UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-21934
RiverNorth Funds
(Exact name of registrant as specified in charter)
360 S. Rosemary Avenue, Suite 1420
West Palm Beach, FL 33401
(Address of principal executive offices) (Zip code)
Marcus L. Collins
360 S. Rosemary Avenue, Suite 1420
West Palm Beach, FL 33401
(Name and address of agent for service)
Registrant's telephone number, including area code: 561-484-7185
Date of fiscal year end: 09/30
Date of reporting period: 09/30/2022
| Item 1. | Reports to Stockholders. |
![(GRAPHIC)](https://capedge.com/proxy/N-CSR/0001398344-22-024344/fp0081145_01.jpg)
RiverNorth Funds | Table of Contents |
Shareholder Letter | 2 |
Opportunistic Closed-End Fund Strategies | |
Portfolio Update | 4 |
RiverNorth Core Opportunity Fund | 4 |
RiverNorth/DoubleLine Strategic Income Fund | 9 |
RiverNorth/Oaktree High Income Fund | 15 |
RiverNorth Funds Schedule of Investments and Financial Statements | |
Disclosure of Fund Expenses | 23 |
Schedule of Investments | |
RiverNorth Core Opportunity Fund | 25 |
RiverNorth/DoubleLine Strategic Income Fund | 28 |
RiverNorth/Oaktree High Income Fund | 81 |
Statement of Assets and Liabilities | |
RiverNorth Core Opportunity Fund | 99 |
RiverNorth/DoubleLine Strategic Income Fund | 100 |
RiverNorth/Oaktree High Income Fund | 101 |
Statement of Operations | |
RiverNorth Core Opportunity Fund | 102 |
RiverNorth/DoubleLine Strategic Income Fund | 103 |
RiverNorth/Oaktree High Income Fund | 104 |
Statements of Changes in Net Assets | |
RiverNorth Core Opportunity Fund | 105 |
RiverNorth/DoubleLine Strategic Income Fund | 107 |
RiverNorth/Oaktree High Income Fund | 109 |
Financial Highlights | |
RiverNorth Core Opportunity Fund | 112 |
RiverNorth/DoubleLine Strategic Income Fund | 120 |
RiverNorth/Oaktree High Income Fund | 128 |
Notes to Financial Statements | 135 |
Report of Independent Registered Public Accounting Firm | 158 |
Additional Information | 159 |
Liquidity Risk Management Program | 160 |
Trustees & Officers | 161 |
RiverNorth Funds | Shareholder Letter |
September 30, 2022 (Unaudited)
Dear Fellow Shareholders,
Last year, we started off one of our shareholder letters with the following sentence: “The economic environment in the U.S. has changed meaningfully relative to a year ago.” Those words were written as the global economy was sharply rebounding from the depths of the COVID-19 pandemic (the "Pandemic"). For different reasons, those words ring true again as we pen this year’s annual letter.
Inflation is running at levels we haven’t seen in decades. Interest rates are ratcheting up accordingly. The Federal Reserve (“Fed”) is aggressively hiking short term rates to slow the pace of rising prices while implementing its plan to reduce the size of its balance sheet which had grown by several trillion dollars while fighting the economic effects of the Pandemic.
While financial pundits debate the probability of aggressive Fed monetary policy throwing the U.S. economy into a recession, higher long-term rates have thrown some cold water on the red-hot U.S. residential real estate market.
Add geopolitical uncertainty to the mix, mainly from the Russian invasion of Ukraine, and it’s no surprise that broad based equity and fixed income asset classes have experienced steep losses over the past several months. Many fixed income indices have experienced the worst start to a calendar year EVER. A common theme surrounding recent market performance has been, “no place to hide,” as assets across the risk spectrum have experienced significant volatility.
RiverNorth Capital Management, LLC's ("RiverNorth") investment strategies have historically benefitted from volatility (although past performance is no guarantee of future results). We believe the asset classes we specialize in including closed-end funds (“CEFs”), business development companies (“BDCs”) and special purpose acquisition companies (“SPACs”) tend to be under-followed, less-liquid, and misunderstood by the general investing public. Our view is that those characteristics, combined with volatility, may create opportunities to add value through our trading strategies. After reaching fully valued levels last summer, we are seeing attractive discounts again in both CEFs and BDCs. After record issuance in 2020 and Q1 2021, the SPAC market has cooled considerably. While these developments sound negative on the surface, we believe that they may create opportunity for RiverNorth.
RiverNorth co-manages two of our Funds with fixed-income managers, DoubleLine Capital and Oaktree Capital. We believe their focus on risk-adjusted returns is paramount during periods of economic weakness. Together, we remain optimistic about the prospects of our fixed-income funds.
We are pleased to provide you with the following 2022 Annual Report. The report reviews our three opportunistic closed-end strategies: the RiverNorth Core Opportunity Fund (RNCIX/RNCOX), the RiverNorth/DoubleLine Strategic Income Fund (RNSIX/RNDLX), and the RiverNorth/Oaktree High Income Fund (RNHIX/RNOTX).
Please visit www.rivernorth.com for additional information.
We thank you for your investment and trust in managing your assets.
Respectfully,
RiverNorth Capital Management, LLC
2 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Shareholder Letter |
September 30, 2022 (Unaudited)
Opinions and estimates offered constitute our judgement and are subject to change.
Definitions:
Closed-End Fund – A closed-end fund is a portfolio of pooled assets that raises a fixed amount of capital through an initial public offering (IPO) and then lists shares for trade on a stock exchange.
Market Price – The market price at which a closed-end fund trades often varies from its net asset value ("NAV"). Some funds have market prices below their NAVs, referred to as a discount. Conversely, some funds have market prices above their NAVs, referred to as a premium.
Annual Report | September 30, 2022 | 3 |
RiverNorth Funds | Portfolio Update |
September 30, 2022 (Unaudited)
RiverNorth Core Opportunity Fund
What is the Fund's investment strategy?
The RiverNorth Core Opportunity Fund (the “Fund”) opportunistically allocates its assets to four niche asset classes: closed-end funds (“CEFs”), special purpose acquisition companies (“SPACs”), business development companies (“BDCs”), and investment company debt (“ICD”). The Fund also allocates to exchange-traded funds (“ETFs”) and cash/equivalents to preserve fund level liquidity, while providing a source of dry powder to take advantage of tactical allocation opportunities.
How did the Fund perform relative to its benchmark during the period?
For the twelve-month period ended September 30, 2022, the Class I share (symbol: RNCIX) returned -16.70% and the Class R share (symbol: RNCOX) returned -16.88%. These returns compare to the S&P 500 Total Return Index return of -15.47%, the Bloomberg U.S. Aggregate Bond Index return of -14.61%, and the Morningstar U.S. Fund Allocation Category average return of -14.69%.
Comparison of a $10,000 Investment in the RiverNorth Core Opportunity Fund Class R, the Blend Index, and the S&P 500® Index.
4 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Portfolio Update |
September 30, 2022 (Unaudited)
Comparison of a $100,000 Investment in the RiverNorth Core Opportunity Fund Class I, the Blend Index, and the S&P 500® Index.
Average Annual Total Returns for Periods Ended September 30, 2022
| 1-Year | 3-Year | 5-Year | 10 Year | Since Inception(1)(2) |
RiverNorth Core Opportunity Fund – Class I (RNCIX)(3) | -16.70% | 2.42% | 3.33% | 5.86% | 6.68% |
RiverNorth Core Opportunity Fund – Class R (RNCOX) | -16.88% | 2.17% | 3.08% | 5.61% | 6.42% |
Blend Index(4) | -14.85% | 3.85% | 5.70% | 7.50% | 6.34% |
S&P 500® Index(4) | -15.47% | 8.16% | 9.24% | 11.70% | 8.19% |
| (1) | Inception date of Class R is December 27, 2006. |
| (2) | Inception date of Class I is August 11, 2014. |
| (3) | In presenting performance information for the newer Institutional share class of the Fund, the Fund includes, for periods prior to the offering of the Institutional share class, the operating expense ratio and performance of the Fund’s Retail share class, adjusted to reflect the class-related operating expenses of the Institutional share class. Actual expense differentials across classes will vary over time. The performance of the Fund’s newer Institutional share class would have been substantially similar to the performance of the Fund’s Retail share class because both share classes of the Fund are invested in the same portfolio of securities and would have differed only to the extent that the classes do not have the same expenses (although differences in expenses between share classes may change over time). |
Annual Report | September 30, 2022 | 5 |
RiverNorth Funds | Portfolio Update |
September 30, 2022 (Unaudited)
| (4) | Blend Index consists of 60% S&P 500® Index and 40% Bloomberg Capital U.S. Aggregate Bond Index. S&P 500® Index is a capitalization-weighted index of 500 stocks. The Bloomberg Capital U.S. Aggregate Bond Index is an unmanaged index of investment-grade fixed-rate debt issues with maturities of at least one year. This unmanaged index does not reflect fees and expenses. The S&P 500® and Blend Indices are indices only and cannot be invested in directly. |
Performance data quoted represents past performance, which is not a guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. You can obtain performance data current to the most recent month end by calling (888) 848-7569 or visiting www.rivernorth.com. Total return measures net investment income and capital gain or loss from portfolio investments. All performance shown assumes reinvestment of dividends and capital gains distributions and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
The Total Annual Fund Operating Expense for the Fund as disclosed in the prospectus dated January 28, 2022: 3.06% (RNCIX); 3.31% (RNCOX). In presenting expense information for the newer Institutional share class of the Fund, the Fund includes, for periods prior to the offering of the Institutional share class, the operating expense ratio of the Fund’s Retail share class, adjusted to reflect the class-related operating expenses of the Institutional share class. Actual expense differentials across share classes will vary over time. The annualized net expense ratio in this annual report dated September 30, 2022 is 1.39% (RNCIX); 1.64% (RNCOX). The expense ratio as disclosed in the Fund’s annual report dated September 30, 2022 only includes the direct expenses paid by shareholders from their investment. The expense ratio as disclosed in the Fund’s prospectus dated January 28, 2022 is required to include the indirect expenses of investing in underlying funds.
What contributing factors were responsible for the Fund’s relative performance during the period?
The fiscal year September 30, 2022 was a period of significant weakness for CEFs with the All CEF peer group index down 17.03% and 20.91% on NAV and market price, respectively. Over that period we endured 3 of the worst 10 quarters for CEF performance since 1997 and the 2nd worst month (September 2022) in the past 10 years.
The volatility in CEFs has pushed discounts out to very wide levels. At September 30, 2022, the All CEF Peer Group average discount was in the 85th percentile of wideness. Said differently, only 15% of the time has the average discount been wider than where they sat at year-end.
If you look across those 15% of observations that were wider, you’ll notice that most of them are clustered close to where discounts are today. It’s very rare to see significantly wider discounts.
Exposure to CEFs (both NAVs and discounts) was the largest detractor from performance over the fiscal year. The Fund’s exposure to ICD, SPACs and BDCs had a flat to small negative contribution to performance over the period.
How was the Fund positioned at the end of the period?
Year-over-year, the Fund has had a significant increase in CEF, ICD and ETF exposure with a commensurate decrease in cash, SPACs and BDCs.
6 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Portfolio Update |
September 30, 2022 (Unaudited)
The average discount of the Fund’s CEF portfolio widened about 5.7% and ended the fiscal year at -15.0%. We view this level of discounts as an attractive margin of safety and potential source of alpha if discounts narrow from here.
What is the outlook?
We expect that investors will continue to harvest CEF tax losses into the 4th quarter of 2022. It’s hard to say when the selling will peak, but it’s typically around Thanksgiving. In the CEF market, discounts tend to bottom around that time.
It’s our opinion that CEFs are truly providing a double discount on most asset classes. With market prices for the major peer groups, both equity and fixed income, down 15-25% over the reporting period, we believe current discounts on top of cheaper asset classes make CEFs uniquely attractive.
Investment Vehicle Allocation(1) (percentages are based on net assets)
Asset Class Allocation(1) (percentages are based on net assets)
Annual Report | September 30, 2022 | 7 |
RiverNorth Funds | Portfolio Update |
September 30, 2022 (Unaudited)
Fixed Income Allocation(1)(2) (percentages are based on net assets)
Portfolio detail statistics are estimates made by the adviser and are subject to change.
| (1) | 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. 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. 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. 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. |
| (2) | Credit quality allocation reflects a fixed-income portfolio weighted average of the credit breakdown of each CEF as provided by the adviser of said CEF. If a credit breakdown is not provided by the adviser, Bloomberg is used. Investment grade refers to a bond rated BBB- or higher by Standard & Poor’s or Baa3 or higher by Moody’s. High yield refers to a bond rate lower than investment grade. For more information about securities ratings, please see the Fund’s Statement of Additional information at www.rivernorth.com. |
8 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Portfolio Update |
September 30, 2022 (Unaudited)
RiverNorth/DoubleLine Strategic Income Fund
What is the Fund's investment strategy?
The RiverNorth/DoubleLine Strategic Income ("the Fund") invests in a broad range of fixed income securities of U.S. and foreign issuers, including closed-end funds ("CEFs").
Assets of the Fund are tactically managed across three strategies (or sleeves). RiverNorth Capital Management, LLC (“RiverNorth”) oversees the strategy weights and manages the Tactical Closed-End Fund Income Strategy. The RiverNorth strategy provides diversified exposure to the fixed income market through opportunistic investments in closed-end bond funds, and business development companies (“BDC”). Sector allocations are based on RiverNorth's assessment of relative value among asset classes and CEFs. Jeffrey Gundlach, CEO and CIO of DoubleLine Capital, LP (“DoubleLine”), and his team oversee the Opportunistic Income and Core Fixed Income Strategies. The Opportunistic Income Strategy seeks to achieve positive absolute returns and is managed without duration constraints. The Core Fixed Income Strategy incorporates an active asset allocation approach in an effort to mitigate risk and achieve the highest possible risk-adjusted returns.
How did the Fund perform relative to its benchmark during the period?
For the twelve-month period ended September 30, 2022, the Class I share (symbol: RNSIX) returned -14.04% and the Class R share (symbol: RNDLX) returned -14.23%. The Bloomberg Capital U.S. Aggregate Bond Index returned -14.60%, during the same period.
Comparison of a $10,000 Investment in the RiverNorth/DoubleLine Strategic Income Fund Class R and the Capital U.S. Aggregate Bond Index
Annual Report | September 30, 2022 | 9 |
RiverNorth Funds | Portfolio Update |
September 30, 2022 (Unaudited)
Comparison of a $100,000 Investment in the RiverNorth/DoubleLine Strategic Income Fund Class I and the Capital U.S. Aggregate Bond Index
Average Annual Total Returns for Periods Ended September 30, 2022
| 1-Year | 3-Year | 5-Year | 10 Year | Since Inception(1) |
RiverNorth/DoubleLine Strategic Income Fund – Class I (RNSIX) | -14.04% | -1.46% | 0.78% | 2.63% | 4.10% |
RiverNorth/DoubleLine Strategic Income Fund – Class R (RNDLX) | -14.23% | -1.71% | 0.53% | 2.38% | 3.86% |
Bloomberg Capital U.S. Aggregate Bond Index(2) | -14.60% | -3.26% | -0.27% | 0.89% | 1.77% |
| (1) | Inception date is December 30, 2010. |
| (2) | The Bloomberg Capital U.S. Aggregate Bond Index is an unmanaged index of investment-grade fixed-rate debt issues with maturities of at least one year. The index cannot be invested in directly and does not reflect fees and expenses. |
Performance data quoted represents past performance, which is not a guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. You can obtain performance data current to the most recent month end by calling (888) 848-7569 or visiting www.rivernorth.com. Total return measures net investment income and capital gain or loss from portfolio investments. All performance shown assumes reinvestment of dividends and capital gains distributions and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
10 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Portfolio Update |
September 30, 2022 (Unaudited)
The Total Annual Fund Operating Expense for the Fund as disclosed in the prospectus dated January 28, 2022: 1.16% (RNSIX); 1.41% (RNDLX). The annualized net expense ratio in this annual report dated September 30, 2022 is 0.87% (RNSIX) and 1.12% (RNDLX). The expense ratio as disclosed in the Fund’s annual report dated September 30, 2022 only includes the direct expenses paid by shareholders from their investment. The expense ratio as disclosed in the Fund’s prospectus dated January 28, 2022 is required to include the indirect expenses of investing in underlying funds.
What contributing factors were responsible for the Fund’s relative performance during the period?
RiverNorth Tactical Closed-End Fund Income Sleeve
The fiscal year ended September 30, 2022 was a period of significant weakness for fixed income CEFs with the All Taxable Fixed Income CEF peer group index down 15.78% and 21.66% on NAV and market price, respectively. Over that period we endured 3 of the worst 10 quarters for CEF performance since 1997 and the 2nd worst month (September 2022) in the past 10 years.
The volatility in CEFs has pushed discounts out to very wide levels. As of September 30, 2022, the All Taxable Fixed Income CEF Peer Group average discount was in the 91st percentile of wideness. Said differently, only 9% of the time has the average discount been wider than where they sat at year-end.
If you look across those 9% of observations that were wider, you’ll notice that most of them are clustered close to where discounts are today. It’s very rare to see significantly wider discounts.
We had relatively low CEF exposure during the reporting period. Given the poor performance of the CEF space, we believe that this saved the Fund from steeper losses. Conversely, we had the highest special purpose acquisition company (“SPAC”) exposure since inception of the Fund. The SPAC exposure likely contributed flat-to-positive performance over the reporting period which was a large, relative winner.
All three sleeves within the Fund contributed negatively to performance over the fiscal year. Further, all asset classes within the RiverNorth sleeve contributed negatively to performance over the year, although the Fund’s exposure to BDCs, investment company debt (“ICD”) and SPACs contributed small, negative returns.
DoubleLine Opportunistic Income Sleeve
For the 12-month period ended September 30, 2022, the portfolio outperformed the Bloomberg US Aggregate Bond Index return of -14.60%. This was a tumultuous period for the global economy as headline inflation rates in the US spiked to as high as 9% and central bankers subsequently scrambled to tighten monetary policy. The 2-year US Treasury yield rose by 400 basis points (“bps”) during this period and the 10-year US Treasury yield jumped 234bps. The US Federal Reserve hiked its policy rate by 300bps from March to September of 2022 and commenced its official balance sheet runoff program, known as quantitative tightening, in June. The response from financial assets was uniformly negative. The Fund’s benchmark, the Bloomberg US Aggregate Bond Index, fell 14.60% and its US Treasury, Agency Mortgage Backed-Securities (“MBS”), and Investment-grade corporate subcategories fell 12.94%, 13.98%, and 18.53% respectively. Despite its negative total rate of return, the Fund was able to outperform on a relative basis due to its active duration management and asset allocation. In terms of duration management, the Fund consistently maintained a lower duration than the benchmark which naturally bolstered relative performance as rates rose. As for asset allocation, nearly all of the credit sleeves in the Fund outperformed the credit and government-backed securities held in the Index. The top-performing sectors in the Fund were non-agency commercial mortgage-backed securities (“CMBS”) and non-agency residential mortgage-backed securities (“RMBS”). Both of these asset categories benefitted from having high levels of monthly interest income and a relatively lower sensitivity to interest rate changes. Non-agency CMBS enjoyed the added benefit of continued loan-level resolutions for properties that were adversely impacted by the Pandemic. Non-agency RMBS fared much better through the Pandemic and bond valuations enjoyed a steady tailwind from the strong US housing economy. The worst-performing sectors in the Fund were emerging market (“EM”) debt and US government/agency MBS debt. The EM market as a whole struggled throughout this period as the US dollar surged and credit spreads widened. US government and agency MBS holdings were negatively impacted by duration, spread widening on the mortgages, and generally negative sentiment in the market as the Federal Reserve embarked on quantitative tightening.
Annual Report | September 30, 2022 | 11 |
RiverNorth Funds | Portfolio Update |
September 30, 2022 (Unaudited)
DoubleLine Core Fixed Income Sleeve
For the 12-month period ended September 30, 2022, the portfolio outperformed the Bloomberg U.S. Aggregate Bond Index return of -14.60%. Relative outperformance was driven by asset allocation and duration positioning. Rates increased across all tenors of the US Treasury curve during the period with 2-year yields rising by 400bps and 10-yr yields increasing by 234bps. The sleeve’s short duration relative to the benchmark positively contributed to outperformance given the increase in treasury yields. The sleeve’s allocation to structured credit sectors such as collateralized loan obligations (“CLOs”), asset backed securities (“ABS”), non-agency RMBS, and non-agency CMBS also positively contributed to outperformance driven in part by their shorter duration profiles. Exposure to fixed rate corporate credit sectors such as emerging market debt, investment grade corporate credit, and high yield detracted from performance as these sectors suffered price declines due to credit spread widening and rising interest rates.
How was the Fund positioned at the end of the period?
The Fund's sleeve allocation at fiscal year-end is as follows: 24% RiverNorth Tactical CEF Income, 35% DoubleLine Core Fixed Income, and 41% DoubleLine Opportunistic Income. Over the year, there was a modest increase in the assets allocated to the DoubleLine Opportunistic Income and Core sleeves and a corresponding decrease in the RiverNorth sleeve. Some of this change can be attributed to relative performance differences across the sleeves.
The average discount of the Fund’s CEF portfolio widened about 6.9% to a 12.5% discount at fiscal year end, which we view as very attractive.
Year over year, the Fund’s credit quality, duration and broad asset class exposure remained relatively stable.
What is the outlook?
We expect that investors will continue to harvest CEF tax losses into the 4th quarter of 2022. It’s hard to say when the selling will peak, but it’s typically around Thanksgiving. In the CEF market, discounts tend to bottom around that time.
It’s our opinion that CEFs are truly providing a double discount on most asset classes. With market prices for the fixed income CEF peer groups down 20-25% over the reporting period, we believe current discounts on top of cheaper asset classes make CEFs uniquely attractive.
12 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Portfolio Update |
September 30, 2022 (Unaudited)
Strategy (“Sleeve”) Allocation
Credit Quality Distribution(1)(2) (percentages are based on net assets)
Sector Breakdown(1) (percentages are based on net assets)
The allocation does not add up to 100% as it reflects the estimated leverage utilized by the underlying funds.
Portfolio detail statistics are estimates made by the adviser and are subject to change.
Annual Report | September 30, 2022 | 13 |
RiverNorth Funds | Portfolio Update |
September 30, 2022 (Unaudited)
| (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. Convertible Security Risk – the market value of convertible securities adjusts with interest rates and the value of the underlying stock. Defaulted Securities Risk – defaulted securities carry the risk of uncertainty of repayment. Derivatives Risk – derivatives are subject to counterparty risk. 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. 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. Portfolio Turnover Risk – increased portfolio turnover results in higher brokerage expenses and may impact the tax status of distributions. 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. 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. |
| (2) | For the sleeve managed by RiverNorth, credit quality allocation reflects a fixed-income portfolio weighted average of the credit breakdown of each CEF as provided by the advisor of said CEF. If a credit breakdown is not provided by the advisor, Bloomberg is used. For the sleeves managed by DoubleLine, credit quality allocation is determined from the highest available credit rating from any Nationally Recognized Statistical Rating Organization (S&P, Moody’s and Fitch). Investment grade refers to a bond rated BBB- or higher by Standard & Poor’s or Baa3 or higher by Moody’s. High yield refers to a bond rated lower than investment grade. For more information about securities ratings, please see the Fund’s Statement of Additional Information at www.rivernorth.com. |
14 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Portfolio Update |
September 30, 2022 (Unaudited)
RiverNorth/Oaktree High Income Fund
What is the Fund's investment strategy?
The RiverNorth/Oaktree High Income Fund ("the Fund") invests in a broad range of income producing securities including both fixed income and equity securities. Assets of the Fund are tactically managed across three income strategies (or sleeves). RiverNorth Capital Management, LLC (“RiverNorth”) manages the Tactical Closed-End Fund Strategy. This strategy is designed to provide diversified fixed income and equity income exposure through opportunistic investments in closed-end funds ("CEFs"). Oaktree Fund Advisors, LLC ("Oaktree") manages the High Yield Bond and Senior Loan Strategies on a global basis. Oaktree will tactically manage the allocation between the High Yield Bond and Senior Loan Strategies based both on market opportunities and the risk and reward trade-offs between the two asset classes.
How did the Fund perform relative to its benchmark during the period?
For the 12-month period ended September 30, 2022, the Class I share (symbol: RNHIX) returned -10.03% and the Class R share (symbol: RNOTX) returned -10.27%. The ICE Bank of America Merrill Lynch Non-Financial Developed High Yield Constrained Index (the "BofA Non-Financial Developed HY Constrained Index") and CSFB Leveraged Loan Index returned -17.72% and -2.62%, respectively, during the same period.
Comparison of a $10,000 Investment in the RiverNorth/Oaktree High Income Fund Class R, BofA ML Non-Financial Developed HY Constrained Index and the CSFB Leveraged Loan Index
Annual Report | September 30, 2022 | 15 |
RiverNorth Funds | Portfolio Update |
September 30, 2022 (Unaudited)
Comparison of a $100,000 Investment in the RiverNorth/Oaktree High Income Fund Class I, BofA ML Non-Financial Developed HY Constrained Index and the CSFB Leveraged Loan Index
Average Annual Total Returns for the Period Ended September 30, 2022
| 1-Year | 3-Year | 5-Year | 10-Year | Since Inception(1) |
RiverNorth/Oaktree High Income Fund – Class I (RNHIX) | -10.03% | -0.79% | 0.91% | x.xx% | 2.79% |
RiverNorth/Oaktree High Income Fund – Class R (RNOTX) | -10.27% | -1.04% | 0.66% | x.xx% | 2.52% |
BofA ML Non-Financial Developed HY Constrained Index(2) | -17.72% | -2.12% | -0.01% | x.xx% | 2.63% |
CSFB Leveraged Loan Index(2) | -2.62% | 2.05% | 2.89% | x.xx% | 3.58% |
| (1) | Inception date is December 28, 2012. |
| (2) | The BofA ML Non-Financial Developed Markets HY Constrained Index contains all securities in the BofA Merrill Lynch Global High Yield Index from developed markets countries but caps issuer exposure at 2%. Developed markets is defined as an FX-G10 member, a Western European nation, or a territory of the U.S. or a Western European nation. The BofA ML Non-Financial Developed Markets HY Constrained Index tracks the performance of USD, CAD, GBP and EUR denominated below investment grade corporate debt publicly issued in the major domestic or Eurobond markets. Qualifying securities must have a below investment grade rating (based on an average of Moody’s, S&P and Fitch). The CSFB Leveraged Loan Index tracks the investable market of the U.S. dollar denominated leveraged loan market. It consists of issues rated “5B” or lower, meaning that the highest rated issues included in this index are Moody’s/S&P ratings of Baa1/BB+ or Ba1/BBB+. All loans are funded term loans with a tenor of at least one year and are made by issuers domiciled in developed countries. The BofA ML Non-Financial Developed Markets HY Constrained and the CSFB Leveraged Loan Indices are indices only and cannot be invested in directly. |
16 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Portfolio Update |
September 30, 2022 (Unaudited)
Performance data quoted represents past performance, which is not a guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. You can obtain performance data current to the most recent month end by calling (888) 848-7569 or visiting www.rivernorth.com. Total return measures net investment income and capital gain or loss from portfolio investments. All performance shown assumes reinvestment of dividends and capital gains distributions and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
The Total Annual Operating Expense for the Fund as disclosed in the prospectus dated January 28, 2022: 1.41% (RNHIX); 1.66% (RNOTX). The adviser has contractually agreed to defer the collection of fees and/or reimburse expenses, but only to the extent necessary to limit Total Annual Fund Operating Expenses (excluding brokerage fees and commissions; borrowing costs, such as (a) interest and (b) dividends on securities sold short; taxes; indirect expenses incurred by the underlying funds in which the Fund invests; and extraordinary expenses) to 1.35% (RNHIX) and 1.60% (RNOTX) of the average daily net assets of the Fund through January 31, 2022. The annualized net expense ratio in this annual report dated September 30, 2022 is 1.35% (RNHIX) and 1.60% (RNOTX). The expense ratio as disclosed in the Fund’s annual report dated September 30, 2022 only includes the direct expenses paid by shareholders from their investment. The expense ratio as disclosed in the Fund’s prospectus dated January 28, 2022 is required to include the indirect expenses of investing in underlying funds.
What contributing factors were responsible for the Fund’s relative performance during the period?
RiverNorth Tactical Closed-End Fund Sleeve
The fiscal year ended September 30, 2022 was a period of significant weakness for fixed income CEFs with the All Taxable Fixed Income CEF peer group index down 15.78% and 21.66% on NAV and market price, respectively. Over that period we endured 3 of the worst 10 quarters for CEF performance since 1997 and the 2nd worst month (September 2022) in the past 10 years.
The volatility in CEFs has pushed discounts out to very wide levels. At September 30, 2022, the All Taxable Fixed Income CEF Peer Group average discount was in the 91st percentile of wideness. Said differently, only 9% of the time has the average discount been wider than where they sat at year end.
If you look across those 9% of observations that were wider, you’ll notice that most of them are clustered close to where discounts are today. It’s very rare to see significantly wider discounts.
The Oaktree sleeve was the most significant negative contributor to performance over the year, while the CEF sleeve had a relatively small negative contribution to performance.
The RiverNorth sleeve’s exposure to the underlying net asset values of CEFs was the largest detractor from performance for the period.
��
Annual Report | September 30, 2022 | 17 |
RiverNorth Funds | Portfolio Update |
September 30, 2022 (Unaudited)
Oaktree High Yield Bond & Senior Loan Sleeve
Recession fears and rising interest rates pummeled financial assets over the past twelve months. High yield bonds were not immune to the declines. Most notably, we’ve seen a significant increase in Treasury yields, which has pushed down bond prices across all fixed income, including high yield bonds. Importantly, however, the duration of high yield bonds is moderate, particularly compared to investment grade bonds. In addition to rising interest rates, the yield spread of the high yield bond market has also widened over the twelve-month period.
Although the default environment remains relatively benign, there has been an increase in the number of issues trading at or below 70% of par (an indicator of creditor weakness). The rising amount of stressed and distressed debt suggests that defaults should increase from their current low levels; however, two factors may help issuers survive an economic downturn.
First, the vast majority of bank loans are “covenant lite,” meaning most credit agreements don’t require companies to satisfy financial covenants, such as leverage ratios. Companies with credit agreements lacking these financial (aka maintenance) covenants obviously don’t have to worry about defaulting by breaching such covenants, so borrowers with covenant lite loans should default less frequently than those with traditional credit agreements.
Second, strong demand for high yield bonds from retail and institutional investors enabled many companies to extend their debt maturities and lower their interest burden by refinancing their debt. At today’s yield spreads, we believe investors are being well compensated for credit risk. Moreover, with high yield bonds trading at deep discounts, investors have ample opportunity to earn capital appreciation.
How was the Fund positioned at the end of the period?
The Fund's sleeve allocation at fiscal year end is as follows: 24% RiverNorth Tactical CEF Income and 76% Oaktree Global High Yield/Bank Loan.
The average discount of the Fund’s CEF portfolio widened about 1.5% to a 6.3% discount at year-end.
Oaktree High Yield Bond & Senior Loan Sleeve
At the end of September 2022, the portfolio remained broadly diversified. Roughly 81% of the global portfolio was allocated to North America, with the balance invested in Europe. In terms of Industry exposure, Hotels, Restaurants & Leisure and Software represented the two largest sectors in the portfolio.
We are monitoring our duration and yield curve positioning closely. Our objective is to ensure that the portfolio will not be disproportionately impacted if interest rates move up sharply.
What is the outlook?
We expect that investors will continue to harvest CEF tax losses into the 4th quarter of 2022. It’s hard to say when the selling will peak, but it’s typically around Thanksgiving. In the CEF market, discounts tend to bottom around that time.
18 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Portfolio Update |
September 30, 2022 (Unaudited)
It’s our opinion that CEFs are truly providing a double discount on most asset classes. With market prices for the fixed income CEF peer groups down 20-25% over the reporting period, we believe current discounts on top of cheaper asset classes make CEFs uniquely attractive.
Strategy Allocation
Credit Quality Distribution(1)(2) (percentages are based on net assets)
Sector Breakdown(1) (percentages are based on net assets)
The allocation does not add up to 100% as it reflects the leverage utilized by the underlying funds.
| (1) | Borrowing Risk – borrowings increase fund expenses and are subject to repayment, possibly at inopportune times. Closed- End Fund Risk – closed-end funds are exchange traded, may trade at a discount to their net asset values and may deploy leverage. Convertible Security Risk – the market value of convertible securities adjusts with interest rates and the value of the underlying stock. Credit Derivatives Risk – the use of credit derivatives is highly specialized, involves default, counterparty and liquidity risks and may not perfectly correlate to the underlying asset or liability being hedged. Currency Risk – foreign currencies will rise or decline relative to the U.S. dollar. Distressed and Defaulted Securities Risk – defaulted securities carry the risk of uncertainty of repayment. Equity Risk – equity securities may experience volatility and the value of equity securities may move in opposite directions from each other and from other equity markets generally. Fixed Income Risk – the market value of fixed income securities adjusts with interest rates and the securities are subject to issuer default. Foreign/Emerging Market Risk – foreign securities may be subject to inefficient or volatile markets, different regulatory regimes or different tax policies. These risks may be enhanced in emerging markets. Floating Interest Rate Risk – loans pay interest based on the London Interbank Offered Rate (LIBOR) and a decline in LIBOR could negatively impact the Fund’s return. Investment Style Risk – investment strategies may come in and out of favor with investors and may underperform or outperform at times. Large Shareholder Purchase and Redemption Risk – The Fund may experience adverse effects when certain large shareholders purchase or redeem large amounts of shares of the Fund. Loans Risk – loans may be unrated or rated below investment grade and the pledged collateral may lose value. Secondary trading in loans is not fully-developed and may result in illiquidity. Management Risk – there is no guarantee that the adviser’s or sub-adviser’s investment decisions will produce the desired results. Market Risk – economic conditions, interest rates and political events may affect the securities markets. Portfolio Turnover Risk – increased portfolio turnover results in higher brokerage expenses and may impact the tax status of distributions. Preferred Stock Risk – preferred stocks generally pay dividends, but may be less liquid than common stocks, have less priority than debt instruments and may be subject to redemption by the issuer. Security Risk – the value of the Fund may increase or decrease in response to the prospects of the issuers of securities and loans held in the Fund. Swap Risk – swap agreements are subject to counterparty default risk and may not perform as intended. Underlying Fund Risk – underlying funds have additional fees, may utilize leverage, may not correlate to an intended index and may trade at a discount to their net asset values. Valuation Risk – Loans and fixed-income securities are traded “over the counter” and because there is no centralized information regarding trading, the valuation of loans and fixed-income securities may vary. |
Annual Report | September 30, 2022 | 19 |
RiverNorth Funds | Portfolio Update |
September 30, 2022 (Unaudited)
| (2) | For the sleeve managed by RiverNorth, credit quality allocation reflects a fixed-income portfolio weighted average of the credit breakdown of each CEF as provided by the advisor of said CEF. If a credit breakdown is not provided by the advisor, Bloomberg is used. For the sleeves managed by Oaktree, the sub-adviser uses a proprietary credit scoring matrix to rank potential investments. This process offers a systematic way of reviewing the key quantitative and qualitative variables impacting credit quality for each investment. Investment grade refers to a bond rated BBB- or higher by Standard & Poor’s or Baa3 or higher by Moody’s. High yield refers to a bond rated lower than investment grade. For more information about securities ratings, please see the Fund’s Statement of Additional Information at www.rivernorth.com. |
20 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Portfolio Update |
September 30, 2022 (Unaudited)
Definitions:
Agency Mortgage-Backed Securities (Agency MBS) – Agency MBS are mortgage-backed securities issued by government-sponsored enterprises such as Government National Mortgage Association (GNMA or Ginnie Mae), Federal National Mortgage Association (FNMA or Fannie Mae) or Federal Home Loan Mortgage Corporation (Freddie Mac).
Alpha – Alpha is a measure of performance on a risk-adjusted basis. The excess return of a fund relative to the return of the benchmark index is a fund's alpha.
Basis Point (bps) – A common unit of measure for interest rates and other percentages in finance. One basis point is equal to 1/100th of 1%, or 0.01% (0.0001), and is used to denote the percentage change in a financial instrument.
Bloomberg U.S. Aggregate Bond Index – The Bloomberg U.S. Aggregate Bond Index is an unmanaged index of investment-grade fixed-rate debt issues with maturities of at least one year. The index cannot be invested in directly and does not reflect fees and expenses.
BofA Merrill Lynch Developed Markets High Yield Constrained Index – The BofA Merrill Lynch Developed Markets High Yield Constrained Index contains all securities in the BofA Merrill Lynch Global High Yield index from developed markets countries but cap issuer exposure at 2%. Developed markets is defined as an FX-G10 member, a Western European nation, or a territory of the U.S. or a Western European nation. The index tracks the performance of USD, CAD, GBP and EUR denominated below investment grade corporate debt publicly issued in the major domestic or Eurobond markets. Qualifying securities must have a below investment grade rating (based on an average of Moody's, S&P and Fitch). The index cannot be invested in directly and does not reflect fees and expenses.
Business Development Company (BDC) – A BDC is an organization that invests in small- and medium-sized companies as well as distressed companies. A BDC helps the small- and medium-sized firms grow in the initial stages of their development.
Collateralized Loan Obligation (CLO) – A CLO is a security backed by a pool of debt, often low- rated corporate loans. The investor receives scheduled debt payments from the underlying loans but assumes most of the risk in the event that borrowers default.
Commercial Mortgage-Backed Securities (CMBS) – CMBS are fixed-income investment products that are backed by mortgages on commercial properties rather than residential real estate.
Coupon – A coupon is the annual interest rate paid on a bond, expressed as a percentage of the face value.
Dry Powder – Dry Powder is an informal term that refers to highly liquid securities, cash reserves and any other security that can be converted to cash right away to meet debt obligations, cover operational expenses or invest in opportunities.
Investment Company Debt (ICD) – ICD are non-equity securities. Notes typically obligate issuers to repay creditor the principal loan, in addition to any interest payments, at a predetermined date.
Annual Report | September 30, 2022 | 21 |
RiverNorth Funds | Portfolio Update |
September 30, 2022 (Unaudited)
Morningstar All CEF Peer Group – The Morningstar All CEF Peer Group Index is an equally-weighted index of all U.S.-listed Closed-End Funds that invest substantially all of their assets in taxable, nonmunicipal securities.
Morningstar All Taxable Fixed Income CEF Peer Group – The Morningstar All Taxable Fixed Income CEF Peer Group is an equally-weighted index of all U.S.-listed Closed-End Funds that invest substantially all of their assets in taxable fixed income securities.
Morningstar U.S. Fund Allocation Category – The Morningstar U.S. Fund Allocation Category -50% to 70% Equity. Funds in allocation categories seek to provide both income and capital appreciation by investing in multiple asset classes, including stocks, bonds, and cash. These portfolios are dominated by domestic holdings and have equity exposures between 50% and 70%.
Mortgage-Backed Securities (MBS) – MBS are asset-backed securities that are secured by a mortgage or collection of mortgages.
Non-Agency Residential Mortgage-Backed Securities (Non-Agency RMBS) – Non-Agency RMBS are mortgage-backed securities sponsored by private companies other than the government sponsored enterprises such as Fannie Mae, Ginnie Mae, or Freddie Mac.
Par – Par value, also known as nominal value, is the face value of a bond or the stock value stated in the corporate charter.
Residential Mortgage-Backed securities (RMBS) – RMBS are a type of mortgage-backed debt obligation whose cash flows come from residential debt, such as mortgages, home-equity loans and subprime mortgages.
Special Purpose Acquisition Company (SPAC) – A SPAC is a company with no commercial operations that is formed strictly to raise capital through an initial public offering (IPO) for the purpose of acquiring an existing company.
Tax Loss Harvesting – Tax loss selling is the selling of securities at a loss to offset a capital gains tax liability.
22 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Disclosure of Fund Expenses |
September 30, 2022 (Unaudited)
Expense Example
As a shareholder of the RiverNorth Funds (the "Trust" or "Funds"), you incur two types of costs: (1) transaction costs; 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, April 1, 2022, and held for the six months ended September 30, 2022.
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 variable 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.
Annual Report | September 30, 2022 | 23 |
RiverNorth Funds | Disclosure of Fund Expenses |
September 30, 2022 (Unaudited)
| Beginning Account Value 04/01/2022 | Ending Account Value 09/30/2022 | Expense Ratio(a) | Expenses Paid During Period(b) |
RiverNorth Core Opportunity Fund | | | | |
Class I Shares | | | | |
Actual | $1,000.00 | $849.00 | 1.46% | $6.77 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.75 | 1.46% | $7.39 |
Class R Shares | | | | |
Actual | $1,000.00 | $848.20 | 1.72% | $7.97 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.44 | 1.72% | $8.69 |
RiverNorth/DoubleLine Strategic Income Fund | | | | |
Class I Shares | | | | |
Actual | $1,000.00 | $898.90 | 0.89% | $4.24 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.61 | 0.89% | $4.51 |
Class R Shares | | | | |
Actual | $1,000.00 | $897.90 | 1.14% | $5.42 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.35 | 1.14% | $5.77 |
RiverNorth/Oaktree High Income Fund | | | | |
Class I Shares | | | | |
Actual | $1,000.00 | $918.70 | 1.35% | $6.49 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.30 | 1.35% | $6.83 |
Class R Shares | | | | |
Actual | $1,000.00 | $917.50 | 1.60% | $7.69 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.05 | 1.60% | $8.09 |
| (a) | Annualized, based on the Fund's most recent fiscal half-year expenses. |
| (b) | Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (183), then divided by 365. Note this expense example is typically based on a six-month period. |
24 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Core Opportunity Fund | Schedule of Investments |
September 30, 2022
Shares/Description | | Value | |
CLOSED-END FUNDS - 78.49% |
| 157,974 | | | Aberdeen Emerging Markets Equity Income Fund, Inc. | | $ | 723,521 | |
| 32,400 | | | AllianzGI Convertible & Income 2024 Target Term Fund | | | 274,104 | |
| 22,841 | | | Barings Global Short Duration High Yield Fund | | | 279,117 | |
| 124,211 | | | BlackRock 2022 Global Income Opportunity Trust | | | 5,242 | |
| 289,260 | | | Blackrock Capital Allocation Trust | | | 3,936,829 | |
| 100,359 | | | BlackRock Debt Strategies Fund, Inc. | | | 895,202 | |
| 224,353 | | | Blackrock ESG Capital Allocation Trust | | | 2,873,962 | |
| 73,949 | | | Blackstone/GSO Senior Floating Rate Term Fund | | | 928,799 | |
| 264,832 | | | BrandywineGLOBAL - Global Income Opportunities Fund, Inc. | | | 2,018,020 | |
| 57,348 | | | Calamos Long/Short Equity & Dynamic Income Trust | | | 857,353 | |
| 21,886 | | | First Trust Dynamic Europe Equity Income Fund | | | 208,792 | |
| 108,521 | | | First Trust Energy Infrastructure Fund | | | 1,446,585 | |
| 127,622 | | | First Trust High Yield Opportunities 2027 Term Fund | | | 1,719,068 | |
| 317,804 | | | First Trust New Opportunities MLP & Energy Fund | | | 1,741,566 | |
| 148,846 | | | GDL Fund | | | 1,178,860 | |
| 76,828 | | | Nuveen Core Plus Impact Fund | | | 786,719 | |
| 101,401 | | | Nuveen Corporate Income 2023 Target Term Fund | | | 912,487 | |
| 191,685 | | | Nuveen Credit Strategies Income Fund | | | 979,510 | |
| 18,145 | | | Nuveen Preferred & Income Term Fund | | | 334,231 | |
| 14,600 | | | Nuveen Short Duration Credit Opportunities Fund | | | 172,718 | |
| 20,639 | | | Nuveen Variable Rate Preferred & Income Fund | | | 360,357 | |
| 124,365 | | | Pershing Square Holdings Ltd. | | | 3,730,950 | |
| 29,575 | | | PGIM Global High Yield Fund, Inc. | | | 312,903 | |
| 45,153 | | | PGIM Short Duration High Yield Opportunities Fund | | | 648,849 | |
| 62,323 | | | PIMCO Access Income Fund | | | 987,819 | |
| 172,203 | | | PIMCO Dynamic Income Opportunities Fund | | | 2,271,358 | |
| 85,475 | | | Special Opportunities Fund, Inc. | | | 947,918 | |
| 91,679 | | | Sprott Physical Gold and Silver Trust(a) | | | 1,427,442 | |
| 10,000 | | | Templeton Emerging Markets Income Fund | | | 44,300 | |
| 273,355 | | | Virtus Total Return Fund, Inc. | | | 1,703,002 | |
| 18,270 | | | Western Asset Investment Grade Defined Opportunity Trust, Inc. | | | 279,531 | |
| | | | | | | | |
TOTAL CLOSED-END FUNDS | | | |
(Cost $41,648,605) | | 34,987,114 | |
| | | | | | | | |
BUSINESS DEVELOPMENT COMPANIES - 2.14% | | | |
| 77,091 | | | Golub Capital BDC, Inc. | | | 955,157 | |
| | | | | | | | |
TOTAL BUSINESS DEVELOPMENT COMPANIES | | | |
(Cost $1,004,662) | | 955,157 | |
| | | | | | | | |
EXCHANGE TRADED FUNDS - 4.87% | | | |
| 37,953 | | | Invesco FTSE RAFI Emerging Markets Portfolio | | | 614,080 | |
| 12,897 | | | iShares® Core MSCI EAFE ETF | | | 679,285 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 25 |
RiverNorth Core Opportunity Fund | Schedule of Investments |
September 30, 2022
| 3,277 | | | PowerShares QQQ Trust, Series 1 | | $ | 875,811 | |
| | | | | | | | |
TOTAL EXCHANGE TRADED FUNDS | | | |
(Cost $2,385,995) | | 2,169,176 | |
| | | | | | | | |
PREFERRED STOCKS - 0.86% | | | |
| 15,162 | | | XAI Octagon Floating Rate Alternative Income Term Trust, Series 2026, 6.500%, 03/31/2026 | | | 381,926 | |
| | | | | | | | |
TOTAL PREFERRED STOCKS | | | |
(Cost $378,879) | | 381,926 | |
| | | | | | | | |
SPECIAL PURPOSE ACQUISITION COMPANIES - 1.96% | | | |
| 192,929 | | | First Eagle Alternative Capital BDC, Inc. | | | 551,777 | |
| 32,700 | | | Tishman Speyer Innovation Corp. II(a) | | | 322,098 | |
| | | | | | | | |
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES | | | |
(Cost $1,134,923) | | 873,875 | |
Shares/Principal Amount/Description | | Rate | | | Maturity | | | Value | |
BUSINESS DEVELOPMENT COMPANY NOTES - 7.53% |
United States - 7.53% |
$ | 72,619 | | First Eagle Alternative Capital BDC, Inc. | | 5.00% | | | 05/25/2026 | | | | 1,645,547 | |
| 852,978 | | New Mountain Finance Corp. | | 5.75% | | | 08/15/2023 | | | | 844,448 | |
| 977,764 | | PennantPark Floating Rate Capital, Ltd. | | 4.25% | | | 04/01/2026 | | | | 864,764 | |
| | | | | | | | | | | | | |
TOTAL BUSINESS DEVELOPMENT COMPANY NOTES | | | | | | | | | | |
(Cost $3,633,598) | | | | | | | | | 3,354,759 | |
| | | | | | | | | | | | | |
Principal Amount/Description | | Rate | | | Maturity | | | | Value | |
U.S. CORPORATE BONDS - 0.80% |
Private Equity - 0.80% |
| 437,712 | | Hercules Capital, Inc. | | 2.63% | | | 09/16/2026 | | | | 358,666 | |
| | | | | | | | | | | | | |
TOTAL U.S. CORPORATE BONDS | | | | | | | | | | |
(Cost $367,927) | | | | | | | | | 358,666 | |
See Notes to Financial Statements.
26 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Core Opportunity Fund | Schedule of Investments |
September 30, 2022
Shares/Description | | Value | |
Rights - 0.00%(a)(b) | | | |
| 13,110 | | | Agba Acquisition, Ltd., Strike Price 11.50, Expires 12/31/2049 | | $ | 1,820 | |
| | | | | | | | |
TOTAL RIGHTS | | | | |
(Cost $2,960) | | | 1,820 | |
| | | | | | | | |
Warrants - 0.02%(a) | | | | |
| 13,110 | | | Agba Acquisition, Ltd., Strike Price 11.50, Expires 05/10/2024 | | | 577 | |
| 7,024 | | | Ares Acquisition Corp., Strike Price 11.50, Expires 12/31/2027 | | | 808 | |
| 5,039 | | | Austerlitz Acquisition Corp. I, Strike Price 11.50, Expires 02/19/2026 | | | 504 | |
| 5,032 | | | Austerlitz Acquisition Corp. II, Strike Price 11.50, Expires 12/31/2027 | | | 503 | |
| 8,081 | | | Churchill Capital Corp. VI, Strike Price 11.50, Expires 12/31/2027 | | | 1,131 | |
| 8,168 | | | Churchill Capital Corp. VII, Strike Price 11.50, Expires 02/29/2028 | | | 1,103 | |
| 5,250 | | | Fortress Value Acquisition Corp. IV, Strike Price 11.50, Expires 03/18/2028 | | | 917 | |
| 4,425 | | | Gores Holdings VII, Inc., Strike Price 11.50, Expires 12/31/2027 | | | 531 | |
| 10,113 | | | Jaws Mustang Acquisition Corp., Strike Price 11.50, Expires 01/30/2026 | | | 1,011 | |
| 5,064 | | | KKR Acquisition Holdings I Corp., Strike Price 11.50, Expires 12/31/2027 | | | 608 | |
| 5,303 | | | Landcadia Holdings IV, Inc., Strike Price 11.50, Expires 12/31/2028 | | | 795 | |
| 4,429 | | | Longview Acquisition Corp. II, Strike Price 11.50, Expires 05/10/2026 | | | 310 | |
| 6,540 | | | Tishman Speyer Innovation Corp, Strike Price 11.50, Expires 12/31/2027 | | | 291 | |
| | | | | | | | |
TOTAL WARRANTS | | | |
(Cost $96,224) | | | 9,089 | |
| | | | | | | | |
Short-Term Investments - 2.97% | | | | |
Money Market Fund - 2.97% | | | | |
| 1,324,337 | | | State Street Institutional Trust (7 Day Yield 1.03%) | | $ | 1,324,337 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS | | | | |
(Cost $1,324,337) | | | 1,324,337 | |
| | | | | | | | |
TOTAL INVESTMENTS - 99.64% | | | | |
(Cost $51,978,110) | | $ | 44,415,919 | |
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.36% | | $ | 159,819 | |
NET ASSETS - 100.00% | | $ | 44,575,738 | |
| (a) | Non-income producing security. |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 27 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Shares/Description | | Value | |
CLOSED-END FUNDS - 16.17% | | | | |
| 421,479 | | | AllianceBernstein Global High Income Fund, Inc. | | $ | 3,742,734 | |
| 231,874 | | | Apollo Tactical Income Fund, Inc. | | | 2,731,476 | |
| 383,908 | | | Barings Global Short Duration High Yield Fund | | | 4,691,356 | |
| 1,000 | | | BlackRock Corporate High Yield Fund, Inc. | | | 8,550 | |
| 764,940 | | | BlackRock Credit Allocation Income Trust | | | 7,297,528 | |
| 130,970 | | | BlackRock Debt Strategies Fund, Inc. | | | 1,168,252 | |
| 293,653 | | | Blackstone Long-Short Credit Income Fund | | | 3,200,818 | |
| 924,929 | | | Blackstone Strategic Credit Fund | | | 9,831,995 | |
| 166,245 | | | Blackstone/GSO Senior Floating Rate Term Fund | | | 2,088,037 | |
| 1,266,209 | | | BrandywineGLOBAL - Global Income Opportunities Fund, Inc. | | | 9,648,513 | |
| 283,826 | | | Cohen & Steers Tax-Advantaged Preferred Securities & Income Fund | | | 5,137,251 | |
| 181,724 | | | First Trust High Income Long/Short Fund | | | 1,969,888 | |
| 732,792 | | | First Trust High Yield Opportunities 2027 Term Fund | | | 9,870,708 | |
| 340,444 | | | Franklin Limited Duration Income Trust | | | 2,103,944 | |
| 330,751 | | | Invesco Dynamic Credit Opportunity Fund | | | 3,757,327 | |
| 2,531,700 | | | Invesco Senior Income Trust | | | 9,417,924 | |
| 311,581 | | | Morgan Stanley Emerging Markets Debt Fund, Inc. | | | 1,919,339 | |
| 1,449,660 | | | Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | | | 5,827,633 | |
| 1,260,606 | | | Nuveen Core Plus Impact Fund | | | 12,908,605 | |
| 3,928,520 | | | Nuveen Credit Strategies Income Fund | | | 20,074,737 | |
| 500,931 | | | Nuveen Preferred & Income Securities Fund | | | 3,291,117 | |
| 323,588 | | | Nuveen Senior Income Fund | | | 1,511,156 | |
| 30,094 | | | Nuveen Variable Rate Preferred & Income Fund | | | 525,441 | |
| 894,097 | | | PGIM Global High Yield Fund, Inc. | | | 9,459,546 | |
| 740,171 | | | PGIM High Yield Bond Fund, Inc. | | | 8,541,573 | |
| 580,398 | | | PGIM Short Duration High Yield Opportunities Fund | | | 8,340,319 | |
| 262,655 | | | PIMCO Access Income Fund | | | 4,163,082 | |
| 172,720 | | | PIMCO Dynamic Income Fund | | | 3,347,314 | |
| 1,001,858 | | | PIMCO Dynamic Income Opportunities Fund | | | 13,214,507 | |
| 633,708 | | | Templeton Emerging Markets Income Fund | | | 2,807,326 | |
| 331,750 | | | Virtus AllianzGI Diversified Income & Convertible Fund | | | 7,475,986 | |
| 790,992 | | | Western Asset Diversified Income Fund | | | 9,950,679 | |
| 1,812,439 | | | Western Asset Emerging Markets Debt Fund, Inc. | | | 14,463,263 | |
| 3,250,944 | | | Western Asset High Income Opportunity Fund, Inc. | | | 11,963,474 | |
| | | | | | | | |
TOTAL CLOSED-END FUNDS | | | | |
(Cost $277,197,231) | | | 216,451,398 | |
| | | | | | | | |
BUSINESS DEVELOPMENT COMPANIES - 0.76% | | | | |
| 821,097 | | | Golub Capital BDC, Inc. | | | 10,173,392 | |
| | | | | | | | |
TOTAL BUSINESS DEVELOPMENT COMPANIES | | | | |
(Cost $10,940,541) | | | 10,173,392 | |
See Notes to Financial Statements.
28 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Shares/Description | | Value | |
BUSINESS DEVELOPMENT COMPANIES - PREFERRED SHARES - 1.33% | | | | |
| 246,313 | | | First Eagle Alternative Capital BDC, Inc., 5.000%, 05/25/2026 | | $ | 5,581,453 | |
| 6,000,000 | | | New Mountain Finance Corp., 5.750%, 08/15/2023(a) | | | 5,940,000 | |
| 49,593 | | | Oxford Square Capital Corp., 6.250%, 04/30/2026 | | | 1,194,695 | |
| 5,770,000 | | | PennantPark Floating Rate Capital, Ltd., 4.250%, 04/01/2026(a) | | | 5,103,164 | |
| | | | | | | | |
TOTAL BUSINESS DEVELOPMENT COMPANIES - PREFERRED SHARES | | | | |
(Cost $19,107,668) | | | 17,819,312 | |
| | | | | | | | |
OPEN-END FUNDS - 2.20% | | | | |
| 3,566,438 | | | RiverNorth/Oaktree High Income Fund, Class I(b) | | | 29,458,779 | |
| | | | | | | | |
TOTAL OPEN-END FUNDS | | | | |
(Cost $33,813,657) | | | 29,458,779 | |
| | | | | | | | |
PREFERRED STOCKS - 0.06% | | | | |
| 32,069 | | | Oxford Square Capital Corp., 6.500%, 03/30/2024 | | | 790,501 | |
| 8,906 | | | Riverbed Tech Pref A, 1.500%, 11/17/2028(a) | | | 8,906 | |
| | | | | | | | |
TOTAL PREFERRED STOCKS | | | | |
(Cost $990,340) | | | 799,407 | |
| | | | | | | | |
SPECIAL PURPOSE ACQUISITION COMPANIES - 1.38% | | | | |
| 1,693,856 | | | Barings BDC, Inc. | | | 14,008,189 | |
| 6,676 | | | CW TRAVEL(a) | | | 66,760 | |
| 350,000 | | | Far Peak Acquisition Corp., Class A(a) | | | 3,461,500 | |
| 9,442 | | | Frontera Energy Corp.(a) | | | 68,927 | |
| 52,500 | | | Gores Technology Partners II, Inc.(a) | | | 515,550 | |
| 1,113 | | | Intelsat Jackson Holdings SA, Series A(a) | | | 6,678 | |
| 1,113 | | | Intelsat Jackson Holdings SA, Series B(a) | | | 6,121 | |
| 10,628 | | | Intelsat New Common(a) | | | 297,584 | |
| 31,580 | | | McDermott International, Ltd.(a) | | | 15,790 | |
| | | | | | | | |
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES | | | | |
(Cost $23,150,143) | | | 18,447,099 | |
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
FOREIGN CORPORATE BONDS - 4.52% |
Argentina - 0.07% |
$ | 150,000 | | | AES Argentina Generacion SA(c) | | 7.75% | | | 02/02/2024 | | | $ | 115,790 | |
| 150,000 | | | Pampa Energia SA(d) | | 9.13% | | | 04/15/2029 | | | | 126,202 | |
| 150,000 | | | Pampa Energia SA(c) | | 9.13% | | | 04/15/2029 | | | | 126,203 | |
| 300,000 | | | YPF SA | | 8.50% | | | 06/27/2029 | | | | 180,907 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 29 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
$ | 850,000 | | | YPF SA | | 7.00% | | | 12/15/2047 | | | $ | 424,611 | |
| | | | | | | | | | | | | 973,713 | |
Australia - 0.38% |
| 1,000,000 | | | APA Infrastructure, Ltd.(d) | | 4.25% | | | 07/15/2027 | | | | 927,720 | |
| 965,000 | | | Australia & New Zealand Banking Group, Ltd.(d)(e) | | 5Y US TI + 1.70% | | | 11/25/2035 | | | | 701,881 | |
| 675,000 | | | Commonwealth Bank of Australia(d) | | 4.32% | | | 01/10/2048 | | | | 499,498 | |
| 1,105,000 | | | Macquarie Group, Ltd.(d)(e) | | 1D US SOFR + 1.532% | | | 01/14/2033 | | | | 832,105 | |
| 725,000 | | | National Australia Bank, Ltd.(d) | | 2.99% | | | 05/21/2031 | | | | 558,910 | |
| 340,000 | | | NBN Co., Ltd.(d) | | 1.45% | | | 05/05/2026 | | | | 296,988 | |
| 500,000 | | | Sydney Airport Finance Co. Pty, Ltd.(d) | | 3.38% | | | 04/30/2025 | | | | 469,512 | |
| 500,000 | | | Sydney Airport Finance Co. Pty, Ltd.(d) | | 3.63% | | | 04/28/2026 | | | | 461,508 | |
| 480,000 | | | Westpac Banking Corp.(e) | | 5Y US TI + 1.53% | | | 11/18/2036 | | | | 352,184 | |
| | | | | | | | | | | | | 5,100,306 | |
Brazil - 0.10% |
| 650,000 | | | Banco do Brasil SA(e)(f) | | 6.25% | | | Perpetual Maturity | | | | 560,599 | |
| 800,000 | | | BRF SA(c) | | 5.75% | | | 09/21/2050 | | | | 553,110 | |
| 950,000 | | | Oi SA(g) | | 10.00% (4.00%) | | | 07/27/2025 | | | | 281,314 | |
| | | | | | | | | | | | | 1,395,023 | |
British Virgin Islands - 0.04% |
| 550,000 | | | TSMC Global, Ltd.(d) | | 1.25% | | | 04/23/2026 | | | | 483,163 | |
| | | | | | | | | | | | | | |
Canada - 0.56% |
| 200,000 | | | Aris Mining Corp.(c) | | 6.88% | | | 08/09/2026 | | | | 145,587 | |
| 630,000 | | | Bank of Montreal(e) | | 3.80% | | | 12/15/2032 | | | | 547,098 | |
| 805,000 | | | Bank of Nova Scotia(e) | | 5Y US TI + 2.05% | | | 05/04/2037 | | | | 676,317 | |
| 110,000 | | | Bell Telephone Co. of Canada or Bell Canada | | 3.65% | | | 08/15/2052 | | | | 77,828 | |
| 385,000 | | | CCL Industries, Inc.(d) | | 3.05% | | | 06/01/2030 | | | | 309,773 | |
| 245,000 | | | CI Financial Corp. | | 4.10% | | | 06/15/2051 | | | | 146,261 | |
| 425,000 | | | Enbridge, Inc. | | 3.40% | | | 08/01/2051 | | | | 286,059 | |
| 600,000 | | | Frontera Energy Corp.(d) | | 7.88% | | | 06/21/2028 | | | | 431,607 | |
| 220,000 | | | Garda World Security Corp.(d) | | 6.00% | | | 06/01/2029 | | | | 161,731 | |
| 600,000 | | | Gran Tierra Energy, Inc.(d) | | 7.75% | | | 05/23/2027 | | | | 469,242 | |
| 400,000 | | | Gran Tierra Energy, Inc.(c) | | 7.75% | | | 05/23/2027 | | | | 312,828 | |
| 110,000 | | | Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.(d) | | 5.00% | | | 12/31/2026 | | | | 96,665 | |
| 1,430,000 | | | Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.(d) | | 7.00% | | | 12/31/2027 | | | | 1,096,832 | |
| 205,000 | | | Mattamy Group Corp.(d) | | 4.63% | | | 03/01/2030 | | | | 156,887 | |
| 25,000 | | | MEG Energy Corp.(d) | | 5.88% | | | 02/01/2029 | | | | 22,475 | |
See Notes to Financial Statements.
30 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
$ | 155,000 | | | Parkland Corp.(d) | | 4.50% | | | 10/01/2029 | | | $ | 125,496 | |
| 205,000 | | | Superior Plus LP / Superior General Partner, Inc.(d) | | 4.50% | | | 03/15/2029 | | | | 169,660 | |
| 540,000 | | | Telesat Canada / Telesat LLC(d) | | 5.63% | | | 12/06/2026 | | | | 259,119 | |
| 1,275,000 | | | Toronto-Dominion Bank | | 4.69% | | | 09/15/2027 | | | | 1,233,913 | |
| 750,000 | | | TransCanada PipeLines, Ltd. | | 4.25% | | | 05/15/2028 | | | | 695,616 | |
| | | | | | | | | | | | | 7,420,994 | |
Cayman Islands - 0.17% |
| 200,000 | | | Banco Mercantil del Norte SA/Grand Cayman(d)(e)(f) | | 7.50% | | | Perpetual Maturity | | | | 170,915 | |
| 200,000 | | | Banco Mercantil del Norte SA/Grand Cayman(d)(e)(f) | | 10Y US TI + 5.034% | | | Perpetual Maturity | | | | 157,333 | |
| 200,000 | | | Banco Mercantil del Norte SA/Grand Cayman(c)(e)(f) | | 7.63% | | | Perpetual Maturity | | | | 177,853 | |
| 300,000 | | | Banco Mercantil del Norte SA/Grand Cayman(e)(f) | | 10Y US TI + 5.47% | | | Perpetual Maturity | | | | 256,372 | |
| 500,000 | | | Banco Mercantil del Norte SA/Grand Cayman(c)(e)(f) | | 10Y US TI + 5.034% | | | Perpetual Maturity | | | | 393,331 | |
| 140,418 | | | Bioceanico Sovereign Certificate, Ltd.(c)(h) | | 0.00% | | | 06/05/2034 | | | | 89,309 | |
| 172,473 | | | Global Aircraft Leasing Co., Ltd.(d)(g) | | 6.50% (7.25%) | | | 09/15/2024 | | | | 130,076 | |
| 224,000 | | | Gran Tierra Energy International Holdings, Ltd.(c) | | 6.25% | | | 02/15/2025 | | | | 184,979 | |
| 397,996 | | | Interoceanica IV Finance, Ltd.(h) | | 0.00% | | | 11/30/2025 | | | | 348,247 | |
| 144,018 | | | Lima Metro Line 2 Finance, Ltd.(d) | | 5.88% | | | 07/05/2034 | | | | 136,840 | |
| 186,667 | | | Rutas 2 and 7 Finance, Ltd.(c)(h) | | 0.00% | | | 09/30/2036 | | | | 113,126 | |
| 179,375 | | | Transocean Poseidon, Ltd.(d) | | 6.88% | | | 02/01/2027 | | | | 164,475 | |
| | | | | | | | | | | | | 2,322,856 | |
Chile - 0.38% |
| 400,000 | | | AES Andes SA(d)(e) | | 6.35% | | | 10/07/2079 | | | | 345,000 | |
| 300,000 | | | AES Andes SA(e) | | 7.13% | | | 03/26/2079 | | | | 263,760 | |
| 400,000 | | | AES Andes SA(c)(e) | | 6.35% | | | 10/07/2079 | | | | 345,000 | |
| 200,000 | | | CAP SA(d) | | 3.90% | | | 04/27/2031 | | | | 141,628 | |
| 700,000 | | | CAP SA(c) | | 3.90% | | | 04/27/2031 | | | | 495,700 | |
| 900,000 | | | Empresa de Transporte de Pasajeros Metro SA(d) | | 5.00% | | | 01/25/2047 | | | | 688,162 | |
| 804,650 | | | Empresa Electrica Cochrane SpA(c) | | 5.50% | | | 05/14/2027 | | | | 734,098 | |
| 370,620 | | | GNL Quintero SA(c) | | 4.63% | | | 07/31/2029 | | | | 341,523 | |
| 800,000 | | | Guacolda Energia SA(c) | | 4.56% | | | 04/30/2025 | | | | 276,720 | |
| 200,000 | | | Inversiones La Construccion SA(c) | | 4.75% | | | 02/07/2032 | | | | 148,468 | |
| 750,000 | | | Transelec SA(c) | | 3.88% | | | 01/12/2029 | | | | 672,844 | |
| 1,050,000 | | | VTR Finance NV(c) | | 6.38% | | | 07/15/2028 | | | | 590,625 | |
| | | | | | | | | | | | | 5,043,528 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 31 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
China - 0.03% | | | | | | |
$ | 300,000 | | | Agile Group Holdings, Ltd.(f) | | 7.88% | | | Perpetual Maturity | | | $ | 60,582 | |
| 495,000 | | | Agile Group Holdings, Ltd.(e)(f) | | 7.75% | | | Perpetual Maturity | | | | 99,223 | |
| 700,000 | | | Central China Real Estate, Ltd. | | 7.25% | | | 07/16/2024 | | | | 163,275 | |
| 400,000 | | | Ronshine China Holdings, Ltd.(i) | | 7.35% | | | 12/15/2023 | | | | 26,295 | |
| 600,000 | | | Ronshine China Holdings, Ltd. | | 6.75% | | | 08/05/2024 | | | | 39,807 | |
| 350,000 | | | Yuzhou Group Holdings Co., Ltd.(i) | | 8.30% | | | 05/27/2025 | | | | 24,950 | |
| 600,000 | | | Yuzhou Group Holdings Co., Ltd.(i) | | 7.38% | | | 01/13/2026 | | | | 41,970 | |
| | | | | | | | | | | | | 456,102 | |
Colombia - 0.28% |
| 450,000 | | | Banco Davivienda SA(d)(e)(f) | | 10Y US TI + 5.10% | | | Perpetual Maturity | | | | 330,665 | |
| 350,000 | | | Banco Davivienda SA(c)(e)(f) | | 10Y US TI + 5.097% | | | Perpetual Maturity | | | | 257,184 | |
| 650,000 | | | Banco GNB Sudameris SA(d)(e) | | 5Y US TI + 6.66% | | | 04/16/2031 | | | | 475,699 | |
| 200,000 | | | Banco GNB Sudameris SA(c)(e) | | 5Y US TI + 6.66% | | | 04/16/2031 | | | | 146,369 | |
| 350,000 | | | Credivalores-Crediservicios SAS(d) | | 8.88% | | | 02/07/2025 | | | | 145,425 | |
| 400,000 | | | Credivalores-Crediservicios SAS(c) | | 8.88% | | | 02/07/2025 | | | | 166,200 | |
| 100,000 | | | Ecopetrol SA | | 4.63% | | | 11/02/2031 | | | | 70,147 | |
| 950,000 | | | Ecopetrol SA | | 5.88% | | | 05/28/2045 | | | | 576,726 | |
| 1,020,000 | | | Ecopetrol SA | | 5.88% | | | 11/02/2051 | | | | 606,467 | |
| 400,000 | | | Empresas Publicas de Medellin ESP(c) | | 4.25% | | | 07/18/2029 | | | | 291,064 | |
| 700,000 | | | Empresas Publicas de Medellin ESP(c) | | 4.38% | | | 02/15/2031 | | | | 493,196 | |
| 200,000 | | | Oleoducto Central SA(c) | | 4.00% | | | 07/14/2027 | | | | 154,668 | |
| | | | | | | | | | | | | 3,713,810 | |
Cyprus - 0.01% |
| 200,000 | | | Interpipe Holdings PLC(d) | | 8.38% | | | 05/13/2026 | | | | 81,800 | |
| | | | | | | | | | | | | | |
France - 0.09% |
| 930,000 | | | BNP Paribas SA(d)(e) | | 1D SOFR + 1.51% | | | 01/13/2031 | | | | 740,828 | |
| 590,000 | | | BPCE SA(d) | | 1.00% | | | 01/20/2026 | | | | 510,349 | |
| | | | | | | | | | | | | 1,251,177 | |
Great Britain - 0.31% |
| 200,000 | | | AngloGold Ashanti Holdings PLC | | 3.75% | | | 10/01/2030 | | | | 155,421 | |
| 765,000 | | | Barclays PLC(e) | | 3M US L + 1.38% | | | 05/16/2024 | | | | 764,652 | |
| 930,000 | | | HSBC Holdings PLC(e) | | 3M US L + 1.38% | | | 09/12/2026 | | | | 907,807 | |
| 730,000 | | | Lloyds Banking Group PLC(e) | | 3M US L + 1.21% | | | 11/07/2028 | | | | 641,141 | |
| 335,000 | | | NatWest Markets PLC(d) | | 0.80% | | | 08/12/2024 | | | | 307,946 | |
| 297,077 | | | SCC Power PLC(d)(g) | | 8.00% (8.00%) | | | 12/31/2028 | | | | 115,117 | |
| 160,917 | | | SCC Power PLC(d)(g) | | 4.00% (4.00%) | | | 05/17/2032 | | | | 14,161 | |
| 472,000 | | | Tullow Oil PLC(d) | | 10.25% | | | 05/15/2026 | | | | 399,584 | |
| 450,000 | | | Vedanta Resources Finance II PLC(d) | | 9.25% | | | 04/23/2026 | | | | 253,812 | |
See Notes to Financial Statements.
32 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
$ | 200,000 | | | Vedanta Resources Finance II PLC(c) | | 9.25% | | | 04/23/2026 | | | $ | 112,806 | |
| 480,000 | | | Weir Group PLC(d) | | 2.20% | | | 05/13/2026 | | | | 403,804 | |
| | | | | | | | | | | | | 4,076,251 | |
Hong Kong - 0.04% |
| 200,000 | | | Kasikornbank PCL(e)(f) | | 5Y US TI + 3.337% | | | Perpetual Maturity | | | | 160,814 | |
| 400,000 | | | RKP Overseas Finance, Ltd.(f) | | 7.75% | | | Perpetual Maturity | | | | 122,120 | |
| 600,000 | | | RKP Overseas Finance, Ltd.(f) | | 7.95% | | | Perpetual Maturity | | | | 184,650 | |
| | | | | | | | | | | | | 467,584 | |
India - 0.13% |
| 375,000 | | | Adani International Container Terminal Pvt, Ltd.(c) | | 3.00% | | | 02/16/2031 | | | | 288,626 | |
| 200,000 | | | Adani Ports & Special Economic Zone, Ltd.(c) | | 4.38% | | | 07/03/2029 | | | | 166,671 | |
| 500,000 | | | Adani Ports & Special Economic Zone, Ltd. | | 3.10% | | | 02/02/2031 | | | | 360,133 | |
| 400,000 | | | JSW Steel, Ltd.(c) | | 5.05% | | | 04/05/2032 | | | | 285,289 | |
| 200,000 | | | Network i2i, Ltd.(c)(e)(f) | | 5Y US TI + 3.39% | | | Perpetual Maturity | | | | 163,280 | |
| 900,000 | | | Vedanta Resources, Ltd. | | 6.13% | | | 08/09/2024 | | | | 533,551 | |
| | | | | | | | | | | | | 1,797,550 | |
Indonesia - 0.09% |
| 500,000 | | | ABM Investama Tbk PT(d) | | 9.50% | | | 08/05/2026 | | | | 430,847 | |
| 200,000 | | | Freeport Indonesia PT(d) | | 5.32% | | | 04/14/2032 | | | | 166,500 | |
| 400,000 | | | Gajah Tunggal Tbk PT | | 8.95% | | | 06/23/2026 | | | | 315,600 | |
| 200,000 | | | Indonesia Asahan Aluminium Persero PT | | 5.80% | | | 05/15/2050 | | | | 151,056 | |
| 300,000 | | | Pertamina Persero PT(c) | | 4.15% | | | 02/25/2060 | | | | 194,590 | |
| | | | | | | | | | | | | 1,258,593 | |
Ireland - 0.12% |
| 1,050,000 | | | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | | 3.40% | | | 10/29/2033 | | | | 763,341 | |
| 665,000 | | | Avolon Holdings Funding, Ltd.(d) | | 3.25% | | | 02/15/2027 | | | | 557,750 | |
| 400,000 | | | C&W Senior Financing DAC(c) | | 6.88% | | | 09/15/2027 | | | | 327,358 | |
| | | | | | | | | | | | | 1,648,449 | |
Israel - 0.08% |
| 200,000 | | | Bank Hapoalim BM(d)(e) | | 5Y US TI + 2.155% | | | 01/21/2032 | | | | 167,174 | |
| 900,000 | | | Israel Electric Corp., Ltd.(d) | | 5.00% | | | 11/12/2024 | | | | 879,290 | |
| | | | | | | | | | | | | 1,046,464 | |
Jamaica - 0.00%(j) |
| 67,289 | | | Digicel Group Holdings, Ltd.(d)(g) | | 8.00% (8.00%) | | | 04/01/2025 | | | | 26,647 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 33 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
Japan - 0.06% |
$ | 910,000 | | | Renesas Electronics Corp.(d) | | 2.17% | | | 11/25/2026 | | | $ | 783,394 | |
| | | | | | | | | | | | | | |
Luxembourg - 0.24% |
| 150,000 | | | Atento Luxco 1 SA(d) | | 8.00% | | | 02/10/2026 | | | | 65,650 | |
| 600,000 | | | Endo Luxembourg Finance Co. I SARL / Endo US, Inc.(d) | | 6.13% | | | 04/01/2029 | | | | 474,568 | |
| 305,000 | | | EverArc Escrow Sarl(d) | | 5.00% | | | 10/30/2029 | | | | 246,836 | |
| 565,133 | | | FEL Energy VI Sarl(c) | | 5.75% | | | 12/01/2040 | | | | 387,975 | |
| 1,100,000 | | | Intelsat Escrow Shares(k) | | 0.00% | | | Perpetual Maturity | | | | 0 | |
| 135,000 | | | Intelsat Jackson Holdings SA(d) | | 6.50% | | | 03/15/2030 | | | | 115,115 | |
| 1,000,000 | | | MC Brazil Downstream Trading SARL(c) | | 7.25% | | | 06/30/2031 | | | | 754,130 | |
| 270,000 | | | Millicom International Cellular SA(c) | | 6.25% | | | 03/25/2029 | | | | 229,603 | |
| 700,000 | | | Movida Europe SA(c) | | 5.25% | | | 02/08/2031 | | | | 498,098 | |
| 600,000 | | | Simpar Europe SA(c) | | 5.20% | | | 01/26/2031 | | | | 423,951 | |
| | | | | | | | | | | | | 3,195,926 | |
Mauritius - 0.07% |
| 200,000 | | | UPL Corp., Ltd. | | 4.50% | | | 03/08/2028 | | | | 165,685 | |
| 200,000 | | | UPL Corp., Ltd. | | 4.63% | | | 06/16/2030 | | | | 161,141 | |
| 800,000 | | | UPL Corp., Ltd.(e)(f) | | 5Y US TI + 3.865% | | | Perpetual Maturity | | | | 586,200 | |
| | | | | | | | | | | | | 913,026 | |
Mexico - 0.26% |
| 666,096 | | | Alpha Holding SA de CV(d)(i) | | 9.00% | | | 02/10/2025 | | | | 0 | |
| 188,465 | | | Alpha Holding SA de CV(i) | | 9.00% | | | 02/10/2025 | | | | 0 | |
| 200,000 | | | BBVA Bancomer SA(c)(e) | | 5.13% | | | 01/18/2033 | | | | 165,802 | |
| 800,000 | | | Braskem Idesa SAPI(d) | | 6.99% | | | 02/20/2032 | | | | 536,000 | |
| 200,000 | | | Braskem Idesa SAPI(c) | | 6.99% | | | 02/20/2032 | | | | 134,500 | |
| 400,000 | | | Cemex SAB de CV(c)(e)(f) | | 5Y US TI + 4.534% | | | Perpetual Maturity | | | | 321,000 | |
| 500,000 | | | Credito Real SAB de CV SOFOM ER(c)(i) | | 9.50% | | | 02/07/2026 | | | | 8,125 | |
| 600,000 | | | Mexarrend SAPI de CV(d) | | 10.25% | | | 07/24/2024 | | | | 177,531 | |
| 200,000 | | | Mexarrend SAPI de CV(c) | | 10.25% | | | 07/24/2024 | | | | 59,177 | |
| 1,100,000 | | | Mexico City Airport Trust(c) | | 5.50% | | | 07/31/2047 | | | | 688,859 | |
| 141,539 | | | Mexico Generadora de Energia S de rl | | 5.50% | | | 12/06/2032 | | | | 125,296 | |
| 700,000 | | | Operadora de Servicios Mega SA de CV Sofom ER(d) | | 8.25% | | | 02/11/2025 | | | | 407,835 | |
| 750,000 | | | Petroleos Mexicanos | | 6.38% | | | 01/23/2045 | | | | 415,954 | |
| 500,000 | | | Petroleos Mexicanos | | 6.75% | | | 09/21/2047 | | | | 279,557 | |
| 200,000 | | | TV Azteca SAB de CV(i) | | 8.25% | | | 08/09/2024 | | | | 98,102 | |
See Notes to Financial Statements.
34 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | Value | |
$ | 1,000,000 | | | Unifin Financiera SAB de CV(c)(e)(f) | | 8.88% | | | Perpetual Maturity | | $ | 35,000 | |
| | | | | | | | | | | | 3,452,738 | |
Morocco - 0.06% |
| 1,200,000 | | | OCP SA(c) | | 5.13% | | | 06/23/2051 | | | 768,498 | |
| | | | | | | | | | | | | |
Netherlands - 0.26% |
| 600,000 | | | Coruripe Netherlands BV(c) | | 10.00% | | | 02/10/2027 | | | 514,500 | |
| 850,000 | | | Jababeka International BV(c) | | 6.50% | | | 10/05/2023 | | | 480,250 | |
| 200,000 | | | Metinvest BV(c) | | 7.75% | | | 10/17/2029 | | | 89,380 | |
| 200,000 | | | Minejesa Capital BV | | 4.63% | | | 08/10/2030 | | | 166,000 | |
| 1,600,000 | | | Minejesa Capital BV | | 5.63% | | | 08/10/2037 | | | 1,146,200 | |
| 177,780 | | | MV24 Capital BV(c) | | 6.75% | | | 06/01/2034 | | | 150,585 | |
| 300,000 | | | NGD Holdings BV | | 6.75% | | | 12/31/2026 | | | 124,500 | |
| 415,000 | | | NXP BV / NXP Funding LLC / NXP USA, Inc. | | 3.88% | | | 06/18/2026 | | | 387,822 | |
| 200,000 | | | Petrobras Global Finance BV | | 6.75% | | | 06/03/2050 | | | 163,276 | |
| 410,000 | | | Petrobras Global Finance BV | | 5.50% | | | 06/10/2051 | | | 291,772 | |
| | | | | | | | | | | | 3,514,285 | |
Panama - 0.07% |
| 200,000 | | | Empresa de Transmision Electrica SA(c) | | 5.13% | | | 05/02/2049 | | | 150,232 | |
| 664,036 | | | UEP Penonome II SA(d) | | 6.50% | | | 10/01/2038 | | | 574,391 | |
| 189,725 | | | UEP Penonome II SA(c) | | 6.50% | | | 10/01/2038 | | | 164,112 | |
| | | | | | | | | | | | 888,735 | |
Paraguay - 0.06% |
| 1,000,000 | | | Frigorifico Concepcion SA(d) | | 7.70% | | | 07/21/2028 | | | 794,255 | |
| | | | | | | | | | | | | |
Peru - 0.19% |
| 200,000 | | | Banco Internacional del Peru SAA Interbank(e) | | 1Y US TI + 3.71% | | | 07/08/2030 | | | 178,508 | |
| 300,000 | | | Camposol SA(d) | | 6.00% | | | 02/03/2027 | | | 238,329 | |
| 400,000 | | | Camposol SA(c) | | 6.00% | | | 02/03/2027 | | | 317,772 | |
| 824,400 | | | Hunt Oil Co. of Peru LLC Sucursal Del Peru(c) | | 6.38% | | | 06/01/2028 | | | 736,807 | |
| 200,000 | | | Peru LNG Srl(c) | | 5.38% | | | 03/22/2030 | | | 158,087 | |
| 200,000 | | | Petroleos del Peru SA(c) | | 4.75% | | | 06/19/2032 | | | 141,632 | |
| 1,350,000 | | | Petroleos del Peru SA(c) | | 5.63% | | | 06/19/2047 | | | 813,577 | |
| | | | | | | | | | | | 2,584,712 | |
Singapore - 0.15% |
| 715,000 | | | BOC Aviation, Ltd.(d)(e) | | 3M US L + 1.13% | | | 09/26/2023 | | | 713,867 | |
| 200,000 | | | Oversea-Chinese Banking Corp., Ltd.(d)(e) | | 5Y US TI + 1.58% | | | 09/10/2030 | | | 179,197 | |
| 400,000 | | | PSA Treasury Pte, Ltd. | | 2.25% | | | 04/30/2030 | | | 335,446 | |
| 350,000 | | | Temasek Financial I, Ltd.(d) | | 1.00% | | | 10/06/2030 | | | 270,188 | |
| 250,000 | | | Temasek Financial I, Ltd.(c) | | 1.00% | | | 10/06/2030 | | | 192,991 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 35 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | Value | |
$ | 500,000 | | | Theta Capital Pte, Ltd. | | 6.75% | | | 10/31/2026 | | $ | 321,250 | |
| | | | | | | | | | | | 2,012,939 | |
South Korea - 0.03% |
| 200,000 | | | LG Chem, Ltd.(d) | | 2.38% | | | 07/07/2031 | | | 156,717 | |
| 200,000 | | | Shinhan Financial Group Co., Ltd.(d)(e)(f) | | 5Y US TI + 2.06% | | | Perpetual Maturity | | | 171,710 | |
| | | | | | | | | | | | 328,427 | |
Spain - 0.12% |
| 500,000 | | | AES Andres BV(d) | | 5.70% | | | 05/04/2028 | | | 411,388 | |
| 250,000 | | | AI Candelaria Spain SA(d) | | 5.75% | | | 06/15/2033 | | | 170,550 | |
| 1,050,000 | | | AI Candelaria Spain SA(c) | | 5.75% | | | 06/15/2033 | | | 716,310 | |
| 600,000 | | | EnfraGen Energia Sur SA / EnfraGen Spain SA / Prime Energia SpA(c) | | 5.38% | | | 12/30/2030 | | | 358,032 | |
| | | | | | | | | | | | 1,656,280 | |
Trinidad and Tobago - 0.01% |
| 200,000 | | | Telecommunications Services of Trinidad & Tobago, Ltd.(c) | | 8.88% | | | 10/18/2029 | | | 176,793 | |
| | | | | | | | | | | | | |
United Arab Emirates - 0.03% |
| 277,398 | | | Galaxy Pipeline Assets Bidco, Ltd.(d) | | 2.16% | | | 03/31/2034 | | | 228,649 | |
| 289,959 | | | Galaxy Pipeline Assets Bidco, Ltd.(c) | | 2.94% | | | 09/30/2040 | | | 221,271 | |
| | | | | | | | | | | | 449,920 | |
Vietnam - 0.03% |
| 500,000 | | | Mong Duong Finance Holdings BV(c) | | 5.13% | | | 05/07/2029 | | | 393,528 | |
| | | | | | | | | | | | | |
TOTAL FOREIGN CORPORATE BONDS | | | | | |
(Cost $81,808,518) | | | 60,477,466 | |
| | | | | | | | | | | | | |
U.S. CORPORATE BONDS - 8.15% |
Advertising - 0.03% | | | | | |
| 140,000 | | | Clear Channel Outdoor Holdings, Inc.(d) | | 7.50% | | | 06/01/2029 | | | 101,722 | |
| 300,000 | | | Interpublic Group of Cos., Inc. | | 5.40% | | | 10/01/2048 | | | 262,866 | |
| | | | | | | | | | | | 364,588 | |
Aerospace/Defense - 0.21% |
| 455,000 | | | Boeing Co. | | 2.95% | | | 02/01/2030 | | | 366,352 | |
| 290,000 | | | Boeing Co. | | 3.75% | | | 02/01/2050 | | | 189,589 | |
| 600,000 | | | Northrop Grumman Corp. | | 5.15% | | | 05/01/2040 | | | 563,274 | |
| 590,000 | | | Raytheon Technologies Corp. | | 3.03% | | | 03/15/2052 | | | 386,629 | |
| 220,000 | | | TransDigm, Inc.(d) | | 6.25% | | | 03/15/2026 | | | 213,772 | |
| 380,000 | | | TransDigm, Inc. | | 5.50% | | | 11/15/2027 | | | 331,347 | |
See Notes to Financial Statements.
36 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | Value | |
$ | 585,000 | | | Triumph Group, Inc.(d) | | 6.25% | | | 09/15/2024 | | $ | 533,959 | |
| 280,000 | | | Triumph Group, Inc. | | 7.75% | | | 08/15/2025 | | | 214,293 | |
| | | | | | | | | | | | 2,799,215 | |
Agriculture - 0.08% |
| 935,000 | | | BAT Capital Corp. | | 3.46% | | | 09/06/2029 | | | 762,430 | |
| 321,693 | | | Pyxus Holdings, Inc. | | 10.00% | | | 08/24/2024 | | | 263,161 | |
| | | | | | | | | | | | 1,025,591 | |
Airlines - 0.04% |
| 475,000 | | | American Airlines, Inc./AAdvantage Loyalty IP, Ltd.(d) | | 5.75% | | | 04/20/2029 | | | 415,280 | |
| 184,375 | | | United Airlines 2016-1 Class B Pass Through Trust | | 3.65% | | | 01/07/2026 | | | 159,919 | |
| | | | | | | | | | | | 575,199 | |
Auto Manufacturers - 0.16% |
| 315,000 | | | Ford Motor Co. | | 3.25% | | | 02/12/2032 | | | 227,447 | |
| 475,000 | | | General Motors Financial Co., Inc. | | 2.40% | | | 10/15/2028 | | | 375,838 | |
| 485,000 | | | General Motors Financial Co., Inc. | | 3.10% | | | 01/12/2032 | | | 366,449 | |
| 850,000 | | | Hyundai Capital America(d) | | 2.65% | | | 02/10/2025 | | | 792,937 | |
| 25,000 | | | Hyundai Capital America(d) | | 1.80% | | | 10/15/2025 | | | 22,259 | |
| 355,000 | | | Volkswagen Group of America Finance LLC(d) | | 4.25% | | | 11/13/2023 | | | 351,483 | |
| | | | | | | | | | | | 2,136,413 | |
Auto Parts & Equipment - 0.13% |
| 115,000 | | | American Axle & Manufacturing, Inc. | | 5.00% | | | 10/01/2029 | | | 87,254 | |
| 1,115,000 | | | Dealer Tire LLC / DT Issuer LLC(d) | | 8.00% | | | 02/01/2028 | | | 984,524 | |
| 225,000 | | | Goodyear Tire & Rubber Co. | | 5.25% | | | 07/15/2031 | | | 180,275 | |
| 1,179,000 | | | Wheel Pros, Inc.(d) | | 6.50% | | | 05/15/2029 | | | 541,680 | |
| | | | | | | | | | | | 1,793,733 | |
Banks - 0.62% |
| 225,000 | | | Bank of America Corp.(e) | | 1D US SOFR + 1.11% | | | 04/25/2025 | | | 219,042 | |
| 280,000 | | | Bank of America Corp.(e) | | 1D US SOFR + 1.75% | | | 07/22/2026 | | | 273,936 | |
| 345,000 | | | Bank of America Corp.(e) | | 1D US SOFR + 1.21% | | | 10/20/2032 | | | 264,242 | |
| 930,000 | | | Bank of America Corp.(e) | | 5Y US TI + 2.48% | | | 09/21/2036 | | | 673,129 | |
| 885,000 | | | Citigroup, Inc.(e) | | 3M US L + 1.10% | | | 05/17/2024 | | | 885,286 | |
| 170,000 | | | Citigroup, Inc.(e) | | 1D US SOFR + 0.694% | | | 01/25/2026 | | | 156,355 | |
| 195,000 | | | Citigroup, Inc.(e) | | 1D US SOFR + 1.28% | | | 02/24/2028 | | | 174,020 | |
| 935,000 | | | Goldman Sachs Group, Inc.(e) | | 3M US L + 1.17% | | | 05/15/2026 | | | 928,426 | |
| 265,000 | | | Goldman Sachs Group, Inc.(e) | | 1D US SOFR + 0.82% | | | 09/10/2027 | | | 252,854 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 37 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | Value | |
$ | 260,000 | | | JPMorgan Chase & Co.(e) | | 1D US SOFR + 0.915% | | | 02/24/2026 | | $ | 242,007 | |
| 135,000 | | | JPMorgan Chase & Co.(e) | | 1D US SOFR + 1.99% | | | 07/25/2028 | | | 129,764 | |
| 370,000 | | | JPMorgan Chase & Co.(e) | | 1D SOFR + 1.02% | | | 06/01/2029 | | | 300,385 | |
| 565,000 | | | JPMorgan Chase & Co.(e) | | 1D US SOFR + 2.04% | | | 04/22/2031 | | | 447,366 | |
| 485,000 | | | JPMorgan Chase & Co.(e) | | 1D US SOFR + 1.25% | | | 04/22/2032 | | | 376,458 | |
| 470,000 | | | JPMorgan Chase & Co.(e) | | 1D US SOFR + 1.26% | | | 01/25/2033 | | | 370,020 | |
| 340,000 | | | Morgan Stanley(e) | | 1D US SOFR + 1.669% | | | 07/17/2026 | | | 331,247 | |
| 310,000 | | | Morgan Stanley(e) | | 1D US SOFR + 1.61% | | | 04/20/2028 | | | 290,335 | |
| 145,000 | | | Morgan Stanley(e) | | 1D US SOFR + 1.29% | | | 01/21/2033 | | | 114,808 | |
| 940,000 | | | Morgan Stanley(e) | | 1D SOFR + 2.48% | | | 09/16/2036 | | | 674,957 | |
| 185,000 | | | Santander Holdings USA, Inc.(e) | | 1D US SOFR + 1.249% | | | 01/06/2028 | | | 154,512 | |
| 370,000 | | | Wells Fargo & Co.(e) | | 3M US L + 1.17% | | | 06/17/2027 | | | 337,281 | |
| 425,000 | | | Wells Fargo & Co.(e) | | 1D US SOFR + 1.98% | | | 07/25/2028 | | | 405,772 | |
| 390,000 | | | Wells Fargo & Co.(e) | | 1D US SOFR + 1.43% | | | 10/30/2030 | | | 320,942 | |
| | | | | | | | | | | | 8,323,144 | |
Beverages - 0.12% |
| 900,000 | | | Anheuser-Busch InBev Worldwide, Inc. | | 4.60% | | | 04/15/2048 | | | 747,963 | |
| 50,000 | | | Constellation Brands, Inc. | | 3.15% | | | 08/01/2029 | | | 43,022 | |
| 290,000 | | | Constellation Brands, Inc. | | 2.88% | | | 05/01/2030 | | | 240,924 | |
| 270,000 | | | PepsiCo, Inc. | | 3.60% | | | 02/18/2028 | | | 255,471 | |
| 490,000 | | | Triton Water Holdings, Inc.(d) | | 6.25% | | | 04/01/2029 | | | 375,499 | |
| | | | | | | | | | | | 1,662,879 | |
Biotechnology - 0.08% |
| 330,000 | | | Amgen, Inc. | | 4.05% | | | 08/18/2029 | | | 304,005 | |
| 360,000 | | | Illumina, Inc. | | 0.55% | | | 03/23/2023 | | | 352,624 | |
| 545,000 | | | Royalty Pharma PLC | | 3.30% | | | 09/02/2040 | | | 366,832 | |
| | | | | | | | | | | | 1,023,461 | |
Building Materials - 0.09% |
| 130,000 | | | Builders FirstSource, Inc.(d) | | 6.38% | | | 06/15/2032 | | | 115,783 | |
| 850,000 | | | Carrier Global Corp. | | 3.38% | | | 04/05/2040 | | | 615,949 | |
| 130,000 | | | Griffon Corp. | | 5.75% | | | 03/01/2028 | | | 111,972 | |
| 465,000 | | | Owens Corning | | 4.40% | | | 01/30/2048 | | | 346,730 | |
| | | | | | | | | | | | 1,190,434 | |
See Notes to Financial Statements.
38 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | Value | |
Chemicals - 0.15% | | | | | | | | | |
$ | 455,000 | | | ASP Unifrax Holdings, Inc.(d) | | 7.50% | | | 09/30/2029 | | $ | 301,194 | |
| 460,000 | | | CF Industries, Inc. | | 5.38% | | | 03/15/2044 | | | 392,030 | |
| 140,000 | | | CVR Partners LP / CVR Nitrogen Finance Corp.(d) | | 6.13% | | | 06/15/2028 | | | 122,101 | |
| 780,000 | | | Illuminate Buyer LLC / Illuminate Holdings IV, Inc.(d) | | 9.00% | | | 07/01/2028 | | | 648,909 | |
| 200,000 | | | Sasol Financing USA LLC | | 5.50% | | | 03/18/2031 | | | 151,324 | |
| 500,000 | | | Vibrantz Technologies, Inc.(d) | | 9.00% | | | 02/15/2030 | | | 326,439 | |
| 125,000 | | | WR Grace Holdings LLC(d) | | 5.63% | | | 08/15/2029 | | | 94,062 | |
| | | | | | | | | | | | 2,036,059 | |
Coal - 0.01% |
| 180,000 | | | SunCoke Energy, Inc.(d) | | 4.88% | | | 06/30/2029 | | | 139,195 | |
| | | | | | | | | | | | | |
Commercial Services - 0.13% |
| 90,000 | | | Allied Universal Holdco LLC / Allied Universal Finance Corp.(d) | | 6.63% | | | 07/15/2026 | | | 80,376 | |
| 175,000 | | | Allied Universal Holdco LLC / Allied Universal Finance Corp.(d) | | 9.75% | | | 07/15/2027 | | | 144,082 | |
| 400,000 | | | Global Payments, Inc. | | 4.95% | | | 08/15/2027 | | | 381,713 | |
| 200,000 | | | Metis Merger Sub LLC(d) | | 6.50% | | | 05/15/2029 | | | 156,283 | |
| 120,000 | | | NESCO Holdings II, Inc.(d) | | 5.50% | | | 04/15/2029 | | | 100,172 | |
| 410,000 | | | PECF USS Intermediate Holding III Corp.(d) | | 8.00% | | | 11/15/2029 | | | 300,640 | |
| 175,000 | | | Triton Container International, Ltd.(d) | | 1.15% | | | 06/07/2024 | | | 159,511 | |
| 330,000 | | | Triton Container International, Ltd. / TAL International Container Corp. | | 3.25% | | | 03/15/2032 | | | 244,670 | |
| 170,000 | | | WASH Multifamily Acquisition, Inc.(d) | | 5.75% | | | 04/15/2026 | | | 156,930 | |
| | | | | | | | | | | | 1,724,377 | |
Computers - 0.10% |
| 455,000 | | | Fortinet, Inc. | | 1.00% | | | 03/15/2026 | | | 392,023 | |
| 430,000 | | | NetApp, Inc. | | 1.88% | | | 06/22/2025 | | | 393,151 | |
| 700,000 | | | Virtusa Corp.(d) | | 7.13% | | | 12/15/2028 | | | 522,655 | |
| | | | | | | | | | | | 1,307,829 | |
Containers and Packaging - 0.03% |
| 400,000 | | | Packaging Corp. of America | | 3.40% | | | 12/15/2027 | | | 363,664 | |
| | | | | | | | | | | | | |
Cosmetics/Personal Care - 0.02% |
| 125,000 | | | Coty, Inc.(d) | | 6.50% | | | 04/15/2026 | | | 115,333 | |
| 130,000 | | | Coty, Inc.(d) | | 5.00% | | | 04/15/2026 | | | 118,516 | |
| | | | | | | | | | | | 233,849 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 39 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | Value | |
Distribution/Wholesale - 0.01% |
$ | 180,000 | | | BCPE Empire Holdings, Inc.(d) | | 7.63% | | | 05/01/2027 | | $ | 156,303 | |
| | | | | | | | | | | | | |
Diversified Financial Services - 0.42% |
| 300,000 | | | Air Lease Corp. | | 1.88% | | | 08/15/2026 | | | 254,603 | |
| 835,000 | | | Air Methods Corp.(d) | | 8.00% | | | 05/15/2025 | | | 420,640 | |
| 465,000 | | | Aircastle, Ltd.(d) | | 2.85% | | | 01/26/2028 | | | 361,649 | |
| 800,000 | | | American Express Co. | | 3.95% | | | 08/01/2025 | | | 775,317 | |
| 635,000 | | | Aviation Capital Group LLC(d) | | 1.95% | | | 09/20/2026 | | | 515,021 | |
| 200,000 | | | Capital One Financial Corp.(e) | | 1D US SOFR + 2.16% | | | 07/24/2026 | | | 195,638 | |
| 960,000 | | | Discover Financial Services | | 4.10% | | | 02/09/2027 | | | 883,969 | |
| 95,000 | | | Nasdaq, Inc. | | 3.95% | | | 03/07/2052 | | | 70,845 | |
| 385,000 | | | Nationstar Mortgage Holdings, Inc.(d) | | 5.75% | | | 11/15/2031 | | | 283,050 | |
| 95,000 | | | Navient Corp. | | 5.00% | | | 03/15/2027 | | | 77,830 | |
| 110,000 | | | NFP Corp.(d) | | 6.88% | | | 08/15/2028 | | | 85,982 | |
| 170,000 | | | OneMain Finance Corp. | | 6.63% | | | 01/15/2028 | | | 146,254 | |
| 305,000 | | | PennyMac Financial Services, Inc.(d) | | 4.25% | | | 02/15/2029 | | | 217,919 | |
| 710,000 | | | Synchrony Financial | | 3.95% | | | 12/01/2027 | | | 616,959 | |
| 925,000 | | | Western Union Co. | | 2.75% | | | 03/15/2031 | | | 697,698 | |
| | | | | | | | | | | | 5,603,374 | |
Electric - 0.70% |
| 465,000 | | | Berkshire Hathaway Energy Co.(d) | | 4.60% | | | 05/01/2053 | | | 393,152 | |
| 155,000 | | | Calpine Corp.(d) | | 5.13% | | | 03/15/2028 | | | 133,446 | |
| 35,000 | | | Calpine Corp.(d) | | 4.63% | | | 02/01/2029 | | | 28,588 | |
| 415,000 | | | DTE Energy Co.(l) | | 4.22% | | | 11/01/2024 | | | 407,397 | |
| 80,000 | | | Duke Energy Carolinas LLC | | 2.85% | | | 03/15/2032 | | | 66,372 | |
| 265,000 | | | Duke Energy Corp. | | 4.30% | | | 03/15/2028 | | | 249,795 | |
| 675,000 | | | Duke Energy Corp. | | 3.95% | | | 08/15/2047 | | | 493,342 | |
| 255,000 | | | Entergy Corp. | | 2.80% | | | 06/15/2030 | | | 206,891 | |
| 1,000,000 | | | Exelon Corp. | | 4.05% | | | 04/15/2030 | | | 907,487 | |
| 130,000 | | | Exelon Corp.(d) | | 4.10% | | | 03/15/2052 | | | 100,666 | |
| 480,000 | | | Georgia Power Co. | | 2.20% | | | 09/15/2024 | | | 454,756 | |
| 980,000 | | | Georgia Power Co. | | 3.25% | | | 03/15/2051 | | | 648,783 | |
| 1,100,000 | | | ITC Holdings Corp. | | 3.25% | | | 06/30/2026 | | | 1,018,888 | |
| 550,000 | | | Mercury Chile Holdco LLC(d) | | 6.50% | | | 01/24/2027 | | | 481,283 | |
| 275,000 | | | Monongahela Power Co.(d) | | 5.40% | | | 12/15/2043 | | | 251,569 | |
| 375,000 | | | NextEra Energy Capital Holdings, Inc. | | 4.26% | | | 09/01/2024 | | | 369,870 | |
| 750,000 | | | NextEra Energy Capital Holdings, Inc. | | 2.25% | | | 06/01/2030 | | | 599,463 | |
| 265,000 | | | NRG Energy, Inc.(d) | | 2.00% | | | 12/02/2025 | | | 234,278 | |
| 215,000 | | | NRG Energy, Inc.(d) | | 3.63% | | | 02/15/2031 | | | 168,162 | |
| 525,000 | | | Pacific Gas and Electric Co. | | 2.50% | | | 02/01/2031 | | | 382,660 | |
See Notes to Financial Statements.
40 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | Value | |
$ | 320,000 | | | Pike Corp.(d) | | 5.50% | | | 09/01/2028 | | $ | 259,610 | |
| 325,000 | | | Southern Co.(e) | | 5Y US TI + 2.915% | | | 09/15/2051 | | | 264,352 | |
| 300,000 | | | Southwestern Electric Power Co. | | 3.25% | | | 11/01/2051 | | | 191,350 | |
| 1,000,000 | | | Virginia Electric and Power Co. | | 3.50% | | | 03/15/2027 | | | 938,215 | |
| 160,000 | | | Virginia Electric and Power Co. | | 3.75% | | | 05/15/2027 | | | 151,239 | |
| | | | | | | | | | | | 9,401,614 | |
Electrical Components & Equipment - 0.01% |
| 115,000 | | | Energizer Holdings, Inc.(d) | | 4.75% | | | 06/15/2028 | | | 91,269 | |
| | | | | | | | | | | | | |
Electronics - 0.02% |
| 335,000 | | | Arrow Electronics, Inc. | | 3.88% | | | 01/12/2028 | | | 303,241 | |
| | | | | | | | | | | | | |
Engineering & Construction - 0.02% |
| 265,000 | | | Artera Services LLC(d) | | 9.03% | | | 12/04/2025 | | | 213,688 | |
| | | | | | | | | | | | | |
Entertainment - 0.17% |
| 260,000 | | | Boyne USA, Inc.(d) | | 4.75% | | | 05/15/2029 | | | 218,181 | |
| 265,000 | | | Cedar Fair LP | | 5.25% | | | 07/15/2029 | | | 227,895 | |
| 135,000 | | | Lions Gate Capital Holdings LLC(d) | | 5.50% | | | 04/15/2029 | | | 100,840 | |
| 235,000 | | | Live Nation Entertainment, Inc.(d) | | 4.75% | | | 10/15/2027 | | | 204,504 | |
| 270,000 | | | Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp.(d) | | 4.88% | | | 05/01/2029 | | | 222,831 | |
| 575,000 | | | Premier Entertainment Sub LLC / Premier Entertainment Finance Corp.(d) | | 5.63% | | | 09/01/2029 | | | 398,831 | |
| 350,000 | | | Premier Entertainment Sub LLC / Premier Entertainment Finance Corp.(d) | | 5.88% | | | 09/01/2031 | | | 236,710 | |
| 265,000 | | | Scientific Games Holdings LP/Scientific Games US FinCo, Inc.(d) | | 6.63% | | | 03/01/2030 | | | 212,852 | |
| 135,000 | | | Scientific Games International, Inc.(d) | | 7.25% | | | 11/15/2029 | | | 125,820 | |
| 415,000 | | | Warnermedia Holdings, Inc.(d) | | 3.76% | | | 03/15/2027 | | | 371,819 | |
| | | | | | | | | | | | 2,320,283 | |
Environmental Control - 0.01% |
| 180,000 | | | Madison IAQ LLC(d) | | 4.13% | | | 06/30/2028 | | | 144,842 | |
| | | | | | | | | | | | | |
Food - 0.14% |
| 160,000 | | | Performance Food Group, Inc.(d) | | 5.50% | | | 10/15/2027 | | | 145,792 | |
| 140,000 | | | Performance Food Group, Inc.(d) | | 4.25% | | | 08/01/2029 | | | 116,840 | |
| 31,000 | | | Post Holdings, Inc.(d) | | 4.63% | | | 04/15/2030 | | | 25,528 | |
| 769,000 | | | Smithfield Foods, Inc.(d) | | 4.25% | | | 02/01/2027 | | | 713,490 | |
| 65,000 | | | Smithfield Foods, Inc.(d) | | 3.00% | | | 10/15/2030 | | | 50,272 | |
| 810,000 | | | Sysco Corp. | | 3.30% | | | 02/15/2050 | | | 533,632 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 41 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | Value | |
$ | 10,000 | | | Sysco Corp. | | 3.15% | | | 12/14/2051 | | $ | 6,349 | |
| 270,000 | | | United Natural Foods, Inc.(d) | | 6.75% | | | 10/15/2028 | | | 247,502 | |
| | | | | | | | | | | | 1,839,405 | |
Food Service - 0.03% |
| 585,000 | | | TKC Holdings, Inc.(d) | | 10.50% | | | 05/15/2029 | | | 448,589 | |
| | | | | | | | | | | | | |
Healthcare-Products - 0.01% |
| 255,000 | | | Medline Borrower LP(d) | | 5.25% | | | 10/01/2029 | | | 193,017 | |
| | | | | | | | | | | | | |
Healthcare-Services - 0.26% |
| 690,000 | | | Centene Corp. | | 2.50% | | | 03/01/2031 | | | 521,579 | |
| 155,000 | | | CHS/Community Health Systems, Inc.(d) | | 6.00% | | | 01/15/2029 | | | 114,273 | |
| 570,000 | | | CHS/Community Health Systems, Inc.(d) | | 6.88% | | | 04/15/2029 | | | 276,588 | |
| 355,000 | | | Elevance Health, Inc. | | 2.38% | | | 01/15/2025 | | | 335,384 | |
| 135,000 | | | Elevance Health, Inc. | | 4.55% | | | 05/15/2052 | | | 114,303 | |
| 395,000 | | | HCA, Inc. | | 4.13% | | | 06/15/2029 | | | 346,937 | |
| 320,000 | | | Health Care Service Corp. A Mutual Legal Reserve Co.(d) | | 3.20% | | | 06/01/2050 | | | 214,546 | |
| 85,000 | | | Legacy LifePoint Health LLC(d) | | 6.75% | | | 04/15/2025 | | | 80,527 | |
| 205,000 | | | Legacy LifePoint Health LLC(d) | | 4.38% | | | 02/15/2027 | | | 169,664 | |
| 75,000 | | | ModivCare Escrow Issuer, Inc.(d) | | 5.00% | | | 10/01/2029 | | | 61,086 | |
| 915,000 | | | Radiology Partners, Inc.(d) | | 9.25% | | | 02/01/2028 | | | 598,342 | |
| 195,000 | | | RP Escrow Issuer LLC(d) | | 5.25% | | | 12/15/2025 | | | 161,409 | |
| 115,000 | | | Tenet Healthcare Corp.(d) | | 6.13% | | | 10/01/2028 | | | 100,936 | |
| 220,000 | | | Tenet Healthcare Corp.(d) | | 6.13% | | | 06/15/2030 | | | 202,098 | |
| 155,000 | | | UnitedHealth Group, Inc. | | 4.95% | | | 05/15/2062 | | | 138,595 | |
| | | | | | | | | | | | 3,436,267 | |
Housewares - 0.04% |
| 910,000 | | | SWF Escrow Issuer Corp.(d) | | 6.50% | | | 10/01/2029 | | | 540,963 | |
| | | | | | | | | | | | | |
Insurance - 0.24% |
| 130,000 | | | Alliant Holdings Intermediate LLC(d) | | 6.75% | | | 10/15/2027 | | | 112,313 | |
| 185,000 | | | AmWINS Group, Inc.(d) | | 4.88% | | | 06/30/2029 | | | 153,976 | |
| 855,000 | | | Athene Global Funding(d)(e) | | SOFRINDX + 0.56% | | | 08/19/2024 | | | 832,151 | |
| 330,000 | | | Berkshire Hathaway Finance Corp. | | 2.85% | | | 10/15/2050 | | | 212,668 | |
| 180,000 | | | Berkshire Hathaway Finance Corp. | | 3.85% | | | 03/15/2052 | | | 138,185 | |
| 150,000 | | | Brighthouse Financial Global Funding(d) | | 1.00% | | | 04/12/2024 | | | 140,116 | |
| 260,000 | | | Brighthouse Financial Global Funding(d) | | 2.00% | | | 06/28/2028 | | | 212,048 | |
See Notes to Financial Statements.
42 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | Value | |
$ | 160,000 | | | GTCR AP Finance, Inc.(d) | | 8.00% | | | 05/15/2027 | | $ | 147,505 | |
| 435,000 | | | Massachusetts Mutual Life Insurance Co.(d) | | 3.20% | | | 12/01/2061 | | | 264,505 | |
| 415,000 | | | Prudential Financial, Inc. | | 3.91% | | | 12/07/2047 | | | 316,634 | |
| 745,000 | | | Willis North America, Inc. | | 4.50% | | | 09/15/2028 | | | 691,828 | |
| | | | | | | | | | | | 3,221,929 | |
Internet - 0.13% |
| 1,490,000 | | | Endurance International Group Holdings, Inc.(d) | | 6.00% | | | 02/15/2029 | | | 992,129 | |
| 200,000 | | | Expedia Group, Inc. | | 5.00% | | | 02/15/2026 | | | 196,892 | |
| 390,000 | | | Expedia Group, Inc. | | 3.80% | | | 02/15/2028 | | | 346,909 | |
| 135,000 | | | Expedia Group, Inc. | | 3.25% | | | 02/15/2030 | | | 109,664 | |
| 58,000 | | | Expedia Group, Inc. | | 2.95% | | | 03/15/2031 | | | 45,076 | |
| 135,000 | | | Uber Technologies, Inc.(d) | | 4.50% | | | 08/15/2029 | | | 113,738 | |
| | | | | | | | | | | | 1,804,408 | |
Investment Companies - 0.84% |
| 430,000 | | | Ares Capital Corp. | | 2.15% | | | 07/15/2026 | | | 360,866 | |
| 5,000,000 | | | Franklin BSP Lending Corp.(d) | | 5.38% | | | 05/30/2023 | | | 4,936,514 | |
| 180,000 | | | Icahn Enterprises LP / Icahn Enterprises Finance Corp. | | 5.25% | | | 05/15/2027 | | | 157,996 | |
| 435,000 | | | Owl Rock Capital Corp. | | 2.63% | | | 01/15/2027 | | | 352,052 | |
| 844 | | | OWL Rock Core Income Corp.(d) | | 5.50% | | | 03/21/2025 | | | 795 | |
| 3,961,000 | | | OWL Rock Core Income Corp. | | 5.50% | | | 03/21/2025 | | | 3,730,637 | |
| 2,000,000 | | | OWL Rock Core Income Corp. | | 4.70% | | | 02/08/2027 | | | 1,754,294 | |
| | | | | | | | | | | | 11,293,154 | |
Leisure Time - 0.06% |
| 135,000 | | | Carnival Corp.(d) | | 7.63% | | | 03/01/2026 | | | 102,804 | |
| 430,000 | | | Carnival Corp.(d) | | 5.75% | | | 03/01/2027 | | | 302,193 | |
| 140,000 | | | NCL Corp., Ltd.(d) | | 5.88% | | | 02/15/2027 | | | 116,843 | |
| 340,000 | | | Viking Cruises, Ltd.(d) | | 5.88% | | | 09/15/2027 | | | 259,969 | |
| | | | | | | | | | | | 781,809 | |
Lodging - 0.06% |
| 420,000 | | | Marriott International, Inc. | | 3.13% | | | 06/15/2026 | | | 387,930 | |
| 585,000 | | | Marriott International, Inc. | | 2.75% | | | 10/15/2033 | | | 425,574 | |
| | | | | | | | | | | | 813,504 | |
Machinery-Diversified - 0.03% |
| 520,000 | | | Flowserve Corp. | | 2.80% | | | 01/15/2032 | | | 372,932 | |
| | | | | | | | | | | | | |
Media - 0.27% |
| 140,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp.(d) | | 4.75% | | | 02/01/2032 | | | 109,260 | |
| 135,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp.(d) | | 4.25% | | | 01/15/2034 | | | 96,947 | |
| 970,000 | | | Cengage Learning, Inc.(d) | | 9.50% | | | 06/15/2024 | | | 910,476 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 43 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | Value | |
$ | 395,000 | | | Charter Communications Operating LLC / Charter Communications Operating Capital | | 4.91% | | | 07/23/2025 | | $ | 385,535 | |
| 495,000 | | | Charter Communications Operating LLC / Charter Communications Operating Capital | | 3.50% | | | 03/01/2042 | | | 315,208 | |
| 260,000 | | | Comcast Corp. | | 3.95% | | | 10/15/2025 | | | 252,809 | |
| 410,000 | | | Comcast Corp. | | 3.40% | | | 04/01/2030 | | | 361,075 | |
| 120,000 | | | Directv Financing LLC / Directv Financing Co.-Obligor, Inc.(d) | | 5.88% | | | 08/15/2027 | | | 103,725 | |
| 145,000 | | | DISH DBS Corp.(d) | | 5.75% | | | 12/01/2028 | | | 109,854 | |
| 130,000 | | | GCI LLC(d) | | 4.75% | | | 10/15/2028 | | | 108,195 | |
| 700,000 | | | McGraw-Hill Education, Inc.(d) | | 5.75% | | | 08/01/2028 | | | 585,995 | |
| 85,000 | | | News Corp.(d) | | 5.13% | | | 02/15/2032 | | | 74,758 | |
| 190,000 | | | Scripps Escrow, Inc.(d) | | 5.88% | | | 07/15/2027 | | | 165,664 | |
| | | | | | | | | | | | 3,579,501 | |
Mining - 0.08% |
| 220,000 | | | Arconic Corp.(d) | | 6.13% | | | 02/15/2028 | | | 194,824 | |
| 50,000 | | | Freeport-McMoRan, Inc. | | 4.38% | | | 08/01/2028 | | | 45,097 | |
| 300,000 | | | Freeport-McMoRan, Inc. | | 4.63% | | | 08/01/2030 | | | 263,490 | |
| 400,000 | | | Glencore Funding LLC(d) | | 1.63% | | | 04/27/2026 | | | 346,313 | |
| 365,000 | | | Glencore Funding LLC(d) | | 3.38% | | | 09/23/2051 | | | 222,988 | |
| | | | | | | | | | | | 1,072,712 | |
Miscellaneous Manufactur - 0.01% |
| 205,000 | | | Parker-Hannifin Corp. | | 4.25% | | | 09/15/2027 | | | 195,581 | |
| | | | | | | | | | | | | |
Oil & Gas - 0.44% |
| 360,000 | | | BP Capital Markets America, Inc. | | 2.94% | | | 06/04/2051 | | | 229,377 | |
| 475,000 | | | BP Capital Markets America, Inc. | | 3.00% | | | 03/17/2052 | | | 305,451 | |
| 905,000 | | | Brooklyn Union Gas Co.(d) | | 4.49% | | | 03/04/2049 | | | 682,973 | |
| 165,000 | | | Callon Petroleum Co.(d) | | 7.50% | | | 06/15/2030 | | | 144,779 | |
| 165,000 | | | Chesapeake Energy Corp.(d) | | 5.88% | | | 02/01/2029 | | | 153,243 | |
| 170,000 | | | CNX Resources Corp.(d) | | 6.00% | | | 01/15/2029 | | | 155,512 | |
| 100,000 | | | CNX Resources Corp.(d) | | 7.38% | | | 01/15/2031 | | | 98,026 | |
| 320,000 | | | Continental Resources, Inc.(d) | | 2.27% | | | 11/15/2026 | | | 273,461 | |
| 95,000 | | | East Ohio Gas Co.(d) | | 3.00% | | | 06/15/2050 | | | 60,109 | |
| 450,000 | | | Exxon Mobil Corp. | | 4.23% | | | 03/19/2040 | | | 391,992 | |
| 260,000 | | | Halliburton Co. | | 2.92% | | | 03/01/2030 | | | 216,781 | |
| 140,000 | | | Hilcorp Energy I LP / Hilcorp Finance Co.(d) | | 6.25% | | | 11/01/2028 | | | 129,475 | |
| 155,000 | | | Hilcorp Energy I LP / Hilcorp Finance Co.(d) | | 5.75% | | | 02/01/2029 | | | 135,827 | |
| 250,000 | | | Kosmos Energy, Ltd.(c) | | 7.50% | | | 03/01/2028 | | | 196,709 | |
| 285,000 | | | Marathon Petroleum Corp. | | 5.13% | | | 12/15/2026 | | | 280,595 | |
See Notes to Financial Statements.
44 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
$ | 750,000 | | NiSource, Inc. | | 3.60% | | | 05/01/2030 | | | $ | 655,301 | |
| 65,000 | | Occidental Petroleum Corp. | | 6.63% | | | 09/01/2030 | | | | 66,131 | |
| 95,000 | | Occidental Petroleum Corp. | | 6.13% | | | 01/01/2031 | | | | 93,806 | |
| 95,000 | | Occidental Petroleum Corp. | | 6.45% | | | 09/15/2036 | | | | 95,234 | |
| 170,000 | | Pioneer Natural Resources Co. | | 1.90% | | | 08/15/2030 | | | | 130,224 | |
| 700,000 | | SierraCol Energy Andina LLC(d) | | 6.00% | | | 06/15/2028 | | | | 455,555 | |
| 300,000 | | SierraCol Energy Andina LLC(c) | | 6.00% | | | 06/15/2028 | | | | 195,238 | |
| 140,000 | | Southwestern Energy Co. | | 5.38% | | | 02/01/2029 | | | | 127,247 | |
| 160,000 | | Southwestern Energy Co. | | 4.75% | | | 02/01/2032 | | | | 134,448 | |
| 110,000 | | Sunoco LP / Sunoco Finance Corp. | | 6.00% | | | 04/15/2027 | | | | 105,052 | |
| 215,000 | | Sunoco LP / Sunoco Finance Corp. | | 4.50% | | | 05/15/2029 | | | | 178,738 | |
| 160,000 | | USA Compression Partners LP / USA Compression Finance Corp. | | 6.88% | | | 09/01/2027 | | | | 145,672 | |
| | | | | | | | | | | | 5,836,956 | |
Oil & Gas Services - 0.01% | | | | | | | | | | |
| 150,000 | | Weatherford International, Ltd.(d) | | 6.50% | | | 09/15/2028 | | | | 135,210 | |
| | | | | | | | | | | | | |
Packaging & Containers - 0.08% | | | | | | | | | | |
| 280,000 | | Berry Global, Inc. | | 1.65% | | | 01/15/2027 | | | | 232,541 | |
| 195,000 | | Clydesdale Acquisition Holdings, Inc.(d) | | 6.63% | | | 04/15/2029 | | | | 177,842 | |
| 736,000 | | WRKCo, Inc. | | 3.75% | | | 03/15/2025 | | | | 709,725 | |
| | | | | | | | | | | | 1,120,108 | |
Pharmaceuticals - 0.14% | | | | | | | | | | |
| 870,000 | | AbbVie, Inc. | | 4.70% | | | 05/14/2045 | | | | 738,486 | |
| 260,000 | | AdaptHealth LLC(d) | | 5.13% | | | 03/01/2030 | | | | 214,786 | |
| 100,000 | | Bausch Health Cos., Inc.(d) | | 6.13% | | | 02/01/2027 | | | | 69,480 | |
| 90,000 | | Bausch Health Cos., Inc.(d) | | 6.25% | | | 02/15/2029 | | | | 33,768 | |
| 430,000 | | CVS Health Corp. | | 5.05% | | | 03/25/2048 | | | | 379,692 | |
| 200,000 | | Owens & Minor, Inc.(d) | | 6.63% | | | 04/01/2030 | | | | 176,500 | |
| 265,000 | | Viatris, Inc. | | 1.65% | | | 06/22/2025 | | | | 235,880 | |
| | | | | | | | | | | | 1,848,592 | |
Pipelines - 0.41% | | | | | | | | | | |
| 73,000 | | Antero Midstream Partners LP / Antero Midstream Finance Corp.(d) | | 5.75% | | | 03/01/2027 | | | | 67,665 | |
| 395,000 | | Energy Transfer LP | | 4.75% | | | 01/15/2026 | | | | 381,021 | |
| 1,000,000 | | Energy Transfer LP | | 3.90% | | | 07/15/2026 | | | | 933,200 | |
| 250,000 | | Energy Transfer LP | | 4.40% | | | 03/15/2027 | | | | 233,360 | |
| 525,000 | | Energy Transfer LP | | 5.00% | | | 05/15/2044 | | | | 406,537 | |
| 220,000 | | EQM Midstream Partners LP(d) | | 4.75% | | | 01/15/2031 | | | | 175,142 | |
| 320,000 | | Hess Midstream Operations LP(d) | | 5.13% | | | 06/15/2028 | | | | 280,624 | |
| 275,000 | | Hess Midstream Operations LP(d) | | 4.25% | | | 02/15/2030 | | | | 222,650 | |
| 678,000 | | Kinder Morgan Energy Partners LP | | 6.95% | | | 01/15/2038 | | | | 675,857 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 45 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
$ | 1,260,000 | | NGL Energy Operating LLC / NGL Energy Finance Corp.(d) | | 7.50% | | | 02/01/2026 | | | $ | 1,122,729 | |
| 205,000 | | NGPL PipeCo LLC(d) | | 3.25% | | | 07/15/2031 | | | | 160,806 | |
| 270,000 | | NuStar Logistics LP | | 6.38% | | | 10/01/2030 | | | | 231,625 | |
| 255,000 | | ONEOK, Inc. | | 3.40% | | | 09/01/2029 | | | | 214,217 | |
| 345,000 | | Sabine Pass Liquefaction LLC | | 5.00% | | | 03/15/2027 | | | | 331,425 | |
| | | | | | | | | | | | 5,436,858 | |
Real Estate - 0.01% | | | | | | | | | | |
| 130,000 | | Realogy Group LLC / Realogy Co.-Issuer Corp.(d) | | 5.25% | | | 04/15/2030 | | | | 88,503 | |
| | | | | | | | | | | | | |
REITS - 0.33% | | | | | | | | | | |
| 165,000 | | Agree LP | | 2.60% | | | 06/15/2033 | | | | 120,573 | |
| 370,000 | | Alexandria Real Estate Equities, Inc. | | 3.00% | | | 05/18/2051 | | | | 225,513 | |
| 280,000 | | Corporate Office Properties LP | | 2.90% | | | 12/01/2033 | | | | 194,409 | |
| 800,000 | | Crown Castle, Inc. | | 3.70% | | | 06/15/2026 | | | | 752,118 | |
| 515,000 | | Crown Castle, Inc. | | 3.65% | | | 09/01/2027 | | | | 466,832 | |
| 465,000 | | Equinix, Inc. | | 1.80% | | | 07/15/2027 | | | | 389,303 | |
| 1,000,000 | | Equinix, Inc. | | 2.15% | | | 07/15/2030 | | | | 768,112 | |
| 515,000 | | Host Hotels & Resorts LP | | 2.90% | | | 12/15/2031 | | | | 378,667 | |
| 390,000 | | Invitation Homes Operating Partnership LP | | 2.70% | | | 01/15/2034 | | | | 275,735 | |
| 250,000 | | Iron Mountain, Inc.(d) | | 4.50% | | | 02/15/2031 | | | | 193,727 | |
| 80,000 | | Office Properties Income Trust | | 2.65% | | | 06/15/2026 | | | | 60,062 | |
| 335,000 | | Office Properties Income Trust | | 2.40% | | | 02/01/2027 | | | | 241,668 | |
| 140,000 | | Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co.-Issuer(d) | | 4.88% | | | 05/15/2029 | | | | 113,618 | |
| 90,000 | | Sabra Health Care LP | | 3.20% | | | 12/01/2031 | | | | 66,250 | |
| 180,000 | | Vornado Realty LP | | 2.15% | | | 06/01/2026 | | | | 150,839 | |
| | | | | | | | | | | | 4,397,426 | |
Retail - 0.39% | | | | | | | | | | |
| 480,000 | | AutoNation, Inc. | | 3.85% | | | 03/01/2032 | | | | 379,960 | |
| 810,000 | | Dick's Sporting Goods, Inc. | | 3.15% | | | 01/15/2032 | | | | 618,100 | |
| 240,000 | | Dick's Sporting Goods, Inc. | | 4.10% | | | 01/15/2052 | | | | 148,788 | |
| 190,000 | | Dollar General Corp. | | 4.25% | | | 09/20/2024 | | | | 187,851 | |
| 735,000 | | Dollar Tree, Inc. | | 4.00% | | | 05/15/2025 | | | | 712,959 | |
| 90,000 | | Dollar Tree, Inc. | | 3.38% | | | 12/01/2051 | | | | 58,486 | |
| 120,000 | | Ferrellgas LP / Ferrellgas Finance Corp.(d) | | 5.38% | | | 04/01/2026 | | | | 105,739 | |
| 240,000 | | Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc.(d) | | 6.75% | | | 01/15/2030 | | | | 182,851 | |
| 220,000 | | Lowe's Cos., Inc. | | 4.40% | | | 09/08/2025 | | | | 216,804 | |
| 230,000 | | Lowe's Cos., Inc. | | 5.63% | | | 04/15/2053 | | | | 213,249 | |
See Notes to Financial Statements.
46 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
$ | 480,000 | | McDonald's Corp. | | 4.45% | | | 03/01/2047 | | | $ | 403,617 | |
| 150,000 | | Michaels Cos., Inc.(d) | | 5.25% | | | 05/01/2028 | | | | 105,617 | |
| 190,000 | | Park River Holdings, Inc.(d) | | 5.63% | | | 02/01/2029 | | | | 123,665 | |
| 945,000 | | PetSmart, Inc. / PetSmart Finance Corp.(d) | | 7.75% | | | 02/15/2029 | | | | 846,285 | |
| 290,000 | | Sonic Automotive, Inc.(d) | | 4.63% | | | 11/15/2029 | | | | 227,994 | |
| 190,000 | | SRS Distribution, Inc.(d) | | 4.63% | | | 07/01/2028 | | | | 163,436 | |
| 185,000 | | Staples, Inc.(d) | | 7.50% | | | 04/15/2026 | | | | 155,595 | |
| 255,000 | | Suburban Propane Partners LP/Suburban Energy Finance Corp.(d) | | 5.00% | | | 06/01/2031 | | | | 209,616 | |
| 145,000 | | Victoria's Secret & Co.(d) | | 4.63% | | | 07/15/2029 | | | | 109,784 | |
| | | | | | | | | | | | 5,170,396 | |
Semiconductors - 0.10% | | | | | | | | | | |
| 729,000 | | Broadcom, Inc.(d) | | 3.42% | | | 04/15/2033 | | | | 557,753 | |
| 770,000 | | Marvell Technology, Inc. | | 4.20% | | | 06/22/2023 | | | | 767,963 | |
| | | | | | | | | | | | 1,325,716 | |
Software - 0.19% | | | | | | | | | | |
| 200,000 | | AthenaHealth Group, Inc.(d) | | 6.50% | | | 02/15/2030 | | | | 158,490 | |
| 1,550,000 | | Castle US Holding Corp.(d) | | 9.50% | | | 02/15/2028 | | | | 1,150,457 | |
| 140,000 | | Clarivate Science Holdings Corp.(d) | | 4.88% | | | 07/01/2029 | | | | 109,845 | |
| 225,217 | | CWT Travel Group, Inc.(d) | | 8.50% | | | 11/19/2026 | | | | 194,813 | |
| 635,000 | | Oracle Corp. | | 3.85% | | | 04/01/2060 | | | | 385,404 | |
| 465,000 | | VMware, Inc. | | 2.20% | | | 08/15/2031 | | | | 339,169 | |
| 195,000 | | Workday, Inc. | | 3.70% | | | 04/01/2029 | | | | 175,123 | |
| | | | | | | | | | | | 2,513,301 | |
Telecommunications - 0.38% | | | | | | | | | | |
| 500,000 | | AT&T, Inc. | | 4.30% | | | 02/15/2030 | | | | 457,402 | |
| 235,000 | | AT&T, Inc. | | 2.75% | | | 06/01/2031 | | | | 188,493 | |
| 1,045,000 | | AT&T, Inc. | | 3.50% | | | 09/15/2053 | | | | 698,028 | |
| 500,000 | | AT&T, Inc. | | 3.55% | | | 09/15/2055 | | | | 329,475 | |
| 175,000 | | CommScope, Inc.(d) | | 4.75% | | | 09/01/2029 | | | | 143,071 | |
| 1,675,000 | | Embarq Corp Eq | | 8.00% | | | 06/01/2036 | | | | 841,252 | |
| 45,000 | | Frontier Communications Holdings LLC(d) | | 5.88% | | | 10/15/2027 | | | | 40,433 | |
| 85,000 | | Frontier Communications Holdings LLC(d) | | 5.00% | | | 05/01/2028 | | | | 73,089 | |
| 150,000 | | Frontier Communications Holdings LLC(d) | | 6.00% | | | 01/15/2030 | | | | 118,155 | |
| 160,000 | | Lumen Technologies, Inc.(d) | | 5.13% | | | 12/15/2026 | | | | 137,906 | |
| 440,000 | | T-Mobile USA, Inc. | | 2.25% | | | 02/15/2026 | | | | 394,319 | |
| 1,000,000 | | T-Mobile USA, Inc. | | 3.88% | | | 04/15/2030 | | | | 887,627 | |
| 445,000 | | T-Mobile USA, Inc. | | 3.40% | | | 10/15/2052 | | | | 294,553 | |
| 500,000 | | Verizon Communications, Inc. | | 3.15% | | | 03/22/2030 | | | | 426,037 | |
| 145,000 | | Verizon Communications, Inc. | | 3.88% | | | 03/01/2052 | | | | 108,267 | |
| | | | | | | | | | | | 5,138,107 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 47 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
Transportation - 0.09% | | | | | | | | | |
$ | 970,000 | | CSX Corp. | | 3.80% | | | 11/01/2046 | | | $ | 742,870 | |
| 500,000 | | Union Pacific Corp. | | 3.70% | | | 03/01/2029 | | | | 463,418 | |
| | | | | | | | | | | | 1,206,288 | |
Trucking & Leasing - 0.02% | | | | | | | | | | |
| 350,000 | | Penske Truck Leasing Co. LP / PTL Finance Corp.(d) | | 4.20% | | | 04/01/2027 | | | | 326,071 | |
| | | | | | | | | | | | | |
TOTAL U.S. CORPORATE BONDS | | | | | | | | | | |
(Cost $133,446,168) | | | | | | | | | 109,071,547 | |
| | | | | | | | | | | | | |
CONVERTIBLE CORPORATE BONDS - 0.00% | | | | | | | | | | |
| 95,548 | | Digicel Group Holdings, Ltd.(d)(g) | | 5.09% (7.00%) | | | 12/31/2049 | | | | 16,721 | |
| | | | | | | | | | | | | |
TOTAL CONVERTIBLE CORPORATE BONDS | | | | | | | | | | |
(Cost $20,041) | | | | | | | | | 16,721 | |
| | | | | | | | | | | | | |
FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND FOREIGN AGENCIES - 0.76% |
| 400,000 | | Brazilian Government International Bond | | 5.63% | | | 02/21/2047 | | | | 309,540 | |
| 1,150,000 | | Brazilian Government International Bond | | 4.75% | | | 01/14/2050 | | | | 786,451 | |
| 200,000 | | Chile Government International Bond | | 2.55% | | | 01/27/2032 | | | | 157,376 | |
| 300,000 | | Chile Government International Bond | | 3.50% | | | 01/25/2050 | | | | 204,902 | |
| 500,000 | | Chile Government International Bond | | 3.10% | | | 01/22/2061 | | | | 290,957 | |
| 600,000 | | Colombia Government International Bond | | 3.25% | | | 04/22/2032 | | | | 407,019 | |
| 200,000 | | Colombia Government International Bond | | 4.13% | | | 02/22/2042 | | | | 114,212 | |
| 1,100,000 | | Colombia Government International Bond | | 5.00% | | | 06/15/2045 | | | | 669,953 | |
| 300,000 | | Colombia Government International Bond | | 5.20% | | | 05/15/2049 | | | | 186,087 | |
| 600,000 | | Colombia Government International Bond | | 4.13% | | | 05/15/2051 | | | | 323,651 | |
| 300,000 | | Dominican Republic International Bond(d) | | 6.00% | | | 02/22/2033 | | | | 244,922 | |
| 600,000 | | Dominican Republic International Bond(d) | | 6.40% | | | 06/05/2049 | | | | 433,961 | |
See Notes to Financial Statements.
48 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
$ | 250,000 | | Dominican Republic International Bond(c) | | 5.88% | | | 01/30/2060 | | | $ | 165,940 | |
| 200,000 | | Indonesia Government International Bond | | 2.15% | | | 07/28/2031 | | | | 157,020 | |
| 500,000 | | Indonesia Government International Bond | | 3.70% | | | 10/30/2049 | | | | 355,214 | |
| 400,000 | | Instituto Costarricense de Electricidad(c) | | 6.38% | | | 05/15/2043 | | | | 281,302 | |
| 250,000 | | Korea Development Bank | | 2.00% | | | 10/25/2031 | | | | 200,645 | |
| 1,160,000 | | Mexico Government International Bond | | 3.75% | | | 01/11/2028 | | | | 1,066,551 | |
| 500,000 | | Mexico Government International Bond | | 2.66% | | | 05/24/2031 | | | | 384,592 | |
| 750,000 | | Mexico Government International Bond | | 4.28% | | | 08/14/2041 | | | | 547,378 | |
| 500,000 | | Mexico Government International Bond | | 4.40% | | | 02/12/2052 | | | | 346,183 | |
| 600,000 | | Panama Government International Bond | | 2.25% | | | 09/29/2032 | | | | 423,951 | |
| 500,000 | | Panama Government International Bond | | 3.87% | | | 07/23/2060 | | | | 298,644 | |
| 200,000 | | Philippine Government International Bond | | 3.70% | | | 03/01/2041 | | | | 153,200 | |
| 200,000 | | Philippine Government International Bond | | 3.70% | | | 02/02/2042 | | | | 152,955 | |
| 200,000 | | Republic of South Africa Government International Bond | | 4.30% | | | 10/12/2028 | | | | 166,929 | |
| 900,000 | | Republic of South Africa Government International Bond | | 5.65% | | | 09/27/2047 | | | | 581,088 | |
| 300,000 | | Saudi Government International Bond(c) | | 2.25% | | | 02/02/2033 | | | | 236,188 | |
| 800,000 | | Ukraine Government International Bond(c)(i) | | 7.25% | | | 03/15/2035 | | | | 150,812 | |
| | | | | | | | | | | | | |
TOTAL FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND FOREIGN AGENCIES |
(Cost $14,102,531) | | | | | | | | | 9,797,623 | |
| | | | | | | | | | | | | |
BANK LOANS - 2.07%(e) | | | | | | | | | | |
Cayman Islands - 0.07% | | | | | | | | | | |
| 1,019,475 | | Grab Holdings, Inc., First Lien - Initial Term Loan | | 1M US L + 4.50%, 1.00% Floor | | | 01/29/2026 | | | | 960,223 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 49 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
Luxembourg - 0.08% | | | | | | | | | |
$ | 1,144,806 | | Travelport Finance Luxembourg SARL 1L, 2021, First Lien - Initial (Priority) Term Loan | | 3M US L + 8.75%, 1.00% Floor | | | 02/28/2025 | | | $ | 1,135,270 | |
| 409 | | Travelport Finance S.a r.l., First Lien - 2021 Consented Term Loan | | 3M US L + 6.75% | | | 05/29/2026 | | | | 290 | |
| | | | | | | | | | | | 1,135,560 | |
Netherlands - 0.04% | | | | | | | | | |
| 50,880 | | Bright Bidco B.V., First Lien | | N/A | | | 02/28/2023 | | | | 50,880 | |
| 1,232,331 | | Bright Bidco B.V., First Lien - 2018 Refinancing B Term Loan | | 3M US L + 3.50%, 1.00% Floor | | | 06/30/2024 | | | | 306,543 | |
| 89,040 | | Bright Bidco B.V., First Lien - Term Loan | | SOFR + 8.00% | | | 02/28/2023 | | | | 89,040 | |
| 5,736 | | Lealand Finance Company B.V., First Lien - Make-Whole Term Loan | | 1M US L + 3.00% | | | 06/28/2024 | | | | 3,657 | |
| 75,894 | | Lealand Finance Company B.V., First Lien - Take-Back Term Loan | | 3M US L + 1.00% | | | 06/30/2025 | | | | 38,611 | |
| | | | | | | | | | | | 488,731 | |
United Arab Emirates - 0.05% | | | | | | | | | |
| 784,130 | | Gulf Finance, LLC TL 1L | | 1M US L + 6.75% | | | 08/25/2026 | | | | 624,924 | |
| | | | | | | | | | | | | |
United States - 1.83% | | | | | | | | | |
| 1,237,811 | | Air Methods Corp., First Lien - Initial Term Loan | | 3M US L + 3.50%, 1.00% Floor | | | 04/22/2024 | | | | 995,924 | |
| 917,700 | | American Tire Distributors, Inc., First Lien - Initial Term Loan | | 3M US L + 6.25% | | | 10/08/2028 | | | | 861,821 | |
| 1,625,000 | | Applied Systems, Inc., Second Lien - 2021 Term Loan | | 3M US L + 5.50%, 0.75% Floor | | | 09/19/2025 | | | | 1,606,313 | |
| 686,950 | | Astra Acquisition Corp., First Lien - Initial Term Loan | | 1M US L + 5.25% | | | 10/22/2028 | | | | 587,342 | |
| 1,755,042 | | Astra Acquisition Corp., Second Lien - Initial Term Loan | | 1M US L + 8.875% | | | 10/22/2029 | | | | 1,614,639 | |
| 295,000 | | Asurion LLC, Second Lien - New B-3 Term Loan | | 1M US L + 5.25% | | | 01/31/2028 | | | | 223,831 | |
| 1,534,500 | | Atlas Purchaser, Inc., First Lien - Initial Term Loan | | 3M US L + 3.00%, 0.75% Floor | | | 05/08/2028 | | | | 1,210,337 | |
| 1,565,000 | | Aveanna Healthcare LLC, Second Lien - Initial Term Loan | | 1M US L + 7.00%, 0.50% Floor | | | 12/10/2029 | | | | 1,158,100 | |
| 200,000 | | Blackhawk Network Holdings, Inc., Second Lien | | 3M US L + 7.00% | | | 06/15/2026 | | | | 189,500 | |
| 729,488 | | Cengage Learning, Inc., First Lien - B Term Loan | | 3M US L + 5.00% | | | 06/29/2026 | | | | 662,353 | |
See Notes to Financial Statements.
50 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
$ | 1,630,000 | | Constant Contact, Inc., Second Lien - Initial Term Loan | | 3M US L + 7.50%, 0.75% Floor | | | 02/12/2029 | | | $ | 1,287,700 | |
| 905,000 | | DCert Buyer, Inc., Second Lien - First Amendment Refinancing Term Loan | | 3M US L + 7.00% | | | 02/19/2029 | | | | 848,438 | |
| 760,000 | | DG Investment Intermediate Holdings 2, Inc., Second Lien - Initial Term Loan | | 1M US L + 6.75%, 0.75% Floor | | | 03/30/2029 | | | | 713,450 | |
| 443,367 | | Edgewater Generation LLC, First Lien | | 1M US L + 3.75% | | | 12/13/2025 | | | | 391,298 | |
| 3,125,188 | | Envision Healthcare Corp., First Lien | | 3M US L + 0.00% | | | 03/31/2027 | | | | 1,050,198 | |
| 661,548 | | Intelsat Jackson Holdings S.A.TLB 1L | | 3M US L + 4.25% | | | 01/26/2029 | | | | 622,516 | |
| 400,000 | | Kenan Advantage Group, Inc, Second Lien - Initial Term Loan | | 3M US L + 7.25%, 0.75% Floor | | | 08/18/2027 | | | | 370,000 | |
| 435,000 | | LSF9 ATLANTIS HOLDINGS, LLC, First Lien - B Term Loan | | 3M US L + 7.25% | | | 03/29/2029 | | | | 414,338 | |
| 823,879 | | Minotaur Acquisition, Inc., First Lien - B Term Loan | | 3M US L + 4.75% | | | 03/27/2026 | | | | 784,818 | |
| 483,567 | | Misys, Ltd., First Lien - Dollar Term Loan | | 3M US L + 3.50%, 1.00% Floor | | | 06/13/2024 | | | | 422,154 | |
| 705,000 | | Misys, Ltd., Second Lien - Dollar Term Loan | | 6M US L + 7.25%, 1.00% Floor | | | 06/13/2025 | | | | 580,307 | |
| 1,023,597 | | Riverbed Technology, Inc., First Lien - Initial Term Loan | | 6M US L + 8.00% | | | 12/06/2026 | | | | 398,778 | |
| 332,037 | | Sweetwater Borrower, LLC, First Lien - Initial Term Loan | | 1M US L + 4.25% | | | 08/03/2028 | | | | 303,813 | |
| 966,936 | | Team Health Holdings, Inc., First Lien - Initial Term Loan | | 1M US L + 2.75%, 1.00% Floor | | | 02/06/2024 | | | | 888,372 | |
| 592,025 | | Think & Learn Private, Ltd., First Lien - B Term Loan | | 3M US L + 6.00% | | | 11/05/2026 | | | | 433,868 | |
| 680,000 | | TIBCO Software, Inc., Second Lien | | 1M US L + 7.25% | | | 03/04/2028 | | | | 678,725 | |
| 1,748,941 | | Travel Leaders Group LLC, First Lien - 2018 Refinancing Term Loan | | 1M US L + 4.00% | | | 01/25/2024 | | | | 1,614,185 | |
| 1,410,000 | | UKG, Inc. TL 2L | | 3M US L + 5.25% | | | 05/03/2027 | | | | 1,340,677 | |
| 806,643 | | Vantage Specialty Chemicals, Inc., First Lien - Closing Date Term Loan | | 3M US L + 3.50%, 1.00% Floor | | | 10/28/2024 | | | | 778,160 | |
| 683,100 | | Viad Corp, First Lien - Initial Term Loan | | 3M US L + 5.00%, 0.50% Floor | | | 07/30/2028 | | | | 651,220 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 51 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
$ | 880,420 | | WaterBridge Midstream Operating LLC, First Lien - Initial Term Loan | | 3M US L + 5.75%, 1.00% Floor | | | 06/22/2026 | | | $ | 851,987 | |
| | | | | | | | | | | | 24,535,162 | |
| | | | | | | | | | | | | |
TOTAL BANK LOANS | | | | | | | | | | |
(Cost $30,817,227) | | | | | | | | | 27,744,600 | |
| | | | | | | | | | | | | |
COLLATERALIZED LOAN OBLIGATIONS - 4.57% | | | | | | | | | | |
| | | AIMCO CLO | | | | | | | | | | |
| 500,000 | | Series 2018-AA(d)(e) | | 3M US L + 2.55% | | | 04/17/2031 | | | $ | 445,884 | |
| | | AIMCO CLO 10, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2021-10A(d)(e) | | 3M US L + 2.90% | | | 07/22/2032 | | | | 909,276 | |
| | | Apidos CLO XII | | | | | | | | | | |
| 500,000 | | Series 2018-12A(d)(e) | | 3M US L + 2.60% | | | 04/15/2031 | | | | 436,335 | |
| | | Apidos CLO XX | | | | | | | | | | |
| 500,000 | | Series 2018-20A(d)(e) | | 3M US L + 2.95% | | | 07/16/2031 | | | | 441,770 | |
| | | Apidos CLO XXIV | | | | | | | | | | |
| 1,000,000 | | Series 2018-24A(d)(e) | | 3M US L + 5.80% | | | 10/20/2030 | | | | 819,559 | |
| | | Babson CLO, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2018-IA(d)(e) | | 3M US L + 2.60% | | | 01/20/2031 | | | | 435,963 | |
| | | Bain Capital Credit CLO 2017-2, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2021-2A(d)(e) | | 3M US L + 6.50% | | | 07/25/2034 | | | | 417,447 | |
| 1,000,000 | | Series 2021-2A(d)(e) | | 3M US L + 3.10% | | | 07/25/2034 | | | | 887,453 | |
| | | Bain Capital Credit CLO 2021-2, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2021-2A(d)(e) | | 3M US L + 3.15% | | | 07/16/2034 | | | | 445,356 | |
| | | Bain Capital Credit CLO 2022-3, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2022-3A(d)(e) | | 3M US SOFR + 7.35% | | | 07/17/2035 | | | | 841,644 | |
| | | Barings CLO, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2017-1A(d)(e) | | 3M US L + 3.60% | | | 07/18/2029 | | | | 465,054 | |
| 500,000 | | Series 2018-4A(d)(e) | | 3M US L + 5.82% | | | 10/15/2030 | | | | 421,344 | |
| | | Barings CLO, Ltd. 2018-III | | | | | | | | | | |
| 1,295,000 | | Series 2018-3A(d)(e) | | 3M US L + 5.75% | | | 07/20/2029 | | | | 1,088,764 | |
| | | Barings CLO, Ltd. 2019-I | | | | | | | | | | |
| 1,500,000 | | Series 2021-1A(d)(e) | | 3M US L + 6.86% | | | 04/15/2036 | | | | 1,272,748 | |
| | | Barings CLO, Ltd. 2019-II | | | | | | | | | | |
| 500,000 | | Series 2021-2A(d)(e) | | 3M US L + 3.41% | | | 04/15/2036 | | | | 448,319 | |
| | | Barings CLO, Ltd. 2021-II | | | | | | | | | | |
| 500,000 | | Series 2021-2A(d)(e) | | 3M US L + 3.15% | | | 07/15/2034 | | | | 434,163 | |
| | | Beechwood Park CLO, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2022-1A(d)(e) | | 3M US SOFR + 6.50% | | | 01/17/2035 | | | | 433,984 | |
See Notes to Financial Statements.
52 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
| | | BlueMountain CLO, Ltd. | | | | | | | | | | |
$ | 500,000 | | Series 2018-3A(d)(e) | | 3M US L + 2.60% | | | 04/20/2031 | | | $ | 431,166 | |
| | | BlueMountain Fuji US CLO II, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2017-2A(d)(e) | | 3M US L + 3.00% | | | 10/20/2030 | | | | 882,579 | |
| | | Buttermilk Park CLO, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2018-1A(d)(e) | | 3M US L + 5.75% | | | 10/15/2031 | | | | 838,347 | |
| | | Canyon Capital CLO 2016-2, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2018-2A(d)(e) | | 3M US L + 3.15% | | | 10/15/2031 | | | | 425,785 | |
| | | Canyon Capital CLO 2017-1, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2021-1A(d)(e) | | 3M US L + 3.00% | | | 07/15/2030 | | | | 452,855 | |
| | | Canyon Capital CLO 2019-1, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2021-1A(d)(e) | | 3M US L + 7.09% | | | 04/15/2032 | | | | 411,905 | |
| | | Canyon Capital CLO 2021-2, Ltd. | | | | | | | | | | |
| 1,250,000 | | Series 2021-2A(d)(e) | | 3M US L + 3.35% | | | 04/15/2034 | | | | 1,073,622 | |
| | | Canyon Capital CLO, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2018-1A(d)(e) | | 3M US L + 2.75% | | | 01/30/2031 | | | | 857,028 | |
| 1,500,000 | | Series 2018-1A(d)(e) | | 3M US L + 5.50% | | | 01/30/2031 | | | | 1,191,863 | |
| 1,000,000 | | Series 2018-1A(d)(e) | | 3M US L + 5.75% | | | 07/15/2031 | | | | 816,455 | |
| 500,000 | | Series 2018-1A(d)(e) | | 3M US L + 2.80% | | | 07/15/2031 | | | | 435,489 | |
| 500,000 | | Series 2018-1RA(d)(e) | | 3M US L + 3.00% | | | 07/15/2030 | | | | 454,597 | |
| | | Canyon CLO 2021-3, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2021-3A(d)(e) | | 3M US L + 3.05% | | | 07/15/2034 | | | | 883,811 | |
| | | Canyon CLO 2021-4, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2021-4A(d)(e) | | 3M US L + 6.30% | | | 10/15/2034 | | | | 820,531 | |
| | | Canyon CLO, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2018-1A(d)(e) | | 3M US L + 2.90% | | | 07/15/2031 | | | | 451,152 | |
| | | Carlyle Global Market Strategies CLO 2016-3, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2021-3A(d)(e) | | 3M US L + 3.30% | | | 07/20/2034 | | | | 861,594 | |
| | | Carlyle Global Market Strategies CLO, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2018-2RA(d)(e) | | 3M US L + 5.35% | | | 05/15/2031 | | | | 784,038 | |
| | | Carlyle US CLO 2020-2, Ltd. | | | | | | | | | | |
| 2,000,000 | | Series 2021-2A(d)(e) | | 3M US L + 6.70% | | | 01/25/2035 | | | | 1,710,266 | |
| | | Carlyle US CLO 2021-1, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2021-1A(d)(e) | | 3M US L + 6.00% | | | 04/15/2034 | | | | 412,751 | |
| | | Chenango Park CLO, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2018-1A(d)(e) | | 3M US L + 3.00% | | | 04/15/2030 | | | | 440,372 | |
| 1,000,000 | | Series 2018-1A(d)(e) | | 3M US L + 5.80% | | | 04/15/2030 | | | | 825,930 | |
| | | Cook Park CLO, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2018-1A(d)(e) | | 3M US L + 2.60% | | | 04/17/2030 | | | | 434,188 | |
| | | Crown Point CLO IV, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2018-4A(d)(e) | | 3M US L + 1.90% | | | 04/20/2031 | | | | 455,352 | |
| | | Dryden 57 CLO, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2018-57A(d)(e) | | 3M US L + 2.55% | | | 05/15/2031 | | | | 436,819 | |
| | | Dryden 60 CLO, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2018-60A(d)(e) | | 3M US L + 3.00% | | | 07/15/2031 | | | | 895,414 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 53 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
| | | Elevation CLO 2021-14, Ltd. | | | | | | | | | | |
$ | 500,000 | | Series 2021-14A(d)(e) | | 3M US L + 2.30% | | | 10/20/2034 | | | $ | 451,946 | |
| | | Elmwood CLO IX, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2021-2A(d)(e) | | 3M US L + 2.94% | | | 07/20/2034 | | | | 441,496 | |
| 500,000 | | Series 2021-2A(d)(e) | | 3M US L + 5.94% | | | 07/20/2034 | | | | 422,898 | |
| | | Fillmore Park CLO, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2018-1A(d)(e) | | 3M US L + 2.90% | | | 07/15/2030 | | | | 447,565 | |
| 1,000,000 | | Series 2018-1A(d)(e) | | 3M US L + 5.40% | | | 07/15/2030 | | | | 836,458 | |
| | | Galaxy XIX CLO, Ltd. | | | | | | | | | | |
| 1,300,000 | | Series 2017-19A(d)(e) | | 3M US L + 6.53% | | | 07/24/2030 | | | | 1,013,755 | |
| | | Gilbert Park CLO, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2017-1A(d)(e) | | 3M US L + 6.40% | | | 10/15/2030 | | | | 873,565 | |
| | | Goldentree Loan Management US CLO, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2018-3A(d)(e) | | 3M US L + 2.85% | | | 04/20/2030 | | | | 896,050 | |
| | | Milos CLO, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2020-1A(d)(e) | | 3M US L + 6.15% | | | 10/20/2030 | | | | 431,376 | |
| | | Myers Park CLO, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2018-1A(d)(e) | | 3M US L + 3.05% | | | 10/20/2030 | | | | 445,293 | |
| 1,000,000 | | Series 2018-1A(d)(e) | | 3M US L + 5.50% | | | 10/20/2030 | | | | 820,840 | |
| | | Neuberger Berman Loan Advisers CLO 37, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2021-37A(d)(e) | | 3M US L + 5.75% | | | 07/20/2031 | | | | 436,136 | |
| | | Neuberger Berman Loan Advisers CLO 42, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2021-42A(d)(e) | | 3M US L + 5.95% | | | 07/16/2035 | | | | 416,058 | |
| | | Neuberger Berman Loan Advisers Clo 44, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2021-44A(d)(e) | | 3M US L + 6.00% | | | 10/16/2034 | | | | 853,531 | |
| | | Point Au Roche Park CLO, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2021-1A(d)(e) | | 3M US L + 6.13% | | | 07/20/2034 | | | | 417,309 | |
| | | PPM CLO 3, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2021-3A(d)(e) | | 3M US L + 3.20% | | | 04/17/2034 | | | | 872,479 | |
| | | Rockland Park CLO, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2021-1A(d)(e) | | 3M US L + 6.25% | | | 04/20/2034 | | | | 418,728 | |
| | | Sound Point CLO XXIII | | | | | | | | | | |
| 500,000 | | Series 2021-2A(d)(e) | | 3M US L + 3.30% | | | 07/15/2034 | | | | 423,424 | |
| | | Sound Point CLO XXIV | | | | | | | | | | |
| 1,375,000 | | Series 2021-3A(d)(e) | | 3M US L + 6.72% | | | 10/25/2034 | | | | 1,107,208 | |
| | | Sound Point CLO XXVI, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2021-1A(d)(e) | | 3M US L + 3.35% | | | 07/20/2034 | | | | 427,413 | |
| | | Sound Point CLO XXVIII, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2020-3A(d)(e) | | 3M US L + 6.90% | | | 01/25/2032 | | | | 839,400 | |
| | | Sound Point CLO XXXII, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2021-4A(d)(e) | | 3M US L + 3.40% | | | 10/25/2034 | | | | 428,544 | |
| 500,000 | | Series 2021-4A(d)(e) | | 3M US L + 6.70% | | | 10/25/2034 | | | | 395,340 | |
See Notes to Financial Statements.
54 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
| | | Stewart Park CLO, Ltd. | | | | | | | | | | |
$ | 500,000 | | Series 2018-1A(d)(e) | | 3M US L + 2.60% | | | 01/15/2030 | | | $ | 430,874 | |
| | | Symphony CLO XVII, Ltd. | | | | | | | | | | |
| 1,500,000 | | Series 2018-17A(d)(e) | | 3M US L + 2.65% | | | 04/15/2028 | | | | 1,416,750 | |
| | | Thayer Park CLO, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2021-1A(d)(e) | | 3M US L + 6.25% | | | 04/20/2034 | | | | 430,542 | |
| | | THL Credit Wind River 2017-1 CLO, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2021-1A(d)(e) | | 3M US L + 3.91% | | | 04/18/2036 | | | | 432,927 | |
| | | THL Credit Wind River 2017-3 CLO, Ltd. | | | | | | | | | | |
| 750,000 | | Series 2021-3A(d)(e) | | 3M US L + 3.88% | | | 04/15/2035 | | | | 660,872 | |
| 500,000 | | Series 2021-3A(d)(e) | | 3M US L + 7.08% | | | 04/15/2035 | | | | 425,072 | |
| | | THL Credit Wind River 2018-3 CLO, Ltd. | | | | | | | | | | |
| 2,000,000 | | Series 2018-3A(d)(e) | | 3M US L + 2.95% | | | 01/20/2031 | | | | 1,755,000 | |
| | | THL Credit Wind River CLO, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2018-1A(d)(e) | | 2.90% - 3M US L | | | 07/15/2030 | | | | 440,107 | |
| 2,000,000 | | Series 2018-1A(d)(e) | | 5.50% - 3M US L | | | 07/15/2030 | | | | 1,663,248 | |
| 1,000,000 | | Series 2018-1A(d)(e) | | 3M US L + 3.00% | | | 07/18/2031 | | | | 883,506 | |
| 1,000,000 | | Series 2018-2A(d)(e) | | 3M US L + 5.75% | | | 07/15/2030 | | | | 826,693 | |
| 1,000,000 | | Series 2018-3A(d)(e) | | 3M US L + 6.22% | | | 10/22/2031 | | | | 832,702 | |
| | | Unity-Peace Park CLO, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2022-1A(d)(e) | | 3M US SOFR + 7.175% | | | 04/20/2035 | | | | 429,298 | |
| | | Upland CLO, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2018-1A(d)(e) | | 3M US L + 2.90% | | | 04/20/2031 | | | | 436,591 | |
| | | VERDE CLO, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2021-1A(d)(e) | | 3M US L + 3.25% | | | 04/15/2032 | | | | 888,824 | |
| | | VOYA CLO 2017-2 | | | | | | | | | | |
| 1,000,000 | | Series 2017-2A(d)(e) | | 3M US L + 6.02% | | | 06/07/2030 | | | | 831,818 | |
| | | Voya CLO, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2018-1A(d)(e) | | 3M US SOFR + 3.06161% | | | 04/18/2031 | | | | 436,500 | |
| 1,000,000 | | Series 2018-2A(d)(e) | | 3M US L + 2.75% | | | 07/15/2031 | | | | 873,986 | |
| 1,000,000 | | Series 2018-2A(d)(e) | | 3M US L + 5.25% | | | 07/15/2031 | | | | 811,254 | |
| 500,000 | | Series 2018-3A(d)(e) | | 3M US L + 6.20% | | | 10/20/2031 | | | | 410,467 | |
| 500,000 | | Series 2018-4A(d)(e) | | 3M US L + 5.95% | | | 07/14/2031 | | | | 401,651 | |
| | | Webster Park CLO, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2018-1A(d)(e) | | 5.50% - 3M US L | | | 07/20/2030 | | | | 796,638 | |
| | | Wind River 2013-1 CLO, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2017-1A(d)(e) | | 3M US L + 3.65% | | | 07/20/2030 | | | | 455,741 | |
| | | Wind River 2014-3 CLO, Ltd. | | | | | | | | | | |
| 1,500,000 | | Series 2018-3A(d)(e) | | 3M US L + 3.40% | | | 10/22/2031 | | | | 1,309,656 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 55 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
| | | Wind River 2021-2 CLO, Ltd. | | | | | | | | | | |
$ | 500,000 | | Series 2021-2A(d)(e) | | 3M US L + 6.43% | | | 07/20/2034 | | | $ | 406,046 | |
| | | | | | | | | | | | | |
TOTAL COLLATERALIZED LOAN OBLIGATIONS | | | | | | | | | |
(Cost $70,679,937) | | | | | | | | 61,132,547 | |
| | | | | | | | | | | | | |
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.01% | | | | | | | | | |
| | | Bellemeade Real Estate, Ltd. | | | | | | | | | | |
| 84,333 | | Series 2019-2A(d)(e) | | 1M US L + 1.45% | | | 04/25/2029 | | | | 84,312 | |
| | | | | | | | | | | | | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | | | | | | | | | |
(Cost $84,333) | | | | | | | | 84,312 | |
| | | | | | | | | | | | | |
EQUITY - LINKED NOTES - 0.00%(j) | | | | | | | | | |
| 263,093 | | Inverpamplona SA(h)(k) | | 0.00% | | | 12/30/2028 | | | | – | |
| | | | | | | | | | | | | |
TOTAL EQUITY - LINKED NOTES | | | | | | | | | |
(Cost $11,250) | | | | | | | | – | |
| | | | | | | | | | | | | |
NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS - 20.75% | | | | |
| | | Aaset 2021-2 Trust | | | | | | | | | | |
| 478,067 | | Series 2021-2A(d) | | 3.54% | | | 12/15/2028 | | | | 381,033 | |
| | | AASET, Ltd. | | | | | | | | | | |
| 427,473 | | Series 2018-1A(d) | | 3.84% | | | 09/16/2023 | | | | 324,572 | |
| | | ABFC Trust | | | | | | | | | | |
| 2,720,724 | | Series 2007-WMC1(e) | | 1M US L + 1.25% | | | 06/25/2037 | | | | 2,002,350 | |
| | | Alen Mortgage Trust | | | | | | | | | | |
| 1,107,000 | | Series 2021-ACEN(d)(e) | | 1M US L + 4.00% | | | 04/15/2026 | | | | 1,004,100 | |
| | | AMSR | | | | | | | | | | |
| 5,100,000 | | Series 2020-SFR3(d) | | 4.99% | | | 09/17/2025 | | | | 4,764,896 | |
| 5,000,000 | | Series 2021-SFR1(d)(e) | | 4.61% | | | 06/17/2028 | | | | 4,076,606 | |
| | | AREIT Trust | | | | | | | | | | |
| 1,265,000 | | Series 2019-CRE3(d)(e) | | 30D SOFR + 2.76% | | | 09/16/2036 | | | | 1,201,072 | |
| | | Atlas Senior Loan Fund X, Ltd. | | | | | | | | | | |
| 491,101 | | Series 2018-10A(d)(e) | | 3M US L + 1.09% | | | 01/15/2031 | | | | 482,020 | |
| | | Atrium Hotel Portfolio Trust | | | | | | | | | | |
| 1,309,000 | | Series 2018-ATRM(d)(e) | | 1M US L + 3.40% | | | 06/15/2035 | | | | 1,221,911 | |
| | | Atrium IX | | | | | | | | | | |
| 500,000 | | Series 2017-9A(d)(e) | | 3M US L + 3.60% | | | 05/28/2030 | | | | 454,665 | |
| | | Atrium XIII | | | | | | | | | | |
| 1,000,000 | | Series 2017-13A(d)(e) | | 3M US L + 6.05% | | | 11/21/2030 | | | | 856,942 | |
| | | Atrium XIV LLC | | | | | | | | | | |
| 1,000,000 | | Series 2018-14A(d)(e) | | 3M US L + 5.65% | | | 08/23/2030 | | | | 868,535 | |
See Notes to Financial Statements.
56 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
| | | Atrium XV | | | | | | | | | | |
$ | 1,000,000 | | Series 2018-15A(d)(e) | | 3M US L + 3.00% | | | 01/23/2031 | | | $ | 903,826 | |
| | | BAMLL Commercial Mortgage Securities Trust | | | | | | | | | | |
| 683,000 | | Series 2019-AHT(d)(e) | | 2.57% | | | 03/15/2034 | | | | 657,051 | |
| | | Banc of America Commercial Mortgage Trust | | | | | | | | | | |
| 600,000 | | Series 2015-UBS7(e) | | 4.48% | | | 09/15/2025 | | | | 558,059 | |
| | | BANK | | | | | | | | | | |
| 200,000 | | Series 2017-BNK5(e) | | 4.33% | | | 06/15/2027 | | | | 174,544 | |
| 10,291,000 | | Series 2018-BN12(d)(e)(m) | | 1.50% | | | 05/15/2061 | | | | 650,009 | |
| 660,000 | | Series 2022-BNK39 | | 3.18% | | | 01/15/2032 | | | | 530,839 | |
| 165,000 | | Series 2022-BNK39(d) | | 2.50% | | | 01/15/2032 | | | | 94,441 | |
| | | BANK 2020-BNK27 | | | | | | | | | | |
| 16,875,000 | | Series 2020-BN27(d)(e)(m) | | 0.83% | | | 04/15/2030 | | | | 749,098 | |
| | | BANK 2021-BNK37 | | | | | | | | | | |
| 381,000 | | Series 2021-BN37(e) | | 3.21% | | | 11/15/2031 | | | | 277,057 | |
| | | Bank of America Merrill Lynch Commercial Mortgage Trust 2016-UBS10 | | | | | | | | | | |
| 1,045,000 | | Series 2016-UB10(e) | | 5.00% | | | 05/15/2026 | | | | 958,332 | |
| | | BBCMS Mortgage Trust | | | | | | | | | | |
| 519,000 | | Series 2022-C17 | | 4.44% | | | 08/15/2032 | | | | 490,328 | |
| | | BBCMS Trust | | | | | | | | | | |
| 3,000,000 | | Series 2018-CBM(d)(e) | | 1M US L + 3.55% | | | 07/15/2037 | | | | 2,847,129 | |
| | | Benchmark Mortgage Trust | | | | | | | | | | |
| 11,415,171 | | Series 2018-B2(e)(m) | | 0.57% | | | 01/15/2028 | | | | 166,933 | |
| 600,000 | | Series 2018-B2(e) | | 4.38% | | | 01/15/2028 | | | | 524,381 | |
| 21,872,883 | | Series 2018-B4(e)(m) | | 0.66% | | | 06/15/2028 | | | | 393,463 | |
| 1,589,000 | | Series 2018-B4(d)(e) | | 2.95% | | | 07/17/2051 | | | | 1,158,815 | |
| 954,000 | | Series 2020-B17(e) | | 3.37% | | | 03/15/2030 | | | | 738,751 | |
| 522,000 | | Series 2020-B18(d) | | 4.14% | | | 08/15/2025 | | | | 436,399 | |
| 1,510,000 | | Series 2021-B31(d) | | 2.25% | | | 11/15/2031 | | | | 826,164 | |
| 592,000 | | Series 2022-B32(e) | | 3.53% | | | 01/15/2032 | | | | 485,534 | |
| | | BF Mortgage Trust | | | | | | | | | | |
| 705,000 | | Series 2019-NYT(d)(e) | | 1M US L + 3.00% | | | 12/15/2035 | | | | 610,094 | |
| | | Blackbird Capital Aircraft | | | | | | | | | | |
| 1,407,873 | | Series 2021-1A(d) | | 3.45% | | | 07/15/2028 | | | | 1,071,852 | |
| | | BMO Mortgage Trust | | | | | | | | | | |
| 7,951,000 | | Series 2022-C1(d)(e)(m) | | 1.89% | | | 02/15/2032 | | | | 1,008,624 | |
| | | BX Trust | | | | | | | | | | |
| 636,000 | | Series 2019-OC11(d)(e) | | 4.08% | | | 12/09/2029 | | | | 521,678 | |
| 2,964,000 | | Series 2019-OC11(d)(e) | | 4.08% | | | 12/06/2041 | | | | 2,269,107 | |
| 900,000 | | Series 2021-VIEW(d)(e) | | 1M US L + 3.93% | | | 06/15/2023 | | | | 831,788 | |
| | | Cantor Commercial Real Estate Lending | | | | | | | | | | |
| 1,113,000 | | Series 2019-CF1(d)(e) | | 4.12% | | | 04/15/2024 | | | | 1,022,567 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 57 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
| | | Carbon Capital VI Commercial Mortgage Trust | | | | | | | | | | |
$ | 359,976 | | Series 2019-FL2(d)(e) | | 1M US L + 2.85% | | | 11/15/2021 | | | $ | 353,272 | |
| | | Carvana Auto Receivables Trust | | | | | | | | | | |
| 5,300 | | Series 2021-N1(d) | | 0.00% | | | 01/10/2028 | | | | 1,463,429 | |
| 5,250 | | Series 2021-N2(d) | | 0.00% | | | 03/10/2028 | | | | 1,658,908 | |
| | | Cascade MH Asset Trust | | | | | | | | | | |
| 4,601,000 | | Series 2019-MH1(d)(e) | | 5.99% | | | 10/25/2024 | | | | 4,255,432 | |
| | | Castlelake Aircraft Securitization Trust | | | | | | | | | | |
| 3,384,324 | | Series 2018-1(d) | | 6.63% | | | 06/15/2043 | | | | 2,109,283 | |
| | | Castlelake Aircraft Structured Trust | | | | | | | | | | |
| 460,890 | | Series 2019-1A(d) | | 3.97% | | | 04/15/2026 | | | | 406,064 | |
| 2,750,000 | | Series 2019-1A(d) | | 0.00% | | | 04/15/2039 | | | | 426,250 | |
| | | Cathedral Lake VIII, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2021-8A(d)(e) | | 3M US L + 2.62% | | | 01/20/2035 | | | | 916,382 | |
| 1,000,000 | | Series 2021-8A(d)(e) | | 3M US L + 3.42% | | | 01/20/2035 | | | | 885,036 | |
| | | CD Mortgage Trust | | | | | | | | | | |
| 750,000 | | Series 2017-CD4(e) | | 4.35% | | | 04/10/2027 | | | | 637,801 | |
| | | CIFC Funding 2019-III, Ltd. | | | | | | | | | | |
| 650,000 | | Series 2021-3A(d)(e) | | 3M US L + 6.80% | | | 10/16/2034 | | | | 551,577 | |
| | | CIFC Funding 2022-III, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2022-3A(d)(e) | | 3M US SOFR + 3.75% | | | 04/21/2035 | | | | 450,503 | |
| | | CIFC Funding, Ltd. | | | | | | | | | | |
| 850,000 | | Series 2021-1A(d)(e) | | 3M US L + 6.00% | | | 04/25/2033 | | | | 755,133 | |
| 500,000 | | Series 2021-4A(d)(e) | | 3M US L + 2.85% | | | 07/15/2033 | | | | 444,790 | |
| 500,000 | | Series 2021-4A(d)(e) | | 3M US L + 5.95% | | | 07/15/2033 | | | | 429,406 | |
| 2,500,000 | | Series 2021-5A(d)(e) | | 3M US L + 6.50% | | | 07/15/2034 | | | | 2,122,665 | |
| | | Citigroup Commercial Mortgage Trust | | | | | | | | | | |
| 3,302,213 | | Series 2014-GC25(e)(m) | | 0.96% | | | 10/10/2047 | | | | 48,302 | |
| 866,000 | | Series 2015-GC27(d)(e) | | 4.42% | | | 02/12/2048 | | | | 773,984 | |
| 400,000 | | Series 2015-GC31(e) | | 4.05% | | | 06/10/2025 | | | | 353,287 | |
| 344,000 | | Series 2016-GC36(d) | | 2.85% | | | 02/12/2049 | | | | 200,682 | |
| 464,000 | | Series 2017-C4(e) | | 4.10% | | | 10/12/2027 | | | | 412,720 | |
| 225,000 | | Series 2019-GC41 | | 3.20% | | | 08/10/2029 | | | | 185,933 | |
| 1,000,000 | | Series 2019-SMRT(d)(e) | | 4.75% | | | 01/10/2036 | | | | 951,499 | |
| 1,433,000 | | Series 2020-555(d)(e) | | 3.62% | | | 12/12/2041 | | | | 931,509 | |
| 546,000 | | Series 2022-GC48(e) | | 4.74% | | | 05/15/2032 | | | | 525,355 | |
| | | Citigroup Mortgage Loan Trust | | | | | | | | | | |
| 640,646 | | Series 2006-WF1(l) | | 4.67% | | | 03/25/2036 | | | | 316,219 | |
| 964,522 | | Series 2007-OPX1(l) | | 6.33% | | | 01/25/2037 | | | | 394,085 | |
| | | Cologix Data Centers US Issuer LLC | | | | | | | | | | |
| 2,800,000 | | Series 2021-1A(d) | | 5.99% | | | 12/28/2026 | | | | 2,456,563 | |
See Notes to Financial Statements.
58 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
| | | COMM 2014-CCRE16 Mortgage Trust | | | | | | | | | | |
$ | 1,100,000 | | Series 2014-CR16(e) | | 5.08% | | | 04/10/2024 | | | $ | 1,044,052 | |
| | | Commercial Mortgage Pass-Through Certificates | | | | | | | | | | |
| 242,400 | | Series 2014-CR19(e) | | 4.70% | | | 08/10/2024 | | | | 230,465 | |
| 8,396,129 | | Series 2014-UBS4(d) | | 3.75% | | | 08/10/2024 | | | | 856,676 | |
| 11,000 | | Series 2014-UBS4(d)(e) | | 0.00% | | | 08/10/2047 | | | | 1 | |
| 2,670,472 | | Series 2015-CR22(e)(m) | | 0.89% | | | 03/10/2025 | | | | 43,610 | |
| 4,244,041 | | Series 2015-CR26(e)(m) | | 0.93% | | | 09/10/2025 | | | | 87,691 | |
| | | CORE Mortgage Trust | | | | | | | | | | |
| 432,000 | | Series 2019-CORE(d)(e) | | 1M US L + 1.90% | | | 12/15/2031 | | | | 404,426 | |
| 432,000 | | Series 2019-CORE(d)(e) | | 1M US L + 2.35% | | | 12/15/2031 | | | | 400,068 | |
| | | CSAB Mortgage-Backed Trust | | | | | | | | | | |
| 8,781,274 | | Series 2006-2(l) | | 6.20% | | | 09/25/2036 | | | | 832,708 | |
| 125,208 | | Series 2007-1(e) | | 5.90% | | | 05/25/2037 | | | | 32,464 | |
| | | CSAIL Commercial Mortgage Trust | | | | | | | | | | |
| 5,037,452 | | Series 2015-C1(e)(m) | | 0.96% | | | 01/15/2025 | | | | 68,605 | |
| 490,000 | | Series 2016-C6(e) | | 5.08% | | | 04/15/2026 | | | | 438,184 | |
| 1,362,000 | | Series 2016-C6(d)(e) | | 5.08% | | | 01/15/2049 | | | | 1,072,086 | |
| | | CSMC | | | | | | | | | | |
| 832,000 | | Series 2021-B33(d)(e) | | 3.77% | | | 10/10/2031 | | | | 637,487 | |
| | | CSMC Mortgage-Backed Trust | | | | | | | | | | |
| 223,000 | | Series 2017-CHOP(d)(e) | | 1M US L + 3.30% | | | 07/15/2032 | | | | 202,777 | |
| | | DBJPM 16-C1 Mortgage Trust | | | | | | | | | | |
| 1,309,000 | | Series 2016-C1(e) | | 3.33% | | | 05/12/2049 | | | | 1,112,393 | |
| | | Diamond Infrastructure Funding LLC | | | | | | | | | | |
| 2,000,000 | | Series 2021-1A(d) | | 3.48% | | | 12/20/2026 | | | | 1,646,612 | |
| | | DOLP Trust | | | | | | | | | | |
| 1,000,000 | | Series 2021-NYC(d)(e) | | 3.70% | | | 05/10/2031 | | | | 725,613 | |
| | | Dryden 38 Senior Loan Fund | | | | | | | | | | |
| 1,000,000 | | Series 2018-38A(d)(e) | | 3M US L + 5.60% | | | 07/15/2030 | | | | 790,182 | |
| | | Dryden 40 Senior Loan Fund | | | | | | | | | | |
| 1,000,000 | | Series 2018-40A(d)(e) | | 3M US L + 5.75% | | | 08/15/2031 | | | | 795,098 | |
| 500,000 | | Series 2018-40A(d)(e) | | 3M US L + 3.10% | | | 08/15/2031 | | | | 450,712 | |
| | | Dryden 42 Senior Loan Fund | | | | | | | | | | |
| 500,000 | | Series 2018-42A(d)(e) | | 3M US L + 2.93% | | | 07/15/2030 | | | | 434,421 | |
| | | Fannie Mae-Aces | | | | | | | | | | |
| 24,699,473 | | Series 2019-M12(e)(m) | | 0.70% | | | 06/25/2029 | | | | 542,687 | |
| 14,653,966 | | Series 2019-M24(e)(m) | | 1.15% | | | 03/25/2031 | | | | 622,974 | |
| 39,291,169 | | Series 2019-M7(e)(m) | | 0.35% | | | 04/25/2029 | | | | 584,610 | |
| 44,952,044 | | Series 2020-M10(e)(m) | | 0.82% | | | 12/25/2027 | | | | 1,296,655 | |
| 47,830,308 | | Series 2020-M10(e)(m) | | 0.87% | | | 07/25/2032 | | | | 2,951,154 | |
| 13,935,569 | | Series 2020-M13(e)(m) | | 1.30% | | | 09/25/2030 | | | | 508,156 | |
| 43,260,551 | | Series 2021-M23(e)(m) | | 0.67% | | | 11/01/2031 | | | | 989,373 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 59 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
| | | FirstKey Homes | | | | | | | | | | |
$ | 1,100,000 | | Series 2020-SFR1(d) | | 4.28% | | | 08/19/2037 | | | $ | 984,940 | |
| | | FMC GMSR Issuer Trust | | | | | | | | | | |
| 6,000,000 | | Series 2021-GT1(d)(e) | | 4.36% | | | 07/25/2026 | | | | 4,645,666 | |
| 5,000,000 | | Series 2021-GT2(d)(e) | | 4.44% | | | 10/25/2026 | | | | 3,907,599 | |
| | | Fontainebleau Miami Beach Trust | | | | | | | | | | |
| 1,656,000 | | Series 2019-FBLU(d)(e) | | 3.96% | | | 12/12/2036 | | | | 1,442,625 | |
| | | FREMF Mortgage Trust | | | | | | | | | | |
| 890,367 | | Series 2015-KF07(d)(e) | | 1M US L + 4.95% | | | 02/25/2025 | | | | 889,175 | |
| 1,000,094 | | Series 2016-KF19(d)(e) | | 1M US L + 5.50% | | | 06/25/2023 | | | | 989,109 | |
| 887,222 | | Series 2016-KF25(d)(e) | | 1M US L + 5.00% | | | 10/25/2023 | | | | 886,134 | |
| 2,014,680 | | Series 2018-KF56(d)(e) | | 1M US L + 5.80% | | | 11/25/2028 | | | | 1,868,160 | |
| 1,658,320 | | Series 2019-KF71(d)(e) | | 1M US L + 6.00% | | | 10/25/2029 | | | | 1,637,682 | |
| | | FRTKL | | | | | | | | | | |
| 4,050,000 | | Series 2021-SFR1(d) | | 4.11% | | | 09/17/2026 | | | | 3,357,960 | |
| | | GAIA Aviation, Ltd. | | | | | | | | | | |
| 450,176 | | Series 2019-1(d)(l) | | 3.97% | | | 12/15/2026 | | | | 362,071 | |
| 429,908 | | Series 2019-1(d)(l) | | 7.00% | | | 12/15/2026 | | | | 282,930 | |
| | | Ginnie Mae Strip | | | | | | | | | | |
| 7,370,805 | | Series 2020-3(m) | | 1.40% | | | 09/16/2045 | | | | 595,554 | |
| | | Great Wolf Trust | | | | | | | | | | |
| 3,084,000 | | Series 2019-WOLF(d)(e) | | 1M US L + 3.13% | | | 12/15/2036 | | | | 2,921,834 | |
| | | GS Mortgage Securities Corp. II | | | | | | | | | | |
| 1,111,000 | | Series 2021-ARDN(d)(e) | | 1M US L + 5.00% | | | 11/15/2023 | | | | 995,117 | |
| 1,111,000 | | Series 2021-ARDN(d)(e) | | 1M US L + 5.9332% | | | 11/15/2023 | | | | 984,806 | |
| | | GS Mortgage Securities Corp. Trust | | | | | | | | | | |
| 1,000,000 | | Series 2018-RIVR(d)(e) | | 1M US L + 1.55% | | | 07/15/2035 | | | | 867,812 | |
| | | GS Mortgage Securities Corportation Trust | | | | | | | | | | |
| 691,000 | | Series 2021-IP(d)(e) | | 1M US L + 2.10% | | | 10/15/2023 | | | | 645,243 | |
| 691,000 | | Series 2021-IP(d)(e) | | 1M US L + 3.55% | | | 10/15/2023 | | | | 642,196 | |
| | | GS Mortgage Securities Trust | | | | | | | | | | |
| 9,902 | | Series 2011-GC3(d)(e)(m) | | 0.29% | | | 03/10/2044 | | | | 0 | |
| 340,569 | | Series 2011-GC5(d)(e)(m) | | 1.95% | | | 08/10/2044 | | | | 3 | |
| 2,417,000 | | Series 2014-GC26(d)(e) | | 4.51% | | | 11/10/2047 | | | | 1,775,524 | |
| 1,110,000 | | Series 2015-GC28(d)(e) | | 4.45% | | | 02/10/2048 | | | | 989,669 | |
| 6,974,716 | | Series 2015-GS1(e)(m) | | 0.77% | | | 11/10/2025 | | | | 138,886 | |
| 1,954,000 | | Series 2018-TWR(d)(e) | | 1M US L + 3.92% | | | 07/15/2031 | | | | 1,619,866 | |
| 636,000 | | Series 2020-GC45(e) | | 3.41% | | | 12/13/2029 | | | | 524,438 | |
| | | GSAA Home Equity Trust | | | | | | | | | | |
| 1,922,705 | | Series 2006-13(e) | | 6.04% | | | 07/25/2036 | | | | 646,367 | |
| 458,049 | | Series 2006-18(l) | | 6.18% | | | 11/25/2036 | | | | 122,333 | |
| 143,181 | | Series 2006-6(e) | | 5.69% | | | 03/25/2036 | | | | 44,272 | |
| 826,235 | | Series 2007-2(l) | | 6.60% | | | 03/25/2037 | | | | 212,914 | |
See Notes to Financial Statements.
60 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
| | | GSCG Trust | | | | | | | | | | |
$ | 675,000 | | Series 2019-600C(d)(e) | | 3.99% | | | 09/06/2024 | | | $ | 568,344 | |
| | | Hardee's Funding LLC | | | | | | | | | | |
| 960,000 | | Series 2018-1A(d) | | 5.71% | | | 06/20/2028 | | | | 882,008 | |
| | | Hawaii Hotel Trust | | | | | | | | | | |
| 1,391,000 | | Series 2019-MAUI(d)(e) | | 1M US L + 2.75% | | | 05/15/2038 | | | | 1,305,175 | |
| | | Hayfin Kingsland X, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2021-1A(d)(e) | | 3M US L + 1.85% | | | 04/28/2031 | | | | 472,798 | |
| | | Highbridge Loan Management 3-2014 | | | | | | | | | | |
| 500,000 | | Series 2017-2014(d)(e) | | 3M US L + 3.60% | | | 07/18/2029 | | | | 449,472 | |
| | | Highbridge Loan Management 4-2014, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2018-2014(d)(e) | | 3M US L + 5.55% | | | 01/28/2030 | | | | 401,441 | |
| | | Highbridge Loan Management, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2017-2A(d)(e) | | 3M US L + 6.60% | | | 10/20/2029 | | | | 416,150 | |
| 2,000,000 | | Series 2018-2015(d)(e) | | 3M US L + 5.10% | | | 02/05/2031 | | | | 1,499,820 | |
| 500,000 | | Series 2018-2016(d)(e) | | 3M US L + 2.90% | | | 07/20/2030 | | | | 429,363 | |
| | | Horizon Aircraft Finance III, Ltd. | | | | | | | | | | |
| 894,032 | | Series 2019-2(d) | | 3.43% | | | 11/15/2026 | | | | 739,821 | |
| | | HPLY Trust | | | | | | | | | | |
| 1,065,065 | | Series 2019-HIT(d)(e) | | 1M US L + 3.90% | | | 11/17/2036 | | | | 1,007,814 | |
| | | HSI Asset Securitization Corp. Trust | | | | | | | | | | |
| 5,651,521 | | Series 2006-HE1(e) | | 1M US L + 0.28% | | | 10/25/2036 | | | | 1,927,712 | |
| 1,310,486 | | Series 2007-NC1(e) | | 1M US L + 0.18% | | | 04/25/2037 | | | | 932,532 | |
| | | Invitation Homes | | | | | | | | | | |
| 994,857 | | Series 2018-SFR1(d)(e) | | 1M US L + 1.25% | | | 03/17/2037 | | | | 980,607 | |
| | | ITE Rail Fund Levered LP | | | | | | | | | | |
| 924,562 | | Series 2021-1A(d) | | 2.25% | | | 02/28/2051 | | | | 806,819 | |
| 706,806 | | Series 2021-3A(d) | | 2.21% | | | 06/28/2027 | | | | 606,864 | |
| | | J.P. Morgan Chase Commercial Mortgage Securities Trust | | | | | | | | | | |
| 2,092,000 | | Series 2018-AON(d)(e) | | 4.61% | | | 07/05/2023 | | | | 1,711,808 | |
| | | JP Morgan BB Commercial Mortgage Securities Trust | | | | | | | | | | |
| 2,086,000 | | Series 2014-C23(d)(e) | | 3.36% | | | 11/18/2048 | | | | 1,710,587 | |
| 4,110,987 | | Series 2015-C28(e)(m) | | 1.09% | | | 03/15/2025 | | | | 65,352 | |
| 7,521,228 | | Series 2015-C30(e)(m) | | 0.58% | | | 07/15/2025 | | | | 76,642 | |
| 2,914,583 | | Series 2015-C31(e)(m) | | 0.97% | | | 08/15/2025 | | | | 56,761 | |
| | | JP Morgan Chase Commercial Mortgage Securities Trust | | | | | | | | | | |
| 1,157,000 | | Series 2011-C3(d)(e) | | 5.71% | | | 02/15/2046 | | | | 552,836 | |
| 1,010,000 | | Series 2018-WPT(d)(e) | | 5.54% | | | 07/05/2023 | | | | 962,998 | |
| 704,000 | | Series 2019-MFP(d)(e) | | 1M US L + 3.00% | | | 07/15/2036 | | | | 649,818 | |
| 235,000 | | Series 2019-UES(d) | | 4.34% | | | 05/05/2032 | | | | 222,101 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 61 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
$ | 1,135,000 | | Series 2019-UES(d)(e) | | 4.45% | | | 05/05/2032 | | | $ | 1,051,296 | |
| 915,000 | | Series 2021-MHC(d)(e) | | 1M US L + 2.45% | | | 04/15/2026 | | | | 862,831 | |
| | | JP Morgan Mortgage Acquisition Corp. | | | | | | | | | | |
| 3,900,000 | | Series 2005-WMC1(e) | | 1M US L + 0.90% | | | 09/25/2035 | | | | 3,421,231 | |
| 188,092 | | Series 2006-CH2(l) | | 5.46% | | | 09/25/2029 | | | | 123,928 | |
| | | JP Morgan Mortgage Acquisition Trust | | | | | | | | | | |
| 3,525,337 | | Series 2006-RM1(e) | | 1M US L + 0.48% | | | 08/25/2036 | | | | 1,644,667 | |
| | | JPMBB Commercial Mortgage Securities Trust | | | | | | | | | | |
| 17,557,787 | | Series 2014-C24(e)(m) | | 1.01% | | | 09/17/2047 | | | | 207,403 | |
| 1,110,000 | | Series 2014-C26(d)(e) | | 4.02% | | | 12/15/2024 | | | | 971,775 | |
| 519,000 | | Series 2015-C27(e) | | 4.44% | | | 02/15/2025 | | | | 476,243 | |
| | | JPMCC Commercial Mortgage Securities Trust | | | | | | | | | | |
| 486,000 | | Series 2017-JP7(e) | | 3.78% | | | 07/15/2027 | | | | 403,813 | |
| | | Kestrel Aircraft Funding, Ltd. | | | | | | | | | | |
| 474,982 | | Series 2018-1A(d) | | 4.25% | | | 10/15/2025 | | | | 423,829 | |
| | | Laurel Road Prime Student Loan Trust | | | | | | | | | | |
| 19,529,035 | | Series 2020-A(d) | | 0.00% | | | 11/25/2050 | | | | 1,712,364 | |
| | | LCM 28, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2018-28A(d)(e) | | 3M US L + 5.75% | | | 10/20/2030 | | | | 788,445 | |
| | | LCM Loan Income Fund I Income Note Issuer, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2018-27A(d)(e) | | 3M US L + 5.60% | | | 07/16/2031 | | | | 389,850 | |
| | | LCM XIV LP | | | | | | | | | | |
| 1,000,000 | | Series 2018-14A(d)(e) | | 3M US L + 2.75% | | | 07/20/2031 | | | | 861,635 | |
| 750,000 | | Series 2018-14A(d)(e) | | 3M US L + 5.50% | | | 07/20/2031 | | | | 586,423 | |
| | | LCM XVII LP | | | | | | | | | | |
| 1,000,000 | | Series 2018-17A(d)(e) | | 3M US L + 6.00% | | | 10/15/2031 | | | | 795,906 | |
| | | LCM XX LP | | | | | | | | | | |
| 1,000,000 | | Series 2018-20A(d)(e) | | 3M US L + 5.45% | | | 10/20/2027 | | | | 884,395 | |
| | | LLPL Capital Pte, Ltd. | | | | | | | | | | |
| 1,194,480 | | Series REGS(c) | | 6.88% | | | 02/04/2039 | | | | 963,085 | |
| | | LSTAR Commercial Mortgage Trust | | | | | | | | | | |
| 1,150,000 | | Series 2017-5(d)(e) | | 4.83% | | | 03/10/2027 | | | | 928,061 | |
| | | MACH 1 Cayman, Ltd. | | | | | | | | | | |
| 1,035,569 | | Series 2019-1(d) | | 3.47% | | | 08/15/2026 | | | | 898,237 | |
| | | Madison Park Funding LII, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2021-52A(d)(e) | | 3M US L + 3.15% | | | 01/22/2035 | | | | 434,226 | |
| | | Madison Park Funding XIV, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2018-14A(d)(e) | | 3M US L + 2.95% | | | 10/22/2030 | | | | 895,731 | |
| 1,000,000 | | Series 2018-14A(d)(e) | | 3M US L + 5.80% | | | 10/22/2030 | | | | 828,003 | |
See Notes to Financial Statements.
62 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
| | | Madison Park Funding XLV, Ltd. | | | | | | | | | | |
$ | 1,000,000 | | Series 2021-45A(d)(e) | | 3M US L + 3.15% | | | 07/15/2034 | | | $ | 889,550 | |
| 600,000 | | Series 2021-45A(d)(e) | | 3M US L + 6.35% | | | 07/15/2034 | | | | 513,250 | |
| | | Madison Park Funding XXVI, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2017-26A(d)(e) | | 3M US L + 6.50% | | | 07/29/2030 | | | | 437,924 | |
| | | Madison Park Funding XXXVIII, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2021-38A(d)(e) | | 3M US L + 6.00% | | | 07/17/2034 | | | | 815,207 | |
| | | Master Asset Backed Securities Trust | | | | | | | | | | |
| 4,160,426 | | Series 2006-NC3(e) | | 1M US L + 0.21% | | | 10/25/2036 | | | | 2,284,116 | |
| | | MBRT | | | | | | | | | | |
| 1,406,000 | | Series 2019-MBR(d)(e) | | 1M US L + 3.15% | | | 11/25/2021 | | | | 1,322,662 | |
| | | Med Trust | | | | | | | | | | |
| 258,000 | | Series 2021-MDLN(d)(e) | | 1M US L + 2.00% | | | 11/15/2023 | | | | 244,845 | |
| 1,100,000 | | Series 2021-MDLN(d)(e) | | 1M US L + 5.25% | | | 11/15/2023 | | | | 1,018,373 | |
| | | Merrill Lynch Mortgage Investors Trust | | | | | | | | | | |
| 10,118,084 | | Series 2006-RM3(e) | | 1M US L + 0.48% | | | 06/25/2037 | | | | 2,318,594 | |
| | | MFT Trust | | | | | | | | | | |
| 2,010,000 | | Series 2020-ABC(d)(e) | | 3.48% | | | 02/10/2030 | | | | 1,354,948 | |
| | | MHC Commercial Mortgage Trust | | | | | | | | | | |
| 675,000 | | Series 2021-MHC(d)(e) | | 1M US L + 2.60% | | | 04/15/2026 | | | | 624,443 | |
| | | MKT Mortgage Trust | | | | | | | | | | |
| 250,000 | | Series 2020-525M(d)(e) | | 2.94% | | | 02/12/2030 | | | | 154,812 | |
| | | Morgan Stanley Bank of America Merrill Lynch Trust | | | | | | | | | | |
| 822,000 | | Series 2015-C21(e) | | 4.27% | | | 02/15/2025 | | | | 692,980 | |
| 1,292,000 | | Series 2016-C31(d)(e) | | 3.00% | | | 10/15/2026 | | | | 876,960 | |
| 1,100,000 | | Series 2017-C34(d) | | 2.70% | | | 10/15/2027 | | | | 765,782 | |
| | | Morgan Stanley Capital I | | | | | | | | | | |
| 858,000 | | Series 2017-HR2(e) | | 4.48% | | | 12/15/2027 | | | | 751,335 | |
| | | Morgan Stanley Capital I Trust | | | | | | | | | | |
| 1,112,425 | | Series 2016-UB11 XA(e)(m) | | 1.58% | | | 08/15/2026 | | | | 48,574 | |
| 576,000 | | Series 2017-CLS(d)(e) | | 1M US L + 2.60% | | | 11/15/2034 | | | | 565,090 | |
| 765,000 | | Series 2018-H4(d) | | 3.00% | | | 12/15/2028 | | | | 528,679 | |
| 1,000,000 | | Series 2018-SUN(d)(e) | | 1M US L + 3.05% | | | 07/15/2035 | | | | 961,055 | |
| 750,000 | | Series 2019-H7 | | 4.13% | | | 07/15/2029 | | | | 624,784 | |
| 826,000 | | Series 2021-L6(e) | | 3.58% | | | 07/15/2031 | | | | 625,185 | |
| 10,249,000 | | Series 2021-L7(d)(e)(m) | | 1.04% | | | 10/15/2031 | | | | 704,690 | |
| | | Morgan Stanley Mortgage Loan Trust | | | | | | | | | | |
| 342,257 | | Series 2007-3XS(l) | | 6.20% | | | 01/25/2047 | | | | 134,777 | |
| | | Mosaic Solar Loan Trust | | | | | | | | | | |
| 66,595 | | Series 2017-1A(d) | | 4.45% | | | 06/20/2042 | | | | 63,589 | |
| 278,723 | | Series 2018-1A(d) | | 4.01% | | | 08/20/2030 | | | | 259,402 | |
| 1,684,040 | | Series 2020-1A(d) | | 0.00% | | | 04/20/2046 | | | | 1,281,816 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 63 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
$ | 505,207 | | Series 2020-2A(d) | | 3.00% | | | 06/20/2025 | | | $ | 461,216 | |
| | | MSCG Trust | | | | | | | | | | |
| 1,631,000 | | Series 2018-SELF(d)(e) | | 1M US L + 3.05% | | | 10/15/2037 | | | | 1,517,599 | |
| | | MVW 2021-1W LLC | | | | | | | | | | |
| 791,364 | | Series 2021-1WA(d) | | 1.94% | | | 01/22/2041 | | | | 701,977 | |
| 917,982 | | Series 2021-1WA(d) | | 3.17% | | | 01/22/2041 | | | | 802,682 | |
| | | Navient Private Education Refi Loan Trust | | | | | | | | | | |
| 500,000 | | Series 2018-A(d) | | 3.68% | | | 11/17/2025 | | | | 498,517 | |
| | | Octagon Investment Partners 20-R, Ltd. | | | | | | | | | | |
| 1,500,000 | | Series 2019-4A(d)(e) | | 3M US L + 6.80% | | | 05/12/2031 | | | | 1,269,622 | |
| | | Octagon Investment Partners 26, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2018-1A(d)(e) | | 3M US L + 8.09% | | | 07/15/2030 | | | | 783,404 | |
| | | Octagon Investment Partners 29, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2020-1A(d)(e) | | 3M US L + 3.10% | | | 01/24/2033 | | | | 437,066 | |
| 2,000,000 | | Series 2020-1A(d)(e) | | 3M US L + 7.25% | | | 01/24/2033 | | | | 1,650,000 | |
| | | Octagon Investment Partners 37, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2018-2A(d)(e) | | 3M US L + 2.85% | | | 07/25/2030 | | | | 439,174 | |
| | | Octagon Investment Partners 40, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2021-1A(d)(e) | | 3M US L + 7.00% | | | 01/20/2035 | | | | 413,804 | |
| | | Octagon Investment Partners 42, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2021-3A(d)(e) | | 3M US L + 6.75% | | | 07/15/2034 | | | | 830,095 | |
| | | Octagon Investment Partners 46, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2021-2A(d)(e) | | 3M US L + 6.60% | | | 07/15/2036 | | | | 830,328 | |
| | | Octagon Investment Partners 49, Ltd. | | | | | | | | | | |
| 625,000 | | Series 2021-5A(d)(e) | | 3M US L + 6.75% | | | 01/15/2033 | | | | 551,808 | |
| | | Octagon Investment Partners XVI, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2018-1A(d)(e) | | 3M US L + 3.00% | | | 07/17/2030 | | | | 432,618 | |
| 1,000,000 | | Series 2018-1A(d)(e) | | 3M US L + 5.75% | | | 07/17/2030 | | | | 812,607 | |
| | | Octagon Investment Partners XXI, Ltd. | | | | | | | | | | |
| 1,000,000 | | Series 2019-1A(d)(e) | | 3M US L + 7.00% | | | 02/14/2031 | | | | 859,294 | |
| | | Octagon Investment Partners XXII, Ltd. | | | | | | | | | | |
| 970,000 | | Series 2018-1A(d)(e) | | 3M US L + 1.90% | | | 01/22/2030 | | | | 903,749 | |
| 500,000 | | Series 2018-1A(d)(e) | | 3M US L + 5.45% | | | 01/22/2030 | | | | 406,042 | |
| | | OHA Credit Funding 1, Ltd. | | | | | | | | | | |
| 500,000 | | Series 2018-1A(d)(e) | | 3M US L + 3.05% | | | 10/20/2030 | | | | 450,010 | |
See Notes to Financial Statements.
64 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
| | | | OHA Credit Funding 3, Ltd. | | | | | | | | | | |
$ | 1,000,000 | | | Series 2021-3A(d)(e) | | 3M US L + 2.90% | | | 07/02/2035 | | | $ | 893,006 | |
| 2,000,000 | | | Series 2021-3A(d)(e) | | 3M US L + 6.25% | | | 07/02/2035 | | | | 1,725,625 | |
| | | | OHA Credit Funding 5, Ltd. | | | | | | | | | | |
| 2,000,000 | | | Series 2020-5A(d)(e) | | 3M US L + 6.25% | | | 04/18/2033 | | | | 1,749,579 | |
| | | | OHA Credit Funding 9, Ltd. | | | | | | | | | | |
| 500,000 | | | Series 2021-9A(d)(e) | | 3M US L + 2.94% | | | 07/19/2035 | | | | 447,622 | |
| | | | One Market Plaza Trust | | | | | | | | | | |
| 688,000 | | | Series 2017-1MKT(d) | | 4.14% | | | 02/10/2032 | | | | 634,037 | |
| | | | Pagaya AI Debt Selection Trust | | | | | | | | | | |
| 2,500,000 | | | Series 2020-3(d) | | 6.43% | | | 05/17/2027 | | | | 2,464,036 | |
| 766,524 | | | Series 2021-2(d) | | 3.00% | | | 01/25/2029 | | | | 716,388 | |
| 2,000,000 | | | Series 2021-5(d) | | 0.00% | | | 08/15/2029 | | | | 2,400,268 | |
| | | | Park Place Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-WCW | | | | | | | | | | |
| 5,000,000 | | | Series 2005-WCW2(e) | | 1M US L + 0.98% | | | 07/25/2035 | | | | 4,072,675 | |
| | | | People's Choice Home Loan Securities Trust | | | | | | | | | | |
| 5,000,000 | | | Series 2005-4(e) | | 1M US L + 0.65% | | | 12/25/2035 | | | | 2,995,018 | |
| | | | Primrose Funding LLC | | | | | | | | | | |
| 972,500 | | | Series 2019-1A(d) | | 4.48% | | | 07/30/2026 | | | | 888,307 | |
| | | | Progress Residential | | | | | | | | | | |
| 2,500,000 | | | Series 2021-SFR3(d) | | 4.75% | | | 05/17/2026 | | | | 2,152,777 | |
| | | | Progress Residential | | | | | | | | | | |
| 6,900,000 | | | Series 2021-SFR8(d) | | 4.01% | | | 10/17/2026 | | | | 5,738,567 | |
| | | | RR 2, Ltd. | | | | | | | | | | |
| 1,000,000 | | | Series 2021-2A(d)(e) | | 3M US L + 5.80% | | | 04/15/2036 | | | | 842,461 | |
| | | | RR 6, Ltd. | | | | | | | | | | |
| 1,000,000 | | | Series 2021-6A(d)(e) | | 3M US L + 5.85% | | | 04/15/2036 | | | | 795,661 | |
| | | | Sapphire Aviation Finance I, Ltd. | | | | | | | | | | |
| 2,144,720 | | | Series 2018-1A(d) | | 5.93% | | | 03/15/2025 | | | | 1,431,334 | |
| | | | Sapphire Aviation Finance II, Ltd. | | | | | | | | | | |
| 381,455 | | | Series 2020-1A(d) | | 3.23% | | | 03/15/2027 | | | | 302,309 | |
| | | | SG Commercial Mortgage Securities Trust | | | | | | | | | | |
| 1,854,000 | | | Series 2016-C5 | | 3.93% | | | 06/10/2026 | | | | 1,649,867 | |
| | | | Signal Rail I LLC | | | | | | | | | | |
| 480,016 | | | Series 2021-1(d) | | 2.23% | | | 08/17/2028 | | | | 399,803 | |
| | | | S-Jets, Ltd. | | | | | | | | | | |
| 887,035 | | | Series 2017-1(d) | | 3.97% | | | 08/15/2025 | | | | 724,889 | |
| | | | SLG Office Trust | | | | | | | | | | |
| 1,100,000 | | | Series 2021-OVA(d) | | 2.85% | | | 07/15/2031 | | | | 757,376 | |
| | | | SMB Private Education Loan Trust | | | | | | | | | | |
| 250,720 | | | Series 2018-B(d)(e) | | 1M US L + 0.72% | | | 08/15/2027 | | | | 247,208 | |
| 968 | | | Series 2021-A(d) | | 0.00% | | | 01/15/2053 | | | | 2,367,034 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 65 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
| | | | SMR Mortgage Trust | | | | | | | | | | |
$ | 964,590 | | | Series 2022-IND(d)(e) | | 1M US SOFR + 7.50% | | | 02/15/2024 | | | $ | 911,008 | |
| | | | Sofi Alternative Consumer Loan Program | | | | | | | | | | |
| 50,000 | | | Series 2021-2(d) | | 0.00% | | | 08/15/2030 | | | | 1,453,098 | |
| | | | Sofi Professional Loan Program Trust | | | | | | | | | | |
| 80,000 | | | Series 2018-C(d) | | 0.00% | | | 01/25/2048 | | | | 1,219,581 | |
| | | | SoFi Professional Loan Program Trust | | | | | | | | | | |
| 50,000 | | | Series 2020-A(d) | | 0.00% | | | 05/15/2046 | | | | 1,603,901 | |
| | | | Sofi Professional Loan Program, LLC | | | | | | | | | | |
| 32,412 | | | Series 2018-A(d) | | 0.00% | | | 02/25/2042 | | | | 623,021 | |
| | | | SoFi Professional Loan Program, LLC | | | | | | | | | | |
| 300,000 | | | Series 2017-D(d) | | 3.61% | | | 09/25/2040 | | | | 287,626 | |
| | | | Sprite, Ltd. | | | | | | | | | | |
| 462,120 | | | Series 2021-1(d) | | 3.75% | | | 10/15/2028 | | | | 391,185 | |
| | | | SREIT Trust | | | | | | | | | | |
| 1,150,000 | | | Series 2021-MFP2(d)(e) | | 1M US L +3.9155% | | | 11/15/2023 | | | | 1,064,754 | |
| | | | Stack Infrastructure Issuer LLC | | | | | | | | | | |
| 964,167 | | | Series 2019-1A(d) | | 4.54% | | | 02/26/2024 | | | | 952,579 | |
| | | | Start, Ltd. | | | | | | | | | | |
| 600,594 | | | Series 2018-1(d) | | 4.09% | | | 05/15/2025 | | | | 486,152 | |
| 623,406 | | | Series 2019-1(d) | | 4.09% | | | 03/15/2026 | | | | 503,849 | |
| | | | Sunnova Helios VII Issuer LLC | | | | | | | | | | |
| 1,166,363 | | | Series 2021-C(d) | | 2.63% | | | 10/20/2028 | | | | 973,937 | |
| | | | Sunnova Sol III Issuer LLC | | | | | | | | | | |
| 1,399,652 | | | Series 2021-1(d) | | 2.58% | | | 04/30/2031 | | | | 1,144,616 | |
| | | | Sunnova Sol Issuer LLC | | | | | | | | | | |
| 927,814 | | | Series 2020-1A(d) | | 3.35% | | | 01/30/2030 | | | | 779,431 | |
| | | | Thunderbolt Aircraft Lease, Ltd. | | | | | | | | | | |
| 1,609,442 | | | Series 2017-A(d)(l) | | 4.21% | | | 04/15/2024 | | | | 1,396,159 | |
| | | | Thunderbolt II Aircraft Lease, Ltd. | | | | | | | | | | |
| 4,464,286 | | | Series 2018-A(d)(l) | | 5.07% | | | 09/15/2038 | | | | 2,600,728 | |
| | | | TIF Funding II LLC | | | | | | | | | | |
| 348,333 | | | Series 2021-1A(d) | | 1.65% | | | 02/20/2046 | | | | 288,900 | |
| | | | TPGI Trust | | | | | | | | | | |
| 800,000 | | | Series 2021-DGWD(d)(e) | | 1M US L + 3.85% | | | 06/15/2026 | | | | 744,559 | |
| | | | Tricon Residential | | | | | | | | | | |
| 3,700,000 | | | Series 2021-SFR1(d) | | 4.13% | | | 07/17/2026 | | | | 3,157,600 | |
| | | | Trimaran Cavu 2019-1, Ltd. | | | | | | | | | | |
| 1,700,000 | | | Series 2019-1A(d)(e) | | 3M US L + 4.15% | | | 07/20/2032 | | | | 1,552,209 | |
See Notes to Financial Statements.
66 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
| | | | TTAN | | | | | | | | | | |
$ | 740,642 | | | Series 2021-MHC(d)(e) | | 1M US L + 2.90% | | | 03/15/2026 | | | $ | 681,892 | |
| | | | UBS Commercial Mortgage Trust | | | | | | | | | | |
| 31,908,500 | | | Series 2017-C3(e)(m) | | 0.55% | | | 08/15/2050 | | | | 632,088 | |
| 650,000 | | | Series 2017-C4(e) | | 4.24% | | | 09/15/2027 | | | | 579,586 | |
| 520,000 | | | Series 2018-C10(e) | | 5.22% | | | 05/15/2028 | | | | 465,157 | |
| 928,000 | | | Series 2018-C9(e) | | 5.12% | | | 03/15/2028 | | | | 809,841 | |
| | | | UBS-Barclays Commercial Mortgage Trust | | | | | | | | | | |
| 1,993,000 | | | Series 2013-C5(d)(e) | | 4.08% | | | 03/12/2046 | | | | 1,517,901 | |
| | | | Upstart Pass-Through Trust | | | | | | | | | | |
| 210,605 | | | Series 2021-ST1(d) | | 2.75% | | | 02/20/2027 | | | | 201,033 | |
| 461,555 | | | Series 2021-ST2(d) | | 2.50% | | | 04/20/2027 | | | | 441,185 | |
| | | | Upstart Securitization Trust | | | | | | | | | | |
| 250,000 | | | Series 2020-3(d) | | 3.01% | | | 11/20/2030 | | | | 247,714 | |
| 2,000 | | | Series 2021-2 | | 0.00% | | | 06/20/2031 | | | | 539,388 | |
| | | | US Auto Funding 2021-1 | | | | | | | | | | |
| 1,125,000 | | | Series 2021-1A(d) | | 2.20% | | | 05/15/2026 | | | | 1,053,836 | |
| | | | Vault DI Issuer LLC | | | | | | | | | | |
| 750,000 | | | Series 2021-1A(d) | | 2.80% | | | 07/15/2026 | | | | 643,285 | |
| | | | Velocity Commercial Capital Loan Trust | | | | | | | | | | |
| 285,010 | | | Series 2018-2(d)(e) | | 4.05% | | | 09/25/2024 | | | | 276,275 | |
| 611,714 | | | Series 2019-1(d)(e) | | 3.94% | | | 01/25/2027 | | | | 568,274 | |
| 275,293 | | | Series 2019-1(d)(e) | | 4.01% | | | 07/25/2027 | | | | 257,175 | |
| 223,334 | | | Series 2019-1(d)(e) | | 4.12% | | | 11/25/2027 | | | | 201,580 | |
| 1,406,099 | | | Series 2021-2(d)(e) | | 4.92% | | | 12/25/2030 | | | | 1,049,414 | |
| | | | VOLT XCVI LLC | | | | | | | | | | |
| 4,000,000 | | | Series 2021-NPL5(d)(l) | | 4.83% | | | 03/27/2051 | | | | 3,381,708 | |
| | | | Wachovia Bank Commercial Mortgage Trust | | | | | | | | | | |
| 19,229 | | | Series 2006-C29(e)(m) | | 0.36% | | | 11/15/2048 | | | | 8 | |
| | | | WAVE LLC | | | | | | | | | | |
| 832,599 | | | Series 2019-1(d) | | 3.60% | | | 09/15/2027 | | | | 637,973 | |
| 1,099,950 | | | Series 2019-1(d) | | 7.00% | | | 09/15/2044 | | | | 662,001 | |
| | | | Wells Fargo Commercial Mortgage Trust | | | | | | | | | | |
| 1,539,000 | | | Series 2015-C28(e) | | 4.22% | | | 05/15/2025 | | | | 1,334,217 | |
| 1,245,000 | | | Series 2015-NXS4(e) | | 3.84% | | | 11/15/2025 | | | | 1,063,437 | |
| 1,000,000 | | | Series 2016-C33(d) | | 3.12% | | | 03/15/2059 | | | | 803,573 | |
| 5,628,945 | | | Series 2016-C37(d)(e)(m) | | 1.60% | | | 12/15/2049 | | | | 270,719 | |
| 356,000 | | | Series 2016-NXS6 | | 3.81% | | | 11/15/2049 | | | | 318,474 | |
| 523,000 | | | Series 2018-C47(e) | | 5.10% | | | 10/15/2028 | | | | 454,123 | |
| 134,000 | | | Series 2020-C55 | | 3.14% | | | 02/15/2030 | | | | 108,200 | |
| 830,000 | | | Series 2021-C61 | | 3.31% | | | 07/15/2031 | | | | 615,910 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 67 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
| | | | WF-RBS Commercial Mortgage Trust | | | | | | | | | | |
$ | 3,035,622 | | | Series 2014-C21(e)(m) | | 1.17% | | | 08/15/2047 | | | $ | 45,294 | |
| 3,738,663 | | | Series 2014-C22(e)(m) | | 0.94% | | | 09/15/2057 | | | | 42,297 | |
| 636,000 | | | Series 2014-C23(d)(e) | | 4.15% | | | 10/15/2057 | | | | 563,853 | |
| | | | Willis Engine Structured Trust V | | | | | | | | | | |
| 855,084 | | | Series 2020-A(d) | | 3.23% | | | 03/15/2028 | | | | 653,024 | |
| | | | Willis Engine Structured Trust VI | | | | | | | | | | |
| 2,456,660 | | | Series 2021-A(d) | | 7.39% | | | 05/15/2046 | | | | 1,970,361 | |
| 1,592,134 | | | Zephyrus Capital Aviation Tl(e) | | 1M US L + 4.61% | | | 10/15/2038 | | | | 1,365,543 | |
| | | | | |
TOTAL NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS | | | | | |
(Cost $337,372,148) | | | | 277,685,592 | |
| | | | | |
U.S. GOVERNMENT BONDS AND NOTES - 9.23% | | | | | |
| 8,900,000 | | | U.S. Treasury Bonds | | 2.88% | | | 05/15/2032 | | | | 8,230,414 | |
| 4,180,000 | | | U.S. Treasury Bonds | | 2.75% | | | 08/15/2032 | | | | 3,822,740 | |
| 4,060,000 | | | U.S. Treasury Bonds | | 2.25% | | | 05/15/2041 | | | | 3,071,564 | |
| 6,220,000 | | | U.S. Treasury Bonds | | 3.25% | | | 05/15/2042 | | | | 5,522,194 | |
| 56,100,000 | | | U.S. Treasury Bonds | | 1.25% | | | 05/15/2050 | | | | 31,425,861 | |
| 32,000,000 | | | U.S. Treasury Bonds | | 1.63% | | | 11/15/2050 | | | | 19,882,500 | |
| 3,480,000 | | | U.S. Treasury Bonds | | 2.88% | | | 05/15/2052 | | | | 2,919,394 | |
| 3,715,000 | | | U.S. Treasury Bonds | | 3.00% | | | 08/15/2052 | | | | 3,207,090 | |
| 575,000 | | | U.S. Treasury Notes | | 3.00% | | | 06/30/2024 | | | | 562,546 | |
| 4,130,000 | | | U.S. Treasury Notes | | 3.25% | | | 08/31/2024 | | | | 4,055,789 | |
| 480,000 | | | U.S. Treasury Notes | | 3.00% | | | 07/15/2025 | | | | 464,006 | |
| 360,000 | | | U.S. Treasury Notes | | 3.13% | | | 08/15/2025 | | | | 348,989 | |
| 12,070,000 | | | U.S. Treasury Notes | | 3.50% | | | 09/15/2025 | | | | 11,824,828 | |
| 5,330,000 | | | U.S. Treasury Notes | | 0.38% | | | 11/30/2025 | | | | 4,726,523 | |
| 240,000 | | | U.S. Treasury Notes | | 2.63% | | | 05/31/2027 | | | | 225,347 | |
| 425,000 | | | U.S. Treasury Notes | | 3.25% | | | 06/30/2027 | | | | 409,677 | |
| 10,875,000 | | | U.S. Treasury Notes | | 2.75% | | | 07/31/2027 | | | | 10,242,041 | |
| 4,170,000 | | | U.S. Treasury Notes | | 1.25% | | | 03/31/2028 | | | | 3,596,462 | |
| 330,000 | | | U.S. Treasury Notes | | 3.25% | | | 06/30/2029 | | | | 315,479 | |
| 9,510,000 | | | U.S. Treasury Notes | | 2.63% | | | 07/31/2029 | | | | 8,741,027 | |
| 340,000 | | | United States Treasury Bill(h) | | 0.00% | | | 04/20/2023 | | | | 333,287 | |
| | | | | | | | | | | | | | |
TOTAL U.S. GOVERNMENT BONDS AND NOTES | | | | | |
(Cost $144,126,971) | | | | 123,927,758 | |
See Notes to Financial Statements.
68 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
MUNICIPAL BONDS - 0.01% | | | | | | | | | |
$ | 165,000 | | | State of California, General Obligation Bonds | | 7.55% | | | 04/01/2039 | | | $ | 205,892 | |
| | | | | | | | | | | | | | |
TOTAL MUNICIPAL BONDS | | | | | |
(Cost $233,896) | | | | 205,892 | |
| | | | | | | | | | | | | | |
U.S. GOVERNMENT / AGENCY MORTGAGE BACKED SECURITIES - 20.56% | | | | | |
| | | | Adjustable Rate Mortgage Trust | | | | | | | | | | |
| 2,119,664 | | | Series 2005-10(e) | | 3.78% | | | 01/25/2036 | | | | 1,705,516 | |
| | | | Alternative Loan Trust | | | | | | | | | | |
| 143,625 | | | Series 2005-20CB | | 5.50% | | | 07/25/2035 | | | | 112,700 | |
| 64,669 | | | Series 2005-54CB | | 5.50% | | | 11/25/2035 | | | | 38,927 | |
| 686,940 | | | Series 2005-85CB(e) | | 1M US L + 1.10% | | | 02/25/2036 | | | | 568,631 | |
| 145,071 | | | Series 2005-85CB(e) | | 21.63% - 3.67 x - 1M US L | | | 02/25/2036 | | | | 116,643 | |
| 192,683 | | | Series 2005-86CB | | 5.50% | | | 02/25/2036 | | | | 126,212 | |
| 161,413 | | | Series 2005-9CB(e) | | 1M US L + 0.50% | | | 05/25/2035 | | | | 145,582 | |
| 292,072 | | | Series 2005-9CB(e)(m) | | 5.05% - 1M US L | | | 05/25/2035 | | | | 7,070 | |
| 1,036,150 | | | Series 2006-15CB | | 6.50% | | | 06/25/2036 | | | | 540,140 | |
| 112,384 | | | Series 2006-30T1 | | 6.25% | | | 11/25/2036 | | | | 85,338 | |
| 100,707 | | | Series 2006-32CB | | 5.50% | | | 11/25/2036 | | | | 59,920 | |
| 222,995 | | | Series 2006-36T2(e) | | 28.06% - 4.6 x 1M US L | | | 12/25/2036 | | | | 168,813 | |
| 808,995 | | | Series 2007-19 | | 6.00% | | | 08/25/2037 | | | | 436,377 | |
| 2,728,955 | | | Series 2007-20 | | 6.25% | | | 08/25/2047 | | | | 1,591,284 | |
| 783,124 | | | Series 2007-23CB(e) | | 1M US L + 0.50% | | | 09/25/2037 | | | | 358,493 | |
| 753,122 | | | Series 2007-23CB(e)(m) | | 6.50% - 1M US L | | | 09/25/2037 | | | | 136,659 | |
| | | | American Home Mortgage Investment Trust | | | | | | | | | | |
| 157,985 | | | Series 2007-A(d)(l) | | 6.60% | | | 01/25/2037 | | | | 31,709 | |
| | | | Banc of America Funding | | | | | | | | | | |
| 1,733,941 | | | Series 2014-R8(d)(e) | | 1M US L + 0.24% | | | 12/26/2024 | | | | 1,449,586 | |
| | | | Banc of America Funding Trust | | | | | | | | | | |
| 60,172 | | | Series 2006-2 | | 5.50% | | | 03/25/2036 | | | | 55,678 | |
| | | | BCAP, LLC Trust | | | | | | | | | | |
| 100,781 | | | Series 2007-AA2(e) | | 7.50% | | | 04/25/2037 | | | | 64,625 | |
| 65,388 | | | Series 2007-AA2 | | 6.00% | | | 04/25/2037 | | | | 35,754 | |
| 4,861,648 | | | Series 2010-RR6(d)(e) | | 3.38% | | | 07/26/2036 | | | | 2,678,066 | |
| | | | Bear Stearns ALT-A Trust | | | | | | | | | | |
| 6,381,431 | | | Series 2006-3(e) | | 2.88% | | | 05/25/2036 | | | | 5,037,508 | |
| 800,427 | | | Series 2006-6(e) | | 3.53% | | | 11/25/2036 | | | | 414,661 | |
| | | | Bear Stearns Asset-Backed Securities Trust | | | | | | | | | | |
| 1,574,383 | | | Series 2006-AC1(l) | | 6.25% | | | 02/25/2036 | | | | 858,413 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 69 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
| | | | Bear Stearns Structured Products, Inc. | | | | | | | | | | |
$ | 7,121,807 | | | Series 2008-R2(d)(e) | | 2.47% | | | 06/25/2047 | | | $ | 5,241,669 | |
| | | | Chase Mortgage Finance Trust | | | | | | | | | | |
| 3,265,942 | | | Series 2007-S2 | | 6.00% | | | 03/25/2037 | | | | 1,795,618 | |
| 341,249 | | | Series 2007-S3 | | 5.50% | | | 05/25/2037 | | | | 79,419 | |
| 4,305,512 | | | Series 2007-S4 | | 6.00% | | | 06/25/2037 | | | | 2,245,400 | |
| | | | ChaseFlex Trust Series | | | | | | | | | | |
| 3,560,506 | | | Series 2007-M1(e) | | 1M US L + 0.23% | | | 08/25/2037 | | | | 3,024,271 | |
| | | | Citicorp Mortgage Securities Trust | | | | | | | | | | |
| 345,064 | | | Series 2007-1 | | 6.00% | | | 01/25/2037 | | | | 288,794 | |
| | | | Citigroup Mortgage Loan Trust | | | | | | | | | | |
| 81,420 | | | Series 2009-12(d) | | 5.50% | | | 11/25/2035 | | | | 65,560 | |
| 241,115 | | | Series 2009-4(d)(e) | | 5.48% | | | 05/25/2035 | | | | 213,555 | |
| | | | CitiMortgage Alternative Loan Trust | | | | | | | | | | |
| 344,735 | | | Series 2007-A1 | | 6.00% | | | 01/25/2037 | | | | 301,716 | |
| 68,594 | | | Series 2007-A1(e)(m) | | 5.40% - 1M US L | | | 01/25/2037 | | | | 3,510 | |
| 48,254 | | | Series 2007-A3(e) | | 6.00% | | | 03/25/2037 | | | | 42,243 | |
| 114,503 | | | Series 2007-A3(e)(m) | | 5.40% - 1M US L | | | 03/25/2037 | | | | 6,251 | |
| 350,446 | | | Series 2007-A6 | | 5.50% | | | 06/25/2037 | | | | 304,172 | |
| | | | Connecticut Avenue Securities Trust | | | | | | | | | | |
| 4,394,380 | | | Series 2019-R05(d)(e) | | 1M US L + 4.10% | | | 07/25/2039 | | | | 4,358,770 | |
| 4,250,000 | | | Series 2022-R02(d)(e) | | 30D US SOFR + 7.65% | | | 01/25/2027 | | | | 3,852,407 | |
| 3,685,000 | | | Series 2022-R03(d)(e) | | 30D US SOFR + 9.85% | | | 03/25/2042 | | | | 3,556,773 | |
| 4,000,000 | | | Series 2022-R04(d)(e) | | 30D US SOFR + 3.10% | | | 03/25/2042 | | | | 3,726,480 | |
| | | | Countrywide Home Loan | | | | | | | | | | |
| | | | Mortgage Pass-Through Trust | | | | | | | | | | |
| 1,249,474 | | | Series 2005-HYB7(e) | | 3.04% | | | 11/20/2035 | | | | 1,125,217 | |
| 25,007 | | | Series 2005-J4 | | 5.50% | | | 11/25/2035 | | | | 20,123 | |
| 1,230,658 | | | Series 2006-18 | | 6.00% | | | 12/25/2036 | | | | 750,932 | |
| 146,520 | | | Series 2007-17 | | 6.00% | | | 10/25/2037 | | | | 108,820 | |
| 208,793 | | | Series 2007-3 | | 6.00% | | | 04/25/2037 | | | | 114,546 | |
| 233,566 | | | Series 2007-7 | | 5.75% | | | 06/25/2037 | | | | 129,446 | |
| | | | Credit Suisse First Boston Mortgage Securities Corp. | | | | | | | | | | |
| 47,679 | | | Series 2005-10 | | 5.50% | | | 11/25/2035 | | | | 36,801 | |
| 29,745 | | | Series 2005-8 | | 5.50% | | | 08/25/2025 | | | | 24,562 | |
| 4,002,699 | | | Series 2005-9 | | 6.00% | | | 10/25/2035 | | | | 1,357,036 | |
| | | | Credit Suisse Mortgage Capital Certificates | | | | | | | | | | |
| 1,729,237 | | | Series 2006-2 | | 5.75% | | | 03/25/2036 | | | | 958,977 | |
See Notes to Financial Statements.
70 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
| | | CSMC | | | | | | | | | |
$ | 900,000 | | | Series 2021-NQM6(d)(e) | | 2.58% | | | 07/25/2066 | | | $ | 592,708 | |
| | | | CSMC Mortgage-Backed Trust | | | | | | | | | | |
| 144,552 | | | Series 2006-1 | | 6.00% | | | 02/25/2036 | | | | 52,067 | |
| 20,824 | | | Series 2006-4 | | 5.50% | | | 05/25/2021 | | | | 13,987 | |
| 786,695 | | | Series 2006-5 | | 6.25% | | | 06/25/2036 | | | | 186,784 | |
| 65,689 | | | Series 2006-9 | | 6.00% | | | 11/25/2036 | | | | 44,514 | |
| 4,599 | | | Series 2007-2 | | 5.00% | | | 03/25/2037 | | | | 3,728 | |
| 462,119 | | | Series 2007-3(e) | | 5.84% | | | 04/25/2037 | | | | 124,699 | |
| | | | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust | | | | | | | | | | |
| 193,857 | | | Series 2005-6(e)(m) | | 5.08% - 1M US L | | | 12/25/2035 | | | | 10,184 | |
| 82,283 | | | Series 2005-6(e) | | 1M US L + 1.40% | | | 12/25/2035 | | | | 63,475 | |
| | | | Deutsche Mortgage Securities, Inc. Mortgage Loan Trust | | | | | | | | | | |
| 115,731 | | | Series 2006-PR1(d)(e) | | 12.12% - 1M US L | | | 04/15/2036 | | | | 101,948 | |
| | | | Fannie Mae Interest Strip | | | | | | | | | | |
| 6,737,555 | | | Series 2014-419(m) | | 3.50% | | | 04/25/2044 | | | | 1,046,771 | |
| | | | Fannie Mae Pool | | | | | | | | | | |
| 4,388,616 | | | Series 2021- | | 3.00% | | | 10/01/2046 | | | | 3,906,154 | |
| 2,161,248 | | | Series 2021- | | 3.00% | | | 12/01/2048 | | | | 1,916,193 | |
| 1,814,755 | | | Series 2021- | | 4.00% | | | 05/01/2049 | | | | 1,715,424 | |
| 2,328,669 | | | Series 2021- | | 4.00% | | | 06/01/2049 | | | | 2,201,556 | |
| 5,581,190 | | | Series 2021- | | 2.00% | | | 02/01/2051 | | | | 4,562,241 | |
| 3,463,873 | | | Series 2021- | | 2.50% | | | 02/01/2051 | | | | 2,932,011 | |
| 1,468,415 | | | Series 2021- | | 2.50% | | | 05/01/2051 | | | | 1,239,304 | |
| 3,415,824 | | | Series 2021- | | 3.50% | | | 07/01/2051 | | | | 3,113,170 | |
| 2,546,550 | | | Series 2021- | | 2.50% | | | 12/01/2051 | | | | 2,147,106 | |
| 2,085,240 | | | Series 2022- | | 2.46% | | | 04/01/2032 | | | | 1,752,656 | |
| 3,776,322 | | | Series 2022- | | 3.50% | | | 11/01/2050 | | | | 3,438,510 | |
| 1,718,813 | | | Series 2022- | | 4.00% | | | 07/01/2052 | | | | 1,598,358 | |
| 1,703,505 | | | Series 2022- | | 5.00% | | | 07/01/2052 | | | | 1,662,852 | |
| 3,000,000 | | | Series Pool #BL4424 | | 2.14% | | | 10/01/2029 | | | | 2,596,950 | |
| 3,000,000 | | | Series Pool #BL5156 | | 2.37% | | | 12/01/2029 | | | | 2,621,457 | |
| | | | Fannie Mae REMICS | | | | | | | | | | |
| 5,923,371 | | | Series 2014-1(e)(m) | | 5.90% - 1M US L | | | 02/25/2044 | | | | 589,699 | |
| 6,413,476 | | | Series 2015-54(e)(m) | | 6.15% - 1M US L | | | 07/25/2045 | | | | 696,403 | |
| 9,403,856 | | | Series 2020-74(e)(m) | | 4.10% - 30D US SOFR | | | 10/25/2050 | | | | 452,204 | |
| 19,571,756 | | | Series 2020-77(e)(m) | | 4.10% - 30D SOFR | | | 11/25/2050 | | | | 1,115,011 | |
| 2,267,596 | | | Series 2021-48(e)(m) | | 3.65% - 30D US SOFR | | | 08/25/2051 | | | | 103,997 | |
| 15,896,328 | | | Series 2021-56(m) | | 2.50% | | | 09/25/2051 | | | | 2,057,749 | |
| | | | Federal Home Loan Mortgage | | | | | | | | | | |
| | | | Corp. Pool | | | | | | | | | | |
| 129,175 | | | Series Pool #G01840 | | 5.00% | | | 07/01/2035 | | | | 130,456 | |
| 46,627 | | | Series Pool #G04817 | | 5.00% | | | 09/01/2038 | | | | 47,087 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 71 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
| | | | Federal Home Loan Mortgage Corp. REMICS | | | | | | | | | | |
$ | 657,931 | | | Series 2003-2722(e) | | 9.89% - 1M US L | | | 12/15/2033 | | | $ | 656,996 | |
| 120,537 | | | Series 2005-R003 | | 5.50% | | | 10/15/2035 | | | | 123,394 | |
| 977,543 | | | Series 2006-3244(e)(m) | | 6.66% - 1M US L | | | 11/15/2036 | | | | 92,525 | |
| 47,863 | | | Series 2007-3261(e)(m) | | 6.43% - 1M US L | | | 01/15/2037 | | | | 3,838 | |
| 96,221 | | | Series 2007-3262(e)(m) | | 6.40% - 1M US L | | | 01/15/2037 | | | | 5,468 | |
| 365,581 | | | Series 2007-3301(e)(m) | | 6.10% - 1M US L | | | 04/15/2037 | | | | 29,398 | |
| 275,927 | | | Series 2007-3303(e)(m) | | 6.10% - 1M US L | | | 04/15/2037 | | | | 16,435 | |
| 63,810 | | | Series 2007-3382(e)(m) | | 6.00% - 1M US L | | | 11/15/2037 | | | | 4,301 | |
| 243,551 | | | Series 2007-3384(e)(m) | | 6.31% - 1M US L | | | 08/15/2036 | | | | 21,306 | |
| 74,596 | | | Series 2007-3384(e)(m) | | 6.39% - 1M US L | | | 11/15/2037 | | | | 4,703 | |
| 47,628 | | | Series 2008-3417(e)(m) | | 6.18% - 1M US L | | | 02/15/2038 | | | | 3,246 | |
| 1,823,968 | | | Series 2008-3423(e)(m) | | 6.00% - 1M US L | | | 03/15/2038 | | | | 8,774 | |
| 109,740 | | | Series 2008-3423(e)(m) | | 5.65% - 1M US L | | | 03/15/2038 | | | | 6,119 | |
| 926,603 | | | Series 2009-3510(e)(m) | | 6.75% - 1M US L | | | 02/15/2037 | | | | 63,330 | |
| 245,895 | | | Series 2009-3523(e)(m) | | 6.00% - 1M US L | | | 04/15/2039 | | | | 16,839 | |
| 44,463 | | | Series 2009-3524(e)(m) | | 3.41% | | | 06/15/2038 | | | | 42,037 | |
| 4,921 | | | Series 2009-3549(e)(m) | | 5.80% - 1M US L | | | 07/15/2039 | | | | 301 | |
| 509,920 | | | Series 2009-3560(e)(m) | | 6.40% - 1M US L | | | 11/15/2036 | | | | 23,577 | |
| 154,048 | | | Series 2010-3641 | | 4.50% | | | 03/15/2040 | | | | 151,849 | |
| 241,887 | | | Series 2010-3726(e)(m) | | 6.05% - 1M US L | | | 09/15/2040 | | | | 21,466 | |
| 735,003 | | | Series 2010-3728(e)(m) | | 4.45% - 1M US L | | | 09/15/2040 | | | | 25,438 | |
| 68,117 | | | Series 2010-3779 | | 4.00% | | | 12/15/2030 | | | | 66,979 | |
| 342,903 | | | Series 2010-3779 | | 3.50% | | | 12/15/2030 | | | | 332,322 | |
| 251,547 | | | Series 2010-3779 | | 4.50% | | | 12/15/2040 | | | | 244,524 | |
| 27,133 | | | Series 2011-3786(e) | | 9.50% - 1M US L | | | 01/15/2041 | | | | 19,747 | |
| 217,229 | | | Series 2011-3808 | | 3.50% | | | 02/15/2031 | | | | 210,430 | |
| 17,462 | | | Series 2011-3809(e) | | 9.50% - 1M US L | | | 02/15/2041 | | | | 12,008 | |
| 515,696 | | | Series 2011-3815(e)(m) | | 5.85% - 1M US L | | | 02/15/2041 | | | | 42,505 | |
| 184,548 | | | Series 2011-3824 | | 3.50% | | | 03/15/2031 | | | | 178,758 | |
| 261,637 | | | Series 2011-3824(e)(m) | | 7.10% - 1M US L | | | 08/15/2036 | | | | 32,687 | |
| 299,922 | | | Series 2011-3863 | | 5.50% | | | 08/15/2034 | | | | 305,797 | |
| 302,749 | | | Series 2011-3864(e) | | 9.20% - 1M US L | | | 05/15/2041 | | | | 219,245 | |
| 317,438 | | | Series 2011-3871 | | 5.50% | | | 06/15/2041 | | | | 324,957 | |
| 294,578 | | | Series 2011-3872(e)(m) | | 5.95% - 1M US L | | | 06/15/2041 | | | | 16,942 | |
| 1,986,468 | | | Series 2011-3910 | | 5.00% | | | 08/15/2041 | | | | 2,005,696 | |
| 1,327,779 | | | Series 2011-3924(e)(m) | | 6.00% - 1M US L | | | 09/15/2041 | | | | 78,212 | |
| 1,671,528 | | | Series 2012-3(e)(m) | | 5.95% - 1M US L | | | 02/25/2042 | | | | 150,398 | |
| 991,100 | | | Series 2013-4170(e) | | 4.05% - 1M US L | | | 01/15/2033 | | | | 846,836 | |
| 2,097,207 | | | Series 2013-4239 | | 0.00% | | | 07/15/2043 | | | | 1,218,181 | |
| 2,848,555 | | | Series 2014-4413 | | 3.50% | | | 11/15/2044 | | | | 2,664,031 | |
| 3,765,303 | | | Series 2015-4434 | | 3.00% | | | 02/15/2045 | | | | 3,204,055 | |
| 3,625,523 | | | Series 2015-4440 | | 2.50% | | | 02/15/2045 | | | | 3,095,845 | |
| | | | Federal National Mortgage Association Pool | | | | | | | | | | |
| 35,576 | | | Series Pool #555743 | | 5.00% | | | 09/01/2033 | | | | 35,772 | |
See Notes to Financial Statements.
72 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
$ | 41,534 | | | Series Pool #735382 | | 5.00% | | | 04/01/2035 | | | $ | 41,897 | |
| 116,211 | | | Series Pool #735383 | | 5.00% | | | 04/01/2035 | | | | 117,227 | |
| 74,006 | | | Series Pool #735484 | | 5.00% | | | 05/01/2035 | | | | 74,652 | |
| 19,500 | | | Series Pool #AH4437 | | 4.00% | | | 01/01/2041 | | | | 17,862 | |
| | | | Federal National Mortgage Association REMICS | | | | | | | | | | |
| 32,140 | | | Series 2004-46(e)(m) | | 6.00% - 1M US L | | | 03/25/2034 | | | | 660 | |
| 154,919 | | | Series 2006-101(e)(m) | | 6.58% - 1M US L | | | 10/25/2036 | | | | 14,699 | |
| 434,543 | | | Series 2006-123(e)(m) | | 6.32% - 1M US L | | | 01/25/2037 | | | | 41,022 | |
| 2,039,757 | | | Series 2006-92(e)(m) | | 6.58% - 1M US L | | | 10/25/2036 | | | | 165,801 | |
| 55,344 | | | Series 2007-102(e)(m) | | 6.40% - 1M US L | | | 11/25/2037 | | | | 3,822 | |
| 39,533 | | | Series 2007-108(e)(m) | | 6.36% - 1M US L | | | 12/25/2037 | | | | 2,785 | |
| 8,456 | | | Series 2007-30(e)(m) | | 6.11% - 1M US L | | | 04/25/2037 | | | | 512 | |
| 234,981 | | | Series 2007-38(e)(m) | | 6.08% - 1M US L | | | 05/25/2037 | | | | 13,309 | |
| 9,832 | | | Series 2007-51(e)(m) | | 6.10% - 1M US L | | | 06/25/2037 | | | | 563 | |
| 31,309 | | | Series 2007-53(e)(m) | | 6.10% - 1M US L | | | 06/25/2037 | | | | 1,884 | |
| 298,003 | | | Series 2007-57(e)(m) | | 6.62% - 1M US L | | | 10/25/2036 | | | | 26,992 | |
| 60,977 | | | Series 2007-68(e)(m) | | 6.65% - 1M US L | | | 07/25/2037 | | | | 4,880 | |
| 391,343 | | | Series 2008-3(e)(m) | | 6.46% - 1M US L | | | 02/25/2038 | | | | 31,853 | |
| 37,167 | | | Series 2008-56(e)(m) | | 6.06% - 1M US L | | | 07/25/2038 | | | | 1,692 | |
| 10,611 | | | Series 2008-81 | | 5.50% | | | 09/25/2038 | | | | 10,582 | |
| 130,652 | | | Series 2009-111 | | 5.00% | | | 01/25/2040 | | | | 129,731 | |
| 66,092 | | | Series 2009-111(e)(m) | | 6.25% - 1M US L | | | 01/25/2040 | | | | 6,299 | |
| 607,833 | | | Series 2009-12(e)(m) | | 6.60% - 1M US L | | | 03/25/2036 | | | | 43,814 | |
| 15,825 | | | Series 2009-28(e)(m) | | 6.00% - 1M US L | | | 04/25/2037 | | | | 871 | |
| 139,457 | | | Series 2009-41 | | 4.50% | | | 06/25/2039 | | | | 132,978 | |
| 48,401 | | | Series 2009-42(e)(m) | | 6.00% - 1M US L | | | 06/25/2039 | | | | 1,533 | |
| 91,873 | | | Series 2009-47(e)(m) | | 6.10% - 1M US L | | | 07/25/2039 | | | | 5,095 | |
| 41,981 | | | Series 2009-62(e)(m) | | 6.10% - 1M US L | | | 08/25/2039 | | | | 1,827 | |
| 39,922 | | | Series 2009-66(e) | | 5.80% - 1M US L | | | 02/25/2038 | | | | 1,689 | |
| 30,274 | | | Series 2009-68(e)(m) | | 5.25% - 1M US L | | | 09/25/2039 | | | | 1,254 | |
| 100,105 | | | Series 2010-11(e)(m) | | 4.80% - 1M US L | | | 02/25/2040 | | | | 2,275 | |
| 18,928 | | | Series 2010-111(e)(m) | | 6.00% - 1M US L | | | 10/25/2040 | | | | 1,149 | |
| 55,761 | | | Series 2010-112 | | 4.00% | | | 10/25/2040 | | | | 52,825 | |
| 77,041 | | | Series 2010-115(e)(m) | | 6.60% - 1M US L | | | 11/25/2039 | | | | 7,267 | |
| 1,046,350 | | | Series 2010-115(e)(m) | | 6.00% - 1M US L | | | 10/25/2040 | | | | 98,885 | |
| 2,402,079 | | | Series 2010-123(e)(m) | | 6.05% - 1M US L | | | 11/25/2040 | | | | 221,350 | |
| 409,115 | | | Series 2010-15(e)(m) | | 4.95% - 1M US L | | | 03/25/2040 | | | | 20,813 | |
| 23,993 | | | Series 2010-34(e)(m) | | 4.93% - 1M US L | | | 04/25/2040 | | | | 1,291 | |
| 35,402 | | | Series 2010-4(e)(m) | | 6.23% - 1M US L | | | 02/25/2040 | | | | 2,352 | |
| 36,320 | | | Series 2010-58(e) | | 12.47% - 1M US L | | | 06/25/2040 | | | | 30,457 | |
| 1,399,211 | | | Series 2010-75 | | 4.50% | | | 07/25/2040 | | | | 1,377,356 | |
| 104,594 | | | Series 2010-9(e)(m) | | 4.75% - 1M US L | | | 02/25/2040 | | | | 3,078 | |
| 19,457 | | | Series 2010-9(e)(m) | | 5.30% - 1M US L | | | 02/25/2040 | | | | 1,041 | |
| 6,055 | | | Series 2010-90(e)(m) | | 6.00% - 1M US L | | | 08/25/2040 | | | | 281 | |
| 175,701 | | | Series 2011-16 | | 3.50% | | | 03/25/2031 | | | | 170,017 | |
| 208,572 | | | Series 2011-25 | | 3.00% | | | 04/25/2026 | | | | 204,391 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 73 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
$ | 195,310 | | | Series 2011-29 | | 3.50% | | | 04/25/2031 | | | $ | 188,970 | |
| 30,256 | | | Series 2011-5(e)(m) | | 6.40% - 1M US L | | | 11/25/2040 | | | | 286 | |
| 2,004,087 | | | Series 2012-106(e)(m) | | 6.16% - 1M US L | | | 10/25/2042 | | | | 171,055 | |
| 262,964 | | | Series 2012-124(e) | | 7.79% - 1M US L | | | 11/25/2042 | | | | 187,808 | |
| 117,660 | | | Series 2012-29(e)(m) | | 6.00% - 1M US L | | | 04/25/2042 | | | | 6,485 | |
| 345,956 | | | Series 2012-32(m) | | 5.00% | | | 04/25/2042 | | | | 55,921 | |
| 1,753,847 | | | Series 2012-65(e)(m) | | 5.98% - 1M US L | | | 06/25/2042 | | | | 168,413 | |
| 698,525 | | | Series 2018-21 | | 0.00% | | | 04/25/2048 | | | | 531,517 | |
| | | | First Horizon Alternative Mortgage Securities Trust | | | | | | | | | | |
| 494,658 | | | Series 2005-FA6 | | 5.50% | | | 09/25/2035 | | | | 305,981 | |
| | | | First Horizon Mortgage Pass-Through Trust | | | | | | | | | | |
| 553,767 | | | Series 2007-AR3(e) | | 3.73% | | | 11/25/2037 | | | | 311,817 | |
| | | | Freddie Mac Pool | | | | | | | | | | |
| 4,184,706 | | | Series 2021- | | 2.00% | | | 11/01/2050 | | | | 3,441,158 | |
| 4,230,114 | | | Series 2021- | | 3.00% | | | 10/01/2051 | | | | 3,707,578 | |
| 1,679,033 | | | Series 2022- | | 3.00% | | | 03/01/2052 | | | | 1,474,500 | |
| 3,912,467 | | | Series 2022- | | 3.50% | | | 06/01/2052 | | | | 3,530,548 | |
| 2,648,449 | | | Series 2022- | | 4.00% | | | 06/01/2052 | | | | 2,464,215 | |
| 2,489,870 | | | Series 2022- | | 4.50% | | | 09/01/2052 | | | | 2,381,010 | |
| 1,400,000 | | | Series 2022- | | 4.50% | | | 10/01/2052 | | | | 1,338,790 | |
| | | | Freddie Mac REMICS | | | | | | | | | | |
| 2,371,409 | | | Series 2011-3972(e)(m) | | 5.90% - 1M US L | | | 12/15/2041 | | | | 167,963 | |
| 2,347,476 | | | Series 2020-5007(e)(m) | | 6.10% - 1M US L | | | 08/25/2050 | | | | 288,034 | |
| 4,220,950 | | | Series 2020-5041(m) | | 2.00% | | | 11/25/2050 | | | | 507,432 | |
| 12,556,981 | | | Series 2020-5057(m) | | 3.00% | | | 11/25/2050 | | | | 2,027,694 | |
| 9,980,540 | | | Series 2021-5070(m) | | 3.50% | | | 02/25/2051 | | | | 1,595,471 | |
| | | | Freddie Mac STACR REMIC Trust | | | | | | | | | | |
| 4,300,000 | | | Series 2020-DNA6(d)(e) | | 30D US SOFR + 5.65% | | | 12/25/2050 | | | | 3,577,144 | |
| 2,500,000 | | | Series 2021-DNA1(d)(e) | | 30D US SOFR + 4.75% | | | 01/25/2051 | | | | 1,902,250 | |
| 2,750,000 | | | Series 2021-HQA2(d)(e) | | 30D US SOFR + 3.15% | | | 12/25/2033 | | | | 2,248,407 | |
| | | | GCAT | | | | | | | | | | |
| 1,500,000 | | | Series 2021-NQM4(d)(e) | | 2.47% | | | 08/25/2025 | | | | 939,736 | |
| | | | Ginnie Mae II Pool | | | | | | | | | | |
| 5,549,651 | | | Series 2021- | | 2.50% | | | 10/20/2051 | | | | 4,764,513 | |
| 1,640,980 | | | Series 2021- | | 2.50% | | | 11/20/2051 | | | | 1,408,905 | |
| | | | Government National Mortgage Association | | | | | | | | | | |
| 31,081 | | | Series 2004-83(e)(m) | | 6.08% - 1M US L | | | 10/20/2034 | | | | 1,856 | |
| 27,897 | | | Series 2008-6(e)(m) | | 6.46% - 1M US L | | | 02/20/2038 | | | | 405 | |
| 26,134 | | | Series 2008-67(e)(m) | | 6.00% - 1M US L | | | 08/20/2038 | | | | 331 | |
| 413,402 | | | Series 2008-69(e)(m) | | 7.63% - 1M US L | | | 08/20/2038 | | | | 35,878 | |
| 41,046 | | | Series 2009-10(e)(m) | | 6.65% - 1M US L | | | 02/16/2039 | | | | 3,662 | |
See Notes to Financial Statements.
74 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
$ | 423,309 | | | Series 2009-35 | | 4.50% | | | 05/20/2039 | | | $ | 415,243 | |
| 1,773,440 | | | Series 2009-58(e)(m) | | 6.25% - 1M US L | | | 06/20/2039 | | | | 129,805 | |
| 29,741 | | | Series 2009-6(e)(m) | | 5.95% - 1M US L | | | 02/20/2038 | | | | 298 | |
| 817,090 | | | Series 2009-75 | | 5.00% | | | 09/20/2039 | | | | 825,060 | |
| 1,947,233 | | | Series 2010-121(e)(m) | | 6.00% - 1M US L | | | 09/20/2040 | | | | 196,461 | |
| 32,955 | | | Series 2010-61(e)(m) | | 6.55% - 1M US L | | | 09/20/2039 | | | | 2,019 | |
| 53,958 | | | Series 2010-98(e)(m) | | 5.54% | | | 03/20/2039 | | | | 3,865 | |
| 40,261,782 | | | Series 2010-H20(e)(m) | | 1.27% | | | 10/20/2060 | | | | 1,193,528 | |
| 259,551 | | | Series 2011-69 | | 0.00% | | | 05/20/2041 | | | | 214,139 | |
| 826,301 | | | Series 2011-71 | | 4.50% | | | 02/20/2041 | | | | 810,626 | |
| 591,922 | | | Series 2011-71(e)(m) | | 5.40% - 1M US L | | | 05/20/2041 | | | | 42,704 | |
| 185,419 | | | Series 2011-72(e)(m) | | 6.15% - 1M US L | | | 05/20/2041 | | | | 17,000 | |
| 892,185 | | | Series 2011-89(e)(m) | | 5.45% - 1M US L | | | 06/20/2041 | | | | 65,013 | |
| 1,835,490 | | | Series 2013-113(e)(m) | | 6.25% - 1M US L | | | 03/20/2043 | | | | 88,604 | |
| 3,133,708 | | | Series 2013-122(e)(m) | | 6.10% - 1M US L | | | 08/16/2043 | | | | 294,178 | |
| 2,486,798 | | | Series 2013-148(e)(m) | | 5.68% - 1M US L | | | 10/16/2043 | | | | 187,499 | |
| 2,719,228 | | | Series 2013-186(e)(m) | | 6.25% - 1M US L | | | 02/16/2043 | | | | 146,356 | |
| 1,954,983 | | | Series 2014-156(e)(m) | | 6.25% - 1M US L | | | 10/20/2044 | | | | 186,036 | |
| 3,896,455 | | | Series 2014-4(e)(m) | | 6.10% - 1M US L | | | 01/16/2044 | | | | 381,369 | |
| 4,903,912 | | | Series 2014-41(e)(m) | | 6.10% - 1M US L | | | 03/20/2044 | | | | 478,976 | |
| 2,083,989 | | | Series 2014-5(e)(m) | | 6.15% - 1M US L | | | 07/20/2043 | | | | 126,932 | |
| 3,333,739 | | | Series 2014-95(e)(m) | | 6.25% - 1M US L | | | 06/16/2044 | | | | 258,136 | |
| 15,689,489 | | | Series 2016-162(e)(m) | | 0.69% | | | 09/16/2058 | | | | 542,204 | |
| 15,688,216 | | | Series 2016-H21(e)(m) | | 1.95% | | | 09/20/2066 | | | | 835,429 | |
| 5,496,710 | | | Series 2018-97(e)(m) | | 6.20% - 1M US L | | | 07/20/2048 | | | | 459,745 | |
| 11,385,334 | | | Series 2019-22(e)(m) | | 5.60% - 1M US L | | | 02/20/2045 | | | | 990,634 | |
| 5,185,265 | | | Series 2019-92(e)(m) | | 6.10% - 1M US L | | | 07/20/2049 | | | | 424,377 | |
| 19,070,707 | | | Series 2019-H10(e)(m) | | 0.48% | | | 06/20/2069 | | | | 757,870 | |
| 4,992,116 | | | Series 2019-H18(e)(m) | | 0.02% | | | 11/20/2069 | | | | 227,903 | |
| 10,097,586 | | | Series 2020-112(e)(m) | | 6.25% - 1M US L | | | 08/20/2050 | | | | 1,040,770 | |
| 18,386,835 | | | Series 2020-146(e)(m) | | 3.75% - 1M US L | | | 10/20/2050 | | | | 603,833 | |
| 13,871,271 | | | Series 2020-146(e)(m) | | 6.30% - 1M US L | | | 10/20/2050 | | | | 1,527,718 | |
| 13,431,394 | | | Series 2020-167(e)(m) | | 3.75% - 1M US L | | | 11/20/2050 | | | | 315,169 | |
| 18,530,205 | | | Series 2020-168(e)(m) | | 0.97% | | | 12/16/2062 | | | | 1,297,272 | |
| 5,099,499 | | | Series 2020-188(e)(m) | | 6.30% - 1M US L | | | 11/20/2050 | | | | 682,951 | |
| 19,424,372 | | | Series 2020-H18(e)(m) | | 1.52% | | | 09/20/2070 | | | | 988,743 | |
| 11,497,780 | | | Series 2021-1(e)(m) | | 6.30% - 1M US L | | | 01/20/2051 | | | | 1,271,798 | |
| 16,107,064 | | | Series 2021-1(m) | | 2.50% | | | 01/20/2051 | | | | 2,060,008 | |
| 10,788,501 | | | Series 2021-107(e)(m) | | 3.75% - 1M US L | | | 06/20/2051 | | | | 193,269 | |
| 1,752,377 | | | Series 2021-117(m) | | 3.50% | | | 06/20/2051 | | | | 199,109 | |
| 14,897,372 | | | Series 2021-160(m) | | 2.50% | | | 06/20/2051 | | | | 1,694,238 | |
| 17,568,860 | | | Series 2021-52(e)(m) | | 0.72% | | | 04/16/2063 | | | | 1,088,222 | |
| 26,222,034 | | | Series 2021-59(e)(m) | | 2.60% - 30D US SOFR | | | 04/20/2051 | | | | 285,731 | |
| 13,271,846 | | | Series 2021-77(e)(m) | | 3.75% - 1M US L | | | 05/20/2051 | | | | 337,972 | |
| 16,977,448 | | | Series 2021-77(m) | | 2.50% | | | 05/20/2051 | | | | 1,989,613 | |
| 6,697,820 | | | Series 2021-89(e)(m) | | 3.75% - 1M US L | | | 05/20/2051 | | | | 212,887 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 75 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
$ | 10,696,544 | | | Series 2021-97(e)(m) | | 3.75% - 1M US L | | | 06/20/2051 | | | $ | 386,590 | |
| 32,160,603 | | | Series 2021-97(e)(m) | | 3M US L + 2.44% | | | 06/20/2051 | | | | 306,211 | |
| 31,185,044 | | | Series 2021-H06(e)(m) | | 1.24% | | | 04/20/2071 | | | | 808,906 | |
| 12,981,276 | | | Series 2021-H08(e)(m) | | 1.14% | | | 05/20/2071 | | | | 296,234 | |
| 59,889,329 | | | Series 2021-H12(e)(m) | | 0.95% | | | 08/20/2071 | | | | 1,056,939 | |
| 41,131,547 | | | Series 2022-1(e)(m) | | 2.65% - 30D US SOFR | | | 01/20/2052 | | | | 478,257 | |
| 27,639,000 | | | Series 2022-48(e)(m) | | 0.71% | | | 01/16/2064 | | | | 1,906,450 | |
| | | | GSR Mortgage Loan Trust | | | | | | | | | | |
| 928,248 | | | Series 2006-2F | | 5.25% | | | 02/25/2036 | | | | 429,166 | |
| 1,624,685 | | | Series 2007-2F | | 6.00% | | | 03/25/2037 | | | | 948,691 | |
| 694,000 | | | Series 2007-AR2(e) | | 2.98% | | | 05/25/2037 | | | | 408,067 | |
| | | | Homeward Opportunities Fund Trust | | | | | | | | | | |
| 625,400 | | | Series 2020-BPL1(d)(l) | | 5.44% | | | 08/25/2025 | | | | 626,201 | |
| | | | Impac CMB Trust | | | | | | | | | | |
| 100,650 | | | Series 2004-10(e) | | 1M US L + 0.70% | | | 03/25/2035 | | | | 83,805 | |
| | | | Imperial Fund Mortgage Trust | | | | | | | | | | |
| 1,000,000 | | | Series 2021-NQM4(d)(e) | | 3.45% | | | 01/25/2057 | | | | 735,280 | |
| | | | IndyMac IMJA Mortgage Loan Trust | | | | | | | | | | |
| 979,502 | | | Series 2007-A1 | | 6.00% | | | 08/25/2037 | | | | 431,031 | |
| | | | IndyMac IMSC Mortgage Loan Trust | | | | | | | | | | |
| 4,650,123 | | | Series 2007-F2 | | 6.50% | | | 07/25/2037 | | | | 1,576,120 | |
| | | | JP Morgan Alternative Loan Trust | | | | | | | | | | |
| 160,700 | | | Series 2005-S1 | | 6.00% | | | 12/25/2035 | | | | 119,668 | |
| 31,336 | | | Series 2006-S3(l) | | 6.62% | | | 08/25/2036 | | | | 29,585 | |
| | | | JP Morgan Mortgage Trust | | | | | | | | | | |
| 797,159 | | | Series 2007-S3 | | 6.00% | | | 07/25/2037 | | | | 458,034 | |
| | | | JP Morgan Resecuritization Trust | | | | | | | | | | |
| 551,435 | | | Series 2011-1(d)(e) | | 6.00% | | | 06/26/2037 | | | | 456,942 | |
| 2,182,358 | | | Series 2014-6(d)(e) | | 1M US L + 0.21% | | | 07/27/2046 | | | | 2,031,075 | |
| | | | Legacy Mortgage Asset Trust | | | | | | | | | | |
| 13,310,000 | | | Series 2019-GS7(d)(l) | | 4.50% | | | 11/25/2059 | | | | 13,308,744 | |
| | | | Lehman Mortgage Trust | | | | | | | | | | |
| 408,273 | | | Series 2006-6 | | 5.50% | | | 10/25/2036 | | | | 290,848 | |
| 3,846,723 | | | Series 2006-7(e) | | 1M US L + 0.25% | | | 11/25/2036 | | | | 255,356 | |
| 3,846,723 | | | Series 2006-7(e)(m) | | 7.75% - 1M US L | | | 11/25/2036 | | | | 432,446 | |
| 1,164,739 | | | Series 2006-8(e) | | 1M US L + 0.42% | | | 12/25/2036 | | | | 243,553 | |
| 1,164,739 | | | Series 2006-8(e)(m) | | 6.58% - 1M US L | | | 12/25/2036 | | | | 139,004 | |
| 261,120 | | | Series 2007-10 | | 6.50% | | | 01/25/2038 | | | | 91,579 | |
| | | | LHOME Mortgage Trust | | | | | | | | | | |
| 4,250,000 | | | Series 2020-RTL1(d)(l) | | 3.72% | | | 10/25/2022 | | | | 4,104,668 | |
| 3,750,000 | | | Series 2020-RTL1(d)(l) | | 4.95% | | | 10/25/2022 | | | | 3,567,364 | |
| 1,300,000 | | | Series 2021-RTL1(d)(e) | | 2.09% | | | 09/25/2026 | | | | 1,254,218 | |
| 4,400,000 | | | Series 2021-RTL1(d)(e) | | 4.46% | | | 09/25/2026 | | | | 3,904,589 | |
See Notes to Financial Statements.
76 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
$ | 1,500,000 | | | Series 2021-RTL2(d)(l) | | 4.61% | | | 01/25/2024 | | | $ | 1,235,054 | |
| | | | Merrill Lynch Alternative Note Asset Trust | | | | | | | | | | |
| 687,842 | | | Series 2007-F1 | | 6.00% | | | 03/25/2037 | | | | 81,170 | |
| | | | Morgan Stanley Mortgage Loan Trust | | | | | | | | | | |
| 1,211,648 | | | Series 2005-3AR(e) | | 2.92% | | | 07/25/2035 | | | | 1,032,644 | |
| 2,360,434 | | | Series 2006-11 | | 6.00% | | | 08/25/2036 | | | | 1,639,476 | |
| 2,660,336 | | | Series 2006-1AR(e) | | 1M US L + 0.28% | | | 02/25/2036 | | | | 1,716,704 | |
| 650,819 | | | Series 2006-7(e) | | 5.14% | | | 06/25/2036 | | | | 438,088 | |
| 691,553 | | | Series 2006-7 | | 6.00% | | | 06/25/2036 | | | | 396,935 | |
| | | | Morgan Stanley Re-REMIC Trust | | | | | | | | | | |
| 31,912 | | | Series 2011-R1(d)(e) | | 5.94% | | | 02/26/2037 | | | | 31,921 | |
| | | | Morgan Stanley Residential Mortgage Loan Trust | | | | | | | | | | |
| 332,105 | | | Series 2020-RPL1(d)(e) | | 2.69% | | | 10/25/2023 | | | | 317,907 | |
| | | | NewRez Warehouse Securitization Trust | | | | | | | | | | |
| 4,550,000 | | | Series 2021-1(d)(e) | | 1M US L + 5.25% | | | 05/25/2055 | | | | 4,513,123 | |
| | | | Nomura Asset Acceptance Corp. Alternative Loan Trust | | | | | | | | | | |
| 1,004,593 | | | Series 2005-AP3(e) | | 5.32% | | | 08/25/2035 | | | | 523,881 | |
| | | | PR Mortgage Loan Trust | | | | | | | | | | |
| 7,216,869 | | | Series 2014-1(d)(e) | | 5.87% | | | 10/25/2049 | | | | 6,544,447 | |
| | | | Prime Mortgage Trust | | | | | | | | | | |
| 53,939 | | | Series 2006-DR1(d) | | 5.50% | | | 05/25/2035 | | | | 45,883 | |
| | | | PRPM LLC | | | | | | | | | | |
| 10,000,000 | | | Series 2022-5(d) | | 6.90% | | | 09/27/2027 | | | | 9,920,340 | |
| | | | RBSGC Structured Trust | | | | | | | | | | |
| 116,841 | | | Series 2008-B(d) | | 6.00% | | | 06/25/2037 | | | | 97,344 | |
| | | | Residential Accredit Loans, Inc. | | | | | | | | | | |
| 3,236,852 | | | Series 2006-QA5(e) | | 1M US L + 0.22% | | | 07/25/2036 | | | | 1,494,434 | |
| 1,350,684 | | | Series 2006-QS10 | | 6.50% | | | 08/25/2036 | | | | 1,154,105 | |
| 335,184 | | | Series 2006-QS6 | | 6.00% | | | 06/25/2036 | | | | 273,120 | |
| 824,248 | | | Series 2006-QS7 | | 6.00% | | | 06/25/2036 | | | | 658,355 | |
| 43,145 | | | Series 2006-QS7(e) | | 1M US L + 0.40% | | | 06/25/2036 | | | | 31,561 | |
| 129,997 | | | Series 2006-QS7(e)(m) | | 5.60% - 1M US L | | | 06/25/2036 | | | | 7,131 | |
| 55,362 | | | Series 2006-QS8(e) | | 1M US L + 0.45% | | | 08/25/2036 | | | | 40,443 | |
| 166,086 | | | Series 2006-QS8(e)(m) | | 5.55% - 1M US L | | | 08/25/2036 | | | | 12,211 | |
| 5,184 | | | Series 2007-QS6(e) | | 55.00% 8.33 x 1M US L | | | 04/25/2037 | | | | 5,175 | |
| 491,875 | | | Series 2007-QS9 | | 6.50% | | | 07/25/2037 | | | | 396,904 | |
| 255,373 | | | Series 2008-QR1 | | 6.00% | | | 08/25/2036 | | | | 202,448 | |
| | | | | | | | | | | | | | |
| | | | Residential Asset Securitization Trust | | | | | | | | | | |
| 387,522 | | | Series 2006-A1 | | 6.00% | | | 04/25/2036 | | | | 198,104 | |
| 860,676 | | | Series 2006-A2 | | 6.00% | | | 05/25/2036 | | | | 385,439 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 77 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
$ | 897,478 | | | Series 2006-A6 | | 6.50% | | | 07/25/2036 | | | $ | 291,016 | |
| 250,137 | | | Series 2006-A8 | | 6.00% | | | 08/25/2036 | | | | 169,488 | |
| 149,757 | | | Series 2006-A8 | | 6.50% | | | 08/25/2036 | | | | 49,650 | |
| 317,071 | | | Series 2006-A8(e)(m) | | 5.90% - 1M US L | | | 08/25/2036 | | | | 36,992 | |
| 1,330,777 | | | Series 2007-A1 | | 6.00% | | | 03/25/2037 | | | | 478,948 | |
| 57,796 | | | Series 2007-A6 | | 6.00% | | | 06/25/2037 | | | | 35,699 | |
| 2,529,578 | | | Series 2007-A7 | | 6.00% | | | 07/25/2037 | | | | 1,046,322 | |
| | | | Residential Funding Mortgage Securities I Trust | | | | | | | | | | |
| 423,693 | | | Series 2006-S3 | | 5.50% | | | 03/25/2036 | | | | 342,225 | |
| 84,081 | | | Series 2006-S6 | | 6.00% | | | 07/25/2036 | | | | 68,757 | |
| 223,904 | | | Series 2007-S3 | | 6.00% | | | 03/25/2037 | | | | 161,573 | |
| 122,712 | | | Series 2007-S6 | | 6.00% | | | 06/25/2037 | | | | 102,989 | |
| | | | Residential Mortgage Loan Trust | | | | | | | | | | |
| 3,250,000 | | | Series 2020-1(d)(e) | | 4.67% | | | 01/26/2060 | | | | 2,619,438 | |
| | | | Sequoia Mortgage Trust | | | | | | | | | | |
| 990,246 | | | Series 2007-3(e) | | 3.20% | | | 07/20/2037 | | | | 817,874 | |
| | | | Structured Adjustable Rate Mortgage Loan Trust | | | | | | | | | | |
| 534,322 | | | Series 2005-15(e) | | 3.60% | | | 07/25/2035 | | | | 343,028 | |
| | | | Structured Asset Securities Corp. | | | | | | | | | | |
| 147,581 | | | Series 2005-RF1(d)(e) | | 1M US L + 0.35% | | | 03/25/2035 | | | | 140,358 | |
| 147,581 | | | Series 2005-RF1(d)(e)(m) | | 1.95% | | | 03/25/2035 | | | | 2,317 | |
| | | | TBW Mortgage-Backed Trust | | | | | | | | | | |
| 1,394,744 | | | Series 2006-2 | | 7.00% | | | 07/25/2036 | | | | 264,750 | |
| | | | Verus Securitization Trust | | | | | | | | | | |
| 2,300,000 | | | Series 2019-INV3(d)(e) | | 3.28% | | | 11/25/2059 | | | | 2,151,649 | |
| 1,500,000 | | | Series 2021-4(d)(e) | | 2.20% | | | 07/25/2066 | | | | 978,382 | |
| 1,400,000 | | | Series 2021-6(d)(e) | | 4.05% | | | 10/25/2066 | | | | 960,010 | |
| 2,000,000 | | | Series 2021-7(d)(e) | | 4.19% | | | 10/25/2066 | | | | 1,268,092 | |
| 7,706,000 | | | Series 2022-4(d)(e) | | 4.74% | | | 04/25/2067 | | | | 5,892,358 | |
| | | | Wachovia Mortgage Loan Trust, LLC Series Trust | | | | | | | | | | |
| 98,646 | | | Series 2005-B(e) | | 3.43% | | | 10/20/2035 | | | | 93,032 | |
| | | | Washington Mutual Alternative Mortgage Pass-Through Certificates | | | | | | | | | | |
| 39,381 | | | Series 2005-9 | | 5.50% | | | 11/25/2035 | | | | 29,583 | |
| 329,420 | | | Series 2006-5 | | 6.00% | | | 07/25/2036 | | | | 235,674 | |
| | | | Washington Mutual Mortgage Pass-Through Certificates Trust | | | | | | | | | | |
| 574,004 | | | Series 2006-2 | | 6.00% | | | 03/25/2036 | | | | 529,596 | |
| | | | Wells Fargo Alternative Loan Trust | | | | | | | | | | |
| 236,919 | | | Series 2007-PA2(e) | | 1M US L + 0.43% | | | 06/25/2037 | | | | 191,703 | |
| 237,614 | | | Series 2007-PA2(e)(m) | | 6.07% - 1M US L | | | 06/25/2037 | | | | 10,470 | |
| 121,645 | | | Series 2007-PA3 | | 5.75% | | | 07/25/2037 | | | | 97,193 | |
See Notes to Financial Statements.
78 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
$ | 274,567 | | | Series 2007-PA3 | | 6.25% | | | 07/25/2037 | | | $ | 234,105 | |
| | | | | | | | | | |
TOTAL U.S. GOVERNMENT / AGENCY MORTGAGE BACKED SECURITIES | |
(Cost $392,447,767) | | | | | | | | | 275,144,950 | |
Shares/Description | | Value | |
Rights - 0.00%(a)(j) | | | |
1,000 | | | BlackRock Corporate High Yield Fund, Inc., Strike Price 0.01, Expires 10/14/2022 | | $ | 2 | |
| | | | | | | |
TOTAL RIGHTS | | | | |
(Cost $0) | | | 2 | |
| | | | | | | |
Warrants - 0.00%(a)(j) | | | | |
219,520 | | | Oas SA, Strike Price 1.00, Expires 05/16/2039 | | | 0 | |
| | | | | | | |
TOTAL WARRANTS | | | | |
(Cost $0) | | | 0 | |
| | | | | | | |
Short-Term Investments - 7.06% | | | | |
Money Market Fund - 7.06% | | | | |
94,501,468 | | | State Street Institutional Trust (7 Day Yield 1.03%) | | $ | 94,501,468 | |
| | | | | | | |
TOTAL SHORT-TERM INVESTMENTS | | | | |
(Cost $94,501,468) | | | 94,501,468 | |
| | | | | | | |
TOTAL INVESTMENTS - 99.59% | | | | |
(Cost $1,664,851,835) | | | 1,332,939,865 | |
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.41% | | | 5,428,033 | |
NET ASSETS - 100.00% | | $ | 1,338,367,898 | |
Investment Abbreviations:
LIBOR - London Interbank Offered Rate
LLC - Limited Liability Company
LP - Limited Partnership
SOFR - Secured Overnight Financing Rate Data
TI - Treasury Index
Libor Rates:
1M US L - 1 Month LIBOR as of September 30, 2022 was 3.14%
3M US L - 3 Month LIBOR as of September 30, 2022 was 3.75%
6M US L - 6 Month LIBOR as of September 30, 2022 was 4.23%
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 79 |
RiverNorth/DoubleLine Strategic Income Fund | Schedule of Investments |
September 30, 2022
1D SOFR - 1 Day SOFR as of September 30, 2022 was 1.10%
30D SOFR - 30 Day SOFR as of September 30, 2022 was 2.46%
1Y US TI - 1 Year TI as of September 30, 2022 was 4.05%
5Y US TI - 5 Year TI as of September 30, 2022 was 4.06%
10Y US TI - 10 Year TI as of September 30, 2022 was 3.83%
| (a) | Non-income producing security. |
| (b) | Affiliated company. See Note 10 to Notes to Financial Statements. |
| (c) | 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 (The "Board"). As of September 30, 2022, the aggregate fair value of those securities was $21,304,246, representing 1.59% of net assets. |
| (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 Board and may normally be sold to qualified institutional buyers in transactions exempt from registration. Total fair value of Rule 144A securities amounts to $446,951,379, which represents approximately 33.40% of net assets as of September 30, 2022. |
| (e) | Variable rate investment. Interest rates reset periodically. Interest rate shown reflects the rate in effect at September 30, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (f) | Security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. |
| (g) | Pay-in-kind securities. Rate paid in-kind is shown in parenthesis. |
| (h) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| (i) | Security is currently in default. |
| (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) | Step up bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect at September 30, 2022. |
| (m) | Interest only securities. |
See Notes to Financial Statements.
80 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/Oaktree High Income Fund | Schedule of Investments |
September 30, 2022
Shares/Description | | | | | Value | |
BUSINESS DEVELOPMENT COMPANIES - 1.19% | | | | |
| 10,837 | | | Barings BDC, Inc. | | $ | 89,623 | |
| 38,995 | | | Golub Capital BDC, Inc. | | | 483,148 | |
| | | | | | | | |
TOTAL BUSINESS DEVELOPMENT COMPANIES | | | | |
(Cost $591,934) | | | 572,771 | |
| | | | | | | | |
CLOSED-END FUNDS - 9.15% | | | | |
| 82,471 | | | BNY Mellon High Yield Strategies Fund | | | 174,014 | |
| 56,446 | | | First Trust High Yield Opportunities 2027 Term Fund | | | 760,328 | |
| 17,278 | | | PGIM Global High Yield Fund, Inc. | | | 182,801 | |
| 31,746 | | | PIMCO Access Income Fund | | | 503,174 | |
| 77,171 | | | PIMCO Dynamic Income Fund | | | 1,495,574 | |
| 58,048 | | | PIMCO Dynamic Income Opportunities Fund | | | 765,653 | |
| 40,938 | | | Western Asset Diversified Income Fund | | | 515,000 | |
| | | | | | | | |
TOTAL CLOSED-END FUNDS | | | | |
(Cost $4,748,012) | | | 4,396,544 | |
| | | | | | | | |
COMMON STOCKS - 0.16% | | | | |
| 947 | | | DBI Investors, Inc.(a)(b) | | | 19 | |
| 3,304 | | | PHI Group, Inc.(a) | | | 76,620 | |
| 6 | | | Toys R Us Propco Equity(b) | | | 33 | |
| | | | | | | | |
TOTAL COMMON STOCKS | | | | |
(Cost $213,399) | | | 76,672 | |
| | | | | | | | |
EXCHANGE TRADED FUNDS - 8.40% | | | | |
| 25,000 | | | iShares® iBoxx High Yield Corporate Bond ETF | | | 1,784,750 | |
| 22,000 | | | iShares® iBoxx Investment Grade Corporate Bond ETF | | | 2,253,900 | |
| | | | | | | | |
TOTAL EXCHANGE TRADED FUNDS | | | | |
(Cost $4,062,511) | | | 4,038,650 | |
| | | | | | | | |
PREFERRED STOCKS - 0.28% | | | | |
| 116 | | | DBI Investors Inc., 10.000%(b)(c) | | | 3 | |
| 135 | | | Sequa Corp., 7.000%(b)(c) | | | 135,000 | |
| | | | | | | | |
TOTAL PREFERRED STOCKS | | | | |
(Cost $146,039) | | | 135,003 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 81 |
RiverNorth/Oaktree High Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
BANK LOANS - 25.79%(d) | | | | | | | | | | |
Germany - 0.46% | | | | | | | | | | |
$ | 228,834 | | | Springer Nature Deutschland GmbH, First Lien - Initial B18 Term Loan | | 1M US L + 3.00%, 0.75% Floor | | | 08/14/2026 | | | $ | 222,712 | |
| | | | | | | | | | | | | | |
Great Britain - 1.43% | | | | | | | | | | |
| 248,125 | | | City Football Group Limited, TL | | 3M US L + 3.50% | | | 07/09/2028 | | | | 237,166 | |
| 143,254 | | | EG Group, Ltd., First Lien - Additional Facility Term Loan | | 3M US L + 4.00% | | | 02/07/2025 | | | | 134,032 | |
| 300,000 | | | Genesis Care Finance Pty, Ltd., First Lien - Facility B2 Term Loan | | 3M EUR L + 3.50% | | | 10/30/2025 | | | | 119,811 | |
| 181,182 | | | Lernen Bidco, Ltd., First Lien - Facility B1 (EUR) Term Loan | | 6M EUR L + 4.25% | | | 10/24/2025 | | | | 164,360 | |
| 32,918 | | | Osmosis Buyer, Ltd., First Lien - Initial B Term Loan | | 3M US L + 2.75%, 0.50% Floor | | | 06/17/2028 | | | | 30,665 | |
| | | | | | | | | | | | | 686,034 | |
Luxembourg - 0.50% | | | | | | | | | | |
| 246,233 | | | Surf Holdings S.a r.l., First Lien - Dollar Tranche Term Loan | | 3M US L + 3.50% | | | 03/05/2027 | | | | 238,694 | |
| | | | | | | | | | | | | | |
Netherlands - 1.00% | | | | | | | | | | |
| 283,418 | | | Peer Holding III B.V., First Lien - Facility B Term Loan | | 3M EUR L + 3.00% | | | 03/07/2025 | | | | 261,271 | |
| 250,000 | | | Sigma Holdco B.V., First Lien - Facility B4 (GBP) Term Loan | | 6M US L + 4.00% | | | 07/02/2025 | | | | 221,514 | |
| | | | | | | | | | | | | 482,785 | |
United States - 22.40% | | | | | | | | | | |
| 231,948 | | | Access CIG LLC, First Lien - B Term Loan | | 3M US L + 3.75% | | | 02/27/2025 | | | | 222,728 | |
| 49,496 | | | Adavantage Sales & Marketing Inc., First Lien | | 1M US L + 4.50% | | | 10/28/2027 | | | | 44,459 | |
| 50,368 | | | Adtalem Global Education, Inc., First Lien - B Term Loan | | 3M US L + 3.00%, 0.75% Floor | | | 08/12/2028 | | | | 49,959 | |
| 123,750 | | | Allied Universal Holdco LLC, First Lien - Initial U.S. Dollar Term Loan | | 1M US L + 3.75%, 0.50% Floor | | | 05/12/2028 | | | | 109,132 | |
| 55,860 | | | Amentum Government Services Holdings, LLC, First Lien | | 3M US L + 4.00% | | | 02/07/2029 | | | | 53,486 | |
| 97,265 | | | American Auto Auction Group, LLC, First Lien | | 3M US L + 5.00% | | | 12/30/2027 | | | | 90,456 | |
| 52,338 | | | American Rock Salt Company LLC, First Lien - Initial Term Loan | | 3M US L + 3.25%, 0.75% Floor | | | 06/09/2028 | | | | 48,608 | |
| 43,465 | | | Ankura Consulting Group LLC, First Lien - Closing Date Term Loan | | 3M US L + 4.00%, 0.75% Floor | | | 03/17/2028 | | | | 39,771 | |
| 54,450 | | | Artera Services, LLC, TL | | L + 3.50%, 1.00% Floor | | | 03/06/2025 | | | | 44,622 | |
| 27,802 | | | ASP Blade Holdings, Inc. TLB 1L | | 3M US L + 4.00% | | | 10/07/2028 | | | | 24,494 | |
See Notes to Financial Statements.
82 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/Oaktree High Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
$ | 240,176 | | | Astoria Energy LLC, First Lien - B Advance (2020) Term Loan | | 3M US L + 4.25%, 1.00% Floor | | | 12/10/2027 | | | $ | 233,331 | |
| 59,369 | | | Astra Acquisition Corp., First Lien - Initial Term Loan | | 1M US L + 5.25% | | | 10/22/2028 | | | | 50,760 | |
| 139,925 | | | Asurion LLC, First Lien - New B-8 Term Loan | | 1M US L + 3.25% | | | 12/23/2026 | | | | 119,025 | |
| 98,750 | | | Azalea TopCo, Inc., First Lien | | 3M US L + 4.00%, 0.75% Floor | | | 07/24/2026 | | | | 90,418 | |
| 158,356 | | | BCP Renaissance Parent LLC, First - Lien Initial Term Loan | | 3M US L + 3.50%, 1.00% Floor | | | 10/31/2024 | | | | 157,168 | |
| 7,105 | | | BCPE North Star US Holdco 2, Inc., First Lien | | 3M US L + 0.00%, 0.75% Floor | | | 06/10/2028 | | | | 6,573 | |
| 63,480 | | | BCPE North Star US Holdco 2, Inc., First Lien - Initial Term Loan | | 3M US L + 3.75%, 0.75% Floor | | | 06/09/2028 | | | | 58,719 | |
| 99,750 | | | Bengal Debt Merger Sub, LLC, First Lien | | 3M US L + 3.35% | | | 01/19/2029 | | | | 91,880 | |
| 25,000 | | | Bengal Debt Merger Sub, LLC, Second Lien | | 3M US L + 6.00% | | | 01/18/2030 | | | | 22,969 | |
| 240,000 | | | Bracket Intermediate Holding Corp., First Lien - Initial Term Loan | | 3M US L + 4.25% | | | 09/05/2025 | | | | 228,780 | |
| 223,756 | | | Brookfield WEC Holdings, Inc., First Lien - Initial (2021) Term Loan | | 0.50% Floor | | | 08/01/2025 | | | | 214,500 | |
| 7,302 | | | BW Holding, Inc., First Lien | | 3M US L + 4.15%, 0.50% Floor | | | 12/14/2028 | | | | 6,754 | |
| 24,622 | | | Carnival Corp., First Lien - Initial Advance Term Loan | | 3M US L + 7.50%, 0.75% Floor | | | 06/30/2025 | | | | 22,529 | |
| 25,805 | | | Carnival Corporation TLB 1L | | 3M US L + 3.25% | | | 10/06/2028 | | | | 22,773 | |
| 175,234 | | | Charter Next Generation, Inc., First Lien - Initial (2021) Term Loan | | 3M US L + 4.82%, 0.75% Floor | | | 12/01/2027 | | | | 166,733 | |
| 244,304 | | | CITGO Petroleum Corp., First Lien - 2019 Incremental B Term Loan | | 3M US L + 6.25%, 1.00% Floor | | | 03/28/2024 | | | | 244,976 | |
| | | | | | | | | | | | | | |
| 124,688 | | | Clydesdale Acquisition Holdings, Inc., First Lien | | 3M US L + 4.175%, 0.50% Floor | | | 04/13/2029 | | | | 117,969 | |
| 123,750 | | | Consilio/Skopima 5/21 Cov-Lite TLB | | 1M US L + 4.00% | | | 05/12/2028 | | | | 115,087 | |
| 25,367 | | | CPV Maryland LLC, First Lien - B Advance Term Loan | | 3M US L + 5.25%, 1.00% Floor | | | 05/11/2028 | | | | 24,891 | |
| 148,125 | | | CQP Holdco LP TLB | | 3M US L + 4.00% | | | 06/05/2028 | | | | 143,198 | |
| 70,070 | | | DIRECTV Financing LLC, First Lien - Closing Date Term Loan | | 1M US L + 5.00%, 0.75% Floor | | | 08/02/2027 | | | | 65,450 | |
| 25,892 | | | Diversitech Holdings, Inc. | | 3M US L + 3.75% | | | 12/15/2028 | | | | 24,339 | |
| 247,500 | | | DRW Holdings LLC, First Lien - Initial Term Loan | | 1M US L + 3.75% | | | 03/01/2028 | | | | 239,456 | |
| 33,830 | | | Echo Global Logistics, Inc. TL 1L | | 3M US L + 3.50% | | | 11/03/2028 | | | | 31,885 | |
| 77,610 | | | Electron BidCo, Inc. TL 1L | | 1M US L + 3.00% | | | 10/07/2028 | | | | 73,736 | |
| 149,250 | | | Fertitta Entertainment, LLC, First Lien | | 1M US L + 4.004% | | | 01/13/2029 | | | | 138,880 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 83 |
RiverNorth/Oaktree High Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | | Maturity | | | Value | |
$ | 240,061 | | | Flynn Restaurant Group LP, First Lien - Initial Term Loan | | 1M US L + 3.50% | | | 06/27/2025 | | | $ | 231,059 | |
| 245,644 | | | Great Outdoors Group LLC, First Lien | | 1M US L + 3.75%, 0.75% Floor | | | 03/05/2028 | | | | 227,835 | |
| 246,250 | | | Greeneden U.S. Holdings I LLC, First Lien - Initial Dollar (2020) Term Loan | | 1M US L + 4.00%, 0.75% Floor | | | 12/01/2027 | | | | 235,147 | |
| 243,876 | | | Harbor Freight Tools USA, Inc., First Lien - Initial (2021) Term Loan | | L + 2.75%, 0.50% Floor | | | 10/19/2027 | | | | 221,592 | |
| 184,990 | | | Helix Gen Funding LLC, First Lien | | 1M US L + 3.75%, 1.00% Floor | | | 06/03/2024 | | | | 173,967 | |
| 150,000 | | | Houghton Mifflin Harcrt Co Tl 1L | | 1M US L + 5.25% | | | 04/04/2029 | | | | 137,063 | |
| 62,055 | | | Hudson River Trading LLC, First Lien | | 1M US L + 3.00% | | | 03/20/2028 | | | | 56,385 | |
| 63,000 | | | Hunter Douglas, Inc., First Lien | | 3M US L + 3.50% | | | 02/09/2029 | | | | 52,164 | |
| 68,215 | | | Intelsat Jackson Holdings S.A.TLB 1L | | 3M US L + 4.25% | | | 01/26/2029 | | | | 64,190 | |
| 245,625 | | | IRB Holding Corp., First Lien | | 1M US L + 3.15%, 0.75% Floor | | | 12/15/2027 | | | | 230,734 | |
| 247,506 | | | Ivanti Software, Inc., First Lien | | 3M US L + 4.25%, 0.75% Floor | | | 12/01/2027 | | | | 194,009 | |
| 108,937 | | | KUEHG Corp, First Lien - B-3 Term Loan | | 3M US L + 3.75%, 1.00% Floor | | | 02/21/2025 | | | | 103,218 | |
| 205,241 | | | LMBE-MC Holdco II LLC, First Lien | | 3M US L + 4.00%, 1.00% Floor | | | 12/03/2025 | | | | 203,188 | |
| 207,875 | | | LogMeIn, Inc., First Lien - Initial Term Loan | | 1M US L + 4.75% | | | 08/31/2027 | | | | 145,292 | |
| 99,120 | | | LTI Holdings, Inc., First Lien | | 1M US L + 4.50% | | | 07/24/2026 | | | | 93,999 | |
| 45,425 | | | Majordrive Holdings IV LLC, First Lien - Initial Term Loan | | 3M US L + 3.75%, 0.50% Floor | | | 06/01/2028 | | | | 42,094 | |
| 58,853 | | | McAfee Corp., First Lien | | 1M US L + 3.85% | | | 02/02/2029 | | | | 53,839 | |
| 27,452 | | | Merion Rose Merger Sub, Inc., First Lien | | 3M US L + 4.00% | | | 12/08/2028 | | | | 25,393 | |
| 237,500 | | | Mileage Plus Holdings LLC, First Lien - Initial Term Loan | | 3M US L + 5.25%, 1.00% Floor | | | 06/21/2027 | | | | 239,154 | |
| 70,645 | | | Mitchell International, Inc. TLB | | 3M US L + 3.75% | | | 10/01/2028 | | | | 64,216 | |
| 237,579 | | | Natgasoline LLC, First Lien - Initial Term Loan | | 3M US L + 0.00% | | | 11/14/2025 | | | | 228,670 | |
| 92,605 | | | Olaplex, Inc. TL 1L | | 3M US L + 3.75% | | | 02/17/2029 | | | | 89,595 | |
| 149,250 | | | Olympus Water US Holding Corp., First Lien | | 3M US L + 4.50%, 0.50% Floor | | | 11/09/2028 | | | | 138,476 | |
| 49,750 | | | Oryx Midstream Services Permian Basin LLC, TLB, First Lien | | L + 3.25%, 0.50% Floor | | | 09/30/2028 | | | | 48,366 | |
| 100,000 | | | Osmosis Buyer Limited TLB 1L | | 6M US L + 4.00% | | | 07/31/2028 | | | | 93,281 | |
| 245,625 | | | Pactiv Evergreen, Inc., First Lien - Tranche B-2 U.S. Term Loan | | 1M US L + 3.25% | | | 02/05/2026 | | | | 235,712 | |
| 58,741 | | | Parkway Generation, LLC, First Lien | | 3M US L + 0.00% | | | 11/05/2028 | | | | 57,566 | |
| 98,228 | | | PetVet Care Centers LLC, First Lien - 2021 Replacement Term Loan | | 3M US L + 3.50%, 0.75% Floor | | | 02/14/2025 | | | | 91,229 | |
See Notes to Financial Statements.
84 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/Oaktree High Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | Maturity | | | Value | |
$ | 95,000 | | | PMHC II, INC.TLB 1L | | 3M US L + 4.25% | | 02/02/2029 | | | $ | 77,099 | |
| 32,670 | | | Polaris Newco LLC, First Lien - Dollar Term Loan | | L + 4.00%, 0.50% Floor | | 06/04/2028 | | | | 30,233 | |
| 245,625 | | | ProAmpac PG Borrower LLC, First Lien - 2020-1 Term Loan | | 3M US L + 3.75%, 0.75% Floor | | 11/03/2025 | | | | 231,317 | |
| 243,125 | | | Pug LLC, First Lien - USD B Term Loan | | 1M US L + 3.50% | | 02/12/2027 | | | | 212,734 | |
| 235,231 | | | Recorded Books, Inc., First Lien - 2021 Replacement Term Loan | | 3M US L + 2.75% | | 08/29/2025 | | | | 226,925 | |
| 125,000 | | | Redwood Star Merger Sub, Inc. | | 1M US L + 4.50% | | 03/16/2029 | | | | 116,094 | |
| 34,000 | | | Renaissance Holdings Corp., First Lien | | 1M US L + 4.50%, 0.50% Floor | | 04/01/2027 | | | | 32,697 | |
| 54,725 | | | Restaurant Technologies, Inc. TLB 1L | | 3M US L + 4.25% | | 03/17/2029 | | | | 53,380 | |
| 40,595 | | | SCIH Salt Holdings, Inc., First Lien - Incremental B-1 Term Loan | | 3M US L + 3.50%, 0.75% Floor | | 03/16/2027 | | | | 37,804 | |
| 148,500 | | | SeaWorld Parks & Entertainment, Inc., First Lien - B Term Loan | | L + 3.00%, 0.50% Floor | | 08/25/2028 | | | | 142,854 | |
| 39,851 | | | Secure Acquisition, Inc. | | 3M US L + 5.00% | | 12/15/2028 | | | | 37,460 | |
| 5,948 | | | Secure Acquisition, Inc., First Lien | | 3M US L + 5.00%, 0.50% Floor | | 12/23/2028 | | | | 5,592 | |
| 217,570 | | | Shearer's Foods LLC, First Lien | | 3M US L + 3.50%, 0.75% Floor | | 09/23/2027 | | | | 202,709 | |
| 3,385 | | | SM Wellness Holdings, Inc., First Lien | | 3M US L + 4.75%, 1.00% Floor | | 04/15/2028 | | | | 3,215 | |
| 40,209 | | | SM Wellness Holdings, Inc., First Lien - Initial Term Loan | | 3M US L + 3.75%, 0.75% Floor | | 04/17/2028 | | | | 38,199 | |
| 250,000 | | | Sotera Health Holdings LLC, First Lien - Refinancing Term Loan | | 3M US L + 3.25%, 0.50% Floor | | 12/11/2026 | | | | 221,250 | |
| 147,375 | | | Spin Holdco, Inc., First Lien - Initial Term Loan | | 1M US L + 3.50%, 0.75% Floor | | 03/04/2028 | | | | 129,874 | |
| 175,120 | | | SRS Distribution, Inc., First Lien | | 3M US L + 3.50%, 0.50% Floor | | 06/04/2028 | | | | 161,417 | |
| 99,000 | | | Tiger Acquisition LLC, First Lien - Initial Term Loan | | L + 3.25%, 0.50% Floor | | 06/01/2028 | | | | 92,047 | |
| 72,162 | | | Triton Water Holdings, Inc., First Lien - Initial Term Loan | | 3M US L + 3.50%, 0.50% Floor | | 03/31/2028 | | | | 65,116 | |
| 270,064 | | | Uber Technologies, Inc., First Lien - 2021 Incremental Term Loan | | 1M US L + 3.50% | | 04/04/2025 | | | | 264,973 | |
| 102,090 | | | UFC Holdings LLC, First Lien | | 3M US L + 2.75%, 0.75% Floor | | 04/29/2026 | | | | 98,390 | |
| 245,648 | | | UKG, Inc., First Lien | | 3M US L + 3.25%, 0.50% Floor | | 05/03/2026 | | | | 234,390 | |
| 49,375 | | | United AirLines, Inc., First Lien - Class B Term Loan | | 3M US L + 3.75%, 0.75% Floor | | 04/21/2028 | | | | 47,335 | |
| 26,798 | | | United Site 11/21 Cov-Lite | | 1M US L + 4.25% | | 11/04/2028 | | | | 22,956 | |
| 208,399 | | | University Support Services LLC, First Lien | | 1M US L + 3.25%, 0.50% Floor | | 02/10/2029 | | | | 197,979 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 85 |
RiverNorth/Oaktree High Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | Maturity | | | Value | |
$ | 44,775 | | | Univision Communications, Inc., First Lien - B Term Loan | | 3M US L + 4.00%, 0.75% Floor | | 05/05/2028 | | | $ | 42,942 | |
| 44,775 | | | Vertex Aerospace Services Corp TL | | 3M US L + 3.75% | | 11/10/2028 | | | | 43,656 | |
| 64,513 | | | W. R. Grace Holdings LLC, First Lien - Initial Term Loan | | L + 3.75%, 0.50% Floor | | 09/22/2028 | | | | 60,561 | |
| 82,378 | | | Whatabrands LLC, First Lien - Initial B Term Loan | | 1M US L + 3.25%, 0.50% Floor | | 08/03/2028 | | | | 76,457 | |
| 222,531 | | | William Morris Endeavor Entertainment LLC, First Lien - B-1 Term Loan | | 1M US L + 2.75% | | 05/18/2025 | | | | 212,934 | |
| 128,613 | | | YI LLC, First Lien - Initial Term Loan | | 1M US L + 4.00%, 1.00% Floor | | 11/07/2024 | | | | 126,040 | |
| | | | | | | | | | | | 10,764,556 | |
| | | | | | | | | | | | | |
TOTAL BANK LOANS |
(Cost $13,589,831) | | | | 12,394,781 | |
| | | | | | | | | | | | | |
HIGH YIELD DEBT - 47.85% |
Australia - 0.38% |
| 40,000 | | | Mineral Resources, Ltd.(e) | | 8.13% | | 05/01/2027 | | | $ | 38,819 | |
| 60,000 | | | Mineral Resources, Ltd.(e) | | 8.50% | | 05/01/2030 | | | | 58,115 | |
| 100,000 | | | Nufarm Australia, Ltd. / Nufarm Americas, Inc.(e) | | 5.00% | | 01/27/2030 | | | | 83,364 | |
| | | | | | | | | | | | 180,298 | |
Canada - 1.87% |
| 99,000 | | | Bombardier, Inc.(e) | | 7.50% | | 03/15/2025 | | | | 96,404 | |
| 80,000 | | | Bombardier, Inc.(e) | | 7.13% | | 06/15/2026 | | | | 73,487 | |
| 45,000 | | | Bombardier, Inc.(e) | | 6.00% | | 02/15/2028 | | | | 37,717 | |
| 110,000 | | | Cascades, Inc./Cascades USA, Inc.(e) | | 5.38% | | 01/15/2028 | | | | 93,281 | |
| 75,000 | | | Eldorado Gold Corp.(e) | | 6.25% | | 09/01/2029 | | | | 57,307 | |
| 25,000 | | | First Quantum Minerals, Ltd.(e) | | 6.50% | | 03/01/2024 | | | | 24,531 | |
| 85,000 | | | GFL Environmental, Inc.(e) | | 5.13% | | 12/15/2026 | | | | 79,262 | |
| 125,000 | | | goeasy, Ltd.(e) | | 5.38% | | 12/01/2024 | | | | 117,447 | |
| 105,000 | | | Intelligent Packaging, Ltd. Finco, Inc. / Intelligent Packaging Ltd Co.-Issuer LLC(e) | | 6.00% | | 09/15/2028 | | | | 83,768 | |
| 110,000 | | | Mercer International, Inc. | | 5.13% | | 02/01/2029 | | | | 87,827 | |
| 60,000 | | | Precision Drilling Corp.(e) | | 7.13% | | 01/15/2026 | | | | 56,363 | |
| 25,000 | | | Precision Drilling Corp.(e) | | 6.88% | | 01/15/2029 | | | | 22,120 | |
| 80,000 | | | Strathcona Resources, Ltd.(e) | | 6.88% | | 08/01/2026 | | | | 67,980 | |
| | | | | | | | | | | | 897,494 | |
France - 1.95% |
| 100,000 | | | Afflelou SAS(f) | | 4.25% | | 05/19/2026 | | | | 86,244 | |
| 120,000 | | | Altice France SA(e) | | 5.50% | | 01/15/2028 | | | | 95,213 | |
| 55,000 | | | Altice France SA(e) | | 5.13% | | 07/15/2029 | | | | 41,221 | |
| 100,000 | | | Altice France SA(e) | | 4.25% | | 10/15/2029 | | | | 74,529 | |
See Notes to Financial Statements.
86 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/Oaktree High Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | Maturity | | | Value | |
$ | 100,000 | | | Banijay Entertainment SASU(e) | | 3.50% | | 03/01/2025 | | | $ | 91,150 | |
| 100,000 | | | CAB SELAS(f) | | 3.38% | | 02/01/2028 | | | | 75,245 | |
| 100,000 | | | Chrome Bidco SASU(e) | | 3.50% | | 05/31/2028 | | | | 78,085 | |
| 100,000 | | | Elis SA | | 4.13% | | 05/24/2027 | | | | 90,668 | |
| 155,000 | | | Iliad Holding SASU(e) | | 5.63% | | 10/15/2028 | | | | 130,738 | |
| 100,000 | | | Loxam SAS | | 5.75% | | 07/15/2027 | | | | 76,137 | |
| 100,000 | | | Parts Europe SA(f) | | 6.50% | | 07/16/2025 | | | | 98,054 | |
| | | | | | | | | | | | 937,284 | |
Germany - 1.07% |
| 100,000 | | | Cheplapharm Arzneimittel GmbH(f) | | 4.38% | | 01/15/2028 | | | | 80,846 | |
| 100,000 | | | Gruenenthal GmbH(e) | | 4.13% | | 05/15/2028 | | | | 81,744 | |
| 100,000 | | | IHO Verwaltungs GmbH(f)(g) | | 3.75% (4.50%) | | 09/15/2026 | | | | 81,077 | |
| 100,000 | | | Nidda BondCo GmbH(f) | | 7.25% | | 09/30/2025 | | | | 86,668 | |
| 100,000 | | | Renk AG/Frankfurt am Main(f) | | 5.75% | | 07/15/2025 | | | | 90,023 | |
| 100,000 | | | Schenck Process Holding GmbH/Darmstadt(f) | | 5.38% | | 06/15/2023 | | | | 95,767 | |
| | | | | | | | | | | | 516,125 | |
Great Britain - 1.04% |
| 100,000 | | | eG Global Finance PLC(f) | | 6.25% | | 10/30/2025 | | | | 85,369 | |
| 100,000 | | | INEOS Finance PLC(f) | | 2.88% | | 05/01/2026 | | | | 82,353 | |
| 85,000 | | | Rolls-Royce PLC(e) | | 5.75% | | 10/15/2027 | | | | 74,023 | |
| 100,000 | | | Thames Water Kemble Finance PLC(f) | | 4.63% | | 05/19/2026 | | | | 93,214 | |
| 120,000 | | | Vmed O2 UK Financing I PLC(e) | | 4.75% | | 07/15/2031 | | | | 92,873 | |
| 100,000 | | | Vodafone Group PLC(d) | | 3.00% - 5Y EUR SWAP | | 08/27/2080 | | | | 72,854 | |
| | | | | | | | | | | | 500,686 | |
Hong Kong - 0.24% |
| 150,000 | | | Seaspan Corp.(e) | | 5.50% | | 08/01/2029 | | | | 115,869 | |
| | | | | | | | | | | | | |
Ireland - 0.35% |
| 100,000 | | | eircom Finance DAC | | 3.50% | | 05/15/2026 | | | | 86,803 | |
| 100,000 | | | Virgin Media Vendor Financing Notes III DAC(e) | | 4.88% | | 07/15/2028 | | | | 83,691 | |
| | | | | | | | | | | | 170,494 | |
Italy - 1.09% |
| | | | | | 3M EUR L + | | | | | | | |
| 100,000 | | | Cedacri Mergeco SPA(d)(e) | | 4.625% | | 05/15/2028 | | | | 91,402 | |
| 100,000 | | | Centurion Bidco SpA(f) | | 5.88% | | 09/30/2026 | | | | 86,302 | |
| 100,000 | | | Guala Closures SpA(f) | | 3.25% | | 06/15/2028 | | | | 77,980 | |
| 100,000 | | | Mooney Group SpA(d)(f) | | 3M EUR L + 3.875% | | 12/17/2026 | | | | 92,882 | |
| 100,000 | | | TeamSystem SpA(e) | | 3.50% | | 02/15/2028 | | | | 81,318 | |
| 100,000 | | | Telecom Italia SpA | | 4.00% | | 04/11/2024 | | | | 94,963 | |
| | | | | | | | | | | | 524,847 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 87 |
RiverNorth/Oaktree High Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | Maturity | | | Value | |
Jersey - 0.20% | | | | | | | | | |
$ | 100,000 | | | AA Bond Co., Ltd.(f) | | 6.50% | | 01/31/2026 | | | $ | 94,348 | |
| | | | | | | | | | | | | |
Luxembourg - 1.78% |
| 55,000 | | | Altice Financing SA(e) | | 5.75% | | 08/15/2029 | | | | 42,218 | |
| 100,000 | | | Altice Financing SA(e) | | 4.25% | | 08/15/2029 | | | | 76,215 | |
| 100,000 | | | Altice France Holding SA(e) | | 4.00% | | 02/15/2028 | | | | 60,885 | |
| 100,000 | | | Dana Financing Luxembourg Sarl(e) | | 3.00% | | 07/15/2029 | | | | 71,094 | |
| 110,000 | | | EverArc Escrow Sarl(e) | | 5.00% | | 10/30/2029 | | | | 89,023 | |
| 100,000 | | | Hanesbrands Finance Luxembourg SCA(f) | | 3.50% | | 06/15/2024 | | | | 91,139 | |
| 70,000 | | | Intelsat Jackson Holdings SA(e) | | 6.50% | | 03/15/2030 | | | | 59,689 | |
| 55,000 | | | ION Trading Technologies Sarl(e) | | 5.75% | | 05/15/2028 | | | | 44,925 | |
| 100,000 | | | Matterhorn Telecom SA(f) | | 4.00% | | 11/15/2027 | | | | 86,146 | |
| 100,000 | | | Summer BC Holdco B SARL(f) | | 5.75% | | 10/31/2026 | | | | 83,804 | |
| 85,000 | | | Telecom Italia Capital SA | | 6.38% | | 11/15/2033 | | | | 66,279 | |
| 100,000 | | | Telenet Finance Luxembourg Notes SARL(f) | | 3.50% | | 03/01/2028 | | | | 82,319 | |
| | | | | | | | | | | | 853,736 | |
Netherlands - 1.52% |
| 115,000 | | | Energizer Gamma Acquisition BV(e) | | 3.50% | | 06/30/2029 | | | | 81,064 | |
| 100,000 | | | Intertrust Group BV(f) | | 3.38% | | 11/15/2025 | | | | 95,919 | |
| 125,000 | | | TMNL Holding BV(e) | | 3.75% | | 01/15/2029 | | | | 98,307 | |
| 100,000 | | | Trivium Packaging Finance BV(e) | | 3.75% | | 08/15/2026 | | | | 88,572 | |
| 200,000 | | | UPC Holding BV(e) | | 5.50% | | 01/15/2028 | | | | 168,244 | |
| 45,000 | | | Ziggo Bond Co. BV(e) | | 5.13% | | 02/28/2030 | | | | 32,260 | |
| 100,000 | | | Ziggo Bond Co. BV(f) | | 3.38% | | 02/28/2030 | | | | 68,274 | |
| 145,000 | | | Ziggo Bond Co. BV(e) | | 3.38% | | 02/28/2030 | | | | 98,998 | |
| | | | | | | | | | | | 731,638 | |
Spain - 0.50% |
| 100,000 | | | Grifols Escrow Issuer SA(e) | | 3.88% | | 10/15/2028 | | | | 72,772 | |
| 100,000 | | | Kaixo Bondco Telecom SA(e) | | 5.13% | | 09/30/2029 | | | | 77,218 | |
| 105,000 | | | Lorca Telecom Bondco SA(e) | | 4.00% | | 09/18/2027 | | | | 89,827 | |
| | | | | | | | | | | | 239,817 | |
Sweden - 0.41% |
| 100,000 | | | Samhallsbyggnadsbolaget i Norden AB(c)(d) | | 3.223% - 5Y EUR SWAP | | 12/31/2049 | | | | 41,338 | |
| 100,000 | | | Verisure Holding AB(f) | | 3.88% | | 07/15/2026 | | | | 84,567 | |
| 100,000 | | | Verisure Midholding AB(f) | | 5.25% | | 02/15/2029 | | | | 72,523 | |
| | | | | | | | | | | | 198,428 | |
United States - 35.45% |
| 40,000 | | | Academy, Ltd.(e) | | 6.00% | | 11/15/2027 | | | | 36,358 | |
| 135,000 | | | Acadia Healthcare Co., Inc.(e) | | 5.50% | | 07/01/2028 | | | | 123,363 | |
| 10,000 | | | Acadia Healthcare Co., Inc.(e) | | 5.00% | | 04/15/2029 | | | | 8,875 | |
| 95,000 | | | ACCO Brands Corp.(e) | | 4.25% | | 03/15/2029 | | | | 71,613 | |
See Notes to Financial Statements.
88 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/Oaktree High Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | Maturity | | | Value | |
$ | 70,000 | | | Acuris Finance US, Inc. / Acuris Finance SARL(e) | | 5.00% | | 05/01/2028 | | | $ | 58,741 | |
| 55,000 | | | ADT Security Corp.(e) | | 4.13% | | 08/01/2029 | | | | 45,767 | |
| 65,000 | | | Affinity Gaming(e) | | 6.88% | | 12/15/2027 | | | | 53,114 | |
| 70,000 | | | Ahead DB Holdings LLC(e) | | 6.63% | | 05/01/2028 | | | | 59,804 | |
| 170,000 | | | Albertsons Cos. Inc / Safeway, Inc. / New Albertsons LP / Albertsons LLC(e) | | 5.88% | | 02/15/2028 | | | | 157,179 | |
| 150,000 | | | Allied Universal Holdco LLC / Allied Universal Finance Corp.(e) | | 6.63% | | 07/15/2026 | | | | 133,960 | |
| 60,000 | | | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl(e) | | 4.63% | | 06/01/2028 | | | | 46,324 | |
| 125,000 | | | AMC Networks, Inc. | | 4.25% | | 02/15/2029 | | | | 92,708 | |
| 60,000 | | | American Airlines, Inc.(e) | | 11.75% | | 07/15/2025 | | | | 62,755 | |
| 95,000 | | | American Axle & Manufacturing, Inc. | | 5.00% | | 10/01/2029 | | | | 72,079 | |
| 95,000 | | | APX Group, Inc.(e) | | 6.75% | | 02/15/2027 | | | | 88,865 | |
| 65,000 | | | APX Group, Inc.(e) | | 5.75% | | 07/15/2029 | | | | 51,528 | |
| 10,000 | | | Aramark Services, Inc.(e) | | 6.38% | | 05/01/2025 | | | | 9,815 | |
| 115,000 | | | Aramark Services, Inc.(e) | | 5.00% | | 02/01/2028 | | | | 102,672 | |
| 45,000 | | | Archrock Partners LP / Archrock Partners Finance Corp.(e) | | 6.88% | | 04/01/2027 | | | | 40,383 | |
| 125,000 | | | Archrock Partners LP / Archrock Partners Finance Corp.(e) | | 6.25% | | 04/01/2028 | | | | 110,130 | |
| 105,000 | | | Arconic Corp.(e) | | 6.13% | | 02/15/2028 | | | | 92,984 | |
| 75,000 | | | Ascent Resources Utica Holdings LLC / ARU Finance Corp.(e) | | 7.00% | | 11/01/2026 | | | | 72,388 | |
| 110,000 | | | ASP Unifrax Holdings, Inc.(e) | | 5.25% | | 09/30/2028 | | | | 84,727 | |
| 150,000 | | | AssuredPartners, Inc.(e) | | 5.63% | | 01/15/2029 | | | | 116,773 | |
| 75,000 | | | AthenaHealth Group, Inc.(e) | | 6.50% | | 02/15/2030 | | | | 59,434 | |
| 100,000 | | | Avantor Funding, Inc.(f) | | 3.88% | | 07/15/2028 | | | | 84,998 | |
| 85,000 | | | Avient Corp.(e) | | 7.13% | | 08/01/2030 | | | | 78,643 | |
| 200,000 | | | Bausch Health Cos., Inc.(e) | | 6.13% | | 02/01/2027 | | | | 138,960 | |
| 65,000 | | | Bausch Health Cos., Inc.(e) | | 4.88% | | 06/01/2028 | | | | 42,015 | |
| 145,000 | | | BellRing Brands, Inc.(e) | | 7.00% | | 03/15/2030 | | | | 132,943 | |
| 60,000 | | | Big River Steel LLC / BRS Finance Corp.(e) | | 6.63% | | 01/31/2029 | | | | 55,361 | |
| 45,000 | | | Buckeye Partners LP(e) | | 4.50% | | 03/01/2028 | | | | 38,355 | |
| 85,000 | | | Cablevision Lightpath LLC(e) | | 5.63% | | 09/15/2028 | | | | 68,107 | |
| 125,000 | | | Caesars Entertainment, Inc.(e) | | 6.25% | | 07/01/2025 | | | | 120,677 | |
| 70,000 | | | Callon Petroleum Co.(e) | | 7.50% | | 06/15/2030 | | | | 61,421 | |
| 160,000 | | | Calpine Corp.(e) | | 5.13% | | 03/15/2028 | | | | 137,751 | |
| 100,000 | | | Carnival Corp.(f) | | 10.13% | | 02/01/2026 | | | | 97,196 | |
| 175,000 | | | Carnival Corp.(e) | | 5.75% | | 03/01/2027 | | | | 122,986 | |
| 30,000 | | | Carnival Corp.(e) | | 10.50% | | 06/01/2030 | | | | 24,052 | |
| 50,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp.(e) | | 5.50% | | 05/01/2026 | | | | 47,448 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 89 |
RiverNorth/Oaktree High Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | Maturity | | | Value | |
$ | 25,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp.(e) | | 5.00% | | 02/01/2028 | | | $ | 21,599 | |
| 15,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp.(e) | | 5.38% | | 06/01/2029 | | | | 13,162 | |
| 175,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp.(e) | | 6.38% | | 09/01/2029 | | | | 160,990 | |
| 120,000 | | | CCO Holdings LLC / CCO Holdings Capital Corp.(e) | | 4.75% | | 03/01/2030 | | | | 97,645 | |
| 55,000 | | | CDI Escrow Issuer, Inc.(e) | | 5.75% | | 04/01/2030 | | | | 48,120 | |
| 130,000 | | | Cedar Fair LP | | 5.25% | | 07/15/2029 | | | | 111,797 | |
| 65,000 | | | Central Garden & Pet Co. | | 5.13% | | 02/01/2028 | | | | 59,010 | |
| 50,000 | | | Cheever Escrow Issuer LLC(e) | | 7.13% | | 10/01/2027 | | | | 44,814 | |
| 5,000 | | | Cheniere Energy Partners LP | | 3.25% | | 01/31/2032 | | | | 3,849 | |
| 90,000 | | | Cheniere Energy, Inc. | | 4.63% | | 10/15/2028 | | | | 82,772 | |
| 15,000 | | | CHS/Community Health Systems, Inc.(e) | | 8.00% | | 03/15/2026 | | | | 13,012 | |
| 60,000 | | | CHS/Community Health Systems, Inc.(e) | | 5.63% | | 03/15/2027 | | | | 46,273 | |
| 160,000 | | | CHS/Community Health Systems, Inc.(e) | | 6.00% | | 01/15/2029 | | | | 117,959 | |
| 15,000 | | | CHS/Community Health Systems, Inc.(e) | | 4.75% | | 02/15/2031 | | | | 10,108 | |
| 65,000 | | | Churchill Downs, Inc.(e) | | 5.50% | | 04/01/2027 | | | | 60,217 | |
| 10,000 | | | Churchill Downs, Inc.(e) | | 4.75% | | 01/15/2028 | | | | 8,667 | |
| 205,000 | | | CITGO Petroleum Corp.(e) | | 7.00% | | 06/15/2025 | | | | 196,214 | |
| 35,000 | | | CITGO Petroleum Corp.(e) | | 6.38% | | 06/15/2026 | | | | 32,753 | |
| 65,000 | | | Cleveland-Cliffs, Inc.(e) | | 6.75% | | 03/15/2026 | | | | 64,017 | |
| 100,000 | | | Clydesdale Acquisition Holdings, Inc.(e) | | 6.63% | | 04/15/2029 | | | | 91,201 | |
| 70,000 | | | Cogent Communications Group, Inc.(e) | | 7.00% | | 06/15/2027 | | | | 65,919 | |
| 75,000 | | | Colgate Energy Partners III LLC(e) | | 7.75% | | 02/15/2026 | | | | 73,786 | |
| 35,000 | | | Colgate Energy Partners III LLC(e) | | 5.88% | | 07/01/2029 | | | | 31,322 | |
| 30,000 | | | CommScope, Inc.(e) | | 6.00% | | 03/01/2026 | | | | 27,669 | |
| 155,000 | | | CommScope, Inc.(e) | | 8.25% | | 03/01/2027 | | | | 128,298 | |
| 25,000 | | | CommScope, Inc.(e) | | 7.13% | | 07/01/2028 | | | | 19,353 | |
| 30,000 | | | CommScope, Inc.(e) | | 4.75% | | 09/01/2029 | | | | 24,526 | |
| 145,000 | | | Compass Group Diversified Holdings LLC(e) | | 5.25% | | 04/16/2029 | | | | 113,987 | |
| 85,000 | | | Comstock Resources, Inc.(e) | | 6.75% | | 03/01/2029 | | | | 78,599 | |
| 25,000 | | | Comstock Resources, Inc.(e) | | 5.88% | | 01/15/2030 | | | | 21,833 | |
| 55,000 | | | Consensus Cloud Solutions, Inc.(e) | | 6.50% | | 10/15/2028 | | | | 46,791 | |
| 70,000 | | | Consolidated Communications, Inc.(e) | | 5.00% | | 10/01/2028 | | | | 48,815 | |
| 60,000 | | | Coty, Inc.(e) | | 6.50% | | 04/15/2026 | | | | 55,360 | |
| 130,000 | | | Coty, Inc.(e) | | 5.00% | | 04/15/2026 | | | | 118,516 | |
| 115,000 | | | Crocs, Inc.(e) | | 4.25% | | 03/15/2029 | | | | 91,653 | |
| 87,000 | | | CrownRock LP / CrownRock Finance, Inc.(e) | | 5.63% | | 10/15/2025 | | | | 83,427 | |
| 35,000 | | | CrownRock LP / CrownRock Finance, Inc.(e) | | 5.00% | | 05/01/2029 | | | | 30,970 | |
| 115,000 | | | CSC Holdings LLC(e) | | 5.75% | | 01/15/2030 | | | | 81,949 | |
| 85,000 | | | CSC Holdings LLC(e) | | 4.13% | | 12/01/2030 | | | | 63,646 | |
| 10,000 | | | CSC Holdings LLC(e) | | 4.50% | | 11/15/2031 | | | | 7,528 | |
See Notes to Financial Statements.
90 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/Oaktree High Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | Maturity | | | Value | |
$ | 25,000 | | | CSC Holdings LLC(e) | | 5.00% | | 11/15/2031 | | | $ | 16,560 | |
| 100,000 | | | CVR Energy, Inc.(e) | | 5.25% | | 02/15/2025 | | | | 90,199 | |
| 30,000 | | | CVR Energy, Inc.(e) | | 5.75% | | 02/15/2028 | | | | 25,694 | |
| 20,000 | | | Dana, Inc. | | 5.38% | | 11/15/2027 | | | | 16,992 | |
| 30,000 | | | Dana, Inc. | | 5.63% | | 06/15/2028 | | | | 24,816 | |
| 130,000 | | | DaVita, Inc.(e) | | 4.63% | | 06/01/2030 | | | | 100,907 | |
| 30,000 | | | DCP Midstream Operating LP(e) | | 6.45% | | 11/03/2036 | | | | 27,473 | |
| 20,000 | | | DCP Midstream Operating LP | | 5.60% | | 04/01/2044 | | | | 18,032 | |
| 145,000 | | | Directv Financing LLC / Directv Financing Co.-Obligor, Inc.(e) | | 5.88% | | 08/15/2027 | | | | 125,334 | |
| 35,000 | | | DISH DBS Corp. | | 7.75% | | 07/01/2026 | | | | 26,899 | |
| 85,000 | | | DISH DBS Corp.(e) | | 5.25% | | 12/01/2026 | | | | 69,795 | |
| 30,000 | | | DISH DBS Corp.(e) | | 5.75% | | 12/01/2028 | | | | 22,728 | |
| 55,000 | | | DISH DBS Corp. | | 5.13% | | 06/01/2029 | | | | 32,401 | |
| 150,000 | | �� | Edgewell Personal Care Co.(e) | | 5.50% | | 06/01/2028 | | | | 134,322 | |
| 65,000 | | | Elastic NV(e) | | 4.13% | | 07/15/2029 | | | | 51,426 | |
| 75,000 | | | EnLink Midstream LLC(e) | | 5.63% | | 01/15/2028 | | | | 70,242 | |
| 60,000 | | | EnLink Midstream Partners LP | | 5.05% | | 04/01/2045 | | | | 42,175 | |
| 40,000 | | | EQM Midstream Partners LP(e) | | 7.50% | | 06/01/2027 | | | | 38,191 | |
| 15,000 | | | EQM Midstream Partners LP(e) | | 4.50% | | 01/15/2029 | | | | 12,110 | |
| 40,000 | | | EQM Midstream Partners LP(e) | | 4.75% | | 01/15/2031 | | | | 31,844 | |
| 90,000 | | | Everi Holdings, Inc.(e) | | 5.00% | | 07/15/2029 | | | | 73,963 | |
| 50,000 | | | Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc.(e) | | 4.63% | | 01/15/2029 | | | | 41,455 | |
| 50,000 | | | Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc.(e) | | 6.75% | | 01/15/2030 | | | | 38,094 | |
| 10,000 | | | FirstCash, Inc.(e) | | 4.63% | | 09/01/2028 | | | | 8,394 | |
| 90,000 | | | FirstCash, Inc.(e) | | 5.63% | | 01/01/2030 | | | | 77,091 | |
| 25,000 | | | Ford Motor Credit Co. LLC | | 2.30% | | 02/10/2025 | | | | 22,185 | |
| 15,000 | | | Ford Motor Credit Co. LLC | | 2.90% | | 02/16/2028 | | | | 11,811 | |
| 5,000 | | | Ford Motor Credit Co. LLC | | 5.11% | | 05/03/2029 | | | | 4,350 | |
| 285,000 | | | Ford Motor Credit Co. LLC | | 4.00% | | 11/13/2030 | | | | 222,936 | |
| 30,000 | | | Frontier Communications Holdings LLC(e) | | 5.88% | | 10/15/2027 | | | | 26,955 | |
| 195,000 | | | Frontier Communications Holdings LLC(e) | | 5.00% | | 05/01/2028 | | | | 167,675 | |
| 35,000 | | | Frontier Communications Holdings LLC(e) | | 6.75% | | 05/01/2029 | | | | 28,955 | |
| 45,000 | | | Garden Spinco Corp.(e) | | 8.63% | | 07/20/2030 | | | | 46,589 | |
| 35,000 | | | Go Daddy Operating Co. LLC / GD Finance Co, Inc.(e) | | 5.25% | | 12/01/2027 | | | | 32,287 | |
| 55,000 | | | Goodyear Tire & Rubber Co. | | 9.50% | | 05/31/2025 | | | | 57,153 | |
| 160,000 | | | Gray Television, Inc.(e) | | 4.75% | | 10/15/2030 | | | | 120,147 | |
| 150,000 | | | Greystar Real Estate Partners LLC(e) | | 5.75% | | 12/01/2025 | | | | 140,970 | |
| 170,000 | | | HAT Holdings I LLC / HAT Holdings II LLC(e) | | 3.38% | | 06/15/2026 | | | | 136,635 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 91 |
RiverNorth/Oaktree High Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | Maturity | | | Value | |
$ | 130,000 | | | Hawaiian Brand Intellectual Property, Ltd. / HawaiianMiles Loyalty, Ltd.(e) | | 5.75% | | 01/20/2026 | | | $ | 114,854 | |
| 100,000 | | | Herc Holdings, Inc.(e) | | 5.50% | | 07/15/2027 | | | | 90,201 | |
| 105,000 | | | Hertz Corp.(e) | | 4.63% | | 12/01/2026 | | | | 85,416 | |
| 75,000 | | | Hess Midstream Operations LP(e) | | 5.63% | | 02/15/2026 | | | | 71,294 | |
| 5,000 | | | Hess Midstream Operations LP(e) | | 5.13% | | 06/15/2028 | | | | 4,385 | |
| 50,000 | | | Hess Midstream Operations LP(e) | | 4.25% | | 02/15/2030 | | | | 40,482 | |
| 155,000 | | | Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc(e) | | 5.00% | | 06/01/2029 | | | | 125,329 | |
| 40,000 | | | Holly Energy Partners LP / Holly Energy Finance Corp.(e) | | 6.38% | | 04/15/2027 | | | | 38,257 | |
| 55,000 | | | HUB International, Ltd.(e) | | 7.00% | | 05/01/2026 | | | | 52,250 | |
| 45,000 | | | HUB International, Ltd.(e) | | 5.63% | | 12/01/2029 | | | | 37,664 | |
| 165,000 | | | Hunt Companies, Inc.(e) | | 5.25% | | 04/15/2029 | | | | 126,548 | |
| 40,000 | | | IAA, Inc.(e) | | 5.50% | | 06/15/2027 | | | | 36,551 | |
| 10,000 | | | iHeartCommunications, Inc. | | 8.38% | | 05/01/2027 | | | | 8,431 | |
| 110,000 | | | iHeartCommunications, Inc.(e) | | 5.25% | | 08/15/2027 | | | | 94,190 | |
| 30,000 | | | Imola Merger Corp.(e) | | 4.75% | | 05/15/2029 | | | | 25,381 | |
| 100,000 | | | International Game Technology PLC | | 3.50% | | 06/15/2026 | | | | 87,586 | |
| 180,000 | | | Iron Mountain, Inc.(e) | | 5.25% | | 03/15/2028 | | | | 158,142 | |
| 15,000 | | | Iron Mountain, Inc.(e) | | 5.00% | | 07/15/2028 | | | | 12,931 | |
| 55,000 | | | Iron Mountain, Inc.(e) | | 5.25% | | 07/15/2030 | | | | 45,631 | |
| 95,000 | | | JB Poindexter & Co., Inc.(e) | | 7.13% | | 04/15/2026 | | | | 87,975 | |
| 155,000 | | | Kennedy-Wilson, Inc. | | 4.75% | | 03/01/2029 | | | | 118,653 | |
| 55,000 | | | Kinetik Holdings LP(e) | | 5.88% | | 06/15/2030 | | | | 50,477 | |
| 2,000 | | | Kraft Heinz Foods Co. | | 6.88% | | 01/26/2039 | | | | 2,065 | |
| 90,000 | | | LABL, Inc.(e) | | 5.88% | | 11/01/2028 | | | | 73,060 | |
| 45,000 | | | Laredo Petroleum, Inc. | | 9.50% | | 01/15/2025 | | | | 44,672 | |
| 70,000 | | | LD Holdings Group LLC(e) | | 6.50% | | 11/01/2025 | | | | 42,096 | |
| 120,000 | | | Legends Hospitality Holding Co. LLC / Legends Hospitality Co-Issuer, Inc.(e) | | 5.00% | | 02/01/2026 | | | | 103,380 | |
| 20,000 | | | Level 3 Financing, Inc.(e) | | 4.63% | | 09/15/2027 | | | | 16,601 | |
| 75,000 | | | LFS Topco LLC(e) | | 5.88% | | 10/15/2026 | | | | 59,768 | |
| 130,000 | | | Live Nation Entertainment, Inc.(e) | | 4.75% | | 10/15/2027 | | | | 113,130 | |
| 165,000 | | | Lumen Technologies, Inc.(e) | | 5.13% | | 12/15/2026 | | | | 142,216 | |
| 5,000 | | | Lumen Technologies, Inc.(e) | | 4.50% | | 01/15/2029 | | | | 3,520 | |
| 28,000 | | | Marriott Ownership Resorts, Inc.(e) | | 6.13% | | 09/15/2025 | | | | 27,416 | |
| 145,000 | | | Marriott Ownership Resorts, Inc.(e) | | 4.50% | | 06/15/2029 | | | | 114,786 | |
| 100,000 | | | Mauser Packaging Solutions Holding Co.(f) | | 4.75% | | 04/15/2024 | | | | 91,902 | |
| 95,000 | | | Maxar Technologies, Inc.(e) | | 7.75% | | 06/15/2027 | | | | 89,465 | |
| 110,000 | | | Medline Borrower LP(e) | | 5.25% | | 10/01/2029 | | | | 83,262 | |
| 60,000 | | | Mercer International, Inc. | | 5.50% | | 01/15/2026 | | | | 55,581 | |
| 34,000 | | | MGIC Investment Corp. | | 5.25% | | 08/15/2028 | | | | 30,445 | |
| 80,000 | | | Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp.(e) | | 4.88% | | 05/01/2029 | | | | 66,024 | |
See Notes to Financial Statements.
92 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/Oaktree High Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | Maturity | | | Value | |
$ | 60,000 | | | ModivCare Escrow Issuer, Inc.(e) | | 5.00% | | 10/01/2029 | | | $ | 48,869 | |
| 100,000 | | | MPH Acquisition Holdings LLC(e) | | 5.50% | | 09/01/2028 | | | | 82,688 | |
| 105,000 | | | Nabors Industries, Ltd.(e) | | 7.25% | | 01/15/2026 | | | | 91,566 | |
| 30,000 | | | Nabors Industries, Ltd.(e) | | 7.50% | | 01/15/2028 | | | | 24,547 | |
| 65,000 | | | Nationstar Mortgage Holdings, Inc.(e) | | 6.00% | | 01/15/2027 | | | | 55,565 | |
| 25,000 | | | Nationstar Mortgage Holdings, Inc.(e) | | 5.50% | | 08/15/2028 | | | | 19,664 | |
| 35,000 | | | Nationstar Mortgage Holdings, Inc.(e) | | 5.75% | | 11/15/2031 | | | | 25,732 | |
| 35,000 | | | NCR Corp.(e) | | 5.75% | | 09/01/2027 | | | | 31,797 | |
| 115,000 | | | NCR Corp.(e) | | 5.13% | | 04/15/2029 | | | | 86,485 | |
| 70,000 | | | NCR Corp.(e) | | 6.13% | | 09/01/2029 | | | | 60,389 | |
| 100,000 | | | Necessity Retail REIT, Inc. / American Finance Operating Partner LP(e) | | 4.50% | | 09/30/2028 | | | | 74,745 | |
| 35,000 | | | New Enterprise Stone & Lime Co., Inc.(e) | | 9.75% | | 07/15/2028 | | | | 29,589 | |
| 115,000 | | | New Enterprise Stone & Lime Co., Inc.(e) | | 5.25% | | 07/15/2028 | | | | 95,282 | |
| 55,000 | | | Newell Brands, Inc. | | 6.38% | | 09/15/2027 | | | | 54,596 | |
| 50,000 | | | Newell Brands, Inc. | | 6.63% | | 09/15/2029 | | | | 49,006 | |
| 130,000 | | | NFP Corp.(e) | | 6.88% | | 08/15/2028 | | | | 101,615 | |
| 65,000 | | | NFP Corp.(e) | | 4.88% | | 08/15/2028 | | | | 55,552 | |
| 80,000 | | | NortonLifeLock, Inc.(e) | | 6.75% | | 09/30/2027 | | | | 76,953 | |
| 5,000 | | | NuStar Logistics LP | | 6.00% | | 06/01/2026 | | | | 4,587 | |
| 55,000 | | | NuStar Logistics LP | | 6.38% | | 10/01/2030 | | | | 47,183 | |
| 40,000 | | | Oceaneering International, Inc. | | 4.65% | | 11/15/2024 | | | | 36,532 | |
| 20,000 | | | Oceaneering International, Inc. | | 6.00% | | 02/01/2028 | | | | 15,892 | |
| 75,000 | | | Olympus Water US Holding Corp.(e) | | 4.25% | | 10/01/2028 | | | | 57,773 | |
| 55,000 | | | Olympus Water US Holding Corp.(e) | | 6.25% | | 10/01/2029 | | | | 37,783 | |
| 160,000 | | | OneMain Finance Corp. | | 7.13% | | 03/15/2026 | | | | 144,473 | |
| 10,000 | | | Open Text Holdings, Inc.(e) | | 4.13% | | 02/15/2030 | | | | 8,003 | |
| 150,000 | | | Organon & Co. / Organon Foreign Debt Co-Issuer BV(e) | | 5.13% | | 04/30/2031 | | | | 123,125 | |
| 70,000 | | | Outfront Media Capital LLC / Outfront Media Capital Corp.(e) | | 6.25% | | 06/15/2025 | | | | 68,473 | |
| 20,000 | | | Outfront Media Capital LLC / Outfront Media Capital Corp.(e) | | 5.00% | | 08/15/2027 | | | | 17,496 | |
| 25,000 | | | Owens & Minor, Inc.(e) | | 4.50% | | 03/31/2029 | | | | 19,658 | |
| 75,000 | | | Owens & Minor, Inc.(e) | | 6.63% | | 04/01/2030 | | | | 66,188 | |
| 105,000 | | | Pactiv Evergreen Group Issuer LLC / Pactiv Evergreen Group Issuer, Inc.(e) | | 4.38% | | 10/15/2028 | | | | 87,026 | |
| 80,000 | | | Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co.-Issuer(e) | | 5.88% | | 10/01/2028 | | | | 68,641 | |
| 150,000 | | | Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co.-Issuer(e) | | 4.88% | | 05/15/2029 | | | | 121,734 | |
| 65,000 | | | PDC Energy, Inc. | | 5.75% | | 05/15/2026 | | | | 60,221 | |
| 170,000 | | | Pediatrix Medical Group, Inc.(e) | | 5.38% | | 02/15/2030 | | | | 141,117 | |
| 50,000 | | | PennyMac Financial Services, Inc.(e) | | 5.38% | | 10/15/2025 | | | | 42,812 | |
| 75,000 | | | Performance Food Group, Inc.(e) | | 5.50% | | 10/15/2027 | | | | 68,340 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 93 |
RiverNorth/Oaktree High Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | Maturity | | | Value | |
$ | 190,000 | | | Picard Midco, Inc.(e) | | 6.50% | | 03/31/2029 | | | $ | 160,780 | |
| 135,000 | | | Pike Corp.(e) | | 5.50% | | 09/01/2028 | | | | 109,523 | |
| 225,000 | | | Post Holdings, Inc.(e) | | 5.50% | | 12/15/2029 | | | | 194,855 | |
| 180,000 | | | Prime Security Services Borrower LLC / Prime Finance, Inc.(e) | | 6.25% | | 01/15/2028 | | | | 153,898 | |
| 110,000 | | | Primo Water Holdings, Inc.(f) | | 3.88% | | 10/31/2028 | | | | 87,529 | |
| 45,000 | | | QVC, Inc. | | 4.75% | | 02/15/2027 | | | | 33,835 | |
| 50,000 | | | QVC, Inc. | | 4.38% | | 09/01/2028 | | | | 34,003 | |
| 80,000 | | | Railworks Holdings LP / Railworks Rally, Inc.(e) | | 8.25% | | 11/15/2028 | | | | 74,753 | |
| 110,000 | | | Realogy Group LLC / Realogy Co.-Issuer Corp.(e) | | 5.25% | | 04/15/2030 | | | | 74,887 | |
| 40,000 | | | RLJ Lodging Trust LP(e) | | 4.00% | | 09/15/2029 | | | | 31,423 | |
| 70,000 | | | Rockcliff Energy II LLC(e) | | 5.50% | | 10/15/2029 | | | | 61,450 | |
| 20,000 | | | Royal Caribbean Cruises, Ltd.(e) | | 5.38% | | 07/15/2027 | | | | 14,740 | |
| 95,000 | | | Royal Caribbean Cruises, Ltd.(e) | | 5.50% | | 04/01/2028 | | | | 66,768 | |
| 40,000 | | | Royal Caribbean Cruises, Ltd.(e) | | 9.25% | | 01/15/2029 | | | | 39,475 | |
| 40,000 | | | Royal Caribbean Cruises, Ltd.(e) | | 8.25% | | 01/15/2029 | | | | 39,001 | |
| 50,000 | | | Sabre GLBL, Inc.(e) | | 7.38% | | 09/01/2025 | | | | 44,849 | |
| 100,000 | | | SCIL IV LLC / SCIL USA Holdings LLC(e) | | 5.38% | | 11/01/2026 | | | | 77,376 | |
| 85,000 | | | Scotts Miracle-Gro Co. | | 4.00% | | 04/01/2031 | | | | 60,027 | |
| 100,000 | | | SeaWorld Parks & Entertainment, Inc.(e) | | 5.25% | | 08/15/2029 | | | | 83,270 | |
| 35,000 | | | SEG Holding LLC / SEG Finance Corp.(e) | | 5.63% | | 10/15/2028 | | | | 32,295 | |
| 80,000 | | | Six Flags Entertainment Corp.(e) | | 5.50% | | 04/15/2027 | | | | 70,400 | |
| 15,000 | | | Six Flags Theme Parks, Inc.(e) | | 7.00% | | 07/01/2025 | | | | 15,016 | |
| 110,000 | | | Spirit AeroSystems, Inc.(e) | | 7.50% | | 04/15/2025 | | | | 103,798 | |
| 30,000 | | | Spirit AeroSystems, Inc. | | 3.85% | | 06/15/2026 | | | | 26,452 | |
| 40,000 | | | Standard Industries, Inc.(e) | | 5.00% | | 02/15/2027 | | | | 35,491 | |
| 85,000 | | | Standard Industries, Inc.(e) | | 4.75% | | 01/15/2028 | | | | 72,016 | |
| 40,000 | | | Suburban Propane Partners LP/Suburban Energy Finance Corp. | | 5.88% | | 03/01/2027 | | | | 37,952 | |
| 180,000 | | | Tenet Healthcare Corp.(e) | | 6.25% | | 02/01/2027 | | | | 168,387 | |
| 15,000 | | | Tenet Healthcare Corp.(e) | | 5.13% | | 11/01/2027 | | | | 13,491 | |
| 20,000 | | | Tenet Healthcare Corp.(e) | | 6.13% | | 10/01/2028 | | | | 17,554 | |
| 90,000 | | | Tenet Healthcare Corp.(e) | | 6.13% | | 06/15/2030 | | | | 82,676 | |
| 135,000 | | | TMS International Corp.(e) | | 6.25% | | 04/15/2029 | | | | 96,093 | |
| 105,000 | | | TransDigm, Inc.(e) | | 8.00% | | 12/15/2025 | | | | 106,653 | |
| 70,000 | | | TransDigm, Inc.(e) | | 6.25% | | 03/15/2026 | | | | 68,018 | |
| 80,000 | | | TransDigm, Inc. | | 6.38% | | 06/15/2026 | | | | 75,677 | |
| 55,000 | | | TransDigm, Inc. | | 5.50% | | 11/15/2027 | | | | 47,958 | |
| 70,000 | | | TransDigm, Inc. | | 4.63% | | 01/15/2029 | | | | 56,526 | |
| 60,000 | | | Twitter, Inc.(e) | | 5.00% | | 03/01/2030 | | | | 57,624 | |
| 80,000 | | | Uber Technologies, Inc.(e) | | 7.50% | | 05/15/2025 | | | | 79,917 | |
| 70,000 | | | Uber Technologies, Inc.(e) | | 7.50% | | 09/15/2027 | | | | 68,707 | |
| 20,000 | | | Uber Technologies, Inc.(e) | | 6.25% | | 01/15/2028 | | | | 18,627 | |
| 55,000 | | | Univar Solutions USA, Inc./Washington(e) | | 5.13% | | 12/01/2027 | | | | 49,064 | |
See Notes to Financial Statements.
94 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/Oaktree High Income Fund | Schedule of Investments |
September 30, 2022
Principal Amount/Description | | Rate | | Maturity | | | Value | |
$ | 115,000 | | | Univision Communications, Inc.(e) | | 6.63% | | 06/01/2027 | | | $ | 108,784 | |
| 45,000 | | | Univision Communications, Inc.(e) | | 7.38% | | 06/30/2030 | | | | 43,045 | |
| 40,000 | | | US Foods, Inc.(e) | | 6.25% | | 04/15/2025 | | | | 39,357 | |
| 65,000 | | | US Foods, Inc.(e) | | 4.63% | | 06/01/2030 | | | | 53,936 | |
| 60,000 | | | USA Compression Partners LP / USA Compression Finance Corp. | | 6.88% | | 04/01/2026 | | | | 55,294 | |
| 30,000 | | | USA Compression Partners LP / USA Compression Finance Corp. | | 6.88% | | 09/01/2027 | | | | 27,314 | |
| 65,000 | | | Vistra Operations Co. LLC(e) | | 5.00% | | 07/31/2027 | | | | 58,857 | |
| 115,000 | | | VM Consolidated, Inc.(e) | | 5.50% | | 04/15/2029 | | | | 99,094 | |
| 175,000 | | | WASH Multifamily Acquisition, Inc.(e) | | 5.75% | | 04/15/2026 | | | | 161,545 | |
| 70,000 | | | Weekley Homes LLC / Weekley Finance Corp.(e) | | 4.88% | | 09/15/2028 | | | | 56,671 | |
| 180,000 | | | Western Midstream Operating LP | | 5.50% | | 08/15/2048 | | | | 145,945 | |
| 130,000 | | | Williams Scotsman International, Inc.(e) | | 4.63% | | 08/15/2028 | | | | 113,987 | |
| 95,000 | | | WR Grace Holdings LLC(e) | | 4.88% | | 06/15/2027 | | | | 81,784 | |
| 60,000 | | | WR Grace Holdings LLC(e) | | 5.63% | | 08/15/2029 | | | | 45,150 | |
| 155,000 | | | Xerox Holdings Corp.(e) | | 5.00% | | 08/15/2025 | | | | 139,656 | |
| 55,000 | | | Xerox Holdings Corp.(e) | | 5.50% | | 08/15/2028 | | | | 44,000 | |
| 140,000 | | | Zayo Group Holdings, Inc.(e) | | 4.00% | | 03/01/2027 | | | | 112,680 | |
| | | | | | | | | | | | 17,040,810 | |
| | | | | | | | | | | | | |
TOTAL HIGH YIELD DEBT |
(Cost $27,447,711) | | | | 23,001,874 | |
Shares/Description | | | Value | |
RIGHTS - 0.00%(b) |
| 198 | | | DBI Investors, Inc., Strike Price 0.01, Expires 12/31/2049(a) | | | – | |
| | | | | | | | |
TOTAL RIGHTS | | | | |
(Cost $11,231) | | | – | |
| | | | | | | | |
WARRANTS - 0.01%(b) |
| 4 | | | David's Bridal, Strike Price 219.47, Expires 01/18/2024(a) | | | – | |
| 11 | | | Toys R Us Propco Warrant, Strike Price 0.01, Expires 12/31/2049(a) | | | – | |
| 237 | | | Windstream Holdings Inc - Pvt Warrant, Strike Price 0.01, Expires 12/31/2049 | | | 3,614 | |
| | | | | | | | |
TOTAL WARRANTS | | | | |
(Cost $106,180) | | | 3,614 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 95 |
RiverNorth/Oaktree High Income Fund | Schedule of Investments |
September 30, 2022
Shares/Description | | Value | |
SHORT-TERM INVESTMENTS - 5.60% | | | | |
| 2,694,551 | | State Street Institutional Trust (7 Day Yield 1.03%) | | $ | 2,694,551 | |
| | | | |
TOTAL SHORT-TERM INVESTMENTS | | | | |
(Cost $2,694,551) | | | 2,694,551 | |
| | | | |
TOTAL INVESTMENTS - 98.43% | | | | |
(Cost $53,611,399) | | | 47,314,460 | |
CASH SEGREGATED AT CUSTODIAN FOR FORWARD FOREIGN CURRENCY CONTRACTS - 0.10% | | | 50,000 | |
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.47% | | | 703,486 | |
NET ASSETS - 100.00% | | $ | 48,067,946 | |
Investment Abbreviations:
EURIBOR - Euro Interbank Offered Rate
LIBOR - London Interbank Offered Rate
LLC - Limited Liability Company
LP - Limited Partnership
PLC - Public Limited Company
Libor Rates:
1M US L - 1 Month LIBOR as of September 30, 2022 was 3.14%
3M US L - 3 Month LIBOR as of September 30, 2022 was 3.75%
6M US L - 6 Month LIBOR as of September 30, 2022 was 4.23%
3M EUR L - 3 Month EURIBOR as of September 30, 2022 was 1.17%
6M EUR L - 6 Month EURIBOR as of September 30, 2022 was 1.80%
5Y EUR SWAP - 5 Year Euro ICE Swap Rate as of September 30, 2022 was 2.96%
| (a) | The Level 3 assets were a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs. |
| (b) | Non-income producing security. |
| (c) | Security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. |
| (d) | Variable rate investment. Interest rates reset periodically. Interest rate shown reflects the rate in effect at September 30, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (e) | 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 $17,789,446, which represents approximately 37.01% of net assets as of September 30, 2022. |
See Notes to Financial Statements.
96 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/Oaktree High Income Fund | Schedule of Investments |
September 30, 2022
| (f) | Securities were purchased pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. These securities have been deemed liquid under procedures approved by the Fund's Board of Trustees (The "Board"). As of September 30, 2022, the aggregate fair value of those securities was $2,332,691, representing 4.85% of net assets. |
| (g) | Pay-in-kind securities. Rate paid in-kind is shown in parenthesis. |
OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS
Counterparty | | Settlement Date | | Fund Receiving | | U.S. $ Value at September 30, 2022 | | Fund Delivering | | U.S. $ Value at September 30, 2022 | | Unrealized Appreciation | |
State Street Corporation | | 10/6/2022 | | EUR | | 30,856 | | USD | | 30,760 | | $ | 96 | |
State Street Corporation | | 10/6/2022 | | EUR | | 60,419 | | USD | | 59,498 | | | 921 | |
State Street Corporation | | 10/6/2022 | | EUR | | 7,045 | | USD | | 6,990 | | | 55 | |
State Street Corporation | | 10/6/2022 | | EUR | | 38,011 | | USD | | 37,718 | | | 293 | |
State Street Corporation | | 10/6/2022 | | EUR | | 17,232 | | USD | | 17,154 | | | 78 | |
State Street Corporation | | 10/6/2022 | | GBP | | 2,022 | | USD | | 2,007 | | | 15 | |
State Street Corporation | | 10/6/2022 | | GBP | | 4,186 | | USD | | 4,058 | | | 128 | |
State Street Corporation | | 10/6/2022 | | GBP | | 1,508 | | USD | | 1,459 | | | 49 | |
State Street Corporation | | 10/6/2022 | | GBP | | 3,521 | | USD | | 3,408 | | | 113 | |
State Street Corporation | | 10/6/2022 | | GBP | | 2,850 | | USD | | 2,791 | | | 59 | |
State Street Corporation | | 10/6/2022 | | GBP | | 3,051 | | USD | | 3,024 | | | 27 | |
State Street Corporation | | 10/6/2022 | | USD | | 4,231,876 | | EUR | | 4,179,723 | | | 52,153 | |
State Street Corporation | | 10/6/2022 | | USD | | 594,218 | | EUR | | 586,895 | | | 7,323 | |
State Street Corporation | | 10/6/2022 | | USD | | 36,291 | | EUR | | 35,105 | | | 1,186 | |
State Street Corporation | | 10/6/2022 | | USD | | 98,227 | | EUR | | 98,018 | | | 209 | |
State Street Corporation | | 10/6/2022 | | USD | | 248,021 | | GBP | | 240,142 | | | 7,879 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 97 |
RiverNorth/Oaktree High Income Fund | Schedule of Investments |
September 30, 2022
Counterparty (continued) | | Settlement Date (continued) | | Fund Receiving (continued) | | U.S. $ Value at September 30, 2022 (continued) | | Fund Delivering (continued) | | U.S. $ Value at September 30, 2022 (continued) | | Unrealized Appreciation (continued) | |
State Street Corporation | | 10/6/2022 | | USD | | 434,527 | | GBP | | 420,724 | | $ | 13,803 | |
State Street Corporation | | 10/6/2022 | | USD | | 8,569 | | GBP | | 8,331 | | | 238 | |
| | | | | | | | | | | | $ | 84,625 | |
State Street Corporation | | 10/6/2022 | | EUR | | 7,674 | | USD | | 7,816 | | $ | (142 | ) |
State Street Corporation | | 10/6/2022 | | EUR | | 3,281 | | USD | | 3,392 | | | (111 | ) |
State Street Corporation | | 10/6/2022 | | EUR | | 21,695 | | USD | | 22,159 | | | (464 | ) |
State Street Corporation | | 10/6/2022 | | EUR | | 32,347 | | USD | | 32,984 | | | (637 | ) |
State Street Corporation | | 10/6/2022 | | GBP | | 6,395 | | USD | | 6,583 | | | (188 | ) |
State Street Corporation | | 10/6/2022 | | GBP | | 2,425 | | USD | | 2,537 | | | (112 | ) |
State Street Corporation | | 10/6/2022 | | GBP | | 4,666 | | USD | | 4,900 | | | (234 | ) |
State Street Corporation | | 10/6/2022 | | GBP | | 2,319 | | USD | | 2,374 | | | (55 | ) |
State Street Corporation | | 10/6/2022 | | GBP | | 2,197 | | USD | | 2,246 | | | (49 | ) |
State Street Corporation | | 10/6/2022 | | USD | | 96,665 | | EUR | | 98,018 | | | (1,353 | ) |
| | | | | | | | | | | | $ | (3,345 | ) |
See Notes to Financial Statements.
98 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Core Opportunity Fund
Statement of Assets and Liabilities | September 30, 2022 |
ASSETS: | | | |
Investment in securities: | | | | |
At cost | | $ | 51,978,110 | |
At value | | $ | 44,415,919 | |
| | | | |
Foreign currency, at value (Cost $278) | | | 262 | |
Receivable for fund shares sold | | | 112,018 | |
Dividends receivable | | | 87,882 | |
Receivable for fund investments sold | | | 60,219 | |
Interest receivable | | | 33,334 | |
Prepaid expenses and other assets | | | 8,834 | |
Total Assets | | | 44,718,468 | |
LIABILITIES: | | | | |
Payable for fund shares redeemed | | | 5,672 | |
Payable to Adviser | | | 39,228 | |
Payable for fund accounting and administration fees | | | 13,881 | |
Accrued 12b-1 fees - Class R Shares | | | 3,790 | |
Payable for custodian fees | | | 19,989 | |
Payable for audit fees | | | 26,705 | |
Payable to transfer agent | | | 7,628 | |
Loan facility fee payable | | | 10,316 | |
Payable for Compliance fees | | | 1,582 | |
Other accrued expenses | | | 13,939 | |
Total Liabilities | | | 142,730 | |
Net Assets | | $ | 44,575,738 | |
NET ASSETS CONSIST OF: | | | | |
Paid-in capital | | $ | 54,823,003 | |
Total distributable earnings/(accumulated deficit) | | | (10,247,265 | ) |
Net Assets | | $ | 44,575,738 | |
PRICING OF SHARES: | | | | |
Class I Shares | | | | |
Net Assets | | $ | 27,195,526 | |
Shares of common stock outstanding | | | | |
(unlimited number of shares, no par value) | | | 4,443,244 | |
Net Asset Value Per Share, Offering and Redemption Price Per Share | | $ | 6.12 | |
Class R Shares | | | | |
Net Assets | | $ | 17,380,212 | |
Shares of common stock outstanding | | | | |
(unlimited number of shares, no par value) | | | 2,835,149 | |
Net Asset Value Per Share, Offering and Redemption Price Per Share | | $ | 6.13 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 99 |
RiverNorth/DoubleLine Strategic Income Fund
Statement of Assets and Liabilities | September 30, 2022 |
ASSETS: | | | |
Investment in securities: | | | | |
At cost | | $ | 1,630,279,543 | |
At value | | $ | 1,303,481,086 | |
| | | | |
Investment in affiliates: | | | | |
At cost | | | 34,572,292 | |
At value | | | 29,458,779 | |
Cash | | | 5,752 | |
Interest receivable | | | 8,357,780 | |
Receivable for fund investments sold | | | 4,817,907 | |
Receivable for fund shares sold | | | 2,918,360 | |
Dividends receivable | | | 1,173,743 | |
Prepaid expenses and other assets | | | 53,880 | |
Total Assets | | | 1,350,267,287 | |
LIABILITIES: | | | | |
Payable for fund investments purchased | | | 1,734,751 | |
Payable for fund shares redeemed | | | 8,181,154 | |
Payable to Adviser | | | 882,140 | |
Payable for fund accounting and administration fees | | | 703,184 | |
Accrued 12b-1 fees - Class R Shares | | | 15,542 | |
Payable for custodian fees | | | 93,234 | |
Payable for audit fees | | | 42,705 | |
Payable to transfer agent | | | 39,865 | |
Loan facility fee payable | | | 68,059 | |
Payable for Compliance fees | | | 1,582 | |
Other accrued expenses | | | 137,173 | |
Total Liabilities | | | 11,899,389 | |
Net Assets | | $ | 1,338,367,898 | |
NET ASSETS CONSIST OF: | | | | |
Paid-in capital | | $ | 1,787,325,284 | |
Total distributable earnings/(accumulated deficit) | | | (448,957,386 | ) |
Net Assets | | $ | 1,338,367,898 | |
PRICING OF SHARES: | | | | |
Class I Shares | | | | |
Net Assets | | $ | 1,267,977,533 | |
Shares of common stock outstanding | | | | |
(unlimited number of shares, no par value) | | | 148,925,264 | |
Net Asset Value Per Share, Offering and Redemption Price Per Share | | $ | 8.51 | |
Class R Shares | | | | |
Net Assets | | $ | 70,390,365 | |
Shares of common stock outstanding | | | | |
(unlimited number of shares, no par value) | | | 8,250,013 | |
Net Asset Value Per Share, Offering and Redemption Price Per Share | | $ | 8.53 | |
See Notes to Financial Statements.
100 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/Oaktree High Income Fund
Statement of Assets and Liabilities | September 30, 2022 |
ASSETS: | | | |
Investment in securities: | | | | |
At cost | | $ | 53,611,399 | |
At value | | $ | 47,314,460 | |
| | | | |
Foreign currency, at value (Cost $138,878) | | | 138,914 | |
Receivable for fund investments sold | | | 651,714 | |
Interest receivable | | | 499,758 | |
Unrealized appreciation on forward foreign currency contracts | | | 84,625 | |
Cash segregated at custodian for forward foreign currency contracts | | | 50,000 | |
Dividends receivable | | | 15,809 | |
Receivable for fund shares sold | | | 516 | |
Prepaid expenses and other assets | | | 5,381 | |
Total Assets | | | 48,761,177 | |
LIABILITIES: | | | | |
Payable for fund investments purchased | | | 340,419 | |
Payable for fund shares redeemed | | | 95,698 | |
Unrealized depreciation on forward foreign currency contracts | | | 3,345 | |
Payable to Adviser | | | 34,251 | |
Payable for fund accounting and administration fees | | | 123,736 | |
Accrued 12b-1 fees - Class R Shares | | | 814 | |
Payable for custodian fees | | | 20,337 | |
Payable for audit fees | | | 32,705 | |
Payable to transfer agent | | | 6,449 | |
Loan facility fee payable | | | 9,469 | |
Payable for Compliance fees | | | 1,582 | |
Other accrued expenses | | | 24,426 | |
Total Liabilities | | | 693,231 | |
Net Assets | | $ | 48,067,946 | |
NET ASSETS CONSIST OF: | | | | |
Paid-in capital | | $ | 59,194,931 | |
Total distributable earnings/(accumulated deficit) | | | (11,126,985 | ) |
Net Assets | | $ | 48,067,946 | |
PRICING OF SHARES: | | | | |
Class I Shares | | | | |
Net Assets | | $ | 44,223,311 | |
Shares of common stock outstanding | | | | |
(unlimited number of shares, no par value) | | | 5,353,643 | |
Net Asset Value Per Share, Offering and Redemption Price Per Share | | $ | 8.26 | |
Class R Shares | | | | |
Net Assets | | $ | 3,844,635 | |
Shares of common stock outstanding | | | | |
(unlimited number of shares, no par value) | | | 465,854 | |
Net Asset Value Per Share, Offering and Redemption Price Per Share | | $ | 8.25 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 101 |
RiverNorth Core Opportunity Fund
Statement of Operations | For the Year Ended September 30, 2022 |
INVESTMENT INCOME: | | | |
Dividend income | | $ | 2,044,751 | |
Interest income | | | 255,428 | |
Other income | | | 278 | |
Total Investment Income | | | 2,300,457 | |
| | | | |
EXPENSES: | | | | |
Investment Adviser fee | | | 649,837 | |
12b-1 fees - Class R Shares | | | 54,612 | |
Transfer agent expenses | | | 42,251 | |
Registration expenses | | | 41,680 | |
Accounting and administration fee | | | 39,760 | |
Facility loan fees | | | 26,686 | |
Audit expenses | | | 26,381 | |
Compliance expense | | | 25,148 | |
Printing expenses | | | 22,332 | |
Legal expenses | | | 7,348 | |
Trustee expenses | | | 5,641 | |
Custodian expenses | | | 5,210 | |
Insurance expenses | | | 679 | |
Miscellaneous expenses | | | 10,576 | |
Total Expenses | | | 958,141 | |
Net Investment Income | | | 1,342,316 | |
| | | | |
REALIZED AND UNREALIZED GAIN/(LOSS): | | | | |
Net realized gain/(loss) on: | | | | |
Investments | | | (804,362 | ) |
Net realized loss | | | (804,362 | ) |
Long-term capital gain distributions from other investment companies | | | 291,003 | |
Net change in unrealized appreciation/depreciation on: | | | | |
Investments | | | (11,632,352 | ) |
Translation of assets and liabilities denominated in foreign currencies | | | (16 | ) |
Net change in unrealized appreciation/depreciation | | | (11,632,368 | ) |
Net Realized and Unrealized Loss on Investments | | | (12,145,727 | ) |
Net Decrease in Net Assets Resulting from Operations | | $ | (10,803,411 | ) |
See Notes to Financial Statements.
102 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund
Statement of Operations | For the Year Ended September 30, 2022 |
INVESTMENT INCOME: | | | |
Dividend income | | $ | 19,917,934 | |
Dividend income from affiliated securities | | | 1,168,266 | |
Interest income | | | 33,297,492 | |
Other income | | | 130,646 | |
Foreign taxes withheld | | | (3,308 | ) |
Total Investment Income | | | 54,511,030 | |
| | | | |
EXPENSES: | | | | |
Investment Adviser fee | | | 13,826,136 | |
Accounting and administration fee | | | 1,022,342 | |
Facility loan fees | | | 302,749 | |
12b-1 fees - Class R Shares | | | 275,701 | |
Printing expenses | | | 192,095 | |
Compliance expense | | | 175,573 | |
Transfer agent expenses | | | 170,776 | |
Legal expenses | | | 169,926 | |
Trustee expenses | | | 159,707 | |
Registration expenses | | | 55,739 | |
Audit expenses | | | 42,381 | |
Custodian expenses | | | 24,826 | |
Insurance expenses | | | 13,476 | |
Miscellaneous expenses | | | 111,813 | |
Total expenses | | | 16,543,240 | |
Less fees waived/reimbursed by Investment Adviser | | | (182,951 | ) |
Net Expenses | | | 16,360,289 | |
Net Investment Income | | | 38,150,741 | |
| | | | |
REALIZED AND UNREALIZED GAIN/(LOSS): | | | | |
Net realized gain/(loss) on: | | | | |
Investments | | | (36,112,860 | ) |
Net realized loss | | | (36,112,860 | ) |
Net change in unrealized appreciation/depreciation on: | | | | |
Investments | | | (263,645,879 | ) |
Affiliated Investments | | | (4,443,647 | ) |
Net change in unrealized appreciation/depreciation | | | (268,089,526 | ) |
Net Realized and Unrealized Loss on Investments | | | (304,202,386 | ) |
Net Decrease in Net Assets Resulting from Operations | | $ | (266,051,645 | ) |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 103 |
RiverNorth/Oaktree High Income Fund
Statement of Operations | For the Year Ended September 30, 2022 |
INVESTMENT INCOME: | | | |
Dividend income | | $ | 169,387 | |
Interest income | | | 2,081,652 | |
Other income | | | 16,943 | |
Foreign taxes withheld | | | (556 | ) |
Total Investment Income | | | 2,267,426 | |
| | | | |
EXPENSES: | | | | |
Investment Adviser fee | | | 453,362 | |
Accounting and administration fee | | | 101,876 | |
Registration expenses | | | 37,787 | |
Transfer agent expenses | | | 36,350 | |
Audit expenses | | | 32,381 | |
Facility loan fees | | | 22,993 | |
Compliance expense | | | 22,937 | |
Printing expenses | | | 10,784 | |
12b-1 fees - Class R Shares | | | 10,759 | |
Legal expenses | | | 4,917 | |
Trustee expenses | | | 3,902 | |
Insurance expenses | | | 357 | |
Miscellaneous expenses | | | 7,847 | |
Total expenses | | | 746,252 | |
Less fees waived/reimbursed by Investment Adviser: | | | (123,351 | ) |
Class I Shares | | | (111,424 | ) |
Class R Shares | | | (11,927 | ) |
Net Expenses | | | 622,901 | |
Net Investment Income | | | 1,644,525 | |
| | | | |
REALIZED AND UNREALIZED GAIN/(LOSS): | | | | |
Net realized gain/(loss) on: | | | | |
Investments | | | (939,443 | ) |
Forward foreign currency contracts | | | 1,432,006 | |
Translation of assets and liabilities denominated in foreign currencies | | | (96,623 | ) |
Net realized gain | | | 395,940 | |
Net change in unrealized appreciation/depreciation on: | | | | |
Investments | | | (6,747,067 | ) |
Forward foreign currency contracts | | | (101,229 | ) |
Translation of assets and liabilities denominated in foreign currencies | | | (2,768 | ) |
Net change in unrealized appreciation/depreciation | | | (6,851,064 | ) |
Net Realized and Unrealized Loss on Investments, translation of assets and liabilities denominated in foreign currencies and forward foreign currency contracts | | | (6,455,124 | ) |
Net Decrease in Net Assets Resulting from Operations | | $ | (4,810,599 | ) |
See Notes to Financial Statements.
104 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Core Opportunity Fund
Statements of Changes in Net Assets
| | For the Year Ended September 30, 2022 | | | For the Year Ended September 30, 2021 | |
NET INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | | | | | | | | |
Net investment income | | $ | 1,342,316 | | | $ | 2,503,081 | |
Net realized gain/(loss) | | | (804,362 | ) | | | 13,125,576 | |
Long-term capital gains from other investment companies | | | 291,003 | | | | 565,724 | |
Net change in unrealized appreciation/depreciation on investments | | | (11,632,368 | ) | | | 6,389,430 | |
Net increase/(decrease) in net assets resulting from operations | | | (10,803,411 | ) | | | 22,583,811 | |
| | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | |
Class I shares | | | (10,905,311 | ) | | | (3,148,616 | ) |
Class R shares | | | (4,873,208 | ) | | | (1,632,358 | ) |
From tax return of capital | | | | | | | | |
Class I shares | | | (334,685 | ) | | | – | |
Class R shares | | | (159,426 | ) | | | – | |
Net decrease in net assets from distributions to shareholders | | | (16,272,630 | ) | | | (4,780,974 | ) |
| | | | | | | | |
CAPITAL SHARE TRANSACTIONS: | | | | | | | | |
Class I Shares | | | | | | | | |
Proceeds from shares sold | | | 5,570,298 | | | | 8,348,674 | |
Reinvestment of distributions | | | 10,469,118 | | | | 2,779,849 | |
Cost of shares redeemed | | | (25,363,792 | ) | | | (17,705,774 | ) |
Net decrease in net assets from capital share transactions | | | (9,324,376 | ) | | | (6,577,251 | ) |
Class R Shares | | | | | | | | |
Proceeds from shares sold | | | 2,046,114 | | | | 1,900,425 | |
Reinvestment of distributions | | | 4,960,311 | | | | 1,550,292 | |
Cost of shares redeemed | | | (6,602,800 | ) | | | (11,311,038 | ) |
Net increase/(decrease) in net assets from capital share transactions | | | 403,625 | | | | (7,860,321 | ) |
Net Increase/(Decrease) in Net Assets | | | (35,996,792 | ) | | | 3,365,265 | |
| | | | | | | | |
NET ASSETS: | | | | | | | | |
Beginning of year | | $ | 80,572,530 | | | $ | 77,207,265 | |
End of year | | $ | 44,575,738 | | | $ | 80,572,530 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 105 |
RiverNorth Core Opportunity Fund
Statements of Changes in Net Assets
| | For the Year Ended September 30, 2022 | | | For the Year Ended September 30, 2021 | |
OTHER INFORMATION: | | | | | | | | |
Share Transactions: | | | | | | | | |
Class I Shares | | | | | | | | |
Shares sold | | | 727,518 | | | | 943,399 | |
Shares issued in reinvestment of distributions | | | 1,372,817 | | | | 322,701 | |
Shares redeemed | | | (3,558,173 | ) | | | (2,093,907 | ) |
Net decrease from share transactions | | | (1,457,838 | ) | | | (827,807 | ) |
| | | | | | | | |
Class R Shares | | | | | | | | |
Shares sold | | | 275,380 | | | | 217,473 | |
Shares issued in reinvestment of distributions | | | 651,373 | | | | 180,777 | |
Shares redeemed | | | (852,716 | ) | | | (1,295,488 | ) |
Net increase/(decrease) from share transactions | | | 74,037 | | | | (897,238 | ) |
See Notes to Financial Statements.
106 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/DoubleLine Strategic Income Fund
Statements of Changes in Net Assets
| | For the Year Ended September 30, 2022 | | | For the Year Ended September 30, 2021 | |
NET INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | | | | | | | | |
Net investment income | | $ | 38,150,741 | | | $ | 69,413,483 | |
Net realized gain/(loss) | | | (36,112,860 | ) | | | 46,151,888 | |
Long-term capital gains from other investment companies | | | – | | | | 31,770 | |
Net change in unrealized appreciation/depreciation on investments | | | (268,089,526 | ) | | | 18,782,349 | |
Net increase/(decrease) in net assets resulting from operations | | | (266,051,645 | ) | | | 134,379,490 | |
| | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | |
Class I shares | | | 100,104,267 | | | | (73,505,027 | ) |
Class R shares | | | 5,837,920 | | | | (5,148,979 | ) |
Net decrease in net assets from distributions to shareholders | | | (105,942,187 | ) | | | (78,654,006 | ) |
| | | | | | | | |
CAPITAL SHARE TRANSACTIONS: | | | | | | | | |
Class I Shares | | | | | | | | |
Proceeds from shares sold | | | 505,691,407 | | | | 535,909,799 | |
Reinvestment of distributions | | | 85,723,130 | | | | 63,682,135 | |
Cost of shares redeemed | | | (867,165,290 | ) | | | (443,840,174 | ) |
Net increase/(decrease) in net assets from capital share transactions | | | (275,750,753 | ) | | | 155,751,760 | |
Class R Shares | | | | | | | | |
Proceeds from shares sold | | | 25,390,199 | | | | 44,563,657 | |
Reinvestment of distributions | | | 5,713,065 | | | | 5,057,864 | |
Cost of shares redeemed | | | (80,251,524 | ) | | | (42,065,796 | ) |
Net increase/(decrease) in net assets from capital share transactions | | | (49,148,260 | ) | | | 7,555,725 | |
Net Increase/(Decrease) in Net Assets | | | (696,892,845 | ) | | | 219,032,969 | |
| | | | | | | | |
NET ASSETS: | | | | | | | | |
Beginning of year | | $ | 2,035,260,743 | | | $ | 1,816,227,774 | |
End of year | | $ | 1,338,367,898 | | | $ | 2,035,260,743 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 107 |
RiverNorth/DoubleLine Strategic Income Fund
Statements of Changes in Net Assets
| | For the Year Ended September 30, 2022 | | | For the Year Ended September 30, 2021 | |
OTHER INFORMATION: | | | | | | | | |
Share Transactions: | | | | | | | | |
Class I Shares | | | | | | | | |
Shares sold | | | 51,690,843 | | | | 51,080,769 | |
Shares issued in reinvestment of distributions | | | 8,978,624 | | | | 6,089,656 | |
Shares redeemed | | | (91,833,449 | ) | | | (42,478,497 | ) |
Net increase/(decrease) from share transactions | | | (31,163,982 | ) | | | 14,691,928 | |
| | | | | | | | |
Class R Shares | | | | | | | | |
Shares sold | | | 2,541,303 | | | | 4,233,570 | |
Shares issued in reinvestment of distributions | | | 593,582 | | | | 482,815 | |
Shares redeemed | | | (8,249,470 | ) | | | (4,010,903 | ) |
Net increase/(decrease) from share transactions | | | (5,114,585 | ) | | | 705,482 | |
See Notes to Financial Statements.
108 | (888) 848-7569 | www.rivernorth.com |
RiverNorth/Oaktree High Income Fund
Statements of Changes in Net Assets
| | For the Year Ended September 30, 2022 | | | For the Year Ended September 30, 2021 | |
NET INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | | | | | | | | |
Net investment income | | $ | 1,644,525 | | | $ | 1,580,918 | |
Net realized gain | | | 395,940 | | | | 743,942 | |
Net change in unrealized appreciation/depreciation | | | (6,851,064 | ) | | | 1,437,705 | |
Net increase/(decrease) in net assets resulting from operations | | | (4,810,599 | ) | | | 3,762,565 | |
| | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | |
Class I Shares | | | (1,537,361 | ) | | | (1,425,508 | ) |
Class R Shares | | | (147,933 | ) | | | (157,316 | ) |
Net decrease in net assets from distributions to shareholders | | | (1,685,294 | ) | | | (1,582,824 | ) |
| | | | | | | | |
CAPITAL SHARE TRANSACTIONS: | | | | | | | | |
Class I Shares | | | | | | | | |
Proceeds from shares sold | | | 12,950,571 | | | | 898,392 | |
Reinvestment of distributions | | | 1,536,119 | | | | 1,422,378 | |
Cost of shares redeemed | | | (5,753,258 | ) | | | (3,254,457 | ) |
Net increase/(decrease) in net assets from capital share transactions | | | 8,733,432 | | | | (933,687 | ) |
| | | | | | | | |
Class R Shares | | | | | | | | |
Proceeds from shares sold | | | 121,704 | | | | 425,555 | |
Reinvestment of distributions | | | 146,970 | | | | 155,684 | |
Cost of shares redeemed | | | (372,417 | ) | | | (1,256,467 | ) |
Net decrease in net assets from capital share transactions | | | (103,743 | ) | | | (675,228 | ) |
| | | | | | | | |
Net Increase in Net Assets | | | 2,133,796 | | | | 570,826 | |
| | | | | | | | |
NET ASSETS: | | | | | | | | |
Beginning of year | | $ | 45,934,150 | | | $ | 45,363,324 | |
End of year | | | 48,067,946 | | | | 45,934,150 | |
See Notes to Financial Statements.
Annual Report | September 30, 2022 | 109 |
RiverNorth/Oaktree High Income Fund
Statements of Changes in Net Assets
| | For the Year Ended September 30, 2022 | | | For the Year Ended September 30, 2021 | |
OTHER INFORMATION: | | | | | | | | |
Share Transactions: | | | | | | | | |
Class I Shares | | | | | | | | |
Shares sold | | | 1,494,225 | | | | 94,482 | |
Shares issued in reinvestment of distributions | | | 172,056 | | | | 150,730 | |
Shares redeemed | | | (656,681 | ) | | | (344,168 | ) |
Net increase/(decrease) from share transactions | | | 1,009,600 | | | | (98,956 | ) |
| | | | | | | | |
Class R Shares | | | | | | | | |
Shares sold | | | 12,983 | | | | 44,895 | |
Shares issued in reinvestment of distributions | | | 16,421 | | | | 16,518 | |
Shares redeemed | | | (41,497 | ) | | | (133,029 | ) |
Net decrease from share transactions | | | (12,093 | ) | | | (71,616 | ) |
See Notes to Financial Statements.
110 | (888) 848-7569 | www.rivernorth.com |
Intentionally Left Blank
RiverNorth Core Opportunity Fund | Class I |
Financial Highlights
Net asset value - beginning of period |
Income/(Loss) from investment operations: |
Net investment income(a) |
Net realized and unrealized gain/(loss) on investments |
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(d) |
Ratios/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.
112 | (888) 848-7569 | www.rivernorth.com |
For a share outstanding throughout the periods presented
For the Year Ended September 30, 2022 | | | For the Year Ended September 30, 2021 | | | For the Year Ended September 30, 2020 | | | For the Year Ended September 30, 2019 | | | For the Year Ended September 30, 2018 | |
$ | 9.30 | | | $ | 7.43 | | | $ | 8.05 | | | $ | 10.88 | | | $ | 12.37 | |
| | | | | | | | | | | | | | | | | | |
| 0.17 | | | | 0.28 | | | | 0.16 | | | | 0.24 | | | | 0.27 | |
| (1.40 | ) | | | 2.11 | | | | (0.41 | ) | | | (0.25 | )(b) | | | 0.42 | |
| (1.23 | ) | | | 2.39 | | | | (0.25 | ) | | | (0.01 | ) | | | 0.69 | |
| | | | | | | | | | | | | | | | | | |
| (0.28 | ) | | | (0.39 | ) | | | (0.19 | ) | | | (0.18 | ) | | | (0.40 | ) |
| (1.61 | ) | | | (0.13 | ) | | | (0.18 | ) | | | (2.64 | ) | | | (1.78 | ) |
| (0.06 | ) | | | – | | | | – | | | | – | | | | – | |
| (1.95 | ) | | | (0.52 | ) | | | (0.37 | ) | | | (2.82 | ) | | | (2.18 | ) |
| – | | | | – | | | | – | | | | 0.00 | (c) | | | 0.00 | (c) |
| (3.18 | ) | | | 1.87 | | | | (0.62 | ) | | | (2.83 | ) | | | (1.49 | ) |
$ | 6.12 | | | $ | 9.30 | | | $ | 7.43 | | | $ | 8.05 | | | $ | 10.88 | |
| (16.70 | %) | | | 32.96 | % | | | (3.00 | %) | | | 3.51 | % | | | 5.92 | % |
| | | | | | | | | | | | | | | | | | |
$ | 27,196 | | | $ | 54,868 | | | $ | 49,994 | | | $ | 66,662 | | | $ | 65,592 | |
| | | | | | | | | | | | | | | | | | |
| N/A | | | | N/A | | | | N/A | | | | 1.22 | % | | | N/A | |
| | | | | | | | | | | | | | | | | | |
| N/A | | | | N/A | | | | N/A | | | | 1.22 | % | | | N/A | |
| | | | | | | | | | | | | | | | | | |
| N/A | | | | N/A | | | | N/A | | | | 2.88 | % | | | N/A | |
| | | | | | | | | | | | | | | | | | |
| N/A | | | | N/A | | | | N/A | | | | 2.88 | % | | | N/A | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| 1.39 | % | | | 1.33 | % | | | 1.29 | % | | | 1.22 | % | | | 1.17 | % |
| | | | | | | | | | | | | | | | | | |
| 1.39 | % | | | 1.33 | % | | | 1.29 | % | | | 1.22 | % | | | 1.17 | % |
| | | | | | | | | | | | | | | | | | |
| 2.17 | % | | | 3.19 | % | | | 2.10 | % | | | 2.88 | % | | | 2.37 | % |
| | | | | | | | | | | | | | | | | | |
| 2.17 | % | | | 3.19 | % | | | 2.10 | % | | | 2.88 | % | | | 2.37 | % |
| 106 | % | | | 182 | % | | | 110 | % | | | 36 | % | | | 58 | %(f) |
Annual Report | September 30, 2022 | 113 |
RiverNorth Core Opportunity Fund | Class I |
Financial Highlights | For a share outstanding throughout the periods presented |
(a) | Based on average shares outstanding during the period. |
(b) | Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statement of Operations due to share transactions for the period. |
(c) | Less than $0.005 per share. |
(d) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
(e) | The ratios exclude the impact of expenses of the underlying funds in which the Fund invests as represented in the Schedule of Investments. |
(f) | Portfolio turnover does not include redemptions in-kind. |
See Notes to Financial Statements.
114 | (888) 848-7569 | www.rivernorth.com |
Intentionally Left Blank
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 |
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(d) |
Ratios/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.
116 | (888) 848-7569 | www.rivernorth.com |
For a share outstanding throughout the periods presented
For the Year Ended September 30, 2022 | | | For the Year Ended September 30, 2021 | | | For the Year Ended September 30, 2020 | | | For the Year Ended September 30, 2019 | | | For the Year Ended September 30, 2018 | |
$ | 9.31 | | | $ | 7.44 | | | $ | 8.06 | | | $ | 10.89 | | | $ | 12.37 | |
| | | | | | | | | | | | | | | | | | |
| 0.14 | | | | 0.25 | | | | 0.15 | | | | 0.22 | | | | 0.23 | |
| (1.39 | ) | | | 2.12 | | | | (0.42 | ) | | | (0.26 | )(b) | | | 0.44 | |
| (1.25 | ) | | | 2.37 | | | | (0.27 | ) | | | (0.04 | ) | | | 0.67 | |
| | | | | | | | | | | | | | | | | | |
| (0.26 | ) | | | (0.37 | ) | | | (0.18 | ) | | | (0.17 | ) | | | (0.37 | ) |
| (1.61 | ) | | | (0.13 | ) | | | (0.17 | ) | | | (2.62 | ) | | | (1.78 | ) |
| (0.06 | ) | | | – | | | | – | | | | – | | | | – | |
| (1.93 | ) | | | (0.50 | ) | | | (0.35 | ) | | | (2.79 | ) | | | (2.15 | ) |
| – | | | | – | | | | – | | | | 0.00 | (c) | | | 0.00 | (c) |
| (3.18 | ) | | | 1.87 | | | | (0.62 | ) | | | (2.83 | ) | | | (1.48 | ) |
$ | 6.13 | | | $ | 9.31 | | | $ | 7.44 | | | $ | 8.06 | | | $ | 10.89 | |
| (16.88 | %) | | | 32.58 | % | | | (3.24 | %) | | | 3.23 | % | | | 5.70 | % |
| | | | | | | | | | | | | | | | | | |
$ | 17,380 | | | $ | 25,705 | | | $ | 27,213 | | | $ | 40,344 | | | $ | 67,199 | |
| | | | | | | | | | | | | | | | | | |
| N/A | | | | N/A | | | | N/A | | | | 1.48 | % | | | N/A | |
| N/A | | | | N/A | | | | N/A | | | | 1.48 | % | | | N/A | |
| | | | | | | | | | | | | | | | | | |
| N/A | | | | N/A | | | | N/A | | | | 2.62 | % | | | N/A | |
| | | | | | | | | | | | | | | | | | |
| N/A | | | | N/A | | | | N/A | | | | 2.62 | % | | | N/A | |
| | | | | | | | | | | | | | | | | | |
| 1.64 | % | | | 1.58 | % | | | 1.54 | % | | | 1.48 | % | | | 1.41 | % |
| 1.64 | % | | | 1.58 | % | | | 1.54 | % | | | 1.48 | % | | | 1.41 | % |
| | | | | | | | | | | | | | | | | | |
| 1.86 | % | | | 2.88 | % | | | 1.93 | % | | | 2.62 | % | | | 2.02 | % |
| | | | | | | | | | | | | | | | | | |
| 1.86 | % | | | 2.88 | % | | | 1.93 | % | | | 2.62 | % | | | 2.02 | % |
| 106 | % | | | 182 | % | | | 110 | % | | | 36 | % | | | 58 | %(f) |
Annual Report | September 30, 2022 | 117 |
RiverNorth Core Opportunity Fund | Class R |
Financial Highlights | For a share outstanding throughout the periods presented |
(a) | Based on average shares outstanding during the period. |
(b) | Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statement of Operations due to share transactions for the period. |
(c) | Less than $0.005 per share. |
(d) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
(e) | The ratios exclude the impact of expenses of the underlying funds in which the Fund invests as represented in the Schedule of Investments. |
(f) | Portfolio turnover does not include redemptions in-kind. |
See Notes to Financial Statements.
118 | (888) 848-7569 | www.rivernorth.com |
Intentionally Left Blank
RiverNorth/DoubleLine Strategic 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 |
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) |
Ratios to Average Net Assets (including interest expense): |
Ratio of expenses to average net assets excluding fee waivers and reimbursements(d) |
Ratio of expenses to average net assets including fee waivers and reimbursements(d) |
|
Ratio of net investment income to average net assets excluding fee waivers and reimbursements(d) |
|
Ratio of net investment income to average net assets including fee waivers and reimbursements(d) |
Ratios to Average Net Assets (excluding interest expense): |
Ratio of expenses to average net assets excluding fee waivers and reimbursements(d) |
Ratio of expenses to average net assets including fee waivers and reimbursements(d) |
|
Ratio of net investment income to average net assets excluding fee waivers and reimbursements(d) |
|
Ratio of net investment income to average net assets including fee waivers and reimbursements(d) |
Portfolio turnover rate |
See Notes to Financial Statements.
120 | (888) 848-7569 | www.rivernorth.com |
For a share outstanding throughout the periods presented
For the Year Ended September 30, 2022 | | | For the Year Ended September 30, 2021 | | | For the Year Ended September 30, 2020 | | | For the Year Ended September 30, 2019 | | | For the Year Ended September 30, 2018 | |
$ | 10.52 | | | $ | 10.20 | | | $ | 10.33 | | | $ | 10.08 | | | $ | 10.61 | |
| | | | | | | | | | | | | | | | | | |
| 0.21 | | | | 0.38 | | | | 0.45 | | | | 0.52 | | | | 0.47 | |
| (1.64 | ) | | | 0.38 | | | | (0.10 | ) | | | 0.28 | | | | (0.44 | ) |
| (1.43 | ) | | | 0.76 | | | | 0.35 | | | | 0.80 | | | | 0.03 | |
| | | | | | | | | | | | | | | | | | |
| (0.58 | ) | | | (0.44 | ) | | | (0.46 | ) | | | (0.55 | ) | | | (0.51 | ) |
| – | | | | – | | | | – | | | | – | | | | (0.04 | ) |
| – | | | | – | | | | (0.02 | ) | | | – | | | | (0.01 | ) |
| (0.58 | ) | | | (0.44 | ) | | | (0.48 | ) | | | (0.55 | ) | | | (0.56 | ) |
| – | | | | – | | | | – | | | | 0.00 | (b) | | | 0.00 | (b) |
| (2.01 | ) | | | 0.32 | | | | (0.13 | ) | | | 0.25 | | | | (0.53 | ) |
$ | 8.51 | | | $ | 10.52 | | | $ | 10.20 | | | $ | 10.33 | | | $ | 10.08 | |
| | | | | | | | | | | | | | | | | | |
| (14.04 | %) | | | 7.52 | % | | | 3.51 | % | | | 8.21 | % | | | 0.33 | % |
| | | | | | | | | | | | | | | | | | |
$ | 1,267,978 | | | $ | 1,894,398 | | | $ | 1,686,872 | | | $ | 1,858,103 | | | $ | 1,715,495 | |
| | | | | | | | | | | | | | | | | | |
| N/A | | | | N/A | | | | N/A | | | | 0.86 | % | | | N/A | |
| N/A | | | | N/A | | | | N/A | | | | 0.86 | % | | | N/A | |
| | | | | | | | | | | | | | | | | | |
| N/A | | | | N/A | | | | N/A | | | | 5.13 | % | | | N/A | |
| | | | | | | | | | | | | | | | | | |
| N/A | | | | N/A | | | | N/A | | | | 5.13 | % | | | N/A | |
| | | | | | | | | | | | | | | | | | |
| 0.88 | % | | | 0.87 | % | | | 0.87 | % | | | 0.86 | % | | | 0.86 | % |
| 0.87 | % | | | 0.86 | % | | | 0.87 | % | | | 0.86 | % | | | 0.86 | % |
| | | | | | | | | | | | | | | | | | |
| 2.10 | % | | | 3.66 | % | | | 4.42 | % | | | 5.13 | % | | | 4.60 | % |
| | | | | | | | | | | | | | | | | | |
| 2.10 | % | | | 3.66 | % | | | 4.42 | % | | | 5.13 | % | | | 4.60 | % |
| 104 | % | | | 100 | % | | | 81 | % | | | 60 | % | | | 37 | % |
Annual Report | September 30, 2022 | 121 |
RiverNorth/DoubleLine Strategic Income Fund | Class I |
Financial Highlights | For a share outstanding throughout the periods presented |
(a) | Based on average shares outstanding during the period. |
(b) | Less than $0.005 per share. |
(c) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
(d) | The ratios exclude the impact of expenses of the underlying funds in which the Fund invests as represented in the Schedule of Investments. |
See Notes to Financial Statements.
122 | (888) 848-7569 | www.rivernorth.com |
Intentionally Left Blank
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 |
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) |
Ratios to Average Net Assets (including interest expense): |
Ratio of expenses to average net assets excluding fee waivers and reimbursements(d) |
Ratio of expenses to average net assets including fee waivers and reimbursements(d) |
|
Ratio of net investment income to average net assets excluding fee waivers and reimbursements(d) |
|
Ratio of net investment income to average net assets including fee waivers and reimbursements(d) |
Ratios to Average Net Assets (excluding interest expense): |
Ratio of expenses to average net assets excluding fee waivers and reimbursements(d) |
Ratio of expenses to average net assets including fee waivers and reimbursements(d) |
|
Ratio of net investment income to average net assets excluding fee waivers and reimbursements(d) |
|
Ratio of net investment income to average net assets including fee waivers and reimbursements(d) |
Portfolio turnover rate |
See Notes to Financial Statements.
124 | (888) 848-7569 | www.rivernorth.com |
For a share outstanding throughout the periods presented
For the Year Ended September 30, 2022 | | | For the Year Ended September 30, 2021 | | | For the Year Ended September 30, 2020 | | | For the Year Ended September 30, 2019 | | | For the Year Ended September 30, 2018 | |
$ | 10.54 | | | $ | 10.22 | | | $ | 10.35 | | | $ | 10.09 | | | $ | 10.62 | |
| | | | | | | | | | | | | | | | | | |
| 0.17 | | | | 0.36 | | | | 0.43 | | | | 0.50 | | | | 0.45 | |
| (1.63 | ) | | | 0.37 | | | | (0.10 | ) | | | 0.28 | | | | (0.45 | ) |
| (1.46 | ) | | | 0.73 | | | | 0.33 | | | | 0.78 | | | | – | |
| | | | | | | | | | | | | | | | | | |
| (0.55 | ) | | | (0.41 | ) | | | (0.44 | ) | | | (0.52 | ) | | | (0.48 | ) |
| – | | | | – | | | | – | | | | – | | | | (0.04 | ) |
| – | | | | – | | | | (0.02 | ) | | | – | | | | (0.01 | ) |
| (0.55 | ) | | | (0.41 | ) | | | (0.46 | ) | | | (0.52 | ) | | | (0.53 | ) |
| – | | | | – | | | | – | | | | 0.00 | (b) | | | 0.00 | (b) |
| (2.01 | ) | | | 0.32 | | | | (0.13 | ) | | | 0.26 | | | | (0.53 | ) |
$ | 8.53 | | | $ | 10.54 | | | $ | 10.22 | | | $ | 10.35 | | | $ | 10.09 | |
| | | | | | | | | | | | | | | | | | |
| (14.23 | %) | | | 7.23 | % | | | 3.24 | % | | | 8.03 | % | | | 0.07 | % |
| | | | | | | | | | | | | | | | | | |
$ | 70,390 | | | $ | 140,863 | | | $ | 129,355 | | | $ | 167,141 | | | $ | 165,472 | |
| | | | | | | | | | | | | | | | | | |
| N/A | | | | N/A | | | | N/A | | | | 1.11 | % | | | N/A | |
| N/A | | | | N/A | | | | N/A | | | | 1.11 | % | | | N/A | |
| | | | | | | | | | | | | | | | | | |
| N/A | | | | N/A | | | | N/A | | | | 4.90 | % | | | N/A | |
| | | | | | | | | | | | | | | | | | |
| N/A | | | | N/A | | | | N/A | | | | 4.90 | % | | | N/A | |
| | | | | | | | | | | | | | | | | | |
| 1.13 | % | | | 1.12 | % | | | 1.12 | % | | | 1.11 | % | | | 1.11 | % |
| 1.12 | % | | | 1.11 | % | | | 1.12 | % | | | 1.11 | % | | | 1.11 | % |
| | | | | | | | | | | | | | | | | | |
| 1.67 | % | | | 3.41 | % | | | 4.18 | % | | | 4.90 | % | | | 4.34 | % |
| | | | | | | | | | | | | | | | | | |
| 1.67 | % | | | 3.42 | % | | | 4.18 | % | | | 4.90 | % | | | 4.34 | % |
| 104 | % | | | 100 | % | | | 81 | % | | | 60 | % | | | 37 | % |
Annual Report | September 30, 2022 | 125 |
RiverNorth/DoubleLine Strategic Income Fund | Class R |
Financial Highlights | For a share outstanding throughout the periods presented |
(a) | Based on average shares outstanding during the period. |
(b) | Less than $0.005 per share. |
(c) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
(d) | The ratios exclude the impact of expenses of the underlying funds in which the Fund invests as represented in the Schedule of Investments. |
See Notes to Financial Statements.
126 | (888) 848-7569 | www.rivernorth.com |
Intentionally Left Blank
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 |
Total income/(loss) from investment operations |
|
Less distributions: |
From net investment income |
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(d) |
Ratio of expenses to average net assets including fee waivers and reimbursements(d) |
|
Ratio of net investment income to average net assets excluding fee waivers and reimbursements(d) |
|
Ratio of net investment income to average net assets including fee waivers and reimbursements(d) |
|
Ratios to Average Net Assets (excluding interest expense) |
Ratio of expenses to average net assets excluding fee waivers and reimbursements(d) |
Ratio of expenses to average net assets including fee waivers and reimbursements(d) |
|
Ratio of net investment income to average net assets excluding fee waivers and reimbursements(d) |
|
Ratio of net investment income to average net assets including fee waivers and reimbursements(d) |
Portfolio turnover rate |
See Notes to Financial Statements.
128 | (888) 848-7569 | www.rivernorth.com |
For a share outstanding throughout the periods presented
For the Year Ended September 30, 2022 | | | For the Year Ended September 30, 2021 | | | For the Year Ended September 30, 2020 | | | For the Year Ended September 30, 2019 | | | For the Year Ended September 30, 2018 | |
$ | 9.53 | | | $ | 9.09 | | | $ | 9.55 | | | $ | 9.58 | | | $ | 9.73 | |
| | | | | | | | | | | | | | | | | | |
| 0.33 | | | | 0.33 | | | | 0.34 | | | | 0.38 | | | | 0.39 | |
| (1.27 | ) | | | 0.44 | | | | (0.35 | ) | | | 0.07 | | | | (0.18 | ) |
| (0.94 | ) | | | 0.77 | | | | (0.01 | ) | | | 0.45 | | | | 0.21 | |
| | | | | | | | | | | | | | | | | | |
| (0.33 | ) | | | (0.33 | ) | | | (0.37 | ) | | | (0.48 | ) | | | (0.24 | ) |
| – | | | | – | | | | (0.08 | ) | | | – | | | | (0.12 | ) |
| (0.33 | ) | | | (0.33 | ) | | | (0.45 | ) | | | (0.48 | ) | | | (0.36 | ) |
| – | | | | – | | | | – | | | | 0.00 | (b) | | | 0.00 | (b) |
| (1.27 | ) | | | 0.44 | | | | (0.46 | ) | | | (0.03 | ) | | | (0.15 | ) |
$ | 8.26 | | | $ | 9.53 | | | $ | 9.09 | | | $ | 9.55 | | | $ | 9.58 | |
| | | | | | | | | | | | | | | | | | |
| (10.03 | %) | | | 8.55 | % | | | (0.02 | %) | | | 4.85 | % | | | 2.22 | % |
| | | | | | | | | | | | | | | | | | |
$ | 44,223 | | | $ | 41,386 | | | $ | 40,375 | | | $ | 45,306 | | | $ | 49,856 | |
| | | | | | | | | | | | | | | | | | |
| 1.62 | % | | | 1.75 | % | | | N/A | | | | 1.58 | % | | | 1.54 | % |
| 1.35 | % | | | 1.35 | % | | | N/A | | | | 1.36 | % | | | 1.36 | % |
| | | | | | | | | | | | | | | | | | |
| 3.38 | % | | | 3.07 | % | | | N/A | | | | 3.83 | % | | | 3.84 | % |
| | | | | | | | | | | | | | | | | | |
| 3.65 | % | | | 3.47 | % | | | N/A | | | | 4.05 | % | | | 4.02 | % |
| | | | | | | | | | | | | | | | | | |
| 1.62 | % | | | 1.75 | % | | | 1.69 | % | | | 1.57 | % | | | 1.53 | % |
| 1.35 | % | | | 1.35 | % | | | 1.35 | % | | | 1.35 | % | | | 1.35 | % |
| | | | | | | | | | | | | | | | | | |
| 3.38 | % | | | 3.07 | % | | | 3.43 | % | | | 3.84 | % | | | 3.83 | % |
| | | | | | | | | | | | | | | | | | |
| 3.65 | % | | | 3.47 | % | | | 3.78 | % | | | 4.06 | % | | | 4.01 | % |
| 57 | % | | | 72 | % | | | 80 | % | | | 52 | % | | | 76 | % |
Annual Report | September 30, 2022 | 129 |
RiverNorth/Oaktree High Income Fund | Class I |
Financial Highlights | For a share outstanding throughout the periods presented |
| (a) | Based on average shares outstanding during the period. |
| (b) | Less than $0.005 per share. |
| (c) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
| (d) | The ratios exclude the impact of expenses of the underlying funds in which the Fund invests as represented in the Schedule of Investments. |
See Notes to Financial Statements.
130 | (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 |
Total income/(loss) from investment operations |
|
Less distributions: |
From net investment income |
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(d) |
Ratio of expenses to average net assets including fee waivers and reimbursements(d) |
|
Ratio of net investment income to average net assets excluding fee waivers and reimbursements(d) |
|
Ratio of net investment income to average net assets including fee waivers and reimbursements(d) |
|
Ratios to Average Net Assets (excluding interest expense) |
Ratio of expenses to average net assets excluding fee waivers and reimbursements(d) |
Ratio of expenses to average net assets including fee waivers and reimbursements(d) |
|
Ratio of net investment income to average net assets excluding fee waivers and reimbursements(d) |
|
Ratio of net investment income to average net assets including fee waivers and reimbursements(d) |
Portfolio turnover rate |
See Notes to Financial Statements.
132 | (888) 848-7569 | www.rivernorth.com |
For a share outstanding throughout the periods presented
For the Year Ended September 30, 2022 | | | For the Year Ended September 30, 2021 | | | For the Year Ended September 30, 2020 | | | For the Year Ended September 30, 2019 | | | For the Year Ended September 30, 2018 | |
$ | 9.52 | | | $ | 9.08 | | | $ | 9.54 | | | $ | 9.58 | | | $ | 9.72 | |
| | | | | | | | | | | | | | | | | | |
| 0.31 | | | | 0.30 | | | | 0.32 | | | | 0.36 | | | | 0.36 | |
| (1.27 | ) | | | 0.45 | | | | (0.36 | ) | | | 0.05 | | | | (0.16 | ) |
| (0.96 | ) | | | 0.75 | | | | (0.04 | ) | | | 0.41 | | | | 0.20 | |
| | | | | | | | | | | | | | | | | | |
| (0.31 | ) | | | (0.31 | ) | | | (0.35 | ) | | | (0.45 | ) | | | (0.23 | ) |
| – | | | | – | | | | (0.07 | ) | | | – | | | | (0.11 | ) |
| (0.31 | ) | | | (0.31 | ) | | | (0.42 | ) | | | (0.45 | ) | | | (0.34 | ) |
| – | | | | – | | | | – | | | | 0.00 | (b) | | | 0.00 | (b) |
| (1.27 | ) | | | 0.44 | | | | (0.46 | ) | | | (0.04 | ) | | | (0.14 | ) |
$ | 8.25 | | | $ | 9.52 | | | $ | 9.08 | | | $ | 9.54 | | | $ | 9.58 | |
| | | | | | | | | | | | | | | | | | |
| (10.27 | %) | | | 8.31 | % | | | (0.27 | %) | | | 4.48 | % | | | 2.07 | % |
| | | | | | | | | | | | | | | | | | |
$ | 3,845 | | | $ | 4,548 | | | $ | 4,989 | | | $ | 5,937 | | | $ | 6,758 | |
| | | | | | | | | | | | | | | | | | |
| 1.88 | % | | | 2.00 | % | | | N/A | | | | 1.83 | % | | | 1.79 | % |
| 1.60 | % | | | 1.60 | % | | | N/A | | | | 1.61 | % | | | 1.61 | % |
| | | | | | | | | | | | | | | | | | |
| 3.10 | % | | | 2.83 | % | | | N/A | | | | 3.58 | % | | | 3.60 | % |
| | | | | | | | | | | | | | | | | | |
| 3.37 | % | | | 3.22 | % | | | N/A | | | | 3.80 | % | | | 3.78 | % |
| | | | | | | | | | | | | | | | | | |
| 1.88 | % | | | 2.00 | % | | | 1.95 | % | | | 1.82 | % | | | 1.78 | % |
| 1.60 | % | | | 1.60 | % | | | 1.60 | % | | | 1.60 | % | | | 1.60 | % |
| | | | | | | | | | | | | | | | | | |
| 3.10 | % | | | 2.83 | % | | | 3.19 | % | | | 3.59 | % | | | 3.59 | % |
| | | | | | | | | | | | | | | | | | |
| 3.37 | % | | | 3.22 | % | | | 3.53 | % | | | 3.81 | % | | | 3.77 | % |
| 57 | % | | | 72 | % | | | 80 | % | | | 52 | % | | | 76 | % |
Annual Report | September 30, 2022 | 133 |
RiverNorth/Oaktree High Income Fund | Class R |
Financial Highlights | For a share outstanding throughout the periods presented |
| (a) | Based on average shares outstanding during the period. |
| (b) | Less than $0.005 per share. |
| (c) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
| (d) | The ratios exclude the impact of expenses of the underlying funds in which the Fund invests as represented in the Schedule of Investments. |
See Notes to Financial Statements.
134 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
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 classes of shares, Class I Shares (inception date of August 11, 2014) and Class R Shares (inception date of December 27, 2006). The investment adviser to the Core Opportunity Fund is RiverNorth Capital Management, LLC ("RiverNorth" or 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 classes of shares, Class I Shares and Class R Shares. The investment adviser to the Strategic Income Fund is RiverNorth. 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 classes of shares, Class I Shares and Class R Shares. The investment adviser to the High Income Fund is RiverNorth. The High Income Fund’s sub-adviser is Oaktree Fund Advisors, LLC (“Oaktree Capital,” and with DoubleLine, each a “Sub-Adviser” or collectively, the “Sub-Advisers”). Effective August 10, 2021, as part of an internal corporate reorganization, Oaktree Capital Management, L.P., the Fund’s previous sub-adviser, transferred its sub-advisory agreement with the High Income Fund to Oaktree Capital. 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 financial statements are prepared in accordance with GAAP, which requires management to make estimates and assumptions that affect the reported amounts and disclosures, including the disclosure of contingent assets and liabilities, in the financial statements during the reporting period. Management believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the financial statements may differ from the value the 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” or the "Exchange") on the fiscal year end of the Funds.
Annual Report | September 30, 2022 | 135 |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
Security Valuation: The Funds’ assets and other financial instruments are recorded at their 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. Settlement on bank loans transactions may be in excess of seven business days. Interest only stripped mortgage backed securities ("IO Strips") are securities that receive only interest payments from a pool of mortgage loans. Little to no principal will be received by the Funds upon maturity of an IO Strip. Periodic adjustments are recorded to reduce the cost of the security until maturity, which are included in interest income.
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.
Certain foreign countries impose a capital gains tax which is accrued by the Funds based on the unrealized appreciation, if any, on affected securities. Any accrual would reduce a Fund’s net asset value ("NAV"). The tax is paid when the gain is realized and is included in capital gains tax in the Statements of Operations. During the year ended September 30, 2022, no foreign capital gains tax was accrued or paid by the Fund.
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.
136 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
Principal Investment Risks: All mutual funds carry a certain amount of risk. For more information on the related risks of investing in the Funds, please refer to the prospectus of each Fund.
Share Valuation: The NAV is generally calculated as of the close of trading on the NYSE (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 its 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 NAV per share.
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 or another method approved by the Board.
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 (the "Code"), 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 year ended September 30, 2022, 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.
The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expenses in the Statements of Operations. During the year ended September 30, 2022, the Funds did not incur any interest or penalties.
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.
Annual Report | September 30, 2022 | 137 |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
3. SECURITIES VALUATION AND FAIR VALUE MEASUREMENTS
The Funds value their investments at fair value. 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.
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, warrants, closed-end funds, exchange-traded funds, preferred stocks, business development companies and special purpose acquisition companies, 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.
138 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
Investments in mutual funds, including short-term investments and open-end funds, are generally priced at the ending 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, convertible 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, business development companies-preferred shares and notes, bank loans, collateralized loan obligations, collaterlized mortgage obligations, equity-linked notes, municipal bonds, and high yield debt, as well as non-exchange traded derivatives, including forward foreign currency contracts, are normally valued on the basis of quotes obtained from brokers and dealers or independent pricing services. Foreign currency positions, including forward foreign currency contracts, are priced at the mean between the closing bid and asked prices at 4:00 p.m. Eastern Time. Prices obtained from independent pricing services typically use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Data used to establish quotes includes analysis of cash flows, pre-payment speeds, default rates, delinquency assumptions and assumptions regarding collateral and loss assumptions. These securities will be classified as Level 2 securities.
Short-term investments in fixed income securities, 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) discounted cash flow models; (iii) weighted average cost or weighted average price; (iv) a discount from market of a similar freely traded security (including a derivative security or a basket of securities traded on other markets, exchanges or among dealers); or (v) yield to maturity with respect to debt issues, or a combination of these and other methods. Good faith pricing is permitted if, in the Adviser’s, a Sub-Adviser’s, or the valuation committee’s opinion, the validity of market quotations appears to be questionable based on factors such as evidence of a thin market in the security based on a small number of quotations, a significant event occurs after the close of a market but before a Fund’s NAV calculation that may affect a security’s value, or the Adviser or a Sub-Adviser is aware of any other data that calls into question the reliability of market quotations.
Annual Report | September 30, 2022 | 139 |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
Good faith pricing may also be used in instances when the bonds in which the Funds invest 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.
The following is a summary of the inputs used at September 30, 2022 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 | | $ | 34,981,872 | | | $ | 5,242 | | | $ | – | | | $ | 34,987,114 | |
Business Development Companies | | | 955,157 | | | | – | | | | – | | | | 955,157 | |
Exchange Traded Funds | | | 2,169,176 | | | | – | | | | – | | | | 2,169,176 | |
Preferred Stocks | | | 381,926 | | | | – | | | | – | | | | 381,926 | |
Business Development Company Notes | | | 1,645,547 | | | | 1,709,212 | | | | – | | | | 3,354,759 | |
U.S. Corporate Bonds | | | – | | | | 358,666 | | | | – | | | | 358,666 | |
Special Purpose Acquisition Companies | | | 873,875 | | | | – | | | | – | | | | 873,875 | |
Rights | | | 1,820 | | | | – | | | | – | | | | 1,820 | |
Warrants | | | 9,089 | | | | – | | | | – | | | | 9,089 | |
Short-Term Investments | | | 1,324,337 | | | | – | | | | – | | | | 1,324,337 | |
Total | | $ | 42,342,799 | | | $ | 2,073,120 | | | $ | – | | | $ | 44,415,919 | |
140 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
Strategic Income Fund | | | | | | | | | | | | |
| | | | | | | | | | | | |
| | Valuation Inputs | | | | |
Investments in Securities at Value* | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Closed-End Funds | | $ | 216,451,398 | | | $ | – | | | $ | – | | | $ | 216,451,398 | |
Business Development Companies | | | 10,173,392 | | | | – | | | | – | | | | 10,173,392 | |
Business Development Companies - Preferred Shares | | | 6,776,148 | | | | 11,043,164 | | | | – | | | | 17,819,312 | |
Open-End Funds | | | 29,458,779 | | | | – | | | | – | | | | 29,458,779 | |
Preferred Stocks | | | 790,501 | | | | 8,906 | | | | – | | | | 799,407 | |
Foreign Corporate Bonds | | | – | | | | 60,477,466 | | | | – | | | | 60,477,466 | |
U.S. Corporate Bonds | | | – | | | | 109,071,547 | | | | – | | | | 109,071,547 | |
Convertible Corporate Bonds | | | – | | | | 16,721 | | | | – | | | | 16,721 | |
Foreign Government Bonds and Notes, Supranationals and Foreign Agencies | | | – | | | | 9,797,623 | | | | – | | | | 9,797,623 | |
Bank Loans | | | – | | | | 27,744,600 | | | | – | | | | 27,744,600 | |
Collateralized Loan Obligations | | | – | | | | 61,132,547 | | | | – | | | | 61,132,547 | |
Collateralized Mortgage Obligations | | | – | | | | 84,312 | | | | – | | | | 84,312 | |
Equity - Linked Notes | | | – | | | | – | | | | – | | | | – | |
Non-Agency Collateralized Mortgage Obligations | | | – | | | | 277,685,592 | | | | – | | | | 277,685,592 | |
Special Purpose Acquisition Companies | | | 18,054,166 | | | | 392,933 | | | | – | | | | 18,447,099 | |
U.S. Government Bonds and Notes | | | – | | | | 123,927,758 | | | | – | | | | 123,927,758 | |
Rights | | | 2 | | | | – | | | | – | | | | 2 | |
Municipal Bonds | | | – | | | | 205,892 | | | | – | | | | 205,892 | |
U.S. Government / Agency Mortgage Backed Securities | | | – | | | | 275,144,950 | | | | – | | | | 275,144,950 | |
Warrants | | | – | | | | – | | | | 0 | | | | 0 | |
Short-Term Investments | | | 94,501,468 | | | | – | | | | – | | | | 94,501,468 | |
Total | | $ | 376,205,854 | | | $ | 956,734,011 | | | $ | – | | | $ | 1,332,939,865 | |
Annual Report | September 30, 2022 | 141 |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
High Income Fund
| | Valuation Inputs | | | | |
Investments in Securities at Value* | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Business Development Companies | | $ | 572,771 | | | $ | – | | | $ | – | | | $ | 572,771 | |
Closed-End Funds | | | 4,396,544 | | | | – | | | | – | | | | 4,396,544 | |
Common Stocks | | | – | | | | 33 | | | | 76,639 | | | | 76,672 | |
Preferred Stocks | | | – | | | | – | | | | 135,003 | | | | 135,003 | |
Bank Loans | | | – | | | | 12,394,781 | | | | – | | | | 12,394,781 | |
Exchange Traded Funds | | | 4,038,650 | | | | – | | | | – | | | | 4,038,650 | |
High Yield Debt | | | – | | | | 23,001,874 | | | | – | | | | 23,001,874 | |
Rights | | | – | | | | – | | | | 0 | | | | 0 | |
Warrants | | | – | | | | 3,614 | | | | – | | | | 3,614 | |
Short-Term Investments | | | 2,694,551 | | | | – | | | | – | | | | 2,694,551 | |
Total | | $ | 11,702,516 | | | $ | 35,400,302 | | | $ | 211,642 | | | $ | 47,314,460 | |
| | Valuation Inputs | | | | |
Other Financial Instruments** | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | – | | | $ | 84,625 | | | $ | – | | | $ | 84,625 | |
Liabilities | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | – | | | $ | (3,345 | ) | | $ | – | | | $ | (3,345 | ) |
Total | | $ | – | | | $ | 81,280 | | | $ | – | | | $ | 81,280 | |
| * | 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. |
142 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
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:
Asset Type | | Balance as of September 30, 2021 | | | 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 September 30, 2022 | | | Net change in unrealized appreciation/ (depreciation) included in the Statements of Operations attributable to Level 3 investments held at September 30, 2022 | |
High Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 75,753 | | | $ | – | | | $ | – | | | $ | – | | | $ | 886 | | | $ | – | | | $ | – | | | $ | – | | | $ | – | | | $ | 76,639 | | | $ | 886 | |
Preferred Stocks | | | 117,022 | | | | – | | | | – | | | | – | | | | (19 | ) | | | 18,000 | | | | – | | | | – | | | | – | | | | 135,003 | | | | (19 | ) |
Rights | | | 28 | | | | – | | | | – | | | | – | | | | (28 | ) | | | – | | | | – | | | | – | | | | – | | | | – | | | | (28 | ) |
| | $ | 192,803 | | | $ | – | | | $ | – | | | $ | – | | | $ | 839 | | | $ | 18,000 | | | $ | – | | | $ | – | | | $ | – | | | $ | 211,642 | | | $ | 839 | |
The table below provides additional information about the Level 3 Fair Value Measurements as of September 30, 2022:
Quantitative Information about Level 3 Fair Value Measurements
High Income Fund
Asset Class | Fair Value (USD) | Valuation Technique | Unobservable Inputs(a) | Value/Range (Weighted Average) |
Common Stocks | $76,639 | Market Comparable Companies | EBITDA Multiple | 5.75x-6.75x (6.25x) |
| | | Revenue Multiple | 0.25x-0.30x (0.275x) |
Preferred Stocks | 135,003 | Market Comparable Companies | EBITDA Multiple | 11.0x-11.5x (11.25x) |
| | | Revenue Multiple | 0.25x-0.30x (0.275x) |
| (a) | A change to the unobservable input may result in a significant change to the value of the investment as follows: |
Unobservable Inputs | Impact to Value if Input Increases | Impact to Value if Input Decreases |
Revenue Multiple EBITDA Multiple | Increase | Decrease |
On August 10, 2022 the Board approved the Adviser as each Fund's valuation designee, effective September 8, 2022, to make all fair valuation determinations with respect to each Fund's portfolio investments, subject to the Board's oversight and adopted all other updates pursuant to Rule 2a-5 under the 1940 Act.
Annual Report | September 30, 2022 | 143 |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
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 forward foreign currency contracts. In doing so, the Funds will employ strategies in differing combinations to permit them to increase, decrease, or change the level or types of exposure to market factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity or debt securities; they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Funds to pursue their objectives more quickly and efficiently than if they were to make direct purchases or sales of securities capable of affecting a similar response to market factors.
Market Risk Factors: In pursuit of their investment objectives, the Funds may seek to use derivatives to increase or decrease their exposure to the following market risk factors:
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 year ended September 30, 2022, 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.
144 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
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.
The effect of derivatives instruments on each Fund's Statement of Assets and Liabilities as of September 30, 2022:
| | | | Asset Derivatives | |
Fund | | Risk Exposure | | Statement of Assets and Liabilities Location | | Fair Value | |
High Income Fund | | Foreign exchange rate risk (Forward foreign currency contracts) | | Unrealized appreciation on forward foreign currency contracts | | $ | 84,625 | |
| | | | 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 | | $ | (3,345 | ) |
Annual Report | September 30, 2022 | 145 |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
The effect of derivatives instruments on each Fund's Statement of Operations for the year ended September 30, 2022:
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 | |
High Income Fund | | Foreign exchange rate risk (Forward foreign currency contracts) | | Net realized gain/(loss) on Forward Foreign Currency Contracts/ Net change in unrealized appreciation/ depreciation on Forward Foreign Currency Contracts | | $ | 1,432,006 | | | $ | (101,229 | ) |
The forward currency contracts average notional amount during the year ended September 30, 2022, is noted below.
Fund | | Average Notional Amount of Forward Foreign Currency Contracts | |
High Income Fund | | $ | 5,313,805 | |
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.
146 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
The following table presents derivative financial instruments that are subject to enforceable netting arrangements, collateral arrangements or other similar agreements as of September 30, 2022.
Offsetting of Derivatives Asset
| | | | | | | | | | | 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 | |
High Income Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | 84,625 | | | $ | – | | | $ | 84,625 | | | $ | (3,345 | ) | | $ | – | | | $ | 81,280 | |
Total | | $ | 84,625 | | | $ | – | | | $ | 84,625 | | | $ | (3,345 | ) | | $ | – | | | $ | 81,280 | |
Annual Report | September 30, 2022 | 147 |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
Offsetting of Derivatives Liability | | | | | | | | | | | | | |
| | | | | | | | | | | Gross Amounts Not Offset in the Statement of Assets and Liabilities | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | 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 | | $ | 3,345 | | | | | | | $ | 3,345 | | | $ | (3,345 | ) | | $ | – | | | $ | – | |
Total | | $ | 3,345 | | | $ | – | | | $ | 3,345 | | | $ | (3,345 | ) | | $ | – | | | $ | – | |
| (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 Strategic Income Fund and High Income Fund may each invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. The Strategic Income Fund and High Income Fund will normally invest in corporate debt issuers in North America and Europe. The Strategic Income Fund’s and High Income Fund’s 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 Strategic Income Fund and High Income Fund may each invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. The Strategic Income Fund and High Income Fund will generally purchase assignments of these loans, in which case they will typically become lenders 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 Strategic Income Fund and High Income Fund generally have no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Strategic Income Fund and High Income Fund may each be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. The Strategic Income Fund and High Income Fund may each 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 Strategic Income Fund and High Income Fund have the right to receive payments of principal, interest and any fees to which they are entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. The Strategic Income Fund and High Income Fund may each 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 Strategic Income Fund and High Income Fund may each 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 Statements of Operations. At September 30, 2022, the Strategic Income Fund and High Income Fund had $139,921 and $121,986 in unsettled loan commitments, respectively.
148 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
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 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 waive 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, 2023 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 Board on 60 days’ written notice to the Adviser. Any waiver 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. The recoupment period is limited to three years from the time the expenses were waived or incurred, and such recoupment is limited to the lesser of (i) the expense cap in effect at the time of the waiver, and (ii) the expense cap in effect at the time of recapture.
Annual Report | September 30, 2022 | 149 |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
For the year ended September 30, 2022, reimbursed expenses for the High Income Fund subject to potential recovery by year of expiration are as follows:
| | Expiring September 30, | |
| | 2023 | | | 2024 | | | 2025 | |
High Income Fund | | | | | | | | | | | | |
Class I | | $ | 145,507 | | | $ | 163,274 | | | $ | 111,424 | |
Class R | | $ | 19,074 | | | $ | 19,154 | | | $ | 11,927 | |
Total | | $ | 164,581 | | | $ | 182,428 | | | $ | 123,351 | |
Effective January 28, 2022 and through at least January 31, 2023, the Adviser has contractually agreed to defer management fees and/or reimburse certain expenses in an amount equal to the sum of any acquired fund fees and expenses, if any, incurred by the Strategic Income Fund's investment in acquired funds managed by the Adviser or an investment adviser controlling, controlled by or under common control with RiverNorth. The agreement may be terminated by the Board on 60 days' written notice to the Adviser. The Adviser may recoup any waived or reimbursed amounts from the Strategic Income Fund provided that the recoupment period is limited to three years from the time the expenses were waived or incurred, and such recoupment is limited to the lesser of (i) the applicable expense limitation in effect at the time of the waiver, and (ii) the applicable expense limitation in effect at the time of recapture. Prior to January 28, 2022, the Adviser had voluntarily agreed to waive these fees for the Strategic Income Fund.
For the year ended September 30, 2022, the Adviser waived $182,951 in affiliated management fees attributable to the Strategic Income Fund related to the Fund's investment in an affiliated fund, the High Income Fund. The Investment Adviser Fee disclosed on the Strategic Income Fund's Statement of Operations is reflective of this waiver of affiliated management fees.
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 Trustees, provide to the Strategic Income Fund and the High Income Fund such investment advice as deemed advisable and will furnish 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, out of its own fee, 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 agent, dividend paying and shareholder servicing agent for the Funds (“Transfer Agent”). ALPS receives an annual fee based on the Funds' average daily net assets, subject to certain minimums.
State Street Bank & Trust, Co. serves as the Funds’ custodian.
The Funds have adopted a plan pursuant to Rule 12b-1 under the 1940 Act (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. The expenses of the Funds’ Plan are reflected as 12b-1 fees in the Statements of Operations.
150 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
The Funds have entered into a Distribution Agreement with ALPS Distributors, Inc., an affiliate of ALPS, to provide distribution services to the Funds. The Distributor serves as underwriter/distributor of shares of the Funds.
Trustees who are “interested persons” of the Trust receive no salary or fees from the Trust. Each Trustee who is not an “interested person” receives a fee of $36,000 per year, plus $1,500 per meeting attended from the Trust. In addition, the chair of the audit committee receives $1,000 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. A Trustee and certain Officers of the Trust are also employees of the Adviser, the Distributor or ALPS.
The Trust's officers receive no compensation directly from the Trust for performing the duties of their offices. The Trust's Chief Compliance Officer ("CCO") provides compliance services to the Trust and is also an employee and CCO of the Adviser. The CCO receives compensation directly from the Adviser for his compliance services. The Trust reimburses the Adviser for certain compliance costs related to the Funds, inclusive of a portion of the CCO's compensation. The expenses of the CCO are reflected as Compliance expenses in the Statements of Operations.
7. NEW ACCOUNTING PRONOUNCEMENTS AND RULE ISSUANCES
In December 2020, the SEC voted to adopt a new rule providing a framework for fund valuation practices (“Rule 2a-5”). Rule 2a-5 establishes requirements for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 permits fund boards to designate certain parties to perform fair value determinations, subject to board oversight and certain other conditions. Rule 2a-5 also defines when market quotations are “readily available” for purposes of Section 2(a)(41) of the 1940 Act, which requires a fund to fair value a security when market quotations are not readily available, and the threshold for determining whether a fund must fair value a security. The SEC also adopted new Rule 31a-4 under the 1940 Act, which sets forth the recordkeeping requirements associated with fair value determinations. Finally, the SEC rescinded previously issued guidance on related issues, including the role of a board in determining fair value and the accounting and auditing of fund investments. Rule 2a-5 and Rule 31a-4 became effective on March 8, 2021, with a compliance date of September 8, 2022. Management has implemented and the new rule does not have a material impact on the Funds' financial statements.
8. TAX BASIS INFORMATION
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.
Annual Report | September 30, 2022 | 151 |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
The tax character of distributions paid by the Funds during the fiscal year ended September 30, 2022, was as follows
| | | Ordinary Income | | | Tax-Exempt Income | | | Distributions paid from Long-Term Capital Gain | | | Return of Capital | | | Total | |
Core Opportunity Fund | | | $ | 12,245,663 | | | $ | 10,045 | | | $ | 3,522,811 | | | $ | 494,111 | | | $ | 16,272,630 | |
Strategic Income Fund | | | | 105,942,187 | | | | – | | | | – | | | | – | | | | 105,942,187 | |
High Income Fund | | | | 1,685,294 | | | | – | | | | – | | | | – | | | | 1,685,294 | |
The tax character of distributions paid by the Funds during the fiscal year ended September 30, 2021, was as follows:
| | | Ordinary Income | | | Tax-Exempt Income | | | Distributions paid from Long-Term Capital Gain | | | Return of Capital | | | Total | |
Core Opportunity Fund | | | $ | 3,460,956 | | | $ | 45,613 | | | $ | 1,274,405 | | | $ | – | | | $ | 4,780,974 | |
Strategic Income Fund | | | | 78,654,006 | | | | – | | | | – | | | | – | | | | 78,654,006 | |
High Income Fund | | | | 1,582,824 | | | | – | | | | – | | | | – | | | | 1,582,824 | |
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, 2022, certain differences were reclassified. The amounts reclassified did not affect net assets. The reclassifications were as follows:
| | | Paid-in Capital | | | Total Distributable Earnings | |
Core Opportunity Fund | | | $ | – | | | $ | – | |
Strategic Income Fund | | | | (139,530 | ) | | | 139,530 | |
High Income Fund | | | | – | | | | – | |
At September 30, 2022, the components of distributable earnings on a tax basis for the Funds were as follows:
| | | Undistributed Ordinary Income | | | Accumulated Capital and Other Losses | | | Net Unrealized Appreciation/ (Depreciation) | | | Other Cumulative Effect of Timing Differences | | | Total | |
Core Opportunity Fund | | | $ | – | | | $ | (1,964,619 | ) | | $ | (8,282,646 | ) | | $ | – | | | $ | (10,247,265 | ) |
Strategic Income Fund | | | | 4,208,880 | | | | (52,642,724 | ) | | | (400,523,542 | ) | | | – | | | | (448,957,386 | ) |
High Income Fund | | | | 998,816 | | | | (5,790,015 | ) | | | (6,254,506 | ) | | | (81,280 | ) | | | (11,126,985 | ) |
152 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
Capital Losses: As of September 30, 2022, the following Funds had capital loss carryforwards which may reduce the applicable Fund’s taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Code and thus may reduce the amount of the distributions to shareholders which would otherwise be necessary to relieve the Funds of any liability for federal tax pursuant to the Code. The capital loss carryforwards may be carried forward indefinitely.
Capital losses carried forward were as follows:
| | | | | | | |
Fund | | | Non-Expiring Short-Term | | | Non-Expiring Long-Term | |
Strategic Income Fund | | | $ | 30,356,568 | | | $ | 22,286,156 | |
High Income Fund | | | | 1,556,621 | | | | 4,233,394 | |
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 September 30, 2022, were as follows:
Fund | | | Gross Appreciation (excess of value over tax) | | | Gross Depreciation (excess of tax cost over value) | | | Net Appreciation on Foreign Currency and Derivatives | | | Net Unrealized Appreciation/ (Depreciation) | | | Cost of Investments for Income Tax Purposes | |
Core Opportunity Fund* | | | $ | 1,717,222 | | | $ | (9,999,852 | ) | | $ | (16 | ) | | $ | (8,282,646 | ) | | $ | 52,698,550 | |
Strategic Income Fund* | | | | 3,888,231 | | | | (404,411,773 | ) | | | – | | | | (400,523,542 | ) | | | 1,733,463,407 | |
High Income Fund* | | | | 48,814 | | | | (6,381,915 | ) | | | 78,595 | | | | (6,254,506 | ) | | | 53,647,561 | |
| * | The difference between book and tax basis unrealized appreciation/(depreciation) for the Funds is attributable primarily to passive foreign investment companies, wash sales, forward contract mark to market, tax treatment of premium amortization and tax treatment of certain other investments. |
The Fund elects to defer to the period ending September 30, 2023, capital losses recognized during the period November 1, 2021 - September 30, 2022 in the amount of:
Fund | | Amount | |
RiverNorth Core Opportunity Fund | | $ | 1,153,487 | |
The RiverNorth Core Opportunity Fund elects to defer to the period ending September 30, 2023, late year ordinary losses in the amount of $811,132.
Annual Report | September 30, 2022 | 153 |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
9. INVESTMENT TRANSACTIONS
Investment transactions for the year ended September 30, 2022, excluding U.S. government obligations and short-term investments, were as follows:
Fund | | | Purchases of Securities | | | Proceeds from Sales of Securities | |
Core Opportunity Fund | | | $ | 61,662,576 | | | $ | 70,619,271 | |
Strategic Income Fund | | | | 809,109,304 | | | | 894,912,212 | |
High Income Fund | | | | 31,245,144 | | | | 23,728,582 | |
Investment Transactions in long term U.S. Government Obligations for the year ended September 30, 2022 were as follows:
| | | Purchases of Securities | | | Proceeds from Sales of Securities | |
Strategic Income Fund | | | | 876,584,898 | | | | 937,780,901 | |
10. INVESTMENTS IN AFFILIATED COMPANIES
The Funds may invest in certain securities that are considered securities issued by affiliated companies. As defined by the 1940 Act, 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 year ended September 30, 2022 were as follows:
Strategic Income Fund
Security Name | | Market Value as of September 30, 2021 | | | Purchases | | | Sales | | | Realized Gain/Loss | | | Change in Unrealized Gain (Loss) | | | Market Value as of September 30, 2022 | | | Share Balance as of September 30, 2022 | | | Dividends | |
Controlled Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
RiverNorth/Oaktree High Income Fund | | $ | 32,734,160 | | | $ | 1,168,266 | | | $ | – | | | $ | – | | | $ | (4,443,647 | ) | | $ | 29,458,779 | | | | 3,566,438 | | | $ | 1,168,266 | |
| | $ | 32,734,160 | | | $ | 1,168,266 | | | $ | – | | | $ | – | | | $ | (4,443,647 | ) | | $ | 29,458,779 | | | | 3,566,438 | | | $ | 1,168,266 | |
11. 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, April 5, 2016, April 4, 2017, April 3, 2018, April 2, 2019, March 31, 2020, March 30, 2021 and on March 29, 2022. The Revolving Credit Agreement expires on March 28, 2023. Borrowings under this arrangement bear interest at the higher of the Federal Funds Rate and the Overnight Bank Funding Rate in effect on the day the loan is made plus 1.25%, which was 4.32% at September 30, 2022. For the year ended September 30, 2022, 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 0.25%.
154 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
For the year ended September 30, 2022, Core Opportunity Fund, Strategic Income Fund and High Income Fund had no borrowings under the Revolving Credit Agreement.
12. BENEFICIAL OWNERSHIP
On September 30, 2022, 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 1940 Act. Beneficial owners owning more than 25% of the voting securities for the benefit of their customers of each class of each Fund, as of September 30, 2022, are listed below:
Fund | Shareholder Name | Percentage Interest |
Core Opportunity Fund – Class I | Pershing | 44.63% |
Core Opportunity Fund – Class R | Charles Schwab & Company, Inc. | 35.61% |
Core Opportunity Fund – Class R | National Financial Services, LLC | 28.09% |
Strategic Income Fund – Class I | Charles Schwab & Company, Inc. | 40.05% |
Strategic Income Fund – Class R | Charles Schwab & Company, Inc. | 31.74% |
Strategic Income Fund – Class R | TD Ameritrade, Inc. | 34.05% |
High Income Fund – Class I | RiverNorth/DoubleLine Strategic Income Fund | 66.62% |
High Income Fund – Class R | Charles Schwab & Company, Inc. | 63.53% |
13. 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.
14. LIBOR TRANSITION
Certain of the Funds’ investments, payment obligations and financing terms may be based on floating rates, such as LIBOR, Euro Interbank Offered Rate and other similar types of reference rates (each, a “Reference Rate”). In July of 2017, the head of the UK Financial Conduct Authority (“FCA”) announced a desire to phase out the use of LIBOR by the end of 2021. Most LIBOR settings are no longer published as of December 31, 2021 and a majority of U.S. dollar LIBOR settings will cease publication after June 30, 2023. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing Secured Overnight Financing Rate Data (“SOFR”) that is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new reference rates. Uncertainty related to the liquidity impact of the change in rates, and how to appropriately adjust these rates at the time of transition, poses risks for the Underlying Funds and Funds. The effect of any changes to, or discontinuation of, LIBOR on the Underlying Funds and Funds will depend on, among other things, (1) existing fallback or termination provisions in individual contracts, and (2) whether, how, and when industry participants develop and adopt new reference rates and fallbacks for both legacy and new instruments and contracts. The expected discontinuation of LIBOR could have a significant impact on the financial markets in general and may also present heightened risk to market participants, including public companies, investment advisers, investment companies, and broker-dealers. The risks associated with this discontinuation and transition will be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. For example, current information technology systems may be unable to accommodate new instruments and rates with features that differ from LIBOR. Accordingly, it is difficult to predict the full impact of the transition away from LIBOR on the Underlying Funds and Funds until new reference rates and fallbacks for both legacy and new instruments and contracts are commercially accepted and market practices become settled.
Annual Report | September 30, 2022 | 155 |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
The transition process might lead to increased volatility and illiquidity in markets for instruments whose terms currently include LIBOR. It could also lead to a reduction in the value of some LIBOR-based investments. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the completion of the transition. All of the aforementioned may adversely affect the Funds' performance or NAV.
15. CORONAVIRUS (COVID-19) PANDEMIC
Beginning in the first quarter of 2020, financial markets in the United States and around the world experienced extreme and in many cases unprecedented volatility and severe losses due to the global pandemic caused by COVID-19, a novel coronavirus. The outbreak was first detected in December 2019 and subsequently spread globally, and since then, the number of cases has fluctuated and new "variants" have been confirmed around the world. The pandemic has resulted in a wide range of social and economic disruptions, including closed borders, voluntary or compelled quarantines of large populations, stressed healthcare systems, reduced or prohibited domestic or international travel, supply chain disruptions, and so-called “stay-at-home” orders throughout much of the United States and many other countries. The fall-out from these disruptions has included the rapid closure of businesses deemed “non-essential” by federal, state, or local governments and rapidly increasing unemployment, as well as greatly reduced liquidity for certain instruments at times. Some sectors of the economy and individual issuers have experienced particularly large losses. Such disruptions may continue for an extended period of time or reoccur in the future to a similar or greater extent. In response, the U.S. government and the Federal Reserve have taken extraordinary actions to support the domestic economy and financial markets, resulting in very low interest rates and in some cases negative yields. Although vaccines for COVID-19 have become more widely available, it is unknown how long circumstances related to the pandemic will persist, whether they will reoccur in the future, whether efforts to support the economy and financial markets will be successful, and what additional implications may follow from the pandemic. The impact of these events and other epidemics or pandemics in the future could adversely affect Fund performance.
156 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Notes to Financial Statements |
September 30, 2022
16. SUBSEQUENT EVENTS
The Trust has performed an evaluation of subsequent events through the date the financial statements were issued and has determined that no additional items require recognition or disclosure.
Annual Report | September 30, 2022 | 157 |
| Report of Independent Registered |
RiverNorth Funds | Public Accounting Firm |
September 30, 2022
To the Shareholders and Board of Trustees of RiverNorth Funds
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of RiverNorth Funds, comprising RiverNorth Core Opportunity Fund, RiverNorth/DoubleLine Strategic Income Fund, and RiverNorth/Oaktree High Income Fund (the “Funds”) as of September 30, 2022, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the related notes, and the financial highlights for each of the five years in the period then ended (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2022, the results of their operations for the year then ended, the changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022, by correspondence with the custodian, agent banks, and brokers; when replies were not received from agent banks or brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of RiverNorth Capital Management, LLC’s investment companies since 2006.
![](https://capedge.com/proxy/N-CSR/0001398344-22-024344/fp0081145_17.jpg)
COHEN & COMPANY, LTD.
Cleveland, Ohio
December 7, 2022
158 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Additional Information |
September 30, 2022 (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 Part F of N-PORT. The Funds’ first and third fiscal quarters end on December 31 and June 30. The Form N-PORT must be made within 60 days of the end of the quarter. The Funds’ Form N-PORT is available on the SEC’s website at www.sec.gov. You may also obtain copies by calling the Funds at 1-888-848-7569 or on the Funds' website, www.rivernorth.com.
UNAUDITED TAX INFORMATION
The RiverNorth Core Opportunity Fund designated the following for federal income tax purposes for the year ended September 30, 2022:
| Foreign Taxes Paid | Foreign Source Income | Tax-Exempt Percentage |
RiverNorth Core Opportunity Fund | $22,504 | $74,685 | 0.42% |
Of the distributions paid by the Funds from ordinary income for the calendar year ended December 31, 2021, the following percentages met the requirements to be treated as qualifying for the corporate dividends received deduction and qualified dividend income:
| Dividend Received Deduction | Qualified Dividend Income |
RiverNorth Core Opportunity Fund | 1.74% | 4.94% |
RiverNorth DoubleLine Strategic Income Fund | 0.00% | 0.00% |
RiverNorth Oaktree High Income Fund | 0.00% | 0.00% |
In early 2022, if applicable, shareholders of record received this information for the distributions paid to them by the Funds during the calendar year 2021 via Form 1099. The Funds will notify shareholders in early 2023 of amounts paid to them by the Funds, if any, during the calendar year 2022.
Pursuant to Section 852(b)(3) of the Internal Revenue Code, RiverNorth Core Opportunity Fund designated $3,522,811 as long-term capital gain dividends.
Annual Report | September 30, 2022 | 159 |
RiverNorth Funds | Liquidity Risk Management Program |
September 30, 2022 (Unaudited)
The Funds have implemented a liquidity risk management program (the “LRM Program”) as required by Rule 22e-4 under the Investment Company Act of 1940, as amended. The LRM Program’s principal objectives include assessing, managing, and periodically reviewing each Fund’s liquidity risk. Liquidity risk is defined as the risk that a Fund could not meet shareholder redemption requests without significant dilution of remaining shareholders’ interests in the Fund.
In accordance with the requirements of Rule 22e-4, the program administrator conducted an annual review of the LRM Program and, in August 2022, provided the Board of Trustees (the “Board”) with a report addressing the operation of the LRM Program and assessing its adequacy and effectiveness. Among other things, the program administrator reported to the Board as to the following:
| ● | each Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of their respective shareholders; |
| ● | there were no material changes to the LRM Program during the period; |
| ● | each Fund’s strategy continued to be effective for an open-end mutual fund; |
| ● | the implementation of the LRM Program was effective to manage each Fund’s liquidity risk and remains reasonably designed to manage each Fund’s liquidity risk; |
| ● | the LRM Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the highly liquid investment minimum requirements; and |
| ● | the LRM Program operated adequately during the period and was effective in assessing, monitoring and managing the liquidity risk of each Fund’s portfolio. |
There can be no assurance that the LRM Program will achieve its objectives in the future. Please refer to the Funds’ prospectuses for more information regarding the Funds’ exposure to liquidity risk and other principal risks to which an investment in the Funds may be subject.
160 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Trustees and Officers |
September 30, 2022 (Unaudited)
The following table provides information regarding each Trustee who is not an “interested person” of the Trust, as defined in the 1940 Act.
INDEPENDENT TRUSTEES
Name, Address1 and Year of Birth | Position(s) Held with the Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen by Director2 | Other Directorships Held by the Director During the Past 5 Years |
John K. Carter (1961) | Trustee | Indefinite/ January 2013 to present | Founder, Special Counsel, Law Office of John K. Carter, P.A. (a general practice and corporate law firm) (2015 to present); Managing Partner, Global Recruiters of St. Petersburg (a financial services consulting and recruiting firm) (2012 to present). | 11 | Carillon Mutual Funds (14 funds) (2016 to present); RiverNorth/DoubleLine Strategic Opportunity Fund, Inc. (1 fund) (2016 to present); RiverNorth Specialty Finance Corporation (1 fund) (2016 to present); RiverNorth Opportunities Fund, Inc. (1 fund)(2013 to present); RiverNorth Opportunistic Municipal Income Fund, Inc. (1 fund) (2018 to present); RiverNorth Managed Duration Municipal Income Fund, Inc. (2019 to present)(1 fund); RiverNorth Flexible Municipal Income Fund, Inc. (2020 to present)(1 Fund); RiverNorth Flexible Municipal Income Fund II, Inc. (1 fund)(2021 to present); RiverNorth Managed Duration Municipal Income Fund II, Inc. (1 fund)(2022 to present). |
Annual Report | September 30, 2022 | 161 |
RiverNorth Funds | Trustees and Officers |
September 30, 2022 (Unaudited)
INDEPENDENT TRUSTEES
Name, Address1 and Year of Birth | Position(s) Held with the Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen by Director2 | Other Directorships Held by the Director During the Past 5 Years |
J. Wayne Hutchens (1944) | Trustee | Indefinite/ September 2021 to present | Currently retired; Trustee of the Denver Museum of Nature and Science (2000 to 2020); Director of AMG National Trust Bank (June 2012 to present); Trustee of Children’s Hospital Colorado (May 2012 to 2020). | 11 | ALPS Series Trust (11 funds) (2012 to present); RiverNorth/DoubleLine Strategic Opportunity Fund, Inc. (1 fund) (2018 to present); RiverNorth Specialty Finance Corporation (1 fund) (2016 to present); RiverNorth Opportunities Fund, Inc. (1 fund)(2013 to present); RiverNorth Opportunistic Municipal Income Fund, Inc. (1 fund) (2018 to present); RiverNorth Managed Duration Municipal Income Fund, Inc. (2019 to present)(1 fund); RiverNorth Flexible Municipal Income Fund, Inc. (2020 to present)(1 Fund); RiverNorth Flexible Municipal Income Fund II, Inc. (1 fund)(2021 to present); RiverNorth Managed Duration Municipal Income Fund II, Inc. (1 fund) (2022 to present). |
162 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Trustees and Officers |
September 30, 2022 (Unaudited)
INDEPENDENT TRUSTEES
Name, Address1 and Year of Birth | Position(s) Held with the Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen by Director2 | Other Directorships Held by the Director During the Past 5 Years |
John S. Oakes (1943) | Trustee | Indefinite/ December 2010 to present | Currently retired; Principal, Financial Search and Consulting (a recruiting and consulting firm) 2013 to 2017). | 11 | RiverNorth/DoubleLine Strategic Opportunity Fund, Inc. (1 fund) (2016 to present); RiverNorth Specialty Finance Corporation (1 fund)(2016 to present); RiverNorth Opportunities Fund, Inc. (1 fund)(2013 to present); RiverNorth Opportunistic Municipal Income Fund, Inc. (1 fund) (2018 to present); RiverNorth Managed Duration Municipal Income Fund, Inc. (2019 to present)(1 fund); RiverNorth Flexible Municipal Income Fund, Inc. (2020 to present)(1 Fund); RiverNorth Flexible Municipal Income Fund II, Inc. (1 fund)(2021 to present); RiverNorth Managed Duration Municipal Income Fund II, Inc. (1 fund)(2022 to present). |
Annual Report | September 30, 2022 | 163 |
RiverNorth Funds | Trustees and Officers |
September 30, 2022 (Unaudited)
INDEPENDENT TRUSTEES
Name, Address1 and Year of Birth | Position(s) Held with the Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen by Director2 | Other Directorships Held by the Director During the Past 5 Years |
David M. Swanson (1957) | Trustee | Indefinite/ November 2018 to present | Founder & Managing Partner, SwanDog Strategic Marketing (2006 to present). | 11 | RiverNorth/DoubleLine Strategic Opportunity Fund, Inc. (1 fund) (2018 to present); RiverNorth Specialty Finance Corporation (1 fund) (2016 to present); RiverNorth Opportunities Fund, Inc. (1 fund)(2013 to present); RiverNorth Opportunistic Municipal Income Fund, Inc. (1 fund) (2018 to present); RiverNorth Managed Duration Municipal Income Fund, Inc. (2019 to present)(1 fund); RiverNorth Flexible Municipal Income Fund, Inc. (2020 to present)(1 Fund); RiverNorth Flexible Municipal Income Fund II, Inc. (1 fund)(2021 to present); RiverNorth Managed Duration Municipal Income Fund II, Inc. (1 fund)(2022 to present); ALPS Variable Investment Trust (7 funds) (2006 to present). |
| 1 | The mailing address of each Trustee is 360 South Rosemary Avenue, Suite 1420, West Palm Beach, FL 33401. |
| 2 | 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, RiverNorth Opportunities Fund, Inc., RiverNorth DoubleLine Strategic Opportunity Fund, Inc., RiverNorth Opportunistic Municipal Income Fund, Inc., RiverNorth Flexible Municipal Income Fund, Inc., RiverNorth Flexible Municipal Income Fund II, Inc., RiverNorth Managed Duration Municipal Income Fund, Inc., RiverNorth Managed Duration Municipal Income Fund II, Inc. and RiverNorth Specialty Finance Corporation. |
164 | (888) 848-7569 | www.rivernorth.com |
RiverNorth Funds | Trustees and Officers |
September 30, 2022 (Unaudited)
The following table provides information regarding each Trustee who is an “interested person” of the Trust, as defined in the 1940 Act, and each officer of the Trust.
INTERESTED TRUSTEES AND OFFICERS
Name, Address1 and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen by Director2 | Other Directorships Held by the Director During the Past 5 Years |
Patrick W. Galley3 (1975) | President, Principal Executive Officer and Trustee | Indefinite/ July 2006 to present | Chief Investment Officer, RiverNorth Capital Management, LLC (2004 to present); Board of Managers of RiverNorth Capital Management, LLC and RiverNorth Securities, LLC (since 2010) and Board of Directors RiverNorth Holdings, Co. (since 2010). | 11 | RiverNorth/DoubleLine Strategic Opportunity Fund, Inc. (1 fund) (2016 to present); RiverNorth Specialty Finance Corporation (1 fund) (2016 to present); RiverNorth Opportunities Fund, Inc. (1 fund)(2013 to present); RiverNorth Opportunistic Municipal Income Fund, Inc. (1 fund) (2018 to present); RiverNorth Managed Duration Municipal Income Fund, Inc. (2019 to present)(1 fund); RiverNorth Flexible Municipal Income Fund, Inc. (2020 to present)(1 Fund); RiverNorth Flexible Municipal Income Fund II, Inc. (1 fund)(2021 to present); RiverNorth Managed Duration Municipal Income Fund II, Inc. (1 fund)(2022 to present). |
Annual Report | September 30, 2022 | 165 |
RiverNorth Funds | Trustees and Officers |
September 30, 2022 (Unaudited)
INTERESTED TRUSTEES AND OFFICERS
Name, Address1 and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen by Director2 | Other Directorships Held by the Director During the Past 5 Years |
Jonathan M. Mohrhardt (1974) | Treasurer and Chief Financial Officer | Indefinite/ February 2009 to present | President, RiverNorth Capital Management, LLC (since 2020); Chief Operating Officer, RiverNorth Capital Management, LLC (2011 to present). | N/A | N/A |
Marcus L. Collins (1968) | Chief Compliance Officer; Secretary | Indefinite/ May 2012 to present; Indefinite/ January 2017 to present | General Counsel, RiverNorth Capital Management, LLC (2012 to present); Chief Compliance Officer, RiverNorth Capital Management, LLC (2012 to present). | N/A | N/A |
| 1 | The mailing address of each Trustee and officer, unless otherwise noted, is 360 South Rosemary Avenue, Suite 1420, West Palm Beach, FL 33401. |
| 2. | 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, RiverNorth Opportunities Fund, Inc., RiverNorth DoubleLine Strategic Opportunity Fund, Inc., RiverNorth Opportunistic Municipal Income Fund, Inc., RiverNorth Flexible Municipal Income Fund, Inc., RiverNorth Flexible Municipal Income Fund II, Inc., RiverNorth Managed Duration Municipal Income Fund, Inc., RiverNorth Managed Duration Municipal Income Fund II, Inc. and RiverNorth Specialty Finance Corporation. |
| 3. | Patrick W. Galley is considered an “Interested” Trustee as defined in the Investment Company Act of 1940, as amended, because he is an officer of the Trust and Chief Executive Officer and Chief Investment Officer of the Funds' investment adviser. |
The Statement of Additional Information includes additional information about the Trust's Trustees and is available, without charge, upon request by calling (toll-free) 1-888-848-7569.
166 | (888) 848-7569 | www.rivernorth.com |
Intentionally Left Blank
RiverNorth Funds
RiverNorth Core Opportunity Fund
RiverNorth/DoubleLine Strategic Income Fund
RiverNorth/Oaktree High Income Fund
Board of Trustees
Patrick W. Galley, CFA, Chairman
John S. Oakes
David M. Swanson
John K. Carter
J. Wayne Hutchens
Investment Adviser
RiverNorth Capital Management, LLC
Sub Advisers
DoubleLine Capital LP
Oaktree Fund Advisors, LLC
Transfer Agent, Administrator and
Dividend Disbursing Agent
ALPS Fund Services, Inc.
Distributor
ALPS Distributors, Inc.
Custodian
State Street Bank & Trust, Co.
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.
| (a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller or any persons performing similar functions (“Officers”) on behalf of the registrant. |
| (b) | For purposes of this item, “code of ethics” means written standards that are reasonably designed to deter wrongdoing and to promote: |
| (1) | Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; |
| (2) | Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Commission and in other public communications made by the registrant; |
| (3) | Compliance with applicable governmental laws, rules, and regulations; |
| (4) | The prompt internal reporting of violations of the code of ethics to an appropriate person or persons identified in the code of ethics; and |
| (5) | Accountability for adherence to the code of ethics. |
| (c) | Amendments: During the period covered by this report, no amendments were made to the provisions of the code of ethics adopted in 2(a) above. |
| (d) | Waivers: During the period covered by this report, no implicit or explicit waivers to the provisions of the code of ethics adopted in 2(a) above were granted. |
| (e) | Posting: We do not intend to post the code of ethics for the Officers or any amendments or waivers on a website. |
| (f) | Availability: The code of ethics for the Officers can be obtained, free of charge by calling the toll-free number for the appropriate Fund listed in that Fund’s prospectus. |
| Item 3. | Audit Committee Financial Expert. |
The registrant’s board of trustees has determined that the registrant does not have an audit committee financial expert. The committee members and the full Board considered a possibility of adding a member that would qualify as an expert. The audit committee determined that, although none of its members meet the technical definition of an audit committee expert, the committee has sufficient financial expertise to adequately perform its duties under the Audit Committee Charter without the addition of a qualified expert.
| Item 4. | Principal Accountant Fees and Services. |
(a) | Audit Fees | |
Fiscal Year | Audit Fees |
FY 2022 | $87,200 |
FY 2021 | $82,901 |
(b) | Audit-Related Fees | |
Fiscal Year | Registrant |
FY 2022 | $0 |
FY 2021 | $0 |
(c) | Tax Fees | |
Fiscal Year | Registrant |
FY 2022 | $15,900 |
FY 2021 | $15,000 |
Nature of the Tax Fees: prepare tax returns |
(d) | All Other Fees | |
Fiscal Year | Registrant |
FY 2022 | $0 |
FY 2021 | $0 |
(1) Audit Committee’s Pre-Approval Policies
The Audit Committee Charter requires the Audit Committee to be responsible for the selection, retention or termination of auditors and, in connection therewith, to (i) evaluate the proposed fees and other compensation, if any, to be paid to the auditors, (ii) evaluate the independence of the auditors, (iii) pre-approve all audit services and, when appropriate, any non-audit services provided by the independent auditors to the Trust, (iv) pre-approve, when appropriate, any non-audit services provided by the independent auditors to the Trust's investment adviser, or any entity controlling, controlled by, or under common control with the investment adviser and that provides ongoing services to the Trust if the engagement relates directly to the operations and financial reporting of the Trust, and (v) receive the auditors’ specific representations as to their independence.
(2) Percentages of Services Approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
Registrant | |
Audit-Related Fees: | 0% |
Tax Fees: | 0% |
All Other Fees: | 0% |
| (f) | During audit of registrant's financial statements for the most recent fiscal year, less than 50 percent of the hours expended on the principal accountant's engagement were attributed to work performed by persons other than the principal accountant's full-time, permanent employees. |
| (g) | The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant: |
Fiscal Year | Registrant | Adviser |
FY 2022 | $15,000 | $0 |
FY 2021 | $15,000 | $0 |
| Item 5. | Audit Committee of Listed Registrants. |
NOT APPLICABLE – applies to listed companies only
| Item 6. | Schedule of Investments. |
| (a) | The schedule of investments is included as part of the Report to Stockholders filed under Item 1(a) of this report. |
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
NOT APPLICABLE – applies to closed-end funds only
| Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
NOT APPLICABLE – applies to closed-end funds only
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
NOT APPLICABLE – applies to closed-end funds only
| Item 10. | Submission of Matters to Vote of Security Holders. |
The registrant has not adopted procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
| Item 11. | Controls and Procedures. |
| (a) | Based on an evaluation of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) 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 (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
| Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
NOT APPLICABLE – applies to closed-end funds only
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: RiverNorth Funds
By: | /s/ Patrick W. Galley | |
Name: | Patrick W. Galley | |
Title: | President | |
| | |
Date: | December 9, 2022 | |
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.
By: | /s/ Patrick W. Galley | |
Name: | Patrick W. Galley | |
Title: | President & Chief Executive Officer | |
| | |
Date: | December 9, 2022 | |
By: | /s/ Jonathan M. Mohrhardt | |
Name: | Jonathan M. Mohrhardt | |
Title: | Treasurer & Chief Financial Officer | |
| | |
Date: | December 9, 2022 | |