.
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RiverNorth Funds
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Notes to Financial Statements
|
March 31, 2017 (Unaudited)
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.
As of and during the six months ended March 31, 2017, 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.
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.
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Semi-Annual Report | March 31, 2017
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99
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2017 (Unaudited)
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, rights and warrants, closed-end funds, exchange-traded funds, preferred stocks, business development companies, business development company bonds, 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.
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, U.S. Government bonds and notes, foreign 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, 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.
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RiverNorth Funds
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Notes to Financial Statements
|
March 31, 2017 (Unaudited)
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.
|
Semi-Annual Report | March 31, 2017
|
101
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2017 (Unaudited)
The following is a summary of the inputs used at March 31, 2017 in valuing the Funds’ assets and liabilities:
|
Core Opportunity Fund
|
||||||||||||||||
|
Valuation Inputs
|
||||||||||||||||
|
Investments in Securities at Value*
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
Closed-End Funds
|
$
|
406,081,294
|
$
|
–
|
$
|
–
|
$
|
406,081,294
|
||||||||
|
Exchange-Traded Funds
|
55,722,459
|
–
|
–
|
55,722,459
|
||||||||||||
|
Preferred Stocks
|
1,593,166
|
–
|
–
|
1,593,166
|
||||||||||||
|
Short-Term Investments
|
126,765,081
|
–
|
–
|
126,765,081
|
||||||||||||
|
Total
|
$
|
590,162,000
|
$
|
–
|
$
|
–
|
$
|
590,162,000
|
||||||||
|
Valuation Inputs
|
||||||||||||||||
|
Other Financial Instruments**
|
Level 1 |
Level 2
|
Level 3
|
Total
|
||||||||||||
|
Assets
|
||||||||||||||||
|
Total Return Swap Contracts
|
$
|
–
|
$
|
92,884
|
$
|
–
|
$
|
92,884
|
||||||||
|
Total
|
$
|
–
|
$
|
92,884
|
$
|
–
|
$
|
92,884
|
||||||||
|
Strategic Income Fund
|
||||||||||||||||
|
Valuation Inputs
|
||||||||||||||||
|
Investments in Securities at Value*
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
Closed-End Funds
|
$
|
597,331,671
|
$
|
–
|
$
|
–
|
$
|
597,331,671
|
||||||||
|
Business Development Companies
|
12,762,677
|
–
|
–
|
12,762,677
|
||||||||||||
|
Business Development Company Bonds
|
6,092,378
|
–
|
–
|
6,092,378
|
||||||||||||
|
Common Stocks
|
7,529,209
|
–
|
–
|
7,529,209
|
||||||||||||
|
Open-End Funds
|
27,375,800
|
–
|
–
|
27,375,800
|
||||||||||||
|
Preferred Stocks
|
16,020,510
|
–
|
–
|
16,020,510
|
||||||||||||
|
Business Development Company Senior Notes
|
13,121,381
|
–
|
–
|
13,121,381
|
||||||||||||
|
Foreign Corporate Bonds
|
–
|
21,589,199
|
–
|
21,589,199
|
||||||||||||
|
U.S. Corporate Bonds
|
–
|
73,117,122
|
–
|
73,117,122
|
||||||||||||
|
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies
|
–
|
9,517,437
|
–
|
9,517,437
|
||||||||||||
|
Collateralized Loan Obligations
|
–
|
14,422,053
|
–
|
14,422,053
|
||||||||||||
|
Non-Agency Collateralized Mortgage Obligations
|
–
|
433,459,291
|
13,369,296
|
446,828,587
|
||||||||||||
|
U.S. Government Bonds and Notes
|
–
|
107,179,432
|
–
|
107,179,432
|
||||||||||||
|
Municipal Bonds
|
–
|
22,212,474
|
–
|
22,212,474
|
||||||||||||
|
U.S. Government / Agency Mortgage Backed Securities
|
–
|
213,813,070
|
–
|
213,813,070
|
||||||||||||
|
102
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|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2017 (Unaudited)
|
Strategic Income Fund (continued)
|
||||||||||||||||
|
Valuation Inputs (continued)
|
||||||||||||||||
|
Investments in Securities at Value*
|
Level 1
|
Level 2
|
Level 3 |
Total
|
||||||||||||
|
Rights and Warrants
|
$
|
4,200
|
$ | – |
$
|
–
|
$
|
4,200
|
||||||||
|
Short-Term Investments
|
597,872,872
|
– |
–
|
597,872,872
|
||||||||||||
|
Total
|
$
|
1,278,110,698
|
$
|
895,310,078
|
$
|
13,369,296
|
$
|
2,186,790,072
|
||||||||
|
High Income Fund
|
||||||||||||||||
|
Valuation Inputs
|
||||||||||||||||
|
Investments in Securities at Value*
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
Closed-End Funds
|
$
|
20,396,853
|
$
|
–
|
$
|
–
|
$
|
20,396,853
|
||||||||
|
Common Stocks
|
95,700
|
5,134
|
–
|
100,834
|
||||||||||||
|
Bank Loans
|
–
|
32,552,418
|
–
|
32,552,418
|
||||||||||||
|
High Yield Debt
|
–
|
26,580,842
|
–
|
26,580,842
|
||||||||||||
|
Short-Term Investments
|
6,547,601
|
–
|
–
|
6,547,601
|
||||||||||||
|
Total
|
$
|
27,040,154
|
$
|
59,138,394
|
$
|
–
|
$
|
86,178,548
|
||||||||
|
|
Valuation Inputs
|
|||||||||||||||
|
Other Financial Instruments**
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
Liabilities
|
||||||||||||||||
|
Forward Foreign Currency Contracts
|
–
|
(233,168
|
)
|
–
|
(233,168
|
)
|
||||||||||
|
Total
|
$
|
–
|
$
|
(233,168
|
)
|
$
|
–
|
$
|
(233,168
|
)
|
||||||
|
*
|
Refer to each Fund’s Schedule of Investments for a listing of securities by type.
|
|
**
|
Other financial instruments are derivative instruments reflected in the Schedule of Investments.
|
|
Semi-Annual Report | March 31, 2017
|
103
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2017 (Unaudited)
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 October 1, 2016
|
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, 2017 |
Net change in unrealized
appreciation/ (depreciation) included in the Statements of Operations attributable to Level 3 investments held at March 31, 2017 |
|||||||||||||||||||||||||||||||||
|
Strategic Income Fund
|
||||||||||||||||||||||||||||||||||||||||||||
|
Non-Agency Collateralized Mortgage Obligations
|
$
|
–
|
$
|
–
|
$
|
–
|
$
|
–
|
$
|
116
|
$
|
13,369,180
|
$
|
–
|
$
|
–
|
$
|
–
|
$
|
13,369,296
|
$
|
–
|
||||||||||||||||||||||
|
Total
|
$
|
–
|
$
|
–
|
$
|
–
|
$
|
–
|
$
|
116
|
$
|
13,369,180
|
$
|
–
|
$
|
–
|
$
|
–
|
$
|
13,369,296
|
$
|
–
|
||||||||||||||||||||||
The table below provides additional information about the Level 3 Fair Value Measurements as of March 31, 2017:
Quantitative Information about Level 3 Fair Value Measurements
Strategic Income Fund
| Asset Class | Fair Value (USD) | Valuation Technique | Unobservable Inputs(a) |
| Non-Agency Collateralized Mortgage Obligations | $13,369,296 | 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. There were no transfers between levels during the period.
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.
|
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|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2017 (Unaudited)
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.
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, 2017, 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.
|
Semi-Annual Report | March 31, 2017
|
105
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2017 (Unaudited)
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, 2017, the Core Opportunity Fund and the Strategic Income Fund invested in total return swaps. Total return swaps are agreements that provide the Funds 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 Funds, and is settled in cash periodically. The fee paid by the Funds 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 Funds are recorded in the Statement of Operations as realized gains or losses, respectively. When the swap is terminated, the Funds 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 Funds 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 Funds 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 Funds record fluctuations in the value of open swap contracts on a daily basis as unrealized gains or losses.
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 a Fund.
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.
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106
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Notes to Financial Statements
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March 31, 2017 (Unaudited)
The effect of derivatives instruments on each Fund's Statement of Assets and Liabilities as of March 31, 2017:
|
|
|
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
|
$
|
92,884
|
||
|
|
|
Liabilities Derivatives
|
||||
|
Fund
|
Risk Exposure
|
Statement of Assets
and Liabilities Location |
Fair Value
|
|||
|
High Income Fund
|
Foreign exchange rate risk (Forward foreign currency contracts)
|
Unrealized depreciation on forward foreign currency contracts
|
$
|
(233,168
|
)
|
|
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Semi-Annual Report | March 31, 2017
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107
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RiverNorth Funds
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Notes to Financial Statements
|
March 31, 2017 (Unaudited)
The effect of derivatives instruments on each Fund's Statement of Operations for the six months ended March 31, 2017:
| 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 |
$ | 696,745 | $ | (742,401 | ) | |||
| 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 | $ | 1,077,134 | $ | (1,364,980 | ) | |||
| High Income Fund | Foreign exchange rate risk (Forward foreign currency contracts) |
Net realized gain/(loss) 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 | $ | 596,240 | $ | (180,125 | ) | |||
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Notes to Financial Statements
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March 31, 2017 (Unaudited)
The forward currency contracts and total return swap contracts average notional amount during the six months ended March 31, 2017 is noted below.
| Fund | Average Notional Amount of Total Return Swap Contracts | |||
| Core Opportunity Fund | $ | 32,358,188 | ||
| Strategic Income Fund | $ | 2,700,573 | ||
|
Fund |
Average Notional Amount of Forward Foreign Currency Contracts |
|||
| High Income Fund | $ | 16,492,533 | ||
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.
The following table presents derivative financial instruments that are subject to enforceable netting arrangements, collateral arrangements or other similar agreements as of March 31, 2017.
| Offsetting of Derivatives Asset | ||||||||||||||||||||||||
| March 31, 2017 | ||||||||||||||||||||||||
| Gross Amounts Not Offset in the Statements of Assets and Liabilities |
||||||||||||||||||||||||
| Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statements of Assets and Liabilities | Net Amounts Presented in the Statements of Assets and Liabilities | Financial Instruments Available for Offset(a) | Cash Collateral Received(a) | Net Amount | |||||||||||||||||||
| Core Opportunity Fund | ||||||||||||||||||||||||
| Total Return Swap Contracts | $ | 92,884 | $ | – | $ | 92,884 | $ | – | $ | – | $ | 92,884 | ||||||||||||
| Total | $ | 92,884 | $ | – | $ | 92,884 | $ | – | $ | – | $ | 92,884 | ||||||||||||
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Semi-Annual Report | March 31, 2017
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109
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RiverNorth Funds
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Notes to Financial Statements
|
March 31, 2017 (Unaudited)
Offsetting of Derivatives Liability
March 31, 2017
| Gross Amounts Not Offset in the Statement of Financial Position |
||||||||||||||||||||||||
| 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 | |||||||||||||||||||
| High Income Fund | ||||||||||||||||||||||||
| Forward Foreign Currency Contracts | $ | 233,168 | $ | – | $ | 233,168 | $ | – | $ | (233,168 | ) | $ | – | |||||||||||
| Total | $ | 233,168 | $ | – | $ | 233,168 | $ | – | $ | (233,168 | ) | $ | – | |||||||||||
|
(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, 2017, the High Income Fund had $7,442,720 in unsettled domestic and foreign loan commitments.
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RiverNorth Funds
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Notes to Financial Statements
|
March 31, 2017 (Unaudited)
6. Advisory Fees, Trustee Fees and other agreements
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 (“CCO”) of the Funds is an affiliate of the Funds. For the six months ended March 31, 2017, the total related amounts paid by the Funds for CCO fees are included in Compliance expenses on the Statement of Operations.
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%
|
|
High Income Fund
|
1.00%
|
The Adviser has contractually agreed to defer collection of the High Income Fund’s management fees and/or reimburse 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 Fund invests; and extraordinary expenses) of the High Income Fund until at least January 31, 2018 in order to maintain the Total Annual Fund Operating Expenses After Fee Deferral and/or Reimbursement at 1.60% and 1.35% for the Class R shares and Class I shares, respectively. This agreement may be terminated by the Fund’s Board of Trustees on 60 days written notice to the adviser. Any deferral or reimbursement is subject to repayment by the High Income Fund within three years following the fiscal year in which the expenses occurred if the Fund is able to make the repayment without exceeding its current expense limitation and the repayment is approved by the Board of Trustees.
|
Semi-Annual Report | March 31, 2017
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111
|
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RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2017 (Unaudited)
As of the year ended September 30, 2016, reimbursed expenses for the High Income Fund subject to potential recovery by year of expiration are as follows:
| Expiring September 30, | ||||||||||||
| 2017 | 2018 | 2019 | ||||||||||
| High Income Fund | ||||||||||||
| Class I | N/A | N/A | N/A | |||||||||
| Class R | $ | 7,302 | N/A | $ | 1,430 | |||||||
| Total | $ | 7,302 | N/A | $ | 1,430 | |||||||
For the year ended September 30, 2016, the High Income Fund repaid previously waived fees of $2,451 in Class I and $2,196 in Class R.
Additionally, for the six months ended March 31, 2017 the Adviser opted to forgo $77,424 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, 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.
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. Effective October 1, 2016, each Trustee who is not an “interested person” receives a fee of $16,500 per year, plus $1,500 per meeting attended from the Trust. In addition, the chair of the audit committee receives $500 annually and the lead independent Trustee receives $250 annually. The Trust reimburses each Trustee and Officer for his or her travel and other expenses relating to attendance at such meetings. The Trustees are also compensated for their services as independent directors of other funds within the fund complex.1
|
112
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RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2017 (Unaudited)
Certain Trustees and Officers of the Trust are also officers of the Adviser, the Distributor or the Administrator.
| 1 | The Fund Complex consists of the RiverNorth Core Opportunity Fund, the RiverNorth/DoubleLine Strategic Income Fund, and the RiverNorth/Oaktree High Income Fund, each a series of the RiverNorth Funds Trust, and the RiverNorth Opportunities Fund, Inc., RiverNorth/DoubleLine Strategic Opportunity Fund, Inc. and the RiverNorth Marketplace Lending Corporation. |
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, 2017.
The tax character of distributions paid by the Funds during the fiscal year ended September 30, 2016, was as follows:
| Ordinary Income | Tax-Exempt Income | Distributions paid from Long-Term Capital Gain | Return of Capital | Total | ||||||||||||||||
| Core Opportunity Fund* | $ | 28,127,548 | $ | 980,957 | $ | 31,736,186 | $ | 6,414,437 | $ | 67,259,128 | ||||||||||
| Strategic Income Fund* | 120,507,425 | – | – | 3,333,128 | 123,840,553 | |||||||||||||||
| High Income Fund* | 5,088,917 | – | – | 231,129 | 5,320,046 | |||||||||||||||
|
* |
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. |
|
Semi-Annual Report | March 31, 2017
|
113
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2017 (Unaudited)
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, 2016, 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:
| Paid-in Capital | Accumulated Net Investment Income/(Loss) | Accumulated Net Realized Gain/(Loss) | ||||||||||
| Core Opportunity Fund | $ | – | $ | 11,541,169 | $ | (11,541,169 | ) | |||||
| Strategic Income Fund | – | 9,901,878 | (9,901,878 | ) | ||||||||
| High Income Fund | – | (103,479 | ) | 103,479 | ||||||||
At September 30, 2016, 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 | $ | – | $ | (1,180,132 | ) | $ | 27,946,429 | $ | (835,285 | ) | $ | 25,931,012 | ||||||||
| Strategic Income Fund | – | (6,695,539 | ) | (31,676,556 | ) | (2,056,291 | ) | (40,428,386 | ) | |||||||||||
| High Income Fund | – | (3,854,645 | ) | (2,452,321 | ) | (316,909 | ) | (6,623,875 | ) | |||||||||||
Capital Losses: As of September 30, 2016 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.
The Strategic Income Fund capital loss carryovers used during the period ended September 30, 2016 were $5,106,381.
Capital losses carried forwards were as follows:
| Fund | Short-Term | Long-Term | ||||||
| Strategic Income Fund | $ | 2,591,573 | $ | – | ||||
| High Income Fund | 494,993 | 365,240 | ||||||
The Core Opportunity Fund, Strategic Income Fund and High Income Fund has elected to defer to the year ending September 30, 2017, capital losses recognized during the period November 1, 2015 to September 30, 2016, in the amount of $1,180,132, $4,103,966 and $2,994,412, respectively.
The High Income Fund elected to defer to the period ending September 30, 2017, late ordinary losses in the amount of $368,542.
|
114
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RiverNorth Funds
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Notes to Financial Statements
|
March 31, 2017 (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, 2017, 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* | $ | 55,576,771 | $ | (23,525,534 | ) | $ | 32,051,237 | $ | 558,110,763 | |||||||
| Strategic Income Fund* | 56,779,641 | (112,599,475 | ) | (55,819,834 | ) | 2,242,609,906 | ||||||||||
| High Income Fund* | 1,425,602 | (2,285,996 | ) | (860,394 | ) | 87,038,942 | ||||||||||
|
* |
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, 2017, excluding U.S. Government Obligations and short-term investments, were as follows:
| Fund | Purchases of Securities |
Proceeds from Sales of Securities |
||||||
| Core Opportunity Fund | $ | 114,757,936 | $ | 269,767,405 | ||||
| Strategic Income Fund | 399,999,401 | 336,888,991 | ||||||
| High Income Fund | 58,475,876 | 52,316,839 | ||||||
|
Investment Transactions in U.S. Government Obligations for the six months ended March 31, 2017 were as follows:
|
||||||||
| Fund | Purchases of Securities | Proceeds from Sales of Securities | ||||||
| Strategic Income Fund | $ | 114,618,443 | $ | 96,692,759 | ||||
|
Semi-Annual Report | March 31, 2017
|
115
|
|
RiverNorth Funds
|
Notes to Financial Statements
|
March 31, 2017 (Unaudited)
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, 2017 were as follows:
Core Opportunity Fund
| Security Name | Share Balance as of September 30, 2016 |
Purchases | Sales | Share Balance as of March 31, 2017 |
Market Value as of March 31, 2017 |
Dividends | Realized Gain/(Loss) |
|||||||||||||||||||||
| Clough Global Opportunities Fund | 3,053,415 | 132,193 | (458,263 | ) | 2,727,345 | $ | 28,064,380 | $ | 1,791,364 | $ | 376,706 | |||||||||||||||||
| Clough Global Equity Fund | 1,211,584 | 88,005 | (403,535 | ) | 896,054 | $ | 11,326,123 | $ | 756,371 | $ | (92,089 | ) | ||||||||||||||||
| $ | 39,390,503 | $ | 2,547,735 | $ | 284,617 | |||||||||||||||||||||||
Strategic Income Fund
| Security Name | Share Balance as of September 30, 2016 |
Purchases | Sales | Share Balance as of March 31, 2017 |
Market Value as of March 31, 2017 |
Dividends | Realized Gain/(Loss) |
|||||||||||||||||||||
| RiverNorth/Oaktree High Income Fund, Class I | 2,772,396 | 67,594 | – | 2,839,990 | $ | 27,375,800 | $ | 732,041 | $ | – | ||||||||||||||||||
| $ | 27,375,800 | $ | 732,041 | $ | – | |||||||||||||||||||||||
10. REVOLVING LINE OF CREDIT
On April 8, 2014, the Funds entered into a $100,000,000 committed unsecured Revolving Credit Agreement with State Street Bank & Trust, Co. The Revolving Credit Agreement was amended on April 17, 2015 and on April 5, 2016. 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 October 1, 2016 through March 31, 2017, 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 4, 2017. For the six months ended March 31, 2017, the Funds did not borrow under the Agreement.
|
116
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RiverNorth Funds
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Notes to Financial Statements
|
March 31, 2017 (Unaudited)
|
11.
|
BENEFICIAL OWNERSHIP
|
On March 31, 2017, 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, 2017, are listed below:
|
Fund
|
Shareholder Name
|
Percentage Interest
|
|
Core Opportunity Fund - Class I
|
National Financial Services, LLC
|
39.42%
|
|
Core Opportunity Fund - Class I
|
Charles Schwab & Company, Inc.
|
30.40%
|
|
Core Opportunity Fund - Class R
|
National Financial Services, LLC
|
81.87%
|
|
Strategic Income Fund - Class I
|
Charles Schwab & Company, Inc.
|
28.49%
|
|
Strategic Income Fund - Class R
|
Charles Schwab & Company, Inc.
|
42.67%
|
|
High Income Fund - Class I
|
RiverNorth/DoubleLine Strategic Income Fund
|
36.36%
|
|
High Income Fund - Class I
|
Charles Schwab & Company, Inc.
|
26.30%
|
|
High Income Fund - Class R
|
Charles Schwab & Company, Inc.
|
60.32%
|
|
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 4, 2017 the Revolving Credit Agreement was renewed for an additional 364‐day period, to expire on April 3, 2018.
|
14.
|
RECENT ACCOUNTING PRONOUNCEMENTS
|
On October 13, 2016, the SEC adopted new rules and forms, and amended existing rules and forms. The new and amended rules and forms are intended to modernize the reporting of information provided by funds and to improve the quality and type of information that funds provide to the SEC and investors. In part, the new and amended rules and forms amend Regulation S-X, which will require standardized, enhanced disclosure about derivatives in a fund’s financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the impact to the financial statements and disclosures.
|
Semi-Annual Report | March 31, 2017
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117
|
|
RiverNorth Funds
|
Additional Information
|
|
March 31, 2017 (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. 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.
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(888) 848-7569 | www.rivernorth.com
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Board Considerations Regarding Approval of
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RiverNorth Funds
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Investment Advisory and Sub-Advisory Agreements
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March 31, 2017 (Unaudited)
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RENEWAL OF MANAGEMENT AGREEMENT
Consideration and Renewal of Investment Advisory Agreements with RiverNorth Capital Management, LLC
At an in-person meeting of the Board, held on November 15, 2016 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 RiverNorth Capital Management, LLC (“RiverNorth” or 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, and information regarding the performance of Funds and their benchmark indices and peer funds. Prior to the in-person Board meeting held on November 15, 2016, the Independent Trustees held a special meeting on November 7, 2016 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 three month, one-year, three-year, five-year and since inception periods ended July 31, 2016. These returns were compared to the returns of mutual funds in FUSE Research Network, LLC’s (“FUSE”) Allocation-50% to 70% Equity fund universe. The Trustees also reviewed the Fund’s performance relative to other funds managed by the Adviser. The Board concluded that the performance compared favorably to the Allocation-50% to 70% Equity universe averages for the three months and one-year, three-year and five-year periods and underperformed the universe for the since inception period. The Board noted in its review of performance that the Core Opportunity Fund’s Retail Class Shares’ lowest universe ranking was 47 out of 63 for the since inception period, and 8 and 11 out of 90 for the 3 months and one-year periods.
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 group determined by FUSE and the Allocation-50% to 70% Equity fund universe. The Board noted that the Core Opportunity Fund’s Retail Class Shares’ annual net expense ratio of 1.35% was higher than the median of 1.16% and also higher than the average of 1.24% for the peer group. The Board also noted that the annual net expense ratio of 1.35% placed the Core Opportunity Fund in the lowest quartile for the universe, with a rank of 72 out of 92 funds. The Board noted, however, that the higher net fees were partially attributable to the fees charged by the closed-end funds in which the Fund invests and were not direct operating expenses of the Fund.
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Semi-Annual Report | March 31, 2017
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119
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Board Considerations Regarding Approval of
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RiverNorth Funds
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Investment Advisory and Sub-Advisory Agreements
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March 31, 2017 (Unaudited)
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The Board also noted that the annual management fee of 1.00% for the Fund was above the 0.70% median and the 0.82% average paid by the peer funds. The Board noted that the lowest fee for the peer group was 0.41%. The Board noted, however, that the funds in the lowest 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.
Strategic Income Fund
Regarding the Strategic Income Fund, the Board reviewed the performance of the Fund for the three month, one-year, three-year, five-year and since inception periods ended July 31, 2016. The Board noted that the Strategic Income Fund outperformed peer mutual funds in FUSE’s Multisector Bond fund universe for each period. The Board also reviewed the Fund’s performance relative to other funds managed by the Adviser. The Board concluded that the Fund’s performance compared favorably with the universe averages.
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 group determined by FUSE and the Multisector Bond fund universe. The Board noted that the Strategic Income Fund’s Retail Class Shares’ annual net expense ratio of 1.11% was lower than the median of 1.12% and lower than the average of 1.13% for the other funds in the peer group, and less than the highest, which was 1.71%. The Board also noted that the annual net expense ratio of 1.11% for the Retail Class Shares placed the Strategic Income Fund in the third quartile for the universe, with a rank of 32 out of 46 funds.
The Board also noted that the annual management fee of 0.75% for the Fund was equal to the 0.75% median and below the 0.76% average paid by the peer funds. The Board noted that the lowest fee for the peer group was 0.45%. The Board, including the Independent Trustees, determined that the 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.
High Income Fund
Regarding the High Income Fund, the Board reviewed the performance of the Fund for the three month, one-year, three-year and since inception periods ended July 31, 2016. The Board noted that the High Income Fund outperformed the peer funds in FUSE’s High Yield Bond fund universe for each period. The Board also reviewed the Fund’s performance relative to other funds managed by the Adviser. The Board concluded that the performance compared favorably with the universe averages.
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 group determined by FUSE and the High Yield Bond fund universe. The Board noted that the High Income Fund’s Retail Class Shares’ annual net expense ratio of 1.60% was higher than the median of 1.20% and the average of 1.26% for the other funds in the peer group, and less than highest, which was 1.63%. The Board also noted that the annual net expense ratio of 1.60% for the Retail Class Shares placed the High Income Fund in the fourth quartile for the universe, with a rank of 130 out of 131 funds.
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120
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(888) 848-7569 | www.rivernorth.com
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Board Considerations Regarding Approval of
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RiverNorth Funds
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Investment Advisory and Sub-Advisory Agreements
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March 31, 2017 (Unaudited)
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The Board also noted that the annual management fee of 1.00% for the Fund was above the 0.96% median and below the 1.17% average paid by the peer funds. The Board noted that the minimum fee for the peer group is 0.44%. The Board, including the Independent Trustees, determined that the fees were comparable to the Fund’s peers, and 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 reviewed the Adviser’s financial statements and noted the Adviser’s financial condition is stable as income from its asset management operations have contributed to higher revenues for the Adviser. In response to a question from the Trustees, the Adviser noted that the Adviser’s profitability was higher for the year as compared to previous profitability reports due to a difference in employee compensation and bonus calculations for accounting purposes. The Board, including the Independent Trustees, determined that the Management Agreement, with respect to the Core Opportunity Fund, Strategic Income Fund and High Income Fund was not overly profitable to the Adviser and the financial condition of the Adviser was adequate.
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. The Board also noted each Fund’s liquidity status and its ability to meet redemptions.
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.
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Semi-Annual Report | March 31, 2017
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121
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Board Considerations Regarding Approval of
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RiverNorth Funds
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Investment Advisory and Sub-Advisory Agreements
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March 31, 2017 (Unaudited)
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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 15, 2016 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 DoubleLine Agreement, the “Sub-Advisory Agreements”) between the Adviser and Oaktree Capital Management, L.P. (“Oaktree” and together with DoubleLine, 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 15, 2016, the Independent Trustees held a special meeting on November 7, 2016 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, and information regarding the performance of the Funds and their 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, (v) the extent to which economies of scale will be realized by the Funds as they grow, and (vi) 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 three month, one-year, three-year, five-year and since inception periods ended July 31, 2016. The Board noted that the Strategic Income Fund outperformed the funds FUSE’s Multisector Bond fund universe for each period. 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 universe averages and to the returns of the relative benchmark index.
The Board reviewed the performance of the High Income Fund for the three month, one-year, three-year and since inception periods ended July 31, 2016. The Board noted that the High Income Fund outperformed the peer funds in the FUSE High Yield Bond fund universe 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 universe averages.
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.
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(888) 848-7569 | www.rivernorth.com
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Board Considerations Regarding Approval of
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RiverNorth Funds
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Investment Advisory and Sub-Advisory Agreements
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March 31, 2017 (Unaudited)
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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 the Sub-Advisers, in their discretion, deem 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 the Form ADV of each Sub-Adviser, which provided details regarding the experience of each Sub-Adviser’s investment personnel. The Sub-Advisers also provided additional information regarding their operations and 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 financial condition of each Sub-Adviser was stable. The Board, including the Independent Trustees determined that the Sub-Advisory Agreements and the compensation to the Sub-Advisers were reasonable 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 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 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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Semi-Annual Report | March 31, 2017
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123
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RiverNorth Funds
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Notes
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| 124 |
(888) 848-7569 | www.rivernorth.com
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RiverNorth Funds
RiverNorth Core Opportunity Fund
RiverNorth/DoubleLine Strategic Income 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 Bank & Trust
Independent Registered
Public Accounting Firm
Cohen & Company, 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.
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Item 2.
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Code of Ethics.
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NOT APPLICABLE – disclosed with annual report.
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Item 3.
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Audit Committee Financial Expert.
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NOT APPLICABLE – disclosed with annual report.
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Item 4.
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Principal Accountant Fees and Services.
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NOT APPLICABLE - disclosed with annual report.
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Item 5.
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Audit Committee of Listed Companies.
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NOT APPLICABLE – applies to listed companies only.
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Item 6.
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Schedule of Investments.
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NOT APPLICABLE – schedule filed with Item 1.
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Item 7.
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Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds.
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NOT APPLICABLE – applies to closed-end funds only.
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Item 8.
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Portfolio Managers of Closed-End Management Investment Companies.
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NOT APPLICABLE – applies to closed-end funds only.
| Item 9. |
Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
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NOT APPLICABLE – applies to closed-end funds only.
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Item 10.
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Submission of Matters to a Vote of Security Holders.
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NOT APPLICABLE
The registrant has not adopted procedures by which shareholders may recommend nominees to the registrant's board of trustees.
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Item 11.
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Controls and Procedures.
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(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.
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Item 12.
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Exhibits.
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| (a)(1) |
Not Applicable – filed with annual report.
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| (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.
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| (a)(3) |
Not Applicable – there were no written solicitations to purchase securities under Rule 23c-1during the period.
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| (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.
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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.
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Registrant:
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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 9, 2017
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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 9, 2017
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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 9, 2017
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