0001193125-12-041179.txt : 20120206 0001193125-12-041179.hdr.sgml : 20120206 20120206162406 ACCESSION NUMBER: 0001193125-12-041179 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 10 CONFORMED PERIOD OF REPORT: 20111130 FILED AS OF DATE: 20120206 DATE AS OF CHANGE: 20120206 EFFECTIVENESS DATE: 20120206 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Stone Harbor Investment Funds CENTRAL INDEX KEY: 0001391673 IRS NUMBER: 000000000 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-22037 FILM NUMBER: 12573890 BUSINESS ADDRESS: STREET 1: ONE INTERNATIONAL PLACE STREET 2: C/O ROPES & GRAY LLP CITY: BOSTON STATE: MA ZIP: 02110 BUSINESS PHONE: 617-951-7000 MAIL ADDRESS: STREET 1: ONE INTERNATIONAL PLACE STREET 2: C/O ROPES & GRAY LLP CITY: BOSTON STATE: MA ZIP: 02110 0001391673 S000017755 Stone Harbor Emerging Markets Debt Fund C000049024 Institutional Class C000049025 Distributor Class 0001391673 S000017756 Stone Harbor High Yield Bond Fund C000049026 Institutional Class C000049027 Distributor Class 0001391673 S000029052 Stone Harbor Local Markets Fund C000089233 Distributor Class C000089234 Institutional Class 0001391673 S000030472 Stone Harbor Emerging Markets Corporate Debt Fund C000093626 Institutional C000093627 Distributor N-CSRS 1 d290211dncsrs.htm STONE HARBOR INVESTMENT FUNDS SEMI-ANNUAL REPORT Stone Harbor Investment Funds Semi-Annual Report
Table of Contents

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: 811-22037

Stone Harbor Investment Funds

(Exact name of registrant as specified in charter)

1290 Broadway, Suite 1100

Denver, CO 80203

(Address of principal executive offices) (Zip code)

Adam J. Shapiro, Esq.

c/o Stone Harbor Investment Partners LP

31 West 52nd Street, 16th Floor

New York, NY 10019

(Name and address of agent for service)

With copies To:

John M. Loder, Esq.

Ropes & Gray LLP

One International Place

Boston, MA 02110-2624

Registrant’s telephone number, including area code: (303) 623-2577

Date of fiscal year end: May 31

Date of reporting period: June 1, 2011 - November 30, 2011


Table of Contents

Item 1. Report to Stockholders.


Table of Contents

LOGO

 


Table of Contents
Stone Harbor Investment Funds   Table of Contents
  November 30, 2011 (Unaudited)

 

 

 

Shareholder Letter

  2

Disclosure of Fund Expenses

  7

Summaries of Portfolio Holdings

  8

Growth of $10,000 Investment

  10

Statements of Investments

  14

Statements of Assets & Liabilities

  53

Statements of Operations

  54

Statements of Changes in Net Assets

  55

Financial Highlights

  57

Notes to Financial Statements

  61

Additional Information

  71

 

     
 


Table of Contents
Stone Harbor Investment Funds   Shareholder Letter
  November 30, 2011 (Unaudited)

 

Dear Shareholder,

On balance, 2011 was a challenging year for global fixed income markets. Hopes for a continuation of 2010’s economic recovery waned, as convincing signs of a slowdown in global growth surfaced by mid-year. Markets became overwhelmed by the risks of mounting fiscal deficits in developed nations and the inability of politicians to offer acceptable solutions. Fears of European sovereign debt defaults and the capital insufficiency of the Continent’s banks caused markets to become extremely volatile. Investors fled from “risky” assets, seeking the safety of Treasuries and the US dollar. As the year closed, signs of a resolution to the European debt crisis began to surface, and prospects for muted growth in the US economy were revived.

As we look toward 2012, corporate earnings in the US continue to be strong and growth rates in developing nations remain well ahead of those in the developed world. We believe this will provide a favorable backdrop for our specialty asset classes of emerging markets and high yield fixed income. Particularly in these turbulent markets, we thank you for your confidence in Stone Harbor Investment Partners LP, as together we cautiously navigate the shifting currents of global de-leveraging and economic recovery.

Market Overview

The growing contagion in Europe and the inescapable reality of a global economic slowdown dominated the performance of risk assets in the second half of 2011. The inability to resolve a restructuring of Greek debt became the primary catalyst for wider concerns, as official institutions and leaders of the European Union (EU) failed to react with the urgency necessary to contain the crisis. EU governance issues raised doubts of the effectiveness of existing mechanisms like the European Financial Stability Facility (ESFS) to insure the fiscal stability of larger, more meaningful economies like Spain, Italy and France. A deteriorating growth outlook for the region prompted further ratings downgrades to Greece, Portugal, Ireland and Italy, as well as to several prominent French banks, exacerbating global concerns over the health of the European banking system. Expressing evidence of risk aversion, country spreads gapped out significantly. Flight-to-quality moves culminating in a late summer sell-off in global equities coupled with a material spread widening across fixed income sectors to levels not seen since 2009. US Treasury prices surged, rallying nearly 100 basis points (“bps”) in the August-September period. In the fall, plans for a coordinated effort to recapitalize troubled banks materialized, and investors grew cautiously optimistic that Europe might be moving closer to a resolution of its debt crisis. The unveiling of a comprehensive debt deal at the conclusion of the EU summit in October fueled a brief rally, but market momentum dissipated once again at the end of the reporting period, as rescue efforts fell short of expectations.

The outlook for global growth was another key concern throughout the period, with continuing downward revisions contributing to negative market sentiment. The pressure of pending austerity measures taken across the developed economies caused the OECD to lower its growth forecast to 1.9% in 2011 and 1.6% in 2012, from 2.3% and 2.8% predicted in May. In recognition of the global pull-back, the Bundesbank also slashed its estimate of Germany’s economic growth for 2012 from 1.8% to 0.75%. By November, in the latest attempt to provide stimulus and liquidity, the Federal Reserve joined forces with five other central banks to decrease the cost of emergency funds for European banks as part of a globally coordinated response to the sovereign debt crisis. On the same day, China also eased bank reserve requirements for the first time since 2008, hoping to counteract the negative impact on its exports stemming from Europe’s turmoil1.

On the domestic front, the US economy sputtered along on an uneven path, beginning with a soft patch in economic data lasting through mid-year, followed by a downgrade of the US’ credit rating by Standard & Poor’s in August. The downgrade reflected the inability of the US Congress to deal with the nation’s debt problems. By late summer disappointing GDP numbers and a pullback in market momentum led to a downward revision by the Federal Reserve to its outlook for US economic growth in 2012. In September, the Federal Reserve announced QE II, a new version of “Operation Twist2 intended to push down longer term interest rates. Further, it committed to maintaining very low rates “at least until mid-2013”. Market sentiment recovered slightly as the FOMC reported that economic growth in the third quarter “strengthened somewhat” but warned of “significant downside risks to the economic outlook”. From a market perspective, the debt ceiling deadlock also weighed heavily on investors; the failure of the super committee to come to an agreement on budget cuts has triggered $1.2 trillion in automatic cuts to US spending programs beginning in 2013. Considering the slack in economic fundamentals at the beginning of the reporting period, the domestic economy surprisingly remains the one bright spot heading into year-end, as it continues on a path of slow growth with improving unemployment numbers, higher retail sales, positive corporate earnings and better although muted housing starts. Instilling further optimism, US productivity rose in the third quarter for the first time in a year, and consumer confidence in November climbed to its highest level in eight years.

Looking generally at the performance of credit markets during the six-month period ended November 30, risk aversion was the continuous theme. As represented by the Citigroup High Yield Market Index3, high yield spreads began the period at 526 bps and subsequently see-sawed, widening to a level of 873 bps in early October before shedding some losses to end at 748 bps. The average yield during that time increased from 6.79% to 8.57%. Despite the fact that corporate earnings remained strong, default rates continued at low levels, and that refinancing risks had been significantly reduced, investors nonetheless sought the safety of Treasuries and other low risk assets.

 

     
2   www.shiplp.com


Table of Contents
Stone Harbor Investment Funds   Shareholder Letter
  November 30, 2011 (Unaudited)

 

Credit spreads for emerging markets external debt (hard currency) also widened, but due to strong technical factors, this market did not suffer as much as corporate high yield. The yield spread on the JP Morgan Emerging Markets Bond Index (EMBI) Global Diversified4 went from 290 bps to 396 bps during the six months ending November 30, although it reached a period wide of 468 bps on October 4. Returns for external debt were also buoyed by the huge rally in US Treasuries during the period. The emerging local currency debt markets, however, did not fare as well. In late summer investors flocked to dollar assets in risk reduction moves, and investors in local currencies suffered significantly. Even though local interest rates remained stable, the benchmark JP Morgan Emerging Markets Government Bond Index-Emerging Markets (GBI-EM) Global Diversified5 was significantly affected by large currency losses. Emerging markets corporate debt also suffered sharp declines, most notably in the higher yielding component of the index6.

Looking forward into 2012, we are optimistic that European policymakers will eventually solve their debt crisis. We believe that European leaders will conclude that the concept of a common currency is not viable without some form of consolidation of fiscal authority among its member states. We further believe, however, that Europe is headed into a recession, as significant headwinds from deficit reduction and fiscal reform will continue to stifle economic growth in the euro zone in the near-term.

In emerging markets, we think that China’s ability to engineer a soft landing for its economy will be significantly aided by policies that favor continued, unprecedented levels of government investment to support growth, particularly in the upcoming year, which features a transition in political leadership. While we expect growth in other emerging countries to slow from last year’s pace, our forecasts suggest that growth, as well as the policy flexibility in many emerging countries will continue to strongly support the case for investing in emerging debt markets.

In the United States, we believe that the economy is on its way toward a slow recovery. In our view, US interest rates are likely to remain low for an extended period of time; corporate profits should continue to be strong, and the economy may benefit from further monetary accommodation. We believe that these conditions would provide an excellent environment for investing in the high yield asset class.

At Stone Harbor, we will continue to focus on seeking to capture excess return from stable and improving credit situations in corporate and sovereign markets worldwide. We remain vigilant to the credit risks associated with the systematic banking problems in Europe, as well as the slowdown in global growth. To monitor our thinking throughout the year, please visit our website at www.shiplp.com.

Performance Overview

Stone Harbor Emerging Markets Corporate Debt Fund

The Stone Harbor Emerging Markets Corporate Debt Fund return since inception June 1, 2011 to November 30, 2011 was -10.19% (net of expenses) and -9.69% (gross of expenses). This compares to a benchmark return of -2.25% for the JP Morgan Corporate Emerging Markets Bond Index Broad Diversified (CEMBI Broad Diversified) and a return of -8.27% for the high yield segment of the index. During this period, sovereign and corporate debt spreads in most countries widened, reflecting rising macroeconomic risks. The reporting period was marked by significant volatility in fixed income markets, as investors reacted to a global slowdown in growth, an escalating sovereign debt and financial crisis in Europe and fears of a hard landing of the Chinese economy. Emerging market corporate bonds came under significant pressure, particularly in September, as concerns intensified over the solvency of major European banks.

The portfolio favored high yield credits that, in our view, benefit from pricing and rating inefficiencies due, in part, to sovereign ceiling constraints. Many of these companies are also commodity producers in sub-investment grade countries, companies positioned to profit from domestic consumption in higher growth economies, as well as companies which are de-leveraging either organically or via Merger & Acquisition (“M&A”) activity. Throughout the period, the benchmark weighting of investment grade versus non-investment grade securities was approximately 70% investment grade, 30% non-investment grade. At the start of June, approximately 20% of the portfolio was invested in investment grade assets. The portfolio managers increased the investment grade weighting to approximately 30% by the end of June/early July to manager risk. Declining liquidity and the team’s assessments on valuations, however, prevented a further shift into perceived safer assets before the significant market declines in August and September. In August, the sub-investment grade sector of the CEMBI declined by over 4%, and in September it dropped over 10%. Investment grade emerging market corporate bond performance was +0.32% and -3.06% in August and September, respectively.

While a deteriorating fundamental macroeconomic backdrop in developed markets was the most important determinant of market sentiment in emerging market corporates, credit developments in certain sectors and countries also weighed on market sentiment. Reports of declining property prices in tier I cities in China, a result of policies intended to reduce property sales volumes and prices, increased fears of a broader decline in credit quality in the real estate development and management sector. The market also had absorbed significant supply of new issues in this sector earlier in the year, a technical factor that exacerbated downward price movements in less liquid markets. In Kazakhstan, June mid-year reports from BTA bank revealing that the government-supported bank had more aggressive loan loss provisioning and lower recoveries on assets held outside the country than expected by the market triggered a downturn in BTA bonds that continued through the end of the period. Mexico’s cement sector, which relies heavily on the US market, also came under significant pressure as investors factored in the possibility of substantially slowing growth in the US.

 

     

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Stone Harbor Investment Funds   Shareholder Letter
  November 30, 2011 (Unaudited)

 

Technical factors also clearly weighed on the corporate bond market during the period. Year-to-date through November 30, over $180 billion in new corporate bonds were priced and issued7. In addition, proposed regulations on bank trading operations, intended to reduce the systematic importance of large banks, have likely reduced willingness among dealers to participate as actively as they had in the past in supporting two-way markets. These factors, in our view, require a longer time horizon for investing in what we believe is a strong secular improving story in emerging market corporate credit.

Stone Harbor Emerging Markets Debt Fund

The Stone Harbor Emerging Markets Debt Fund return for the six months ended November 30, 2011 was 0.17% (net of expenses) and 0.54% (gross of expenses). This compares to a benchmark return of 2.25% for the JP Morgan Emerging Markets Bond Index Global Diversified. During this period, emerging market sovereign credit spreads in all of the countries within the benchmark widened, reflecting rising macroeconomic risks, but also the move lower in US Treasury yields despite a downgrade by Credit Rating Agency, Standard & Poor’s of the US Treasury debt rating on August 5. The reporting period was marked by significant volatility in fixed income markets as investors reacted to a global slowdown in growth, an escalating sovereign debt and financial crisis in Europe and fears of a hard landing of the Chinese economy. Emerging market currencies and corporate bonds came under significant pressure, particularly in September, as concerns intensified over the solvency of major European banks.

The portfolio continued to favor select high beta sovereigns that, in our opinion, have strong valuation support, as well as both proven capacity and willingness to pay their debts. These countries include Argentina, Iraq and Venezuela, three of the market’s highest beta sovereign credits. In addition, the portfolio has maintained an allocation to local currency debt in several countries where we continue to see potential for outperformance relative to the sovereign US dollar-denominated bonds in our benchmark. The portfolio was also positioned for an improving environment for corporate prosperity in many key emerging markets. Tactical allocations to select corporate bonds increased throughout the period in recognition of attractive corporate debt valuations, and because of our opportunistic view on the potential for spread compression in many corporate credits. The additions to our corporate allocation were made with a long-term perspective, following the market’s sharp corrections in August and September. Corporate investments in the portfolio focused on commodity producers in sub-investment grade countries, on companies positioned to profit from domestic consumption in higher growth economies and on other companies, which are de-leveraging either organically or via M&A activity.

The path of total returns for the three major sectors of the emerging debt markets – external sovereign debt, local currency debt and corporate debt – reflected how markets reconciled the conflicting cross winds of strong fundamental macroeconomic performance in emerging markets with weakening growth and deteriorating fiscal accounts in many advanced economies. External sovereign debt market total returns remained positive for the period until mid-September, when spread widening offset the benefits of falling US Treasury rates. Corporate debt total returns began to fall earlier in the period, particularly at the end of August, as demand for corporate risk globally declined on fears of the possibility for a globally synchronized recession. But it was the local currency markets, and more particularly foreign exchange markets, that absorbed the brunt of the market’s volatility, as investors sharply reduced short US dollar positions in August, seeking liquidity. Importantly, in local currency terms, local bond markets in many countries fared relatively well, as interest rates fell along with the global trend. All three sectors of the market recovered in October but softened again in mid- November on fears that European policymakers would fail to make the difficult decisions required to ensure a more fiscally viable euro zone.

Technical factors also were important during the period, which was marked by high volatility and lower-than-normal liquidity, particularly for corporate debt. The uncertainty posed by the prospect of new regulations intended to reduce the systematic importance of individual large banks forced many trading desks to limit position-taking. In particular, as sellers of corporate debt surfaced after June, the supply was met with little support from dealer desks, further exacerbating downward price movements.

Key contributors to the Fund’s underperformance relative to the benchmark were the allocations to corporate debt and active positions in local currencies in several countries. Security selection supported performance, with particularly good decisions in Argentina and Venezuela. Our overweight in Iraq and our allocation to the Mexican peso were the largest detractors from performance, while our underweight in Hungary was the largest positive contributor.

Stone Harbor Local Markets Fund

The Stone Harbor Local Markets Fund return for the six months ended November 30, 2011 was –5.97% (net of expenses) and –5.53% (gross of expenses). This compares to a benchmark return of –6.32% for the JP Morgan Global Bond Index-Emerging Markets Global Diversified. Emerging local currency debt markets underperformed all other emerging debt markets in US dollar terms except for non-investment grade corporate bonds, with the principal driver of weakness being the depreciation of local currencies relative to the US dollar. Importantly, most local bond market yields

 

     
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Table of Contents
Stone Harbor Investment Funds   Shareholder Letter
  November 30, 2011 (Unaudited)

 

remained stable or moved lower, and contributed positively to total returns. The reporting period was marked by significant volatility in fixed income markets as investors reacted to a global slowdown in growth, an escalating sovereign debt and financial crisis in Europe and fears of a sharp pullback in China. While we remained optimistic on the ability of emerging market policymakers to navigate the market turbulence, we partially hedged foreign exchange exposure in select countries in August, a move which enhanced returns. At the end of the reporting period, however, all foreign exchange exposure remained unhedged, reflecting a cautiously optimistic outlook for the months ahead.

Throughout the reporting period, the portfolio favored faster growing economies in Latin America and Asia, with overweight allocations in Brazil, Colombia, Mexico, China, Indonesia and Malaysia. The portfolio’s underweight positions have been concentrated in Central and Eastern Europe, where a mix of more limited growth prospects and short-term policymaking have reduced the attractiveness of local debt markets, in our view. Sharp depreciations of the Turkish lira and Hungarian forint, as well as increases in local bond yields in both countries in September led to tactical reductions in our underweights in the local bond markets from both of these countries, with the change in Turkey the most pronounced. While we have disliked the policy mix in Turkey, the Central Bank of Turkey has reversed its policy of cutting rates in the face of rising inflation, lending important support to the lira. The portfolio has also maintained underweights in Thailand and Peru, both countries with difficult politics. In addition to the fallout in tourism revenue due to wide-scale flooding, Thailand’s markets must also contend with a vacuum in leadership should the ageing Thai king die. In Peru, yields are too low, in our estimation, given the possibility that recently elected President Humala tacks toward his populist campaign agenda, limiting growth potential in the key metals and mining industries.

The reporting period was also characterized by rising frustration due to the plodding of leaders of the euro zone toward necessary political and economic integration. The implications of euro zone policies toward this issue are significant not only for Europe, but also for the global economy. As of the end of November, Europeans, with the aid of US policymakers, seem to be on their way, at least, toward recognition of the need for a closer fiscal union in Europe that may stabilize markets. The improvement in local bond markets at the end of November appears to be the result of these developments.

Signs of a deceleration in inflation began mid-year, a significant change from earlier in the reporting period when most local bond markets forecast higher interest rates on the back of rising inflation expectations. Part of this change, we believe, was a function of policy normalization in many key economies, but also due to the global economic slowdown. While several central banks from emerging countries hiked policy rates during the period, the trend toward lowering rates to spur the economy gained traction in August, as Brazil cut rates in a surprise move. In September, Indonesia also lowered its central bank’s overnight lending rate. And, in November, China reduced its reserve requirement ratio for banks to ease liquidity in the banking system. Throughout this period, the fear that central banks had fallen behind the curve in their willingness to ward off inflation with stringent monetary policy significantly diminished, providing support for local bond markets.

The sources of the Fund’s outperformance relative to its benchmark included both country selection and issue selection decisions. The most important positive contributor to performance was our decision to underweight Hungary. Our decision to allocate to long duration bonds in Brazil and Colombia was also a strong contributor to excess returns over the benchmark. The key positions which detracted from performance were our underweight of Peru and Thailand. Our decision to avoid the longest part of the local bond curve in Indonesia also detracted from performance, as Indonesia’s bond yields fell sharply in a bull flattening of the yield curve.

Stone Harbor High Yield Bond Fund

The Stone Harbor High Yield Bond Fund return for the six months ended November 30, 2011 was -4.66% (net of expenses) and -4.39% (gross of expenses). This compares to a benchmark return of -2.69% for the Citigroup High Yield Market Capped Index. The period under review was generally a difficult one for high yield, as well as all fixed income asset classes, as fears of growing contagion in Europe combined with the inability to determine the magnitude of a global economic slowdown led to renewed risk aversion.

A significant downgrade to Greece sovereign debt was the catalyst for deepening concerns of the impact of the debt crisis on the European banking system. Mounting evidence of a slowdown in global growth reflected in a sharp decline in manufacturing activity added to the uneasiness. In July, a bailout package for Greece, including expanded European Financial Stability Facility (EFSF) powers to purchase euro zone sovereign debt and strong domestic corporate earnings restored investor confidence and buffered high yield bond prices. By mid-summer, however, the global financial markets began to experience an extreme rise in overall volatility. Rating agency downgrades to sovereign debt (including the US and Italy) and several prominent French banks, political brinkmanship in the US over the debt ceiling debate, weak economic numbers out of Europe and China and the Federal Reserve’s (“Fed”) warning of “significant downside risks to the economic outlook including strains in global markets” resulted in material price depreciation. Negative market sentiment culminated in a fresh 52-week low for the S&P 500, a US Treasury rally that sent 10-year yields below two percent and material credit spread widening in high yield, to levels not seen since 2009.

A relief rally occurred in the month of October as new initiatives were introduced to contain the European sovereign debt and banking crisis. Improving US economic data and positive corporate earnings rendered further stability to a technically oversold high yield market. Market sentiment soured, as investors began to question the viability of Europe’s latest debt deal in light of continued economic weakness, this time in

 

     

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Stone Harbor Investment Funds   Shareholder Letter
  November 30, 2011 (Unaudited)

 

Italy, the largest of the periphery countries, and to a lesser extent in some core countries. High debt levels and weak growth potential in Italy sparked a sell-off in the country’s debt, with 10-year bond yields trading at unsustainable levels over the long-term. Concerns regarding the world economy intensified as the 34-nation OECD lowered growth forecasts to 1.9% this year and 1.6% next year, down from 2.3% and 2.8% predicted in May1. Unexpectedly, on the last day of the reporting period, the Fed led a globally coordinated central bank response to Europe’s sovereign debt crisis, which, coupled with upside surprise in US economic fundamentals, boosted demand for risk assets.

Looking forward we remain optimistic that the US economy will continue to experience a period of slow expansion. We are encouraged by strong corporate earnings, an improving economic backdrop and the possibility of additional monetary stimulus. On a less positive note, we believe that Europe is headed into a recession, as significant headwinds from deficit reduction and fiscal reform will continue to stifle economic growth in the near-term. We remain vigilant to the sovereign and systematic banking problems in Europe, as well as the slowing of growth worldwide. However, we believe that current spread levels and low default rates continue to favor the high yield market, where companies have conservatively leveraged balance sheets and adequate liquidity after terming out maturities over the past several years.

Sincerely,

 

LOGO

Thomas W. Brock

Chairman of the Board of Trustees

 

 

1 Source: Bloomberg.

2 Operation Twist is a policy, originally from the 1960’s but revived in September 2011, implemented by the Federal Reserve, which involves the selling of short-term Treasuries by the central bank in exchange for the same amount in longer-term bonds, thereby lowering longer-term interest rates.

3 The Citigroup High Yield Market Index (previously the Salomon Smith Barney High Yield Market Index) is a total rate-of-return index which captures the performance of below investment-grade debt issued by corporations domiciled in the United States or Canada. This index comprises Citigroup’s broadest market measure and includes cash-pay and deferred-interest securities. All the bonds in the high-yield indices are publicly placed, have a fixed coupon and are non-convertible. Source: Citigroup Index LLC.

4 The JP Morgan Emerging Markets Bond Index (EMBI) Global Diversified tracks total returns for U.S. dollar-denominated debt instruments issued by emerging markets sovereign and quasi-sovereign entities: Brady bonds, loans, and Eurobonds. Source: JP Morgan Chase.

5 The JP Morgan Government Bond Index – Emerging Markets (GBI-EM) Global Diversified consists of regularly traded, liquid fixed-rate, domestic currency government bonds to which international investors can gain exposure. The weightings among the countries are more evenly distributed within this index. Although not expected to be a principal investment tool, the Portfolio may make use of derivative securities (including futures and options on securities, securities indices or currencies, options on futures, forward currency contracts, and interest rate, currency or credit default) for the purposes of reducing risk and/or obtaining efficient investment exposure. Source: JP Morgan Chase.

6 Emerging markets corporate debt is represented by JP Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad Diversified. The CEMBI tracks total returns of US dollar-denominated debt instruments issued by corporate entities in Emerging Markets countries. Two variations are available: CEMBI Broad and CEMBI. The CEMBI Broad is the most comprehensive corporate benchmark followed by the CEMBI, which consists of an Investable universe of corporate bonds. Both indices are also available in Diversified version. The JPMorgan CEMBI Broad Diversified limits the current face amount allocations of the bonds. Both indices are also available in outstanding countries with larger debt stocks. Qualifying corporate bonds have a face amount greater than USD 300 million, maturity greater than 5 years, verifiable prices and cash flows, and from countries within Asia ex-Japan, Latin America, Eastern Europe, Middle East, and Africa.

7 Source: Bloomberg, JP Morgan.

Beta - is a measurement of the systematic risk of a security or a portfolio in comparison to the market as a whole or a benchmark. A beta of 1.0 implies up and down movements of roughly the same magnitude as the market or the benchmark. A higher beta indicates that the security or portfolio is more volatile than the market or the respective benchmark.

Contagion - refers to the likelihood that significant economic changes in one country will spread to other countries.

The Deutsche Bundesbank - is the central bank of the Federal Republic of Germany.

The Federal Open Market Committee (FOMC) - is a committee within the Federal Reserve System that is charged under United States law with overseeing the nation’s open market operations.

Investment grade - refers to bonds that have a relatively low risk of default, ranging from highest credit quality to good credit quality. Bonds rated below investment grade are considered to have significant speculative characteristics.

The Organization for Economic Co-operation and Development (OECD) - has 34 member nations worldwide, was established in 1961 to promote policies that will improve the economic and social well-being of people around the world.

Sovereign debt - refers to bonds issued by a national government in order to finance the issuing country’s growth. Sovereign debt described as external is denominated in US dollar, while sovereign debt described as local is issued in a foreign currency.

Spread - refers to the yield spread of a bond over the US Treasury yield curve.

The Standard & Poor’s 500 Index (S&P 500) - is free-float capitalization-weighted index of the prices of 500 large-capitalization common stocks actively traded in the US.

It is not possible to invest directly in an index.

 

     
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Stone Harbor Investment Funds   Disclosure of Fund Expenses
  (Unaudited)

 

Example. As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and/or redemption fees (if applicable) and (2) ongoing costs, including management fees and other Fund expenses. The below examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 invested on June 1, 2011 and held until November 30, 2011.

Actual Expenses. The first line of each table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “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 each table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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 a Fund and other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect transactional costs, such as redemption fees, sales charges (loads) or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

    

Beginning

Account Value

06/01/2011

    

Ending

Account Value

11/30/2011

    

Expense

Ratio(1)

   

Expenses

Paid During

Period(2)

 

STONE HARBOR EMERGING MARKETS DEBT FUND

          

Institutional Class

          

Actual

   $ 1,000.00       $ 1,001.70         0.73   $ 3.65   

Hypothetical (5% return before expenses)

   $ 1,000.00       $ 1,021.35         0.73   $ 3.69   

STONE HARBOR HIGH YIELD BOND FUND

          

Institutional Class

          

Actual

   $ 1,000.00       $ 953.40         0.55   $ 2.69   

Hypothetical (5% return before expenses)

   $ 1,000.00       $ 1,022.25         0.55   $ 2.78   

STONE HARBOR LOCAL MARKETS FUND

          

Institutional Class

          

Actual

   $ 1,000.00       $ 940.30         0.88   $ 4.27   

Hypothetical (5% return before expenses)

   $ 1,000.00       $ 1,020.60         0.88   $ 4.45   

STONE HARBOR EMERGING MARKETS CORPORATE DEBT FUND

          

Institutional Class

          

Actual

   $ 1,000.00       $ 898.10         1.00   $ 4.75   

Hypothetical (5% return before expenses)

   $ 1,000.00       $ 1,020.00         1.00   $ 5.05   

 

(1)

Annualized, based on the Fund’s most recent fiscal half-year expenses.

(2)

Expenses are equal to the Fund’s annualized ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (183), divided by 366. Note this expense example is typically based on a six-month period.

 

 
     

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Table of Contents
Stone Harbor Investment Funds   Summaries of Portfolio Holdings
  November 30, 2011(Unaudited)

 

Under SEC Rules, all funds are required to include in their annual and semi-annual shareholder reports a presentation of portfolio holdings in a table, chart or graph by reasonably identifiable categories. The following tables, which present holdings as a percent of total net assets (“TNA”), are provided in compliance with such requirements.

 

STONE HARBOR EMERGING MARKETS DEBT FUND

Country Breakdown

     % of TNA   

Brazil

     10.19%   

Russia

     9.37%   

Mexico

     8.78%   

Argentina

     6.11%   

Colombia

     6.03%   

Venezuela

     5.56%   

South Africa

     5.26%   

Malaysia

     4.84%   

Indonesia

     4.30%   

Poland

     4.16%   

Ukraine

     3.23%   

Turkey

     3.14%   

Iraq

     3.12%   

Panama

     3.04%   

Kazakhstan

     2.50%   

Philippines

     2.44%   

Uruguay

     2.21%   

Qatar

     1.45%   

United Arab Emirates

     1.24%   

Peru

     1.23%   

Lithuania

     1.22%   

China

     1.19%   

El Salvador

     0.84%   

Chile

     0.80%   

Croatia

     0.73%   

South Korea

     0.47%   

Greece

     0.46%   

Jamaica

     0.45%   

Hong Kong

     0.39%   

India

     0.30%   

Ghana

     0.28%   

Barbados

     0.16%   

Dominican Republic

     0.07%   

Singapore

     0.05%   

Gabon

     0.01%   

Total

     95.62%   

Money Market Mutual Funds

     0.86%   

Other Assets in Excess of Liabilities

     3.52%   

Total Net Assets

     100.00%   
          

STONE HARBOR HIGH YIELD BOND FUND

Industry Breakdown

     % of TNA   

Healthcare

     8.50%   

Electric

     6.86%   

Media Cable

     5.56%   

Metals/Mining/Steel

     5.33%   

Exploration & Production

     4.95%   

Technology

     4.80%   

Gaming

     4.77%   

Wirelines

     4.77%   

Drillers/Services

     4.59%   

Services Other

     3.93%   

Food & Beverage

     3.76%   

Containers/Packaging

     3.68%   

Paper/Forest Products

     3.28%   

Gas Pipelines

     2.93%   

Media Other

     2.85%   

Chemicals

     2.73%   

Retail Non Food/Drug

     2.51%   

Wireless

     2.14%   

Leisure

     2.09%   

Publishing/Printing

     1.74%   

Automotive

     1.60%   

Aerospace/Defense

     1.48%   

Building Products

     1.22%   

Industrial Other

     1.13%   

Retail Food/Drug

     1.12%   

Gas Distributors

     1.07%   

Banking

     0.97%   

Consumer Products

     0.91%   

Textile/Apparel

     0.87%   

Construction Machinery

     0.81%   

Non Captive Finance

     0.70%   

Financial Other

     0.48%   

Refining

     0.42%   

Transportation - Non Air/Rail

     0.41%   

Satellite

     0.29%   

Property & Casualty Insurance

     0.27%   

Pharmaceuticals

     0.14%   

Railroads

     0.06%   

Life

     0.05%   

Airlines

     0.03%   

Lodging

     0.01%   

Restaurants

     0.00%

Total

     95.81%   

Money Market Mutual Funds

     2.04%   

Other Assets in Excess of Liabilities

     2.15%   

Total Net Assets

     100.00%   
          

*Less Than 0.005% of net assets.

 

 

 
     
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Table of Contents
Stone Harbor Investment Funds   Summaries of Portfolio Holdings
  November 30, 2011(Unaudited)

 

 

STONE HARBOR LOCAL MARKETS FUND

Country Breakdown

     % of TNA   

Brazil

     11.31%   

Malaysia

     9.94%   

South Africa

     9.21%   

Mexico

     9.17%   

Indonesia

     8.84%   

Colombia

     5.58%   

Turkey

     4.93%   

Poland

     4.74%   

Thailand

     4.66%   

Russia

     3.96%   

European Union

     3.12%   

Hungary

     2.11%   

Argentina

     0.42%   

Philippines

     0.13%   

Chile

     0.10%   

Total

     78.22%   

Money Market Mutual Funds

     6.88%   

Other Assets in Excess of Liabilities

     14.90%   

Total Net Assets

     100.00%   
          

STONE HARBOR EMERGING MARKETS CORPORATE DEBT FUND

Country Breakdown

     % of TNA   

Brazil

     19.87%   

Russia

     11.20%   

United Arab Emirates

     7.37%   

Mexico

     6.64%   

China

     6.56%   

Indonesia

     6.23%   

Argentina

     6.14%   

South Africa

     4.31%   

Jamaica

     3.73%   

Hong Kong

     3.72%   

Ukraine

     3.65%   

Peru

     3.17%   

Kazakhstan

     3.08%   

India

     2.92%   

Qatar

     2.67%   

Barbados

     1.54%   

Colombia

     1.50%   

Turkey

     1.50%   

Dominican Republic

     1.03%   

Singapore

     0.36%   

Total

     97.19%   

Money Market Mutual Funds

     0.67%   

Other Assets in Excess of Liabilities

     2.14%   

Total Net Assets

     100.00%   
          
 

 

 
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

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Table of Contents
Stone Harbor Investment Funds   Growth of $10,000 Investment
  November 30, 2011(Unaudited)

 

STONE HARBOR EMERGING MARKETS DEBT FUND

 

Comparison of Change in Value of $10,000 Investment in Stone Harbor Emerging Markets Debt Fund and the JP Morgan Emerging Market Bond Global Diversified Index.

 

LOGO

The JP Morgan EMBI Global Diversified Index limits the weights of those index countries with larger debt stocks by only including specified portions of these countries’ eligible current face amounts outstanding. The countries covered in the EMBI Global Diversified are identical to those covered by the EMBI Global.

Average Annual Total Returns

     1 Year   3 Years   Since Inception   Inception Date

Stone Harbor Emerging Markets Debt Fund

   5.45%   22.83%   10.21%   08/16/07

JP Morgan EMBI Global Diversified Index

   5.67%   18.45%   9.26%    

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance quoted. Average annual total returns reflect the reinvestment of dividends and capital gains distributions and include all fee waivers and expense reimbursements. Without the fee waivers and expense reimbursements, total return figures would have been lower. The performance data quoted does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will vary, and shares, when redeemed, may be worth more or less than their original cost. Index returns do not include the effects of sales charges, management fees or transaction costs. It is not possible to invest directly in an index.

 

 
     
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Table of Contents
Stone Harbor Investment Funds   Growth of $10,000 Investment
  November 30, 2011(Unaudited)

 

STONE HARBOR HIGH YIELD BOND FUND

 

Comparison of Change in Value of $10,000 Investment in Stone Harbor High Yield Bond Fund and the Citigroup High Yield Market Capped Index.

 

LOGO

The Citigroup High Yield Market Capped Index represents a modified version of the High Yield Market Index by delaying the entry of “fallen angel” issues (corporate or municipal bonds that were investment-grade when issued but have since been downgraded) and capping the par value of individual issuers at US $5 billion par amount outstanding.

Average Annual Total Returns

       1 Year        3 Years        Since Inception        Inception Date   

Stone Harbor High Yield Bond Fund

     2.82%        18.46%        6.40%        08/16/07   

Citigroup HY Market Capped Index

     4.77%        23.65%        7.66%           

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance quoted. Average annual total returns reflect the reinvestment of dividends and capital gains distributions and include all fee waivers and expense reimbursements. Without the fee waivers and expense reimbursements, total return figures would have been lower. The performance data quoted does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will vary, and shares, when redeemed, may be worth more or less than their original cost. Index returns do not include the effects of sales charges, management fees or transaction costs. It is not possible to invest directly in an index.

 

 
     

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Table of Contents
Stone Harbor Investment Funds   Growth of $10,000 Investment
  November 30, 2011(Unaudited)

 

STONE HARBOR LOCAL MARKETS FUND

 

Comparison of Change in Value of $10,000 Investment in Stone Harbor Local Markets Fund and the JP Morgan GBI-EM Global Diversified Index.

 

LOGO

The JP Morgan GBI-EM Global Diversified Index consists of regularly traded, liquid fixed-rate, domestic currency government bonds to which international investors can gain exposure. The weightings among the countries are more evenly distributed within this index.

Average Annual Total Return

     1 Year   Since Inception   Inception Date

Stone Harbor Local Markets Fund

   2.00%   6.84%   06/30/10

JP Morgan GBI-EM Global Diversified Index

   2.84%   8.04%    

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance quoted. Average annual total returns reflect the reinvestment of dividends and capital gains distributions and include all fee waivers and expense reimbursements. Without the fee waivers and expense reimbursements, total return figures would have been lower. The performance data quoted does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will vary, and shares, when redeemed, may be worth more or less than their original cost. Index returns do not include the effects of sales charges, management fees or transaction costs. It is not possible to invest directly in an index.

 

 
     
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Table of Contents
Stone Harbor Investment Funds   Growth of $10,000 Investment
  November 30, 2011(Unaudited)

 

STONE HARBOR EMERGING MARKETS CORPORATE DEBT FUND

 

Comparison of Change in Value of $10,000 Investment in Stone Harbor Emerging Market Corporate Debt Fund and the JP Morgan CEMBI Broad Diversified.

 

LOGO

The JP Morgan CEMBI Broad is a market capitalization weighted index that tracks total returns of US dollar-denominated debt instruments issued by corporate entities in Emerging Markets countries. The CEMBI Broad Diversified limits the current face amount allocations of the bonds in the CEMBI Broad by constraining the total face amount outstanding for countries with larger debt stocks.

Cumulative Returns

       1 Month        3 Months        Since Inception        Inception Date   

Stone Harbor Emerging Markets Corporate Debt Fund

     -4.22%        -6.65%        -10.19%        06/01/11   

JP Morgan CEMBI Broad Diversified

     -1.52%        -2.18%        -2.25%           

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance quoted. Average annual total returns reflect the reinvestment of dividends and capital gains distributions and include all fee waivers and expense reimbursements. Without the fee waivers and expense reimbursements, total return figures would have been lower. The performance data quoted does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will vary, and shares, when redeemed, may be worth more or less than their original cost. Index returns do not include the effects of sales charges, management fees or transaction costs. It is not possible to invest directly in an index.

 

 
     

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Table of Contents
Stone Harbor Emerging Markets Debt Fund   Statements of Investments
  November 30, 2011(Unaudited)

 

 

    

Currency

   Rate  

Maturity

Date

   Principal
Amount *
   Market Value
(Expressed in U.S.  $)

SOVEREIGN DEBT OBLIGATIONS - 63.99%

                   

Argentina - 5.22%

                   

Republic of Argentina:

                   
   USD        7.000 %   04/17/2017        13,527,163        $ 10,594,023  
   USD        0.000 %   03/31/2023        184,000          114,080 (1)
   USD        6.000 %   03/31/2023        480,000          333,600 (1)
   ARS        5.830 %   12/31/2033        21,968,850          4,605,224 (2)
   EUR        7.820 %   12/31/2033        12,289,435          9,969,963 (2)
   EUR        7.820 %   12/31/2033        19,762,604          15,800,311 (2)
   USD        8.280 %   12/31/2033        2,496,242          1,806,655  
   USD        8.280 %   12/31/2033        7,962,772          5,573,941  
   EUR        0.000 %   12/15/2035        20,252,433          2,664,185 (2)
                   

 

 

 
                      51,461,982  
                   

 

 

 

Brazil - 4.40%

                   

Nota Do Tesouro Nacional:

                   
   BRL        10.000 %   01/01/2014            
 
275,000
152,077
 
 
   BRL        10.000 %   01/01/2021        6,205,000          3,230,585  

Republic of Brazil:

                   
   USD        5.875 %   01/15/2019        597,000          696,998  
   USD        8.875 %   10/14/2019        100,000          138,000  
   USD        4.875 %   01/22/2021        17,606,000          19,520,652  
   USD        8.750 %   02/04/2025        3,931,000          5,817,880  
   USD        10.125 %   05/15/2027        32,000          51,880  
   USD        7.125 %   01/20/2037        7,391,000          9,922,418  
   USD        5.625 %   01/07/2041        3,321,000          3,766,844  
                   

 

 

 
                      43,297,334  
                   

 

 

 

Colombia - 5.04%

                   

Bogota Distrio Capital

   COP        9.750 %   07/26/2028        7,800,000,000          5,466,463 (3)

Republic of Colombia:

                   
   USD        7.375 %   01/27/2017        7,134,000          8,596,470  
   USD        8.125 %   05/21/2024        25,000          34,250  
   USD        8.375 %   02/15/2027        25,000          31,500  
   COP        9.850 %   06/28/2027        8,375,000,000          6,092,750  
   USD        7.375 %   09/18/2037        20,914,000          28,443,040  
   USD        6.125 %   01/18/2041        790,000          942,075  
                   

 

 

 
                      49,606,548  
                   

 

 

 

Croatia - 0.73%

                   

Croatian Government

   USD        6.375 %   03/24/2021        8,057,000          7,190,873 (4)
                   

 

 

 

El Salvador - 0.84%

                   

Republic of El Salvador:

                   
   USD        7.375 %   12/01/2019        220,000          240,900 (4)
   USD        7.375 %   12/01/2019        2,068,000          2,264,460 (3)
   USD        7.750 %   01/24/2023        15,000          16,425 (3)
   USD        8.250 %   04/10/2032        1,000,000          1,097,500 (3)
   USD        7.650 %   06/15/2035        4,495,000          4,652,325 (3)
                   

 

 

 
                      8,271,610  
                   

 

 

 

 

See Notes to Financial Statements.  
     
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Table of Contents

Stone Harbor Emerging Markets Debt Fund

  Statements of Investments
  November 30, 2011(Unaudited)

 

 

     Currency    Rate     Maturity
Date
     Principal
Amount *
     Market Value
(Expressed in U.S. $)
 

Gabon - 0.01%

             

Republic of Gabon

   USD      8.200     12/12/2017         50,000       $ 57,750 (4) 
             

 

 

 

Ghana - 0.28%

             

Republic of Ghana

   USD      8.500     10/04/2017         2,498,000         2,766,535  (3) 
             

 

 

 

Greece - 0.46%

             

Hellenic Republic Government Bond:

             
   EUR      4.500     09/20/2037         7,832,000         2,580,463   
   EUR      4.600     09/20/2040         5,750,000         1,920,975   
             

 

 

 
                4,501,438   
             

 

 

 

Indonesia - 3.00%

             

Republic of Indonesia:

             
   USD      6.875     01/17/2018         1,278,000         1,498,455 (3) 
   USD      11.625     03/04/2019         2,170,000         3,195,325 (4) 
   USD      11.625     03/04/2019         8,553,000         12,594,292  (3) 
   USD      5.875     03/13/2020         2,977,000         3,334,240 (3) 
   USD      6.625     02/17/2037         2,050,000         2,480,500 (3) 
   USD      7.750     01/17/2038         4,807,000         6,465,415 (3) 
             

 

 

 
                29,568,227   
             

 

 

 

Iraq - 2.65%

             

Republic of Iraq

   USD      5.800     01/15/2028         32,012,000         26,129,795  (3) 
             

 

 

 

Lithuania - 1.22%

             

Republic of Lithuania:

             
   USD      7.375     02/11/2020         503,000         538,210 (3) 
   USD      6.125     03/09/2021         11,853,000         11,497,410  (3) 
             

 

 

 
                12,035,620   
             

 

 

 

Malaysia - 1.60%

             

Malaysian Government:

             
   MYR      5.094     04/30/2014         12,240,000         4,032,827   
   MYR      3.741     02/27/2015         595,000         189,722   
   MYR      3.835     08/12/2015         30,204,000         9,697,399   
   MYR      4.262     09/15/2016         5,600,000         1,837,508   
             

 

 

 
                15,757,456   
             

 

 

 

Mexico - 6.52%

             

Mexican Bonos:

             
   MXN      7.750     12/14/2017         34,840,000         2,860,819   
   MXN      6.500     06/10/2021         175,900,000         13,137,569   
   MXN      7.500     06/03/2027         10,000,000         765,639   
   MXN      8.500     05/31/2029         22,920,000         1,895,022   
   MXN      7.750     05/29/2031         35,900,000         2,740,184   
   MXN      8.500     11/18/2038         99,020,000         8,033,439   

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

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Table of Contents
Stone Harbor Emerging Markets Debt Fund   Statements of Investments
  November 30, 2011(Unaudited)

 

 

     Currency    Rate     Maturity
Date
     Principal
Amount *
     Market Value
(Expressed in U.S. $)
 

United Mexican States:

             
   USD      5.125     01/15/2020         8,292,000       $ 9,289,113   
   USD      8.000     09/24/2022         2,012,000         2,786,620   
   USD      8.300     08/15/2031         5,417,000         7,976,533   
   USD      7.500     04/08/2033         2,442,000         3,363,855   
   USD      6.050     01/11/2040         3,288,000         3,904,500   
   USD      5.750     10/12/2110         7,270,000         7,488,100   
             

 

 

 
                64,241,393   
             

 

 

 

Panama - 3.04%

             

Republic of Panama:

             
   USD      5.200     01/30/2020         7,602,000         8,590,260   
   USD      9.375     01/16/2023         25,000         34,750   
   USD      7.125     01/29/2026         600,000         780,000   
   USD      8.875     09/30/2027         4,255,000         6,339,950   
   USD      9.375     04/01/2029         8,883,000         14,035,140   
   USD      6.700     01/26/2036         100,000         130,000   
             

 

 

 
                29,910,100   
             

 

 

 

Peru - 0.90%

             

Republic of Peru

   USD      8.750     11/21/2033         5,990,000         8,835,250   
             

 

 

 

Philippines - 2.44%

             

Republic of Philippines:

             
   PHP      4.950     01/15/2021         26,000,000         590,096   
   USD      10.625     03/16/2025         1,109,000         1,754,993   
   USD      5.500     03/30/2026         2,002,000         2,229,727   
   USD      9.500     02/02/2030         8,226,000         12,606,345   
   USD      7.750     01/14/2031         4,590,000         6,150,600   
   USD      6.375     01/15/2032         520,000         616,200   
   USD      6.375     10/23/2034         116,000         139,200   
             

 

 

 
                24,087,161   
             

 

 

 

Poland - 4.16%

             

Republic of Poland:

             
   USD      6.375     07/15/2019         20,916,000         22,929,165   
   EUR      4.000     03/23/2021         665,000         794,277   
   USD      5.125     04/21/2021         10,093,000         10,111,924   
   USD      5.000     03/23/2022         7,232,000         7,096,400   
             

 

 

 
                40,931,766   
             

 

 

 

Qatar - 0.95%

             

State of Qatar:

             
   USD      6.550     04/09/2019         4,477,000         5,282,860 (3) 
   USD      5.250     01/20/2020         3,730,000         4,032,130 (3) 
             

 

 

 
                9,314,990   
             

 

 

 

 

See Notes to Financial Statements.  
     
16   www.shiplp.com


Table of Contents
Stone Harbor Emerging Markets Debt Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

 

    Currency    Rate     Maturity
Date
     Principal
Amount *
     Market Value
(Expressed in U.S. $)
 

Russia - 7.66%

            

Russian Federation:

            
  USD      11.000     07/24/2018         437,000       $ 604,152 (3) 
  USD      5.000     04/29/2020         500,000         521,563 (3) 
  USD      12.750     06/24/2028         5,031,000         8,766,518 (3) 
  USD      7.500     03/31/2030         55,541,942         65,608,919 (3)(5) 
            

 

 

 
               75,501,152   
            

 

 

 

South Africa - 4.60%

            

Republic of South Africa:

            
  USD      8.500     06/23/2017         45,000         54,675   
  USD      6.875     05/27/2019         3,141,000         3,773,126   
  USD      5.500     03/09/2020         7,373,000         8,220,895   
  ZAR      6.750     03/31/2021         116,660,000         13,281,257   
  USD      5.875     05/30/2022         10,515,000         12,039,675   
  ZAR      10.500     12/21/2026         31,270,000         4,507,969   
  USD      6.250     03/08/2041         3,031,000         3,478,073   
            

 

 

 
               45,355,670   
            

 

 

 

Turkey - 2.90%

            

Republic of Turkey:

            
  USD      7.000     09/26/2016         159,000         176,689   
  USD      7.000     03/11/2019         135,000         151,031   
  USD      7.500     11/07/2019         15,038,000         17,312,497   
  USD      7.000     06/05/2020         372,000         416,175   
  USD      5.125     03/25/2022         4,992,000         4,842,240   
  USD      7.375     02/05/2025         1,820,000         2,102,100   
  USD      6.875     03/17/2036         2,000,000         2,152,500   
  USD      7.250     03/05/2038         1,285,000         1,444,019   
            

 

 

 
               28,597,251   
            

 

 

 

Ukraine - 1.91%

            

Ukraine Government:

            
  USD      6.385     06/26/2012         6,505,000         6,391,162 (3) 
  USD      7.650     06/11/2013         2,386,000         2,308,455 (3) 
  USD      6.875     09/23/2015         1,723,000         1,580,853 (4) 
  USD      6.250     06/17/2016         2,600,000         2,265,250 (4) 
  USD      6.750     11/14/2017         4,150,000         3,589,750 (3) 
  USD      7.750     09/23/2020         3,094,000         2,707,250 (3) 
            

 

 

 
               18,842,720   
            

 

 

 

Uruguay - 2.21%

            

Republic of Uruguay:

            
  USD      9.250     05/17/2017         3,467,000         4,541,770   
  USD      8.000     11/18/2022         5,310,497         7,116,066   
  USD      6.875     09/28/2025         1,448,650         1,847,029   
  USD      7.875     01/15/2033         1,390,800         1,891,488 (6) 
  USD      7.625     03/21/2036         4,768,176         6,389,356   
            

 

 

 
               21,785,709   
            

 

 

 

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  17


Table of Contents
Stone Harbor Emerging Markets Debt Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

 

     Currency    Rate     Maturity
Date
     Principal
Amount *
     Market Value
(Expressed in U.S.  $)
 

Venezuela - 1.25%

             

Republic of Venezuela:

             
   USD      13.625     08/15/2018         10,000       $ 9,700   
   USD      13.625     08/15/2018         1,669,000         1,552,170 (3) 
   USD      7.750     10/13/2019         4,611,000         3,216,172 (3) 
   USD      12.750     08/23/2022         8,552,400         7,526,112 (3) 
             

 

 

 
                12,304,154   
             

 

 

 

TOTAL SOVEREIGN DEBT OBLIGATIONS

                630,352,484   
             

 

 

 

(Cost $624,846,681)

             

BANK LOANS - 0.50%(7)

             

Brazil - 0.09%

             

Virgolino de Oliveira - GVO Loan

   USD      5.273     03/11/2015         941,176         905,882 (2) 
             

 

 

 

Indonesia - 0.41%

             

PT Bumi Resources

   USD      11.250     08/07/2013         1,337,000         1,358,392 (2) 

PT Bumi Tranche A

   USD      12.000     03/02/2012         1,777,960         1,511,266 (16) 

PT Bumi Tranche B

   USD      12.000     03/02/2012         1,419,040         1,206,184 (16) 
             

 

 

 
                4,075,842   
             

 

 

 

TOTAL BANK LOANS

                4,981,724   
             

 

 

 

(Cost $5,466,624)

             

CONVERTIBLE CORPORATE BONDS - 0.02%

             

India - 0.02%

             

Vedanta Resources Jersey II Ltd.

   USD      4.000     03/30/2017         200,000         169,000   
             

 

 

 

TOTAL CONVERTIBLE CORPORATE BONDS

                169,000   
             

 

 

 

(Cost $167,187)

             

CORPORATE BONDS - 26.32%

             

Argentina - 0.39%

             

Capex SA

   USD      10.000     03/10/2018         1,642,000         1,338,230 (4) 

Empresa Distribuidora Y Comercializadora Norte:

             
   USD      9.750     10/25/2022         500,000         410,000 (3) 
   USD      9.750     10/25/2022         1,362,000         1,116,840 (4) 

Inversiones y Representaciones SA:

             
   USD      11.500     07/20/2020         100,000         102,119 (3) 
   USD      11.500     07/20/2020         636,000         648,524 (4) 

Tarjeta Naranja SA

   USD      9.000     01/28/2017         209,000         201,678 (4) 
             

 

 

 
                3,817,391   
             

 

 

 

Barbados - 0.16%

             

Columbus International, Inc.

   USD      11.500     11/20/2014         1,500,000         1,560,000 (3) 
             

 

 

 

Brazil - 3.19%

             

Banco Cruzeiro do Sul SA:

             
   USD      8.875     09/22/2020         984,000         669,120 (4) 
   USD      8.875     09/22/2020         1,100,000         748,000 (3) 

 

See Notes to Financial Statements.  
     
18   www.shiplp.com


Table of Contents
Stone Harbor Emerging Markets Debt Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

 

     Currency    Rate     Maturity
Date
     Principal
Amount *
     Market Value
(Expressed in U.S. $)
 

BM&FBovespa SA:

             
   USD      5.500     07/16/2020         842,000       $ 863,050 (4) 
   USD      5.500     07/16/2020         1,400,000         1,435,000 (3) 

BR Malls International Finance Ltd.:

             
   USD      8.500     01/21/2049         260,000         269,750 (3) 
   USD      8.500     01/21/2049         482,000         500,075 (4) 

BR Properties SA:

             
   USD      9.000     10/07/2015         310,000         317,750 (4) 
   USD      9.000     10/07/2049         135,000         138,375 (3) 

General Shopping Finance Ltd.:

             
   USD      10.000     11/09/2015         1,824,000         1,842,240 (4) 
   USD      10.000     11/09/2049         246,000         248,460 (3) 

Hypermarcas SA

   USD      6.500     04/20/2021         3,349,000         2,947,120 (4) 

Minerva Overseas II Ltd.:

             
   USD      10.875     11/15/2019         538,000         468,060 (3) 
   USD      10.875     11/15/2019         633,000         550,710 (4) 

Mirabela Nickel Ltd.

   USD      8.750     04/15/2018         392,000         350,840 (4) 

NET Servicos de Comunicacao SA

   USD      7.500     01/27/2020         3,102,000         3,551,790   

Odebrecht Drilling Norbe VIII/IX Ltd.:

             
   USD      6.350     06/30/2021         1,650,000         1,691,250 (3) 
   USD      6.350     06/30/2021         1,665,000         1,706,625 (4) 

Odebrecht Finance Ltd.

   USD      7.000     04/21/2020         350,000         375,375 (3) 

OGX Petroleo e Gas Participacoes SA:

             
   USD      8.500     06/01/2018         500,000         480,000 (3) 
   USD      8.500     06/01/2018         3,732,000         3,582,720 (4) 

Petrobras International Finance Co.

   USD      5.375     01/27/2021         430,000         439,419   

QGOG Atlantic / Alaskan Rigs Ltd.:

             
   USD      5.250     07/30/2018         200,000         196,500 (3) 
   USD      5.250     07/30/2018         4,006,000         3,935,895 (4) 

Telemar Norte Leste SA:

             
   USD      5.500     10/23/2020         1,006,000         990,910 (3) 
   USD      5.500     10/23/2020         2,312,000         2,277,320 (4) 

Virgolino de Oliveira Finance Ltd.

   USD      10.500     01/28/2018         617,000         595,405 (3) 

Votorantim Cimentos SA

   USD      7.250     04/05/2041         300,000         293,250 (4) 
             

 

 

 
                31,465,009   
             

 

 

 

Chile - 0.80%

             

Cencosud SA

   USD      5.500     01/20/2021         2,000,000         2,042,852 (4) 

Codelco, Inc.:

             
   USD      7.500     01/15/2019         450,000         570,501 (3) 
   USD      6.150     10/24/2036         4,295,000         5,302,637 (3) 
             

 

 

 
                7,915,990   
             

 

 

 

China - 1.19%

             

China Liansu Group Holdings Ltd.

   USD      7.875     05/13/2016         1,468,000         1,218,440 (4) 

Evergrande Real Estate Group Ltd.:

             
   USD      13.000     01/27/2015         106,000         82,150 (4) 
   USD      13.000     01/27/2015         666,000         516,150 (3) 

Kaisa Group Holdings Ltd.

   USD      13.500     04/28/2015         1,149,000         924,945 (3) 

Mega Advance Investments Ltd.

   USD      5.000     05/12/2021         661,000         669,937 (4) 

MIE Holdings Corp.

   USD      9.750     05/12/2016         1,586,000         1,411,540 (4) 

Sinochem Overseas Capital Co. Ltd.

   USD      4.500     11/12/2020         4,384,000         4,229,045 (4) 

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  19


Table of Contents
Stone Harbor Emerging Markets Debt Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

 

    

Currency

  

Rate

   

Maturity

Date

    

Principal

Amount *

    

Market Value

(Expressed in U.S. $)

 

Texhong Textile Group Ltd.:

             
   USD      7.625     01/19/2016         343,000       $ 250,390 (4) 
   USD      7.625     01/19/2016         858,000         626,340 (3) 

West China Cement Ltd.:

             
   USD      7.500     01/25/2016         824,000         675,680 (3) 
   USD      7.500     01/25/2016         1,138,000         933,160 (4) 

Yanlord Land Group Ltd.

   USD      9.500     05/04/2017         235,000         177,425 (3) 
             

 

 

 
                11,715,202   
             

 

 

 

Colombia - 0.29%

             

Gruposura Finance

   USD      5.700     05/18/2021         2,813,000         2,843,943  (4) 
             

 

 

 

Dominican Republic - 0.07%

             

Cap Cana SA:

             
   USD      10.000     04/30/2016         1,103,320         386,162 (1)(3) 
   USD      10.000     04/30/2016         1,343,373         268,675 (1)(3) 
             

 

 

 
                654,837   
             

 

 

 

Hong Kong - 0.39%

             

Hutchison Whampoa International 10 Ltd.

   USD      6.000     10/28/2049         1,957,000         1,947,215  (2)(3) 

PCCW- HKT Capital No. 4 Ltd.

   USD      4.250     02/24/2016         1,849,000         1,864,717   
             

 

 

 
                3,811,932   
             

 

 

 

India - 0.28%

             

Axis Bank Ltd.

   USD      7.125     06/28/2022         311,000         281,455 (2) 

Bank of India

   USD      6.994     03/03/2049         344,000         304,440 (2) 

ICICI Bank Ltd.:

             
   USD      5.750     11/16/2020         200,000         185,970 (3) 
   USD      5.750     11/16/2020         608,000         565,349 (4) 

Vedanta Resources PLC

   USD      8.250     06/07/2021         1,715,000         1,423,450 (4) 
             

 

 

 
                2,760,664   
             

 

 

 

Indonesia - 0.89%

             

Bakrie Telecom Pte Ltd.

   USD      11.500     05/07/2015         1,805,000         1,137,150 (3) 

Berau Capital Resources Pte Ltd.

   USD      12.500     07/08/2015         2,000,000         2,140,000 (3) 

BLT Finance BV

   USD      7.500     05/15/2014         644,000         254,380 (3) 

Bumi Investment Pte Ltd.:

             
   USD      10.750     10/06/2017         325,000         318,500 (4) 
   USD      10.750     10/06/2017         2,400,000         2,352,000  (3) 

Indosat Palapa Co. BV:

             
   USD      7.375     07/29/2020         241,000         260,280 (4) 
   USD      7.375     07/29/2020         550,000         594,000 (3) 

PT Adaro Indonesia

   USD      7.625     10/22/2019         1,617,000         1,714,020 (3) 
             

 

 

 
                8,770,330   
             

 

 

 

Jamaica - 0.45%

             

Digicel Group Ltd.:

             
   USD      9.125     01/15/2015         1,878,000         1,859,220 (4) 
   USD      8.250     09/01/2017         1,160,000         1,154,200 (3) 
   USD      10.500     04/15/2018         1,450,000         1,457,250 (3) 
             

 

 

 
                4,470,670   
             

 

 

 

 

See Notes to Financial Statements.  
     
20   www.shiplp.com


Table of Contents
Stone Harbor Emerging Markets Debt Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

 

     Currency    Rate     Maturity
Date
     Principal
Amount *
     Market Value
(Expressed in U.S.  $)
 

Kazakhstan - 2.50%

             

BTA Bank JSC:

             
   USD      10.750     07/01/2018         1,159,562       $ 382,656  (4)(5) 
   USD      10.750     07/01/2018         4,949,274         1,633,260 (3)(5) 
   USD      0.000     07/01/2020         500,000         19,375 (3)(8) 
   USD      0.000     07/01/2020         2,515,532         97,477 (2)(4) 

KazMunayGas National Co.:

             
   USD      8.375     07/02/2013         5,650,000         5,989,000 (3) 
   USD      11.750     01/23/2015         2,300,000         2,783,000 (3) 
   USD      9.125     07/02/2018         723,000         871,215 (4) 
   USD      7.000     05/05/2020         739,000         809,205 (4) 
   USD      7.000     05/05/2020         5,615,000         6,148,425 (3) 
   USD      6.375     04/09/2021         2,538,000         2,683,935 (4) 

Zhaikmunai LLP:

             
   USD      10.500     10/19/2015         1,037,000         1,021,445 (4) 
   USD      10.500     10/19/2015         2,175,000         2,142,375 (3) 
             

 

 

 
                24,581,368   
             

 

 

 

Malaysia - 3.24%

             

Penerbangan Malaysia BHD

   USD      5.625     03/15/2016         1,195,000         1,323,642 (3) 

Petroliam Nasional BHD:

             
   USD      7.750     08/15/2015         335,000         397,276 (4) 
   USD      7.625     10/15/2026         840,000         1,148,910 (3) 

Petronas Capital Ltd.:

             
   USD      5.250     08/12/2019         630,000         701,692 (4) 
   USD      5.250     08/12/2019         2,749,000         3,061,830 (3) 
   USD      7.875     05/22/2022         17,019,000         22,943,314  (3) 

Petronas Global Sukuk Ltd.

   USD      4.250     08/12/2014         2,240,000         2,357,488 (4) 
             

 

 

 
                31,934,152   
             

 

 

 

Mexico - 2.26%

             

Alestra SA

   USD      11.750     08/11/2014         587,000         647,168   

America Movil SAB de CV

   USD      2.375     09/08/2016         3,778,000         3,708,583   

Axtel SAB de CV:

             
   USD      7.625     02/01/2017         347,000         261,985 (4) 
   USD      9.000     09/22/2019         1,171,000         884,105 (3) 

BBVA Bancomer SA

   USD      4.500     03/10/2016         585,000         579,150 (3) 

Cemex Espana Luxembourg:

             
   EUR      8.875     05/12/2017         54,000         47,527 (3) 
   USD      9.250     05/12/2020         2,250,000         1,552,500 (3) 

Cemex SAB de CV:

             
   USD      5.369     09/30/2015         921,000         617,070 (2)(4) 
   USD      9.000     01/11/2018         530,000         386,900 (3) 
   USD      9.000     01/11/2018         1,047,000         764,310 (4) 

Desarrolla Homex SAB de CV

   USD      7.500     09/28/2015         215,000         213,925   

Geo Maquinaria

   USD      9.625     05/02/2021         3,804,253         3,423,827 (4) 

Grupo Bimbo SAB de CV

   USD      4.875     06/30/2020         183,000         189,921 (4) 

Hipotecaria Su Casita SA de CV

   USD      7.500     06/29/2018         113,997         59,848 (4) 

Pemex Finance Ltd.

   USD      9.150     11/15/2018         1,250,000         1,545,387   

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  21


Table of Contents
Stone Harbor Emerging Markets Debt Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

 

     Currency    Rate     Maturity
Date
     Principal
Amount *
     Market Value
(Expressed in U.S.  $)
 

Pemex Project Funding Master Trust:

             
   EUR      5.500     02/24/2025         2,275,000       $ 2,867,632 (3) 
   USD      6.625     06/15/2035         3,034,000         3,344,985   

Telefonos de Mexico SAB de CV

   USD      5.500     11/15/2019         1,100,000         1,201,316   
             

 

 

 
                22,296,139   
             

 

 

 

Peru - 0.33%

             

Banco Continental SA via Continental Senior Trustees Cayman Ltd.

   USD      5.500     11/18/2020         766,000         743,020 (4) 

Banco de Credito del Peru/Panama

   USD      5.375     09/16/2020         561,000         551,182 (4) 

Inkia Energy Ltd.

   USD      8.375     04/04/2021         785,000         796,775 (4) 

Southern Copper Corp.

   USD      6.750     04/16/2040         1,117,000         1,129,170   
             

 

 

 
                3,220,147   
             

 

 

 

Qatar - 0.50%

             

Qtel International Finance Ltd.:

             
   USD      7.875     06/10/2019         779,000         945,316 (3) 
   USD      4.750     02/16/2021         250,000         250,625 (3) 
   USD      4.750     02/16/2021         567,000         568,418 (4) 
   USD      5.000     10/19/2025         1,155,000         1,103,025 (4) 
   USD      5.000     10/19/2025         2,122,000         2,026,510 (3) 
             

 

 

 
                4,893,894   
             

 

 

 

Russia - 1.71%

             

AK Transneft OJSC Via TransCapitalInvest Ltd.

   USD      8.700     08/07/2018         200,000         242,500 (3) 

Alfa Bank OJSC Via Alfa Bond Issuance PLC:

             
   USD      7.875     09/25/2017         100,000         94,500 (3) 
   USD      7.875     09/25/2017         658,000         621,810 (4) 

Evraz Group SA

   USD      6.750     04/27/2018         2,684,000         2,422,310 (4) 

Metalloinvest Finance Ltd.

   USD      6.500     07/21/2016         3,637,000         3,391,503 (4) 

Novatek Finance Ltd.

   USD      6.604     02/03/2021         3,422,000         3,550,325 (4) 

SCF Capital Ltd.

   USD      5.375     10/27/2017         2,670,000         2,396,325 (4) 

TNK-BP Finance SA

   USD      6.625     03/20/2017         200,000         209,750 (3) 

Vimpel Communications Holdings BV:

             
   USD      6.255     03/01/2017         1,330,000         1,206,975 (3) 
   USD      7.504     03/01/2022         800,000         698,000 (4) 

Vimpel Communications Via VIP Finance Ireland Ltd. OJSC:

             
   USD      6.493     02/02/2016         1,000,000         940,000 (3) 
   USD      7.748     02/02/2021         1,167,000         1,041,547 (4) 
             

 

 

 
                16,815,545   
             

 

 

 

Singapore - 0.05%

             

STATS ChipPAC Ltd.

   USD      5.375     03/31/2016         510,000         499,800 (4) 
             

 

 

 

South Africa - 0.66%

             

Gold Fields Orogen Holding BVI Ltd.

   USD      4.875     10/07/2020         2,739,000         2,382,930 (3) 

Myriad International Holding BV:

             
   USD      6.375     07/28/2017         650,000         693,875 (4) 
   USD      6.375     07/28/2017         3,200,000         3,416,000 (3) 
             

 

 

 
                6,492,805   
             

 

 

 

 

See Notes to Financial Statements.  
     
22   www.shiplp.com


Table of Contents
Stone Harbor Emerging Markets Debt Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

 

    

Currency

  

Rate

   

Maturity

Date

    

Principal

Amount *

    

Market Value

(Expressed in U.S. $)

 

South Korea - 0.47%

             

Export-Import Bank of Korea:

             
   USD      8.125     01/21/2014         2,447,000       $ 2,715,436   
   USD      4.375     09/15/2021         1,913,000         1,888,896   
             

 

 

 
                4,604,332   
             

 

 

 

Turkey - 0.24%

             

Yuksel Insaat AS

   USD      9.500     11/10/2015         3,237,000         2,379,195 (3) 
             

 

 

 

Ukraine - 0.71%

             

Ferrexpo Finance PLC

   USD      7.875     04/07/2016         2,747,000         2,486,035 (4) 

Metinvest BV

   USD      8.750     02/14/2018         2,582,000         2,252,795 (4) 

MHP SA

   USD      10.250     04/29/2015         1,005,000         929,625 (3) 

Mriya Agro Holding PLC

   USD      10.950     03/30/2016         1,452,000         1,321,320 (4) 
             

 

 

 
                6,989,775   
             

 

 

 

United Arab Emirates - 1.24%

             

Abu Dhabi National Energy Co.

   USD      6.250     09/16/2019         200,000         217,000 (3) 

Dolphin Energy Ltd.

   USD      5.888     06/15/2019         706,880         758,129 (3) 

DP World Ltd.

   USD      6.850     07/02/2037         2,220,000         2,020,200 (3) 

DP World Sukuk Ltd.

   USD      6.250     07/02/2017         2,990,000         3,004,950 (3) 

Dubai Holding Commercial Operations MTN Ltd.:

             
   EUR      4.750     01/30/2014         150,000         168,299   
   GBP      6.000     02/01/2017         1,800,000         2,075,652   

IPIC GMTN Ltd.

   USD      3.750     03/01/2017         3,800,000         3,781,000 (4) 

MDC-GMTN BV

   USD      3.750     04/20/2016         200,000         204,500 (3) 
             

 

 

 
                12,229,730   
             

 

 

 

Venezuela - 4.31%

             

Petroleos de Venezuela SA:

             
   USD      4.900     10/28/2014         45,547,646         35,413,295   
   USD      5.000     10/28/2015         2,669,366         1,875,230   
   USD      5.250     04/12/2017         6,000,000         3,780,000   
   USD      8.500     11/02/2017         1,919,000         1,436,851 (3) 
             

 

 

 
                42,505,376   
             

 

 

 
TOTAL CORPORATE BONDS                 259,228,226   
             

 

 

 

(Cost $269,503,952)

             
PARTICIPATION NOTES - 0.77%              

Argentina - 0.16%

             

Endesa Costanera SA

   USD      11.304     03/30/2012         456,000         456,000 (2) 

Hidroelec el Chocon SA

   USD      8.061     03/01/2015         1,100,000         1,100,000   
             

 

 

 
                1,556,000   
             

 

 

 

Ukraine - 0.61%

             

Ukreximbank Biz Finance PLC

   USD      8.375     04/27/2015         6,731,000         6,041,073 (3) 
             

 

 

 
TOTAL PARTICIPATION NOTES                 7,597,073   
             

 

 

 

(Cost $8,219,098)

             

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  23


Table of Contents
Stone Harbor Emerging Markets Debt Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

 

    

Currency

  

Rate

   

Maturity

Date

    

Principal

Amount *

    

Market Value

(Expressed in U.S. $)

 

CREDIT LINKED NOTES - 4.02%

             

Argentina - 0.34%

             

Cablevision SA

   USD      9.375     02/12/2018         3,618,000       $ 3,328,560 (9) 
             

 

 

 

Brazil - 2.51%

             

Nota Do Tesouro Nacional:

             
   BRL      10.000     01/01/2015         4,400,000         2,382,304 (10) 
   BRL      10.000     01/01/2017         600,000         321,605 (11) 
   BRL      10.000     01/01/2017         2,000,000         1,065,723 (10) 
   BRL      10.000     01/01/2021         3,000,000         1,557,276 (12) 
   BRL      10.000     01/01/2021         4,000,000         2,082,569 (13) 
   BRL      10.000     01/01/2021         4,200,000         2,186,698 (10) 
   BRL      10.000     01/01/2021         5,000,000         2,588,824 (14) 
   BRL      10.000     01/01/2021         6,000,000         3,122,183 (9) 
   BRL      10.000     01/01/2021         9,000,000         4,479,221 (10) 
   BRL      10.000     01/01/2021         9,600,000         4,983,283 (12) 
             

 

 

 
                24,769,686   
             

 

 

 

Colombia - 0.70%

             

Titulos de Tesoreria - Series B:

             
   COP      11.000     07/24/2020         3,500,000,000         2,162,673 (12) 
   COP      11.000     07/24/2020         5,700,000,000         3,522,068 (12) 
   COP      10.000     07/24/2024         1,952,000,000         1,187,154 (12) 
             

 

 

 
                6,871,895   
             

 

 

 

Iraq - 0.47%

             

Republic of Iraq

   JPY      2.447     01/01/2028         554,044,860         4,607,516 (2)(15) 
             

 

 

 
TOTAL CREDIT LINKED NOTES                 39,577,657   
             

 

 

 

(Cost $41,637,150)

             

SHORT TERM INVESTMENTS - 0.86%

             

Money Market Mutual Funds - 0.86%

             

Dreyfus Institutional Cash Advantage Fund - Institutional Advantage Shares

(0.077% 7-Day Yield)

   USD           8,434,700         8,434,700   
             

 

 

 
TOTAL SHORT TERM INVESTMENTS                 8,434,700   
             

 

 

 

(Cost $8,434,700)

             
Total Investments - 96.48%                 950,340,864   

(Cost $958,275,392)

             
Other Assets In Excess of Liabilities - 3.52%                 34,709,182   
             

 

 

 
Net Assets - 100.00%               $ 985,050,046   
             

 

 

 

 

See Notes to Financial Statements.  
     
24   www.shiplp.com


Table of Contents
Stone Harbor Emerging Markets Debt Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

* The contract/principal/share amounts of each security is stated in the currency in which the security is denominated. See below.

 

ARS

 

-

  

Argentine Peso

BRL

 

-

  

Brazilian Real

COP

 

-

  

Colombian Peso

EUR

 

-

  

Euro Currency

GBP

 

-

  

Great Britain Pound

JPY

 

-

  

Japanese Yen

MXN

 

-

  

Mexican Peso

MYR

 

-

  

Malaysian Ringgit

PHP

 

-

  

Philippine Peso

USD

 

-

  

United States Dollar

ZAR

 

-

  

South African Rand

 

(1) 

Security is currently in default/non-income producing.

(2) 

Floating or variable rate security. Interest rate disclosed is that which is in effect at November 30, 2011.

(3) Securities were purchased pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. These securities have been deemed liquid under procedures approved by the Fund’s Board of Trustees. As of November 30, 2011, the aggregate market value of those securities was $307,220,716, which represents approximately 31.19% of net assets.
(4) 

Security exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by Stone Harbor Investment Partners and may normally be sold to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $99,339,609, which represents approximately 10.09% of net assets as of November 30, 2011.

(5)

Step bond. Coupon increases periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect at November 30, 2011.

(6) 

Pay-in-kind securities.

(7)

Bank loans generally pay interest at rates which are periodically determined by reference to a base lending rate plus a premium. All loans carry a variable rate of interest. These base lending rates are generally (i) the Prime Rate offered by one or more major United States banks, (ii) the lending rate offered by one or more European banks such as the London Interbank Offered Rate (“LIBOR”) or (iii) the Certificate of Deposit rate. Rate shown represents the weighted average rate at November 30, 2011. Bank Loans, while exempt from registration, under the Securities Act of 1933 (the “1933 Act”), contain certain restrictions on resale and cannot be sold publicly. Floating rate bank loans often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturity shown.

(8) 

Zero coupon bond reflects effective yield on the date of purchase.

(9) 

The underlying security is issued by Deutsche Bank AG London.

(10) 

The underlying security is issued by JP Morgan Chase.

(11) 

The underlying security is issued by HSBC Bank.

(12) 

The underlying security is issued by Citigroup Global Markets.

(13) 

The underlying security is issued by Barclays Bank PLC.

(14)

The underlying security is issued by Credit Suisse First Boston.

(15)

The underlying security is issued by Merrill Lynch.

(16)

This security has been valued by management at its fair value determined in good faith pursuant to procedures approved by the Board of Trustees. Total market value of fair valued securities amounts to $2,717,450 which represents approximately 0.28% of net assets as of November 30, 2011.

Common Abbreviations:

AS

  

-

  

Anonim Sirket is the Turkish term for Incorporation.

BHD    -    Berhad is the Malaysian term for public limited company.
BV    -    Besloten Vennootschap a Dutch private limited liability company.
GMTN    -    Global Medium Term Note.
JSC    -    Joint Stock Co.
LLP    -    Limited Liability Partnership.
Ltd.    -    Limited.
MTN    -    Medium Term Note.
OJSC    -    Open Joint Stock Co.
PLC    -    Public Limited Co.
Pte    -    Private.
SA    -    Generally designates corporations in various countries, mostly those employing the civil law.
SA de CV    -    A variable capital company.
SAB de CV    -    A variable capital company.

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  25


Table of Contents
Stone Harbor Emerging Markets Debt Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS

 

Contract

Description

  

Contracted

Amount

  

Purchase/Sale

Contract

  

Settlement

Date

  

Current

Value

  

Unrealized

Appreciation/

(Depreciation)

BRL

   14,644,064    Sale    12/02/2011    $                  8,093,997    $                  545,059

BRL

   18,058,284    Purchase    01/04/2012    9,906,168    216,168

CNY

   54,911,986    Sale    05/16/2012    8,622,445    46,247

CNY

   27,703,936    Purchase    05/16/2012    4,350,156    6,514

EUR

   29,067,711    Sale    12/28/2011    39,069,748    303,093

GBP

   1,440,000    Sale    12/28/2011    2,258,618    23,422

JPY

   370,752,000    Sale    12/28/2011    4,784,212    38,014
              

 

               $               1,178,517
              

 

BRL

   14,644,064    Purchase    12/02/2011    $                  8,093,997    $                (132,543)

CNY

   27,208,050    Purchase    05/16/2012    4,272,290    (2,009)

EUR

   1,219,545    Sale    05/16/2012    1,639,184    (286)
              

 

               $                (134,838)
              

 

 

See Notes to Financial Statements.  
     
26   www.shiplp.com


Table of Contents
Stone Harbor High Yield Bond Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

     Currency    Rate     Maturity
Date
     Principal
Amount*
     Market Value
(Expressed in U.S. $)
 

CORPORATE BONDS - 91.11%

             

Aerospace/Defense - 1.48%

             

CPI International, Inc.

   USD      8.000     02/15/2018         2,225,000       $ 1,907,937   

TransDigm, Inc.

   USD      7.750     12/15/2018         2,900,000         3,001,500   

Triumph Group, Inc.

   USD      8.625     07/15/2018         1,575,000         1,724,625   
             

 

 

 
                6,634,062   
             

 

 

 

Automotive - 1.40%

             

Allison Transmission, Inc.

   USD      7.125     05/15/2019         1,100,000         1,042,250 (1) 

Chrysler Group LLC:

             
   USD      8.000     06/15/2019         950,000         807,500 (1) 
   USD      8.250     06/15/2021         1,000,000         845,000 (1) 

Ford Motor Co.:

             
   USD      7.450     07/16/2031         910,000         1,071,525   
   USD      8.900     01/15/2032         25,000         30,875   

Tomkins LLC

   USD      9.000     10/01/2018         1,745,000         1,893,325   

UCI International, Inc.

   USD      8.625     02/15/2019         575,000         560,625   
             

 

 

 
                6,251,100   
             

 

 

 

Banking - 0.85%

             

E*Trade Financial Corp.

   USD      12.500     11/30/2017         1,670,000         1,895,450 (2) 

Provident Funding Associates LP:

             
   USD      10.250     04/15/2017         1,025,000         978,875 (1) 
   USD      10.125     02/15/2019         1,125,000         916,875 (1) 
             

 

 

 
                3,791,200   
             

 

 

 

Building Products - 1.16%

             

American Standard Americas

   USD      10.750     01/15/2016         715,000         475,475 (1) 

Griffon Corp.

   USD      7.125     04/01/2018         2,125,000         2,061,250   

Interface, Inc.

   USD      7.625     12/01/2018         850,000         888,250   

Norcraft Cos. LP

   USD      10.500     12/15/2015         1,975,000         1,787,375   
             

 

 

 
                5,212,350   
             

 

 

 

Chemicals - 2.70%

             

Ineos Group Holdings Ltd.:

             
   EUR      7.875     02/15/2016         200,000         190,135 (3) 
   USD      8.500     02/15/2016         3,380,000         2,653,300 (1) 

Koppers, Inc.

   USD      7.875     12/01/2019         1,875,000         1,945,313   

Lyondell Chemical Co.

   USD      8.375     08/15/2015         945,000         0 (4) 

LyondellBasell Industries NV

   USD      6.000     11/15/2021         120,000         123,000 (1) 

MacDermid, Inc.

   USD      9.500     04/15/2017         1,875,000         1,800,000 (1) 

Momentive Performance Materials, Inc.:

             
   USD      11.500     12/01/2016         1,375,000         990,000   
   USD      9.000     01/15/2021         2,495,000         1,790,162   

Nova Chemicals Corp.

   USD      8.375     11/01/2016         2,375,000         2,576,875   
             

 

 

 
                12,068,785   
             

 

 

 

Construction Machinery - 0.81%

             

Case New Holland, Inc.

   USD      7.875     12/01/2017         950,000         1,045,000   

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  27


Table of Contents
Stone Harbor High Yield Bond Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

     Currency    Rate     Maturity Date      Principal
Amount*
     Market Value
(Expressed in U.S. $)
 

The Manitowoc Co., Inc.:

             
   USD      9.500     02/15/2018         1,975,000       $ 2,049,063   
   USD      8.500     11/01/2020         100,000         102,500   

United Rentals North America, Inc.

   USD      8.375     09/15/2020         450,000         445,500   
             

 

 

 
                3,642,063   

Consumer Products - 0.91%

             

Armored Autogroup, Inc.

   USD      9.250     11/01/2018         1,025,000         825,125 (1) 

Elizabeth Arden, Inc.

   USD      7.375     03/15/2021         950,000         995,125   

NBTY, Inc.

   USD      9.000     10/01/2018         1,200,000         1,284,000   

Visant Corp.

   USD      10.000     10/01/2017         1,025,000         948,125   
             

 

 

 
                4,052,375   
             

 

 

 

Containers/Packaging - 3.62%

             

ARD Finance SA

   USD      11.125     06/01/2018         825,000         730,125 (1)(2) 

Ardagh Packaging Finance PLC:

             
   USD      9.125     10/15/2020         1,450,000         1,442,750 (1) 
   EUR      9.250     10/15/2020         650,000         771,876 (3) 

BWAY Holding Co.

   USD      10.000     06/15/2018         1,275,000         1,338,750   

Pregis Corp.

   USD      12.375     10/15/2013         1,085,000         1,014,475   

Radnor Holdings Corp.

   USD      11.000     03/15/2010         25,000         2 (4) 

Reynolds Group Issuer, Inc.:

             
   USD      8.750     10/15/2016         1,850,000         1,919,375 (1) 
   USD      9.000     04/15/2019         2,900,000         2,624,500 (1) 
   USD      8.250     02/15/2021         650,000         555,750 (1) 

Reynolds Group, Inc.

   USD      8.500     05/15/2018         975,000         892,125 (1) 

Sealed Air Corp.

   USD      8.375     09/15/2021         3,520,000         3,775,200 (1) 

Solo Cup Co.

   USD      8.500     02/15/2014         1,235,000         1,142,375   
             

 

 

 
                16,207,303   
             

 

 

 

Drillers/Services - 4.36%

             

Basic Energy Services, Inc.:

             
   USD      7.125     04/15/2016         1,150,000         1,158,625   
   USD      7.750     02/15/2019         1,025,000         1,027,563   

CHC Helicopter SA

   USD      9.250     10/15/2020         2,325,000         2,011,125 (1) 

Complete Production Services, Inc.

   USD      8.000     12/15/2016         1,975,000         2,063,875   

Exterran Holdings, Inc.

   USD      7.250     12/01/2018         850,000         811,750 (1) 

Hercules Offshore LLC

   USD      10.500     10/15/2017         2,255,000         2,176,075 (1) 

Hornbeck Offshore Services, Inc.

   USD      8.000     09/01/2017         1,875,000         1,921,875   

Offshore Group Investments Ltd.

   USD      11.500     08/01/2015         1,995,000         2,149,612   

Parker Drilling Co.

   USD      9.125     04/01/2018         525,000         551,250   

PHI, Inc.

   USD      8.625     10/15/2018         800,000         786,000   

SESI LLC:

             
   USD      6.375     05/01/2019         1,915,000         1,924,575 (1) 
   USD      7.125     12/15/2021         1,000,000         1,020,000 (1) 

Trinidad Drilling Ltd.

   USD      7.875     01/15/2019         1,870,000         1,916,750 (1) 
             

 

 

 
                19,519,075   
             

 

 

 

Electric - 6.08%

             

The AES Corp.:

             
   USD      9.750     04/15/2016         925,000         1,049,875   
   USD      8.000     10/15/2017         2,225,000         2,403,000   
   USD      7.375     07/01/2021         2,375,000         2,487,813 (1) 

Calpine Corp.:

             
   USD      7.875     07/31/2020         2,250,000         2,345,625 (1) 
   USD      7.500     02/15/2021         1,925,000         1,973,125 (1) 

DPL, Inc.

   USD      7.250     10/15/2021         1,145,000         1,207,975 (1) 

 

See Notes to Financial Statements.  
     
28   www.shiplp.com


Table of Contents
Stone Harbor High Yield Bond Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

     Currency    Rate     Maturity Date      Principal
Amount*
     Market Value
(Expressed in U.S.  $)
 

Dynegy Holdings LLC:

             
   USD      8.375     05/01/2016         2,970,000       $ 2,153,250 (4) 
   USD      7.125     05/15/2018         500,000         355,000 (4) 
   USD      7.750     06/01/2019         460,000         322,000 (4) 
   USD      7.625     10/15/2026         25,000         17,875 (4) 

Edison Mission Energy:

             
   USD      7.750     06/15/2016         1,825,000         1,277,500   
   USD      7.000     05/15/2017         150,000         94,875   
   USD      7.200     05/15/2019         1,540,000         916,300   
   USD      7.625     05/15/2027         1,135,000         663,975   

GenOn Energy, Inc.:

             
   USD      9.500     10/15/2018         1,650,000         1,674,750   
   USD      9.875     10/15/2020         1,875,000         1,870,312   

NRG Energy, Inc.:

             
   USD      7.625     05/15/2019         775,000         744,000 (1) 
   USD      8.500     06/15/2019         2,300,000         2,300,000   
   USD      8.250     09/01/2020         1,235,000         1,222,650   
   USD      7.875     05/15/2021         2,200,000         2,101,000 (1) 
             

 

 

 
                27,180,900   
             

 

 

 

Exploration & Production - 4.88%

             

Atlas Pipeline Partners LP

   USD      8.750     06/15/2018         225,000         234,000   

Concho Resources, Inc.

   USD      7.000     01/15/2021         1,575,000         1,645,875   

Eagle Rock Energy Partners LP

   USD      8.375     06/01/2019         2,110,000         2,099,450 (1) 

Kodiak Oil & Gas Corp.

   USD      8.125     12/01/2019         1,075,000         1,092,469 (1) 

Linn Energy LLC:

             
   USD      6.500     05/15/2019         250,000         238,750 (1) 
   USD      7.750     02/01/2021         3,225,000         3,241,125   

MEG Energy Corp.

   USD      6.500     03/15/2021         1,875,000         1,893,750 (1) 

NFR Energy LLC:

             
   USD      9.750     02/15/2017         225,000         194,625 (1) 
   USD      9.750     02/15/2017         1,075,000         929,875 (1) 

Oasis Petroleum, Inc.

   USD      7.250     02/01/2019         2,150,000         2,203,750 (1) 

Plains Exploration & Production Co.:

             
   USD      7.625     06/01/2018         800,000         844,000   
   USD      7.625     04/01/2020         1,050,000         1,123,500   

Quicksilver Resources, Inc.

   USD      11.750     01/01/2016         700,000         791,000   

SandRidge Energy, Inc.:

             
   USD      8.000     06/01/2018         575,000         554,875 (1) 
   USD      8.750     01/15/2020         1,000,000         985,000   
   USD      7.500     03/15/2021         2,000,000         1,840,000   

Venoco, Inc.

   USD      8.875     02/15/2019         1,475,000         1,327,500   

WPX Energy, Inc.

   USD      6.000     01/15/2022         600,000         592,500 (1) 
             

 

 

 
                21,832,044   
             

 

 

 

Financial Other - 0.48%

             

International Lease Finance Corp.

   USD      8.250     12/15/2020         2,163,000         2,157,592   
             

 

 

 

Food & Beverage - 3.61%

             

Campofrio Food Group SA

   EUR      8.250     10/31/2016         650,000         845,024 (3) 

Cott Beverages, Inc.

   USD      8.375     11/15/2017         1,150,000         1,233,375   

Dean Foods Co.:

             
   USD      7.000     06/01/2016         2,225,000         2,169,375   
   USD      9.750     12/15/2018         2,885,000         3,043,675   

Del Monte Foods Co.

   USD      7.625     02/15/2019         4,655,000         4,189,500 (1) 

Michael Foods, Inc.

   USD      9.750     07/15/2018         725,000         750,375   

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  29


Table of Contents
Stone Harbor High Yield Bond Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

     Currency    Rate     Maturity Date      Principal
Amount*
     Market Value
(Expressed in U.S.  $)
 

Pinnacle Foods Finance LLC:

             
   USD      9.250     04/01/2015         1,825,000       $ 1,875,187   
   USD      10.625     04/01/2017         425,000         442,000   
   USD      8.250     09/01/2017         1,550,000         1,584,875   
             

 

 

 
                16,133,386   
             

 

 

 

Gaming - 4.30%

             

American Casino & Entertainment Properties LLC

   USD      11.000     06/15/2014         555,000         557,775   

Boyd Gaming Corp.

   USD      9.125     12/01/2018         2,435,000         2,240,200   

Caesars Entertainment Operating Co., Inc.

   USD      12.750     04/15/2018         1,165,000         870,838   

CCM Merger, Inc.

   USD      8.000     08/01/2013         1,045,000         984,912 (1) 

Harrah’s Operating Co., Inc.

   USD      5.375     12/15/2013         1,100,000         932,250   

Isle of Capri Casinos, Inc.:

             
   USD      7.000     03/01/2014         2,300,000         2,139,000   
   USD      7.750     03/15/2019         1,225,000         1,133,125   

Jacobs Entertainment, Inc.

   USD      9.750     06/15/2014         205,000         193,725   

MGM Resorts International:

             
   USD      5.875     02/27/2014         2,025,000         1,954,125   
   USD      6.875     04/01/2016         1,140,000         1,045,950   
   USD      10.000     11/01/2016         1,025,000         1,066,000   
   USD      11.125     11/15/2017         800,000         899,000   
   USD      9.000     03/15/2020         875,000         958,125   

Pinnacle Entertainment, Inc.:

             
   USD      7.500     06/15/2015         2,605,000         2,539,875   
   USD      8.625     08/01/2017         775,000         817,625   
   USD      8.750     05/15/2020         950,000         926,250   
             

 

 

 
                19,258,775   
             

 

 

 

Gas Distributors - 1.07%

             

Inergy LP:

             
   USD      8.750     03/01/2015         556,000         585,190   
   USD      7.000     10/01/2018         300,000         295,500   
   USD      6.875     08/01/2021         1,850,000         1,766,750   

Niska Gas Storage US LLC

   USD      8.875     03/15/2018         2,200,000         2,156,000   
             

 

 

 
                4,803,440   
             

 

 

 

Gas Pipelines - 2.93%

             

ANR Pipeline Co.:

             
   USD      7.375     02/15/2024         60,000         75,951   
   USD      7.000     06/01/2025         10,000         12,357   

Atlas Pipeline Partners LP

   USD      8.750     06/15/2018         1,050,000         1,086,750 (1) 

Copano Energy LLC:

             
   USD      7.750     06/01/2018         675,000         675,000   
   USD      7.125     04/01/2021         1,525,000         1,532,625   

Crosstex Energy, Inc.

   USD      8.875     02/15/2018         1,950,000         2,086,500   

El Paso Corp., Series GMTN

   USD      7.800     08/01/2031         1,900,000         2,194,500   

MarkWest Energy Partners LP:

             
   USD      6.750     11/01/2020         475,000         491,031   
   USD      6.250     06/15/2022         1,100,000         1,119,250   

Sabine Pass LNG LP

   USD      7.250     11/30/2013         2,175,000         2,164,125   

Targa Resources Partners LP:

             
   USD      7.875     10/15/2018         775,000         809,875   
   USD      6.875     02/01/2021         850,000         854,250 (1) 
             

 

 

 
   USD              13,102,214   
             

 

 

 

 

See Notes to Financial Statements.  
     
30   www.shiplp.com


Table of Contents
Stone Harbor High Yield Bond Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

     Currency    Rate     Maturity Date      Principal
Amount*
     Market Value
(Expressed in U.S. $)
 

Healthcare - 8.37%

             

American Renal Holdings, Inc.

   USD      8.375     05/15/2018         1,875,000       $ 1,940,625   

Biomet, Inc.

   USD      11.625     10/15/2017         1,925,000         2,069,375   

Community Health Systems, Inc.:

             
   USD      8.875     07/15/2015         2,605,000         2,683,150   
   USD      8.000     11/15/2019         1,900,000         1,847,750 (1) 

ConvaTec Healthcare E SA

   USD      10.500     12/15/2018         2,100,000         1,905,750 (1) 

Emergency Medical Services Corp., Series WI

   USD      8.125     06/01/2019         2,200,000         2,172,500   

HCA Holdings, Inc.

   USD      7.750     05/15/2021         275,000         271,562   

HCA, Inc.

   USD      7.500     02/15/2022         6,425,000         6,344,687   

Health Management Associates, Inc.

   USD      7.375     01/15/2020         2,270,000         2,289,863 (1) 

HealthSouth Corp.

   USD      8.125     02/15/2020         3,425,000         3,365,063   

IASIS Healthcare LLC

   USD      8.375     05/15/2019         2,150,000         1,800,625 (1) 

Radiation Therapy Services, Inc.

   USD      9.875     04/15/2017         2,275,000         1,717,625   

Surgical Care Affiliates, Inc.:

             
   USD      8.875     07/15/2015         984,000         979,080 (1)(2) 
   USD      10.000     07/15/2017         1,275,000         1,230,375 (1) 

Tenet Healthcare Corp.

   USD      6.250     11/01/2018         1,000,000         987,500 (1) 

United Surgical Partners International, Inc.:

             
   USD      8.875     05/01/2017         125,000         124,687   
   USD      9.250     05/01/2017         1,370,000         1,370,000 (2) 

Vanguard Health Holding Co. II LLC

   USD      8.000     02/01/2018         4,525,000         4,321,375   

Vanguard Health Systems, Inc.

   USD      0.000     02/01/2016         10,000         6,450 (5) 
             

 

 

 
                37,428,042   
             

 

 

 

Industrial Other - 1.09%

             

Park-Ohio Industries, Inc.

   USD      8.125     04/01/2021         1,250,000         1,225,000   

RBS Global, Inc.

   USD      8.500     05/01/2018         3,550,000         3,656,500   
             

 

 

 
                4,881,500   
             

 

 

 

Leisure - 2.09%

             

AMC Entertainment, Inc.:

             
   USD      8.000     03/01/2014         550,000         534,875   
   USD      9.750     12/01/2020         3,725,000         3,408,375   

Cinemark USA, Inc.:

             
   USD      8.625     06/15/2019         1,775,000         1,917,000   
   USD      7.375     06/15/2021         1,175,000         1,177,938   

Regal Cinemas Corp.

   USD      8.625     07/15/2019         1,700,000         1,806,250   

Regal Entertainment Group

   USD      9.125     08/15/2018         475,000         498,750   
             

 

 

 
                9,343,188   
             

 

 

 

Media Cable - 5.19%

             

Atlantic Broadband Finance LLC

   USD      9.375     01/15/2014         1,710,000         1,712,138   

Cablevision Systems Corp.:

             
   USD      8.625     09/15/2017         1,725,000         1,811,250   
   USD      7.750     04/15/2018         525,000         538,125   
   USD      8.000     04/15/2020         1,275,000         1,300,500   

CCO Holdings LLC

   USD      7.000     01/15/2019         425,000         429,781   

Cequel Communications Holdings I LLC

   USD      8.625     11/15/2017         1,175,000         1,201,437 (1) 

CSC Holdings LLC:

             
   USD      7.625     07/15/2018         325,000         352,625   
   USD      8.625     02/15/2019         475,000         532,000   

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  31


Table of Contents
Stone Harbor High Yield Bond Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

     Currency    Rate     Maturity Date      Principal
Amount*
     Market Value
(Expressed in U.S.  $)
 

DISH DBS Corp.:

             
   USD      7.125     02/01/2016         960,000       $ 991,200   
   USD      7.875     09/01/2019         2,750,000         2,928,750   
   USD      6.750     06/01/2021         850,000         833,000   

Nara Cable Funding Ltd.

   EUR      8.875     12/01/2018         700,000         806,560 (3) 

Ono Finance II PLC

   USD      10.875     07/15/2019         805,000         672,175 (1) 

Radio One, Inc.

   USD      15.000     05/24/2016         2,553,996         2,158,127 (2) 

Unitymedia Hesson GmbH & Co.

   USD      8.125     12/01/2017         125,000         129,687 (1) 

UPC Holding BV:

             
   EUR      9.750     04/15/2018         425,000         576,786 (3) 
   USD      9.875     04/15/2018         2,625,000         2,716,875 (1) 
   EUR      8.375     08/15/2020         900,000         1,124,683 (3) 

Virgin Media Finance PLC

   USD      8.375     10/15/2019         275,000         295,625   

Ziggo Bond Co. BV

   EUR      8.000     05/15/2018         1,600,000         2,096,183 (3) 
             

 

 

 
                23,207,507   
             

 

 

 

Media Other - 2.84%

             

AMC Networks, Inc.

   USD      7.750     07/15/2021         900,000         956,250 (1) 

Bonten Media Acquisition Co.

   USD      9.000     06/01/2015         539,195         423,268 (1)(2) 

Entravision Communications Corp.

   USD      8.750     08/01/2017         2,805,000         2,755,913   

Fox Acquisition Sub LLC

   USD      13.375     07/15/2016         1,665,000         1,825,256 (1) 

Interep National Radio Sales, Inc., Series B

   USD      10.000     07/01/2008         4,000         0 (4) 

Lamar Media Corp., Series B

   USD      6.625     08/15/2015         1,680,000         1,684,200   

Sinclair Television Group, Inc.:

             
   USD      9.250     11/01/2017         800,000         862,000 (1) 
   USD      8.375     10/15/2018         1,325,000         1,348,188   

Univision Communications, Inc.:

             
   USD      7.875     11/01/2020         2,205,000         2,094,750 (1) 
   USD      8.500     05/15/2021         900,000         747,000 (1) 
             

 

 

 
                12,696,825   
             

 

 

 

Metals/Mining/Steel - 5.29%

             

APERAM:

             
   USD      7.375     04/01/2016         850,000         748,000 (1) 
   USD      7.750     04/01/2018         1,425,000         1,225,500 (1) 

Arch Coal, Inc.:

             
   USD      7.000     06/15/2019         650,000         637,000 (1) 
   USD      7.250     06/15/2021         1,575,000         1,535,625 (1) 

Atkore International, Inc.

   USD      9.875     01/01/2018         2,074,000         2,027,335   

Cloud Peak Energy Resources LLC:

             
   USD      8.250     12/15/2017         400,000         424,000   
   USD      8.500     12/15/2019         1,530,000         1,644,750   

Consol Energy, Inc.:

             
   USD      8.000     04/01/2017         1,175,000         1,257,250   
   USD      8.250     04/01/2020         800,000         864,000   

FMG Resources August 2006 Pty Ltd.

   USD      8.250     11/01/2019         2,560,000         2,524,800 (1) 

JMC Steel Group

   USD      8.250     03/15/2018         1,600,000         1,512,000 (1) 

Mirabela Nickel Ltd.

   USD      8.750     04/15/2018         2,325,000         2,080,875 (1) 

Novelis, Inc.

   USD      8.375     12/15/2017         1,825,000         1,907,125   

Peabody Energy Corp.

   USD      6.250     11/15/2021         1,540,000         1,559,250 (1) 

Penn Virginia Resource Partners LP

   USD      8.250     04/15/2018         1,685,000         1,676,575   

Taseko Mines Ltd.

   USD      7.750     04/15/2019         2,225,000         2,024,750   
             

 

 

 
                23,648,835   
             

 

 

 

 

See Notes to Financial Statements.  
     
32   www.shiplp.com


Table of Contents
Stone Harbor High Yield Bond Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

     Currency    Rate     Maturity Date      Principal
Amount*
     Market Value
(Expressed in U.S.  $)
 

Non Captive Finance - 0.27%

             

Ally Financial, Inc.

   USD      6.250     12/01/2017         790,000       $ 728,882   

PHH Corp.

   USD      9.250     03/01/2016         450,000         465,750   
             

 

 

 
                1,194,632   
             

 

 

 

Paper/Forest Products - 3.28%

             

Ainsworth Lumber Co. Ltd.

   USD      11.000     07/29/2015         1,994,906         1,256,791 (1)(2) 

Boise Paper Holdings LLC

   USD      8.000     04/01/2020         2,000,000         2,115,000   

Cascades, Inc.:

             
   USD      7.750     12/15/2017         1,750,000         1,710,625   
   USD      7.875     01/15/2020         650,000         627,250   

Catalyst Paper Corp.

   USD      11.000     12/15/2016         1,540,000         962,500 (1) 

Graphic Packaging International, Inc.

   USD      9.500     06/15/2017         2,155,000         2,359,725   

Mercer International, Inc.

   USD      9.500     12/01/2017         1,990,000         2,009,900   

NewPage Corp.

   USD      11.375     12/31/2014         1,215,000         853,537 (4) 

Verso Paper Holdings LLC:

             
   USD      8.750     02/01/2019         595,000         389,725   

Series B

   USD      11.375     08/01/2016         1,805,000         1,092,025   

Xerium Technologies, Inc.

   USD      8.875     06/15/2018         1,500,000         1,297,500 (1) 
             

 

 

 
                14,674,578   
             

 

 

 

Property & Casualty Insurance - 0.26%

             

CNO Financial Group, Inc.

   USD      9.000     01/15/2018         1,100,000         1,160,500 (1) 
             

 

 

 

Publishing/Printing - 1.65%

             

Baker & Taylor, Inc.

   USD      11.500     07/01/2013         1,295,000         1,018,194 (1) 

Cenveo Corp.:

             
   USD      7.875     12/01/2013         3,400,000         2,703,000   
   USD      8.375     06/15/2014         650,000         490,750   
   USD      10.500     08/15/2016         350,000         297,500 (1) 
   USD      8.875     02/01/2018         500,000         428,750   

IDEARC, Inc.

   USD      8.000     11/15/2016         1,265,000         0 (4) 

The McClatchy Co.

   USD      11.500     02/15/2017         2,635,000         2,457,137   
             

 

 

 
                7,395,331   
             

 

 

 

Refining - 0.42%

             

Petroplus Finance Ltd.:

             
   USD      6.750     05/01/2014         1,585,000         1,117,425 (1) 
   USD      7.000     05/01/2017         925,000         559,625 (1) 
   USD      9.375     09/15/2019         300,000         189,000 (1) 
             

 

 

 
                1,866,050   
             

 

 

 

Restaurants - 0.00%(6)

             

Sbarro, Inc.

   USD      10.375     02/01/2015         225,000         2,813 (4) 
             

 

 

 

Retail Food/Drug - 0.75%

             

Albertsons, Inc.:

             
   USD      8.700     05/01/2030         725,000         632,563   
   USD      8.000     05/01/2031         625,000         504,687   

American Stores Co.:

             
   USD      7.900     05/01/2017         550,000         512,875   
   USD      8.000     06/01/2026         1,465,000         1,256,238   

Series MTNB

   USD      7.100     03/20/2028         600,000         454,500   
             

 

 

 
                3,360,863   
             

 

 

 

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  33


Table of Contents
Stone Harbor High Yield Bond Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

     Currency    Rate     Maturity Date      Principal
Amount*
     Market Value
(Expressed in U.S. $)
 

Retail Non Food/Drug - 2.48%

             

The Bon-Ton Department Stores, Inc.

   USD      10.250     03/15/2014         1,380,000       $ 893,550   

Claire’s Stores, Inc.:

             
   USD      9.250     06/01/2015         550,000         409,750   
   USD      9.625     06/01/2015         1,308,282         977,941 (2) 
   USD      8.875     03/15/2019         1,150,000         845,250   

Express LLC

   USD      8.750     03/01/2018         1,300,000         1,371,500   

JC Penney Corp., Inc.

   USD      7.400     04/01/2037         2,100,000         1,937,250   

Limited Brands, Inc.:

             
   USD      6.950     03/01/2033         1,350,000         1,245,375   
   USD      7.600     07/15/2037         400,000         394,000   

Michaels Stores, Inc.

   USD      7.750     11/01/2018         725,000         712,312   

RadioShack Corp.

   USD      6.750     05/15/2019         2,250,000         1,951,875   

Toys R Us Delaware, Inc.

   USD      7.375     09/01/2016         375,000         373,125 (1) 
             

 

 

 
                11,111,928   
             

 

 

 

Satellite - 0.29%

             

Intelsat Jackson Holdings SA:

             
   USD      7.250     04/01/2019         375,000         366,562 (1) 
   USD      8.500     11/01/2019         900,000         920,250   
             

 

 

 
                1,286,812   
             

 

 

 

Services Other - 3.93%

             

American Residential Services LLC

   USD      12.000     04/15/2015         1,075,000         1,075,000 (1) 

ARAMARK Corp.

   USD      8.500     02/01/2015         1,120,000         1,153,600   

ARAMARK Holdings Corp.

   USD      8.625     05/01/2016         1,475,000         1,504,500 (1)(2) 

Brickman Group Holdings, Inc.

   USD      9.125     11/01/2018         2,250,000         2,013,750 (1) 

GXS Worldwide, Inc.

   USD      9.750     06/15/2015         2,040,000         1,892,100   

Interactive Data Corp.

   USD      10.250     08/01/2018         1,875,000         2,015,625   

Iron Mountain, Inc.:

             
   USD      8.750     07/15/2018         1,200,000         1,242,000   
   USD      8.000     06/15/2020         375,000         386,250   
   USD      8.375     08/15/2021         325,000         342,875   

ServiceMaster Co.:

             
   USD      10.750     07/15/2015         1,800,000         1,845,000 (1)(2) 
   USD      7.450     08/15/2027         325,000         249,437   

Trans Union LLC

   USD      11.375     06/15/2018         1,925,000         2,146,375   

West Corp.:

             
   USD      8.625     10/01/2018         350,000         350,875   
   USD      7.875     01/15/2019         1,350,000         1,356,750   
             

 

 

 
                17,574,137   
             

 

 

 

Technology - 4.08%

             

CommScope, Inc.

   USD      8.250     01/15/2019         2,350,000         2,279,500 (1) 

First Data Corp.

   USD      12.625     01/15/2021         1,690,000         1,402,700 (1) 

iGate Corp.

   USD      9.000     05/01/2016         2,125,000         2,135,625 (1) 

Lawson Software, Inc.

   USD      11.250     07/15/2018         2,080,000         1,991,600 (1) 

MEMC Electronic Materials, Inc.

   USD      7.750     04/01/2019         1,475,000         1,165,250   

NXP BV

   USD      9.750     08/01/2018         2,125,000         2,321,563 (1) 

Seagate HDD Cayman

   USD      7.750     12/15/2018         2,075,000         2,147,625 (1) 

Sensata Technologies BV

   USD      6.500     05/15/2019         1,175,000         1,145,625 (1) 

SSI Investments II

   USD      11.125     06/01/2018         1,950,000         2,052,375   

SunGard Data Systems, Inc.

   USD      7.375     11/15/2018         1,625,000         1,608,750   
             

 

 

 
                18,250,613   
             

 

 

 

 

See Notes to Financial Statements.  
     
34   www.shiplp.com


Table of Contents
Stone Harbor High Yield Bond Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

 

    

Currency

  

Rate

   

Maturity Date

    

Principal

Amount*

    

Market Value

(Expressed in U.S. $)

 

Textile/Apparel - 0.87%

             

Levi Strauss & Co.:

             
   USD      8.875     04/01/2016         725,000       $ 750,375   
   USD      7.625     05/15/2020         1,550,000         1,561,625   

Quiksilver, Inc.

   USD      6.875     04/15/2015         1,700,000         1,589,500   
             

 

 

 
                3,901,500   
             

 

 

 

Transportation - Non Air/Rail - 0.41%

             

CMA CGM SA

   USD      8.500     04/15/2017         1,525,000         541,375 (1) 

General Maritime Corp.

   USD      12.000     11/15/2017         2,755,000         296,163 (4) 

Teekay Corp.

   USD      8.500     01/15/2020         1,025,000         981,437   
             

 

 

 
                1,818,975   
             

 

 

 

Wireless - 2.14%

             

Nextel Communications, Inc., Series D

   USD      7.375     08/01/2015         1,545,000         1,367,325   

NII Capital Corp.

   USD      7.625     04/01/2021         210,000         214,200   

Sprint Capital Corp.

   USD      8.750     03/15/2032         4,950,000         3,960,000   

Sprint Nextel Corp.

   USD      9.000     11/15/2018         1,670,000         1,686,700 (1) 

Wind Acquisition Finance SA

   USD      12.250     07/15/2017         3,003,611         2,327,799 (1)(2) 
             

 

 

 
                9,556,024   
             

 

 

 

Wirelines - 4.77%

             

Cincinnati Bell, Inc.:

             
   USD      8.250     10/15/2017         1,150,000         1,121,250   
   USD      8.750     03/15/2018         1,545,000         1,382,775   
   USD      8.375     10/15/2020         50,000         48,750   

Citizens Communications Co.

   USD      9.000     08/15/2031         6,563,000         5,808,255   

Embarq Corp.

   USD      7.995     06/01/2036         1,575,000         1,588,173   

ITC Deltacom, Inc.

   USD      10.500     04/01/2016         2,000,000         2,072,500   

Level 3 Financing, Inc.

   USD      10.000     02/01/2018         2,400,000         2,472,000   

Qwest Corp.:

             
   USD      7.500     06/15/2023         425,000         427,125   
   USD      6.875     09/15/2033         1,750,000         1,723,750   

Syniverse Holdings, Inc.

   USD      9.125     01/15/2019         1,050,000         1,081,500   

Windstream Corp.:

             
   USD      7.875     11/01/2017         675,000         708,750   
   USD      7.750     10/15/2020         400,000         392,000   
   USD      7.750     10/01/2021         515,000         509,850   
   USD      7.500     04/01/2023         2,142,000         2,024,190   
             

 

 

 
                21,360,868   
             

 

 

 

TOTAL CORPORATE BONDS

                407,568,185   
             

 

 

 

(Cost $421,467,608)

             

CONVERTIBLE CORPORATE BONDS - 1.84%

             

Airlines - 0.03%

             

AirTran Holdings, Inc.

   USD      5.250     11/01/2016         110,000         139,013   
             

 

 

 

Automotive - 0.20%

             

Cie Generale des Etablissements Michelin, Series ML

   EUR      0.000     01/01/2017         166,631         238,352 (5) 

Suzuki Motor Corp., Series 4

   JPY      0.000     03/29/2013         25,000,000         320,380 (1)(5) 

TRW Automotive, Inc.

   USD      3.500     12/01/2015         250,000         334,375   
             

 

 

 
                893,107   
             

 

 

 

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  35


Table of Contents
Stone Harbor High Yield Bond Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

     Currency    Rate     Maturity Date      Principal
Amount*
     Market Value
(Expressed in U.S. $)
 

Building Products - 0.02%

             

Cemex SAB de CV:

             
   USD      3.250     03/15/2016         49,000       $ 27,869 (1) 
   USD      3.750     03/15/2018         100,000         57,125 (1) 
             

 

 

 
                84,994   
             

 

 

 

Containers/Packaging - 0.06%

             

Owens-Brockway Glass Container, Inc.

   USD      3.000     06/01/2015         293,000         271,391 (1) 
             

 

 

 

Drillers/Services - 0.23%

             

Hercules Offshore, Inc.

   USD      3.375     06/01/2038         252,000         225,540 (7) 

Hornbeck Offshore Services, Inc.

   USD      1.625     11/15/2026         140,000         141,400 (7) 

Newpark Resources, Inc.

   USD      4.000     10/01/2017         168,000         185,010   

SESI LLC

   USD      1.500     12/15/2026         170,000         170,212 (7) 

Subsea 7 SA, Series ACY

   USD      2.250     10/11/2013         300,000         330,000   
             

 

 

 
                1,052,162   
             

 

 

 

Exploration & Production - 0.00%(6)

             

InterOil Corp.

   USD      2.750     11/15/2015         9,000         7,459   
             

 

 

 

Food & Beverage - 0.13%

             

Smithfield Foods, Inc.

   USD      4.000     06/30/2013         163,000         200,286   

Tyson Foods, Inc.

   USD      3.250     10/15/2013         280,000         368,550   
             

 

 

 
                568,836   
             

 

 

 

Healthcare - 0.13%

             

Amylin Pharmaceuticals, Inc.

   USD      3.000     06/15/2014         122,000         107,360   

Dendreon Corp.

   USD      2.875     01/15/2016         401,000         283,707   

Hologic, Inc.

   USD      2.000     12/15/2037         109,000         103,550 (7) 

Integra LifeSciences Holdings Corp.

   USD      1.625     12/15/2016         92,000         79,120 (1) 
             

 

 

 
                573,737   
             

 

 

 

Industrial Other - 0.04%

             

Altra Holdings, Inc.

   USD      2.750     03/01/2031         214,000         198,753 (1) 
             

 

 

 

Lodging - 0.01%

             

Home Inns & Hotels Management, Inc.

   USD      2.000     12/15/2015         56,000         48,300 (1) 
             

 

 

 

Metals/Mining/Steel - 0.03%

             

RTI International Metals, Inc.

   USD      3.000     12/01/2015         109,000         118,265   
             

 

 

 

Pharmaceuticals - 0.14%

             

Gilead Sciences, Inc.

   USD      1.000     05/01/2014         207,000         223,301   

PDL BioPharma, Inc.

   USD      3.750     05/01/2015         111,000         111,833   

Savient Pharmaceuticals, Inc.

   USD      4.750     02/01/2018         162,000         95,377   

Teva Pharmaceutical Finance Co. LLC, Series C

   USD      0.250     02/01/2026         175,000         182,875   
             

 

 

 
                613,386   
             

 

 

 

Property & Casualty Insurance - 0.01%

             

Radian Group, Inc.

   USD      3.000     11/15/2017         71,000         29,820   
             

 

 

 

Railroads - 0.06%

             

Greenbrier Cos., Inc.

   USD      3.500     04/01/2018         272,000         250,580 (1) 
             

 

 

 

 

See Notes to Financial Statements.  
     
36   www.shiplp.com


Table of Contents
Stone Harbor High Yield Bond Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

 

     Currency    Rate     Maturity Date      Principal
Amount*
     Market Value
(Expressed in U.S. $)
 

Retail Non Food/Drug - 0.03%

             

RadioShack Corp.

   USD      2.500     08/01/2013         150,000       $ 144,375 (1) 
             

Technology - 0.72%

             

Alcatel-Lucent, Series ALU

   EUR      0.162     01/01/2015         2,000,000         60,020   

Alcatel-Lucent USA, Inc.:

             

Series A

   USD      2.875     06/15/2023         330,000         254,512   

Series B

   USD      2.750     06/15/2025         90,000         78,750   

Callidus Software, Inc.

   USD      4.750     06/01/2016         201,000         191,453 (1) 

Ciena Corp.

   USD      4.000     03/15/2015         160,000         158,600 (1) 

Comtech Telecommunications Corp.

   USD      3.000     05/01/2029         159,000         171,124   

Digital River, Inc.

   USD      2.000     11/01/2030         355,000         291,987 (1) 

Ixia

   USD      3.000     12/15/2015         271,000         268,967 (1) 

Mentor Graphics Corp.

   USD      4.000     04/01/2031         183,000         180,484 (1) 

Micron Technology, Inc.:

             
   USD      1.875     06/01/2014         167,000         161,573   
   USD      1.875     06/01/2027         121,000         104,060   

Series A

   USD      1.500     08/01/2031         230,000         198,662 (1) 

ON Semiconductor Corp.:

             
   USD      2.625     12/15/2026         303,000         334,058   

Series B

   USD      0.000     04/15/2024         375,000         382,500 (5) 

Rudolph Technologies, Inc.

   USD      3.750     07/15/2016         44,000         40,095 (1) 

WebMD Health Corp.:

             
   USD      2.250     03/31/2016         40,000         37,600 (1) 
   USD      2.500     01/31/2018         100,000         90,875 (1) 

Xilinx, Inc.

   USD      3.125     03/15/2037         177,000         206,426   
             

 

 

 
                3,211,746   
             

 

 

 
             

Transportation - Non Air/Rail -0.00%(6)

             

Ultrapetrol Bahamas Ltd.

   USD      7.250     01/15/2017         31,000         23,366 (1) 
             

 

 

 
             

TOTAL CONVERTIBLE CORPORATE BONDS

                8,229,290   
             

 

 

 

(Cost $8,631,380)

             
             

BANK LOANS - 2.17%(8)

             

Building Products -0.04%

             

Collins & Aikman Floorcoverings, Inc. - Term Loan B:

             
   USD      2.748     12/14/2011         146,939         137,020   
   USD      2.755     12/21/2011         18,367         17,128   
   USD      2.760     12/30/2011         7,113         6,633   
             

 

 

 
                160,781   
             

 

 

 
             

Electric -0.78%

             

Texas Competitive Electric Holdings Co., LLC -2017

             

Term Loan

   USD      4.748     12/09/2011         5,332,609         3,502,857   
             

 

 

 
             

Gaming -0.47%

             

Caesers Entertainment Operating Co., Inc. -Term Loan B-2:

             
   USD      3.257     12/28/2011         865,069         737,472   
   USD      3.418     01/25/2012         1,609,931         1,372,466   
             

 

 

 
                2,109,938   
             

 

 

 
             

Non Captive Finance -0.43%

             

iStar Financial, Inc. -Tranche A-2 Loan

   USD      7.000     12/02/2011         2,000,000         1,931,250   
             

 

 

 

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  37


Table of Contents
Stone Harbor High Yield Bond Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

    

Currency

  

Rate

   

Maturity Date

    

Principal
Amount*

    

Market Value

(Expressed in U.S. $)

 

Publishing/Printing - 0.08%

             

Merrill Communications LLC - Term Loan 2L - Second Lien:

             
   USD      13.750     12/30/2011         150,000       $ 140,250   
   USD      14.000     01/03/2012         8,132         7,603   

R.H. Donnelley, Inc. - Term Loan D3-Exit:

             
   USD      9.000     12/30/2011         26,046         10,158   
   USD      9.000     01/31/2012         111,820         43,610   
   USD      9.000     02/29/2012         115,349         44,986   

Tribune Co. - Tranche X Advance

   USD      5.000     06/30/2011         192,000         115,560 (4) 
             

 

 

 
                362,167   
             

 

 

 

Retail Food/Drug - 0.37%

             

BJ’s Wholesale Club, Inc. - First Lien

   USD      7.000     03/30/2012         1,650,000         1,653,094   
             

 

 

 

TOTAL BANK LOANS

                9,720,087   
             

 

 

 

(Cost $10,432,573)

             

COMMON STOCKS - 0.43%

             

Chemicals - 0.03%

             

LyondellBasell Industries NV

   USD           4,658         152,177   
             

 

 

 

Food & Beverage - 0.02%

             

Archer-Daniels-Midland Co.

   USD           2,934         88,372   
             

 

 

 

Healthcare - 0.00%(6)

             

Life Technologies Corp.

   USD           300         11,619 (9) 
             

 

 

 

Media Cable - 0.37%

             

Charter Communications, Inc.

   USD           31,035         1,640,820 (9) 
             

 

 

 

Publishing/Printing - 0.01%

             

Dex One Corp.

   USD           12,498         16,373 (9) 

SuperMedia, Inc.

   USD           998         1,956 (9) 
             

 

 

 
                18,329   
             

 

 

 

TOTAL COMMON STOCKS

                1,911,317   
             

 

 

 

(Cost $4,260,663)

             

PREFERRED STOCKS - 0.25%

             

Banking - 0.12%

             

Wells Fargo & Co.

   USD      7.500     12/31/2049         345         363,630   

Wintrust Financial Corp.

   USD      7.500     12/15/2013         3,450         158,700   
             

 

 

 
                522,330   
             

 

 

 

Exploration & Production - 0.07%

             

Apache Corp.

   USD      6.000     08/01/2013         5,540         315,115   
             

 

 

 

Life - 0.05%

             

Hartford Financial Services Group, Inc.

   USD      7.250     04/01/2013         3,400         66,470   

MetLife, Inc.

   USD      5.000     09/11/2013         2,250         136,777   
             

 

 

 
                203,247   
             

 

 

 

 

See Notes to Financial Statements.  
     
38   www.shiplp.com


Table of Contents
Stone Harbor High Yield Bond Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

    

Currency

  

Rate

   

Maturity Date

    

Principal

Amount*

    

Market Value

(Expressed in U.S. $)

 

Metals/Mining/Steel - 0.01%

             

Molycorp, Inc.

   USD      5.500     03/01/2014         850       $         58,948   
             

 

 

 

Technology - 0.00%(6)

             

Unisys Corp.

   USD      6.250     03/01/2014         70         4,859   
             

 

 

 

TOTAL PREFERRED STOCKS

                1,104,499   
             

 

 

 

(Cost $1,159,486)

             

WARRANTS - 0.01%(9)

             

Media Other - 0.01%

             

Cumulus Media, Inc.

expires 06/03/2030, strike price $0.010

             12,989         39,227   
             

 

 

 

Publishing/Printing - 0.00%

             

Readers Digest

expires 02/19/2014

             1,498         0   
             

 

 

 

TOTAL WARRANTS

                39,227   
             

 

 

 

(Cost $490,671)

             

SHORT TERM INVESTMENTS - 2.04%

             

Money Market Mutual Funds - 2.04%

             

Dreyfus Institutional Cash Advantage

Fund - Institutional Advantage Shares

(0.077% 7-Day Yield)

   USD           9,125,033         9,125,033   
             

 

 

 

TOTAL SHORT TERM INVESTMENTS

                9,125,033   
             

 

 

 

(Cost $9,125,033)

             

Total Investments - 97.85%

                437,697,638   

(Cost $455,567,414)

             

Other Assets in Excess of Liabilities - 2.15%

                9,635,161   
             

 

 

 

Net Assets - 100.00%

              $ 447,332,799   
             

 

 

 

* The contract/principal/share amounts of each security is stated in the currency in which the security is denominated. See below.

 

EUR

     -     

Euro Currency

JPY

     -     

Japanese Yen

USD

     -     

United States Dollar

 

(1)

Security exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by Stone Harbor Investment Partners and may normally be sold to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $130,432,253, which represents approximately 29.16% of net assets as of November 30, 2011.

(2)

Pay-in-kind securities.

(3)

Securities were purchased pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. These securities have been deemed liquid under procedures approved by the Fund’s Board of Trustees. As of November 30, 2011, the aggregate market value of those securities was $6,411,247, which represents approximately 1.43% of net assets.

(4)

Security is currently in default/non-income producing.

(5)

Zero coupon bond reflects effective yield on the date of purchase.

(6)

Amount represents less than 0.005% of net assets.

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  39


Table of Contents
Stone Harbor High Yield Bond Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

(7) 

Step bond. Coupon increases periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect at November 30, 2011.

(8)

Bank loans generally pay interest at rates which are periodically determined by reference to a base lending rate plus a premium . All loans carry a variable rate of interest. These base lending rates are generally (i) the Prime Rate offered by one or more major United States banks, (ii) the lending rate offered by one or more European banks such as the London Interbank Offered Rate (“LIBOR”) or (iii) the Certificate of Deposit rate. Rate shown represents the weighted average rate at November 30, 2011. Bank Loans, while exempt from registration, under the Securities Act of 1933 (the “1933 Act”), contain certain restrictions on resale and cannot be sold publicly. Floating rate bank loans often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturity shown.

(9) 

Non-income producing security.

 

Common Abbreviations:

BV

  

-

  

Besloten Vennootschap a Dutch private limited liability company.

GmbH

  

-

  

Gesellschaft mit bescharankter Haftung is the German term for limited liability company.

GMTN

  

-

  

Global Medium Term Note.

LLC

  

-

  

Limited Liability Corp.

LP

  

-

  

Limited Partnership.

Ltd.

  

-

  

Limited.

NV

  

-

  

Naamloze Vennootschap is the Dutch term for a public limited liability corporation.

PLC

  

-

  

Public Limited Co.

SA

  

-

  

Generally designates corporations in various countries, mostly those employing the civil law.

SAB de CV

  

-

  

A variable capital company.

OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS

 

Contract

Description

  Contracted
Amount
  Purchase/Sale
Contract
  Settlement
Date
    Current
Value
    Unrealized
Appreciation/
Depreciation
 
EUR   4,981,266   Sale     12/28/2011      $ 6,695,291      $ 56,265   
JPY   24,842,000   Sale     12/28/2011        320,563        2,547   
         

 

 

 
          $ 58,812   
         

 

 

 
EUR   345,318   Sale     12/28/2011      $ 464,140      $ (2,633
         

 

 

 
          $ (2,633
         

 

 

 

 

See Notes to Financial Statements.  
     
40   www.shiplp.com


Table of Contents
Stone Harbor Local Markets Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

 

 

     Currency    Rate     Maturity
Date
   Principal
Amount *
     Market Value
(Expressed in U.S. $)
 

SOVEREIGN DEBT OBLIGATIONS - 52.98%

             

Argentina - 0.42%

             

Republic of Argentina:

             
   ARS      5.830   12/31/2033      7,613,250       $ 1,595,929 (1) 
   EUR      7.820   12/31/2033      3,957,040         3,163,675 (1) 
             

 

 

 
                4,759,604   
             

 

 

 

Brazil - 2.39%

             

Nota Do Tesouro Nacional:

             
   BRL      10.000   01/01/2015      5,300,000         2,900,680   
   BRL      10.000   01/01/2017      44,600,000         23,905,273   
             

 

 

 
                26,805,953   
             

 

 

 

Chile - 0.10%

             

Republic of Chile

   CLP      5.500   08/05/2020      570,000,000         1,151,596   
             

 

 

 

Colombia - 3.57%

             

Bogota Distrio Capital

   COP      9.750   07/26/2028      34,200,000,000         23,968,338 (2) 

Republic of Colombia:

             
   COP      12.000   10/22/2015      900,000,000         587,624   
   COP      7.750   04/14/2021      10,893,000,000         6,587,612   
   COP      9.850   06/28/2027      12,270,000,000         8,926,334   
             

 

 

 
                40,069,908   
             

 

 

 

Hungary - 2.11%

             

Hungarian Government:

             
   HUF      6.750   02/12/2013      1,307,700,000         5,674,910   
   HUF      7.500   10/24/2013      520,100,000         2,262,906   
   HUF      5.500   02/12/2014      610,000,000         2,530,340   
   HUF      6.750   08/22/2014      866,510,000         3,655,305   
   HUF      8.000   02/12/2015      2,066,700,000         8,960,561   
   HUF      6.750   02/24/2017      71,790,000         291,705   
   HUF      7.500   11/12/2020      71,790,000         292,971   
             

 

 

 
                23,668,698   
             

 

 

 

Malaysia - 9.94%

             

Malaysian Government:

             
   MYR      5.094   04/30/2014      25,000,000         8,236,983   
   MYR      3.434   08/15/2014      7,500,000         2,379,660   
   MYR      3.741   02/27/2015      14,000,000         4,464,055   
   MYR      3.835   08/12/2015      34,320,000         11,018,896   
   MYR      4.262   09/15/2016      171,790,000         56,368,847   
   MYR      4.012   09/15/2017      84,830,000         27,462,662   
   MYR      4.378   11/29/2019      580,000         191,600   
   MYR      4.160   07/15/2021      5,050,000         1,643,613   
             

 

 

 
                111,766,316   
             

 

 

 

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  41


Table of Contents
Stone Harbor Local Markets Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

 

 

      Currency    Rate     Maturity
Date
     Principal
Amount *
     Market Value
(Expressed in U.S. $)
 

Mexico - 9.17%

             

Mexican Bonos:

             
   MXN      7.750     12/14/2017         109,990,000       $ 9,031,614   
   MXN      8.000     06/11/2020         294,905,000         24,416,272   
   MXN      6.500     06/10/2021         520,580,000         38,880,930   
   MXN      8.500     05/31/2029         47,340,000         3,914,065   
   MXN      7.750     05/29/2031         104,850,000         8,003,018   
   MXN      8.500     11/18/2038         111,357,000         9,034,333   

Mexican Udibonos:

             
   MXN      5.000     06/16/2016         46,271         3,921   
   MXN      3.500     12/14/2017         3,516,596         282,949   
   MXN      4.000     06/13/2019         23,644,481         1,947,496   
   MXN      2.500     12/10/2020         103,924,666         7,626,386   
             

 

 

 
                103,140,984   
             

 

 

 

Philippines - 0.13%

             

Republic of Philippines

   PHP      4.950     01/15/2021         64,000,000         1,452,545   
             

 

 

 

Poland - 4.74%

             

Republic of Poland:

             
   PLN      5.250     04/25/2013         9,700,000         2,908,178   
   PLN      5.500     04/25/2015         65,020,000         19,646,951   
   PLN      3.000     08/24/2016         50,369,067         15,361,093   
   PLN      5.250     10/25/2017         22,062,000         6,500,646   
   PLN      5.750     10/25/2021         12,690,000         3,700,178   
   PLN      5.750     09/23/2022         17,650,000         5,192,477   
             

 

 

 
                53,309,523   
             

 

 

 

Russia - 1.61%

             

Russian Federation

   RUB      7.850     03/10/2018         540,000,000         18,113,576 (2) 
             

 

 

 

South Africa - 9.21%

             

Republic of South Africa:

             
   ZAR      8.000     12/21/2018         23,000,000         2,885,963   
   ZAR      7.250     01/15/2020         27,990,000         3,322,016   
   ZAR      6.750     03/31/2021         445,020,000         50,663,682   
   ZAR      10.500     12/21/2026         220,890,000         31,844,110   
   ZAR      7.000     02/28/2031         72,090,000         7,371,354   
   ZAR      6.250     03/31/2036         82,000,000         7,496,730   
             

 

 

 
                103,583,855   
             

 

 

 

Thailand - 4.66%

             

Thailand Government:

             
   THB      4.250     03/13/2013         164,900,000         5,363,186   
   THB      3.625     05/22/2015         328,700,000         10,704,122   
   THB      3.125     12/11/2015         846,000,000         27,131,465   
   THB      2.800     10/10/2017         282,600,000         8,838,050   
   THB      3.875     06/13/2019         4,775,000         158,135   
   THB      1.200     07/14/2021         7,000,000         231,237   
             

 

 

 
                52,426,195   
             

 

 

 

 

See Notes to Financial Statements.  
     
42   www.shiplp.com


Table of Contents
Stone Harbor Local Markets Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

 

 

     Currency    Rate     Maturity
Date
     Principal
Amount *
     Market Value
(Expressed in U.S. $)
 

Turkey - 4.93%

             

Republic of Turkey:

             
   TRY      0.000     08/08/2012         1,300,000       $ 664,274 (3) 
   TRY      0.000     02/20/2013         75,520,000         36,630,541 (3) 
   TRY      0.000     05/15/2013         17,380,000         8,228,822 (3) 
   TRY      0.000     07/17/2013         13,730,000         6,391,737 (3) 
   TRY      8.000     01/29/2014         1,760,000         926,316   
   TRY      4.500     02/11/2015         2,827,129         1,641,783   
   TRY      10.000     06/17/2015         1,760,000         962,406   
             

 

 

 
                55,445,879   
             

 

 

 

TOTAL SOVEREIGN DEBT OBLIGATIONS

                595,694,632   
             

 

 

 

(Cost $630,151,912)

             

CORPORATE BONDS - 3.60%

             

Colombia - 0.48%

             

Emgesa SA ESP:

             
   COP      8.750     01/25/2021         636,000,000         347,246 (4) 
   COP      8.750     01/25/2021         8,043,000,000         4,391,342 (2) 

Empresas Publicas de Medellin ESP:

             
   COP      8.375     02/01/2021         450,000,000         240,183 (2) 
   COP      8.375     02/01/2021         802,000,000         428,059 (4) 
             

 

 

 
                5,406,830   
             

 

 

 

European Union - 3.12%

             

Asian Development Bank

   ZAR      6.500     09/15/2015         4,650,000         562,442   

European Bank for Reconstruction & Development:

             
   BRL      9.250     09/10/2012         2,500,000         1,401,485   
   MXN      7.300     05/23/2013         8,500,000         649,639   
   IDR      7.200     06/08/2016         39,000,000,000         4,159,429   

European Investment Bank:

             
   ZAR      8.000     10/21/2013         3,810,000         480,451   
   ZAR      9.000     12/21/2018         139,000,000         17,408,753   
   ZAR      0.000     12/31/2018         5,280,000         350,878 (3) 

Inter-American Development Bank

   IDR      0.000     08/20/2015         88,650,000,000         7,348,900 (3) 

International Bank for Reconstruction & Development:

             
   RUB      10.000     04/05/2012         39,350,000         1,293,454   
   ZAR      0.000     05/14/2012         6,500,000         778,350 (3) 
   RUB      6.000     11/29/2012         21,500,000         691,123   
             

 

 

 
                35,124,904   
             

 

 

 

TOTAL CORPORATE BONDS

                40,531,734   
             

 

 

 

(Cost $45,222,765)

             

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  43


Table of Contents
Stone Harbor Local Markets Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

 

 

     Currency    Rate     Maturity
Date
     Principal
Amount *
     Market Value
(Expressed in U.S. $)
 

CREDIT LINKED NOTES - 21.64%

             

Brazil - 8.92%

             

Nota Do Tesouro Nacional:

             
   BRL      10.000     01/01/2014         4,300,000       $ 2,357,884 (5) 
   BRL      10.000     01/01/2014         5,340,000         2,920,190 (6) 
   BRL      10.000     01/01/2014         7,000,000         3,863,965 (6) 
   BRL      0.000     01/01/2015         15,300,000         5,983,444 (3)(6) 
   BRL      10.000     01/01/2015         3,700,000         2,003,301 (6) 
   BRL      10.000     01/01/2017         5,500,000         2,930,738 (6) 
   BRL      10.000     01/01/2017         6,900,000         3,698,349 (6) 
   BRL      10.000     01/01/2017         13,000,000         6,927,199 (6) 
   BRL      10.000     01/01/2017         18,000,000         9,647,868 (7) 
   BRL      10.000     01/01/2021         1,000,000         519,092 (8) 
   BRL      10.000     01/01/2021         1,100,000         565,344 (8) 
   BRL      10.000     01/01/2021         1,200,000         621,318 (5) 
   BRL      10.000     01/01/2021         1,800,000         937,156 (7) 
   BRL      10.000     01/01/2021         2,000,000         1,035,529 (5) 
   BRL      10.000     01/01/2021         2,000,000         1,038,184 (8) 
   BRL      10.000     01/01/2021         2,600,000         1,353,670 (8) 
   BRL      10.000     01/01/2021         3,000,000         1,557,276 (8) 
   BRL      10.000     01/01/2021         5,000,000         2,588,824 (5) 
   BRL      10.000     01/01/2021         6,000,000         3,114,552 (8) 
   BRL      10.000     01/01/2021         6,500,000         3,384,175 (7) 
   BRL      10.000     01/01/2021         6,780,000         3,529,954 (7) 
   BRL      10.000     01/01/2021         6,800,000         3,540,367 (7) 
   BRL      10.000     01/01/2021         8,000,000         3,981,530 (6) 
   BRL      10.000     01/01/2021         8,000,000         4,162,911 (9) 
   BRL      10.000     01/01/2021         11,000,000         5,695,413 (5) 
   BRL      10.000     01/01/2021         12,000,000         6,229,104 (8) 
   BRL      10.000     01/01/2021         31,000,000         16,139,910 (7) 
             

 

 

 
                100,327,247   
             

 

 

 

Colombia - 1.53%

             

Titulos de Tesoreria - Series B:

             
   COP      7.250     06/15/2016         2,200,000,000         1,147,743 (8) 
   COP      7.250     06/15/2016         10,000,000,000         5,217,013 (8) 
   COP      11.000     07/24/2020         1,300,000,000         803,279 (8) 
   COP      11.000     07/24/2020         2,000,000,000         1,235,813 (8) 
   COP      11.000     07/24/2020         2,300,000,000         1,421,185 (8) 
   COP      11.000     07/24/2020         12,018,000,000         7,426,001 (8) 
             

 

 

 
                17,251,034   
             

 

 

 

 

See Notes to Financial Statements.  
     
44   www.shiplp.com


Table of Contents
Stone Harbor Local Markets Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

 

 

    Currency    Rate     Maturity
Date
   Principal
Amount *
     Market Value
(Expressed in U.S. $)
 

Indonesia - 8.84%

            

Republic of Indonesia:

            
  IDR      11.500   09/15/2019      6,800,000,000       $ 974,094 (6) 
  IDR      12.800   06/15/2021      5,800,000,000         905,971 (10) 
  IDR      12.800   06/15/2021      5,800,000,000         902,928 (9) 
  IDR      12.800   06/15/2021      8,000,000,000         1,249,616 (10) 
  IDR      12.800   06/15/2021      8,300,000,000         1,296,476 (10) 
  IDR      12.800   06/15/2021      10,000,000,000         1,562,020 (10) 
  IDR      12.800   06/15/2021      10,800,000,000         1,698,244 (7) 
  IDR      12.800   06/15/2021      12,000,000,000         1,874,424 (10) 
  IDR      12.800   06/15/2021      16,000,000,000         2,561,662 (5) 
  IDR      12.800   06/15/2021      17,000,000,000         2,721,765 (5) 
  IDR      12.800   06/15/2021      19,800,000,000         3,082,410 (9) 
  IDR      12.800   06/15/2021      30,800,000,000         4,794,860 (9) 
  IDR      8.250   07/15/2021      25,000,000,000         3,054,336 (10) 
  IDR      8.250   07/15/2021      25,000,000,000         3,098,875 (5) 
  IDR      8.250   07/15/2021      90,200,000,000         10,871,526 (6) 
  IDR      8.250   07/15/2021      161,000,000,000         19,428,688 (9) 
  IDR      11.000   09/15/2025      7,800,000,000         1,143,030 (10) 
  IDR      11.000   09/15/2025      8,000,000,000         1,172,338 (10) 
  IDR      11.000   09/15/2025      16,500,000,000         2,417,947 (10) 
  IDR      11.000   09/15/2025      19,072,000,000         2,802,705 (6) 
  IDR      11.000   09/15/2025      23,700,000,000         3,473,052 (10) 
  IDR      11.000   09/15/2025      55,000,000,000         8,059,824 (10) 
  IDR      11.000   09/15/2025      62,500,000,000         9,158,891 (10) 
  IDR      11.000   09/17/2025      33,600,000,000         4,857,653 (9) 
  IDR      8.250   06/15/2032      21,700,000,000         2,566,603 (6) 
  IDR      8.250   06/15/2032      31,000,000,000         3,666,575 (9) 
            

 

 

 
               99,396,513   
            

 

 

 

Russia - 2.35%

            

Russian Federation:

            
  RUB      7.000   06/03/2015      429,800,000         13,640,223 (5) 
  RUB      6.880   07/15/2015      200,000,000         6,317,932 (5) 
  RUB      7.400   06/14/2017      162,200,000         5,084,226 (5) 
  RUB      7.500   03/15/2018      42,200,000         1,336,519 (5) 
            

 

 

 
               26,378,900   
            

 

 

 

TOTAL CREDIT LINKED NOTES

               243,353,694   
            

 

 

 

(Cost $252,390,774)

            

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  45


Table of Contents
Stone Harbor Local Markets Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

 

     Currency    Rate    Maturity
Date
   Principal
Amount *
     Market Value
(Expressed in U.S. $)
 

SHORT TERM INVESTMENTS - 6.88%

              

Money Market Mutual Funds - 6.88%

              

Dreyfus Institutional Cash Advantage Fund -

Institutional Advantage Shares

(0.077% 7-Day Yield)

   USD            77,308,724       $ 77,308,724   
              

 

 

 

TOTAL SHORT TERM INVESTMENTS

                 77,308,724   
              

 

 

 

(Cost $77,308,724)

              

Total Investments - 85.10%

                 956,888,784   

(Cost $1,005,074,175)

              

Other Assets In Excess of Liabilities - 14.90%

                 167,575,369   
              

 

 

 

Net Assets - 100.00%

               $ 1,124,464,153   
              

 

 

 

* The contract/principal/share amounts of each security is stated in the currency in which the security is denominated. See below.

 

ARS

 

-

    

Argentine Peso

BRL

 

-

    

Brazilian Real

CLP

 

-

    

Chilean Peso

COP

 

-

    

Colombian Peso

EUR

 

-

    

Euro Currency

HUF

 

-

    

Hungarian Forint

IDR

 

-

    

Indonesian Rupiah

MXN

 

-

    

Mexican Peso

MYR

 

-

    

Malaysian Ringgit

PHP

 

-

    

Philippine Peso

PLN

 

-

    

Polish Zloty

RUB

 

-

    

Russian Ruble

THB

 

-

    

Thai Baht

TRY

 

-

    

Turkish Lira

USD

 

-

    

United States Dollar

ZAR

 

-

    

South African Rand

 

(1)

Floating or variable rate security. Interest rate disclosed is that which is in effect at November 30, 2011.

(2)

Securities were purchased pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. These securities have been deemed liquid under procedures approved by the Fund’s Board of Trustees. As of November 30, 2011, the aggregate market value of those securities was $46,713,439, which represents approximately 4.15% of net assets.

(3)

Zero coupon bond reflects effective yield on the date of purchase.

(4)

Security exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by Stone Harbor Investment Partners and may normally be sold to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $775,305, which represents approximately 0.07% of net assets as of November 30, 2011.

(5)

The underlying security is issued by Credit Suisse First Boston.

(6)

The underlying security is issued by JP Morgan Chase.

(7)

The underlying security is issued by Barclays Bank PLC.

(8)

The underlying security is issued by Citigroup Global Markets.

(9)

The underlying security is issued by Deutsche Bank AG London.

(10)

The underlying security is issued by HSBC Bank.

 

See Notes to Financial Statements.  
     
46   www.shiplp.com


Table of Contents
Stone Harbor Local Markets Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

Common Abbreviations:

ESP

 

-

    

Empresa de Servicios Publicos is the Colombian term for Public Service Company.

SA

 

-

    

Generally designates corporations in various countries mostly employing civil law.

 

OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS

 

Contract

    Description    

  Contracted
Amount
  Purchase/Sale
Contract
  Settlement
Date
  Current
Value
    Unrealized
Appreciation/
(Depreciation)
 
BRL   41,548,154   Purchase   01/04/2012   $ 22,791,922      $ 470,905   
CNY   39,782,574   Purchase   05/16/2012     6,246,779        7,806   
RUB   1,964,343,848   Purchase   12/20/2011     63,716,887        668,838   
RUB   79,823,800   Sale   12/20/2011     2,589,223        777   
TRY   82,890,000   Purchase   01/03/2012     45,003,217        3,217   
         

 

 

 
          $ 1,151,543   
         

 

 

 
BRL   30,571,550   Sale   12/02/2011   $ 16,897,361      $ (345,358
BRL   30,571,550   Purchase   12/02/2011     16,897,360        (276,703
CNY   46,148,074   Sale   05/16/2012     7,246,309        (9,666
EUR   6,365,500   Purchase   05/16/2012     999,530        (470
MXN   294,019,200   Purchase   01/03/2012     21,502,508        (97,492
PHP   83,449,300   Purchase   01/24/2012     1,904,194        (19,044
PLN   96,812,110   Purchase   01/03/2012     28,772,193        (127,807
RUB   291,639,252   Sale   12/20/2011     9,459,823        (461,823
THB   204,270,000   Purchase   01/03/2012     6,539,299        (60,701
         

 

 

 
          $ (1,399,064
         

 

 

 

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  47


Table of Contents

Stone Harbor Emerging Markets Corporate Debt Fund

  Statements of Investments
  November 30, 2011 (Unaudited)

 

     Currency    Rate     Maturity
Date
   Principal
Amount *
     Market Value
(Expressed in U.S. $)
 

CORPORATE BONDS - 94.80%

             

Argentina - 3.75%

             

Alto Palermo SA

   USD      7.875   05/11/2017      258,000       $ 234,780 (1) 

Capex SA

   USD      10.000   03/10/2018      550,000         448,250 (2) 

Empresa Distribuidora Y Comercializadora Norte

   USD      9.750   10/25/2022      300,000         246,000 (1) 

Tarjeta Naranja SA

   USD      9.000   01/28/2017      84,000         81,130 (1) 
             

 

 

 
                1,010,160   
             

 

 

 

Barbados - 1.54%

             

Columbus International, Inc.

   USD      11.500   11/20/2014      400,000         416,000 (1) 
             

 

 

 

Brazil - 19.87%

             

Banco Cruzeiro do Sul SA

   USD      8.875   09/22/2020      325,000         221,000 (1) 

BM&FBovespa SA

   USD      5.500   07/16/2020      350,000         358,750 (1) 

BR Malls International Finance Ltd.

   USD      8.500   01/21/2049      300,000         311,250 (1) 

BR Properties SA

   USD      9.000   10/07/2049      150,000         153,750 (1) 

General Shopping Finance Ltd.

   USD      10.000   11/09/2015      294,000         296,940 (2) 

Hypermarcas SA

   USD      6.500   04/20/2021      600,000         528,000 (2) 

Minerva Overseas II Ltd.

   USD      10.875   11/15/2019      225,000         195,750 (1) 

Mirabela Nickel Ltd.

   USD      8.750   04/15/2018      200,000         179,000 (2) 

NET Servicos de Comunicacao SA

   USD      7.500   01/27/2020      311,000         356,095   

Odebrecht Drilling Norbe VIII/IX Ltd.

   USD      6.350   06/30/2021      550,000         563,750 (1) 

Odebrecht Finance Ltd.

   USD      7.000   04/21/2020      102,000         109,395 (1) 

OGX Petroleo e Gas Participacoes SA

   USD      8.500   06/01/2018      700,000         672,000 (2) 

Petrobras International Finance Co.

   USD      5.375   01/27/2021      67,000         68,468   

QGOG Atlantic / Alaskan Rigs Ltd.:

             
   USD      5.250   07/30/2018      200,000         196,500 (1) 
   USD      5.250   07/30/2018      693,000         680,872 (2) 

Telemar Norte Leste SA

   USD      5.500   10/23/2020      473,000         465,905 (1) 
             

 

 

 
                5,357,425   
             

 

 

 

China - 6.56%

             

Central China Real Estate Ltd.

   USD      12.250   10/20/2015      200,000         171,000 (1) 

China Liansu Group Holdings Ltd.

   USD      7.875   05/13/2016      200,000         166,000 (2) 

Evergrande Real Estate Group Ltd.

   USD      13.000   01/27/2015      250,000         193,750 (1) 

Kaisa Group Holdings Ltd.

   USD      13.500   04/28/2015      300,000         241,500 (1) 

Mega Advance Investments Ltd.

   USD      5.000   05/12/2021      205,000         207,772 (2) 

MIE Holdings Corp.

   USD      9.750   05/12/2016      450,000         400,500 (2) 

Texhong Textile Group Ltd.

   USD      7.625   01/19/2016      250,000         182,500 (1) 

West China Cement Ltd.

   USD      7.500   01/25/2016      250,000         205,000 (1) 
             

 

 

 
                1,768,022   
             

 

 

 

Colombia - 1.50%

             

Gruposura Finance

   USD      5.700   05/18/2021      400,000         404,400 (2) 
             

 

 

 

Dominican Republic - 1.03%

             

Cap Cana SA:

             
   USD      10.000   04/30/2016      500,000         175,000 (1)(3) 
   USD      10.000   04/30/2016      509,432         101,886 (1)(3) 
             

 

 

 
                276,886   
             

 

 

 

 

See Notes to Financial Statements.  
     
48   www.shiplp.com


Table of Contents

Stone Harbor Emerging Markets Corporate Debt Fund

  Statements of Investments
  November 30, 2011 (Unaudited)

 

     Currency    Rate     Maturity
Date
     Principal
Amount *
     Market Value
(Expressed in U.S. $)
 

Hong Kong - 3.72%

             

Hutchison Whampoa International 10 Ltd.

   USD      6.000     10/28/2049         500,000       $ 497,500 (1)(4) 

PCCW-HKT Capital No. 4 Ltd.

   USD      4.250     02/24/2016         500,000         504,250   
             

 

 

 
                1,001,750   
             

 

 

 

India - 2.92%

             

ICICI Bank Ltd.

   USD      5.750     11/16/2020         400,000         371,940 (1) 

Vedanta Resources PLC

   USD      8.250     06/07/2021         500,000         415,000 (2) 
             

 

 

 
                786,940   
             

 

 

 

Indonesia - 6.23%

             

Bakrie Telecom Pte Ltd.

   USD      11.500     05/07/2015         303,000         190,890 (1) 

BLT Finance BV

   USD      7.500     05/15/2014         200,000         79,000 (1) 

Bumi Investment Pte Ltd.

   USD      10.750     10/06/2017         1,000,000         980,000 (1) 

Indosat Palapa Co. BV

   USD      7.375     07/29/2020         200,000         216,000 (1) 

PT Adaro Indonesia

   USD      7.625     10/22/2019         201,000         213,060 (1) 
             

 

 

 
                1,678,950   
             

 

 

 

Jamaica - 3.73%

             

Digicel Group Ltd.

   USD      10.500     04/15/2018         1,000,000         1,005,000 (1) 
             

 

 

 

Kazakhstan - 3.08%

             

BTA Bank JSC:

             
   USD      10.750     07/01/2018         1,030,326         340,008 (1)(5) 
   USD      0.000     07/01/2020         1,000,000         38,750 (1)(6) 

Zhaikmunai LLP

   USD      10.500     10/19/2015         459,000         452,115 (1) 
             

 

 

 
                830,873   
             

 

 

 

Mexico - 6.64%

             

Axtel SAB de CV:

             
   USD      7.625     02/01/2017         80,000         60,400 (2) 
   USD      9.000     09/22/2019         300,000         226,500 (1) 

BBVA Bancomer SA

   USD      4.500     03/10/2016         150,000         148,500 (1) 

Cemex SAB de CV:

             
   USD      5.369     09/30/2015         450,000         301,500 (2)(4) 
   USD      9.000     01/11/2018         500,000         365,000 (1) 

Geo Maquinaria

   USD      9.625     05/02/2021         645,125         580,612 (2) 

Grupo Bimbo SAB de CV

   USD      4.875     06/30/2020         102,000         105,858 (2) 
             

 

 

 
                1,788,370   
             

 

 

 

Peru - 3.17%

             

Banco de Credito del Peru

   USD      5.375     09/16/2020         200,000         196,500 (1) 

Inkia Energy Ltd.

   USD      8.375     04/04/2021         350,000         355,250 (2) 

Southern Copper Corp.

   USD      6.750     04/16/2040         300,000         303,268   
             

 

 

 
                855,018   
             

 

 

 

Qatar - 2.67%

             

Qtel International Finance Ltd.:

             
   USD      7.875     06/10/2019         200,000         242,700 (1) 
   USD      5.000     10/19/2025         500,000         477,500 (1) 
             

 

 

 
                720,200   
             

 

 

 

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  49


Table of Contents
Stone Harbor Emerging Markets Corporate Debt Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

 

 

     Currency    Rate     Maturity
Date
     Principal
Amount *
     Market Value
(Expressed in U.S. $)
 

Russia - 11.20%

             

Alfa Bank OJSC Via Alfa Bond Issuance PLC

   USD      7.875     09/25/2017         300,000       $ 283,500 (1) 

Evraz Group SA

   USD      6.750     04/27/2018         400,000         361,000 (2) 

Metalloinvest Finance Ltd.

   USD      6.500     07/21/2016         452,000         421,490 (2) 

Novatek Finance Ltd.

   USD      6.604     02/03/2021         850,000         881,875 (2) 

SCF Capital Ltd.

   USD      5.375     10/27/2017         400,000         359,000 (2) 

Vimpel Communications Holdings BV:

             
   USD      6.255     03/01/2017         200,000         181,500 (1) 
   USD      7.504     03/01/2022         200,000         174,500 (2) 

Vimpel Communications Via VIP Finance Ireland Ltd. OJSC

   USD      7.748     02/02/2021         400,000         357,000 (1) 
             

 

 

 
                3,019,865   
             

 

 

 

Singapore - 0.36%

             

STATS ChipPAC Ltd.

   USD      5.375     03/31/2016         100,000         98,000 (1) 
             

 

 

 

South Africa - 4.31%

             

Gold Fields Orogen Holding BVI Ltd.

   USD      4.875     10/07/2020         500,000         435,000 (1) 

Myriad International Holding BV

   USD      6.375     07/28/2017         680,000         725,900 (1) 
             

 

 

 
                1,160,900   
             

 

 

 

Turkey - 1.50%

             

Yuksel Insaat AS

   USD      9.500     11/10/2015         550,000         404,250 (1) 
             

 

 

 

Ukraine - 3.65%

             

Ferrexpo Finance PLC

   USD      7.875     04/07/2016         200,000         181,000 (2) 

Metinvest BV

   USD      8.750     02/14/2018         500,000         436,250 (2) 

MHP SA

   USD      10.250     04/29/2015         200,000         185,000 (1) 

Mriya Agro Holding PLC

   USD      10.950     03/30/2016         200,000         182,000 (2) 
             

 

 

 
                984,250   
             

 

 

 

United Arab Emirates - 7.37%

             

DP World Ltd.

   USD      6.850     07/02/2037         500,000         455,000 (1) 

DP World Sukuk Ltd.

   USD      6.250     07/02/2017         490,000         492,450 (1) 

Dubai Holding Commercial Operations MTN Ltd.

   GBP      6.000     02/01/2017         600,000         691,884   

IPIC GMTN Ltd.

   USD      3.750     03/01/2017         350,000         348,250 (2) 
             

 

 

 
                1,987,584   
             

 

 

 

TOTAL CORPORATE BONDS

(Cost $29,320,681)

                25,554,843   
             

 

 

 

CREDIT LINKED NOTES - 2.39%

             

Argentina - 2.39%

             

Cablevision SA

   USD      9.375     02/12/2018         700,000         644,000 (7) 
             

 

 

 

TOTAL CREDIT LINKED NOTES

                644,000   
             

 

 

 

(Cost $702,702)

             

 

See Notes to Financial Statements.  
     
50   www.shiplp.com


Table of Contents
Stone Harbor Emerging Markets Corporate Debt Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

 

 

     Currency    Rate    Maturity
Date
   Principal
Amount *
   Market Value
(Expressed in U.S. $)
 

SHORT TERM INVESTMENTS - 0.67%

              

Money Market Mutual Funds - 0.67%

              

Dreyfus Institutional Cash Advantage Fund -

Institutional Advantage Shares

(0.077% 7-Day Yield)

   USD          182,003    $ 182,003   
              

 

 

 

TOTAL SHORT TERM INVESTMENTS

                 182,003   
              

 

 

 

(Cost $182,003)

              

Total Investments - 97.86%

                 26,380,846   

(Cost $30,205,386)

              

Other Assets In Excess of Liabilities - 2.14%

                 576,104   
              

 

 

 

Net Assets - 100.00%

               $ 26,956,950   
              

 

 

 

* The contract/principal/share amounts of each security is stated in the currency in which the security is denominated. See below.

 

GBP

  

-

  

Great Britain Pound

USD

  

-

  

United States Dollar

 

(1)

Securities were purchased pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. These securities have been deemed liquid under procedures approved by the Fund’s Board of Trustees. As of November 30, 2011, the aggregate market value of those securities was $14,483,159, which represents approximately 53.73% of net assets.

(2) 

Security exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by Stone Harbor Investment Partners and may normally be sold to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $9,147,719, which represents approximately 33.93% of net assets as of November 30, 2011.

(3) 

Security is currently in default/non-income producing.

(4) 

Floating or variable rate security. Interest rate disclosed is that which is in effect at November 30, 2011.

(5) 

Step bond. Coupon increases periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect at November 30, 2011.

(6) 

Zero coupon bond reflects effective yield on the date of purchase.

(7) 

The underlying security is issued by Deutsche Bank AG London.

 

Common Abbreviations:

AS

  

-

  

Anonim Sirket is the Turkish term for Incorporation.

BV

  

-

  

Besloten Vennootschap a Dutch private limited liability company.

GMTN

  

-

  

Global Medium Term Note.

JSC

  

-

  

Joing Stock Co.

LLP

  

-

  

Limited Liability Partnership.

Ltd.

  

-

  

Limited.

MTN

  

-

  

Medium Term Note.

OJSC

  

-

  

Open Joint Stock Co.

PLC

  

-

  

Public Limited Co.

Pte

  

-

  

Private.

SA

  

-

  

Generally designates corporations in various countries, mostly those employing the civil law.

SAB de CV

  

-

  

A variable capital company.

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  51


Table of Contents
Stone Harbor Emerging Markets Corporate Debt Fund   Statements of Investments
  November 30, 2011 (Unaudited)

 

OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS

 

Contract
Description

  Contracted
Amount
  Purchase/Sale
Contract
  Settlement
Date
  Current
Value
  Unrealized
Appreciation
GBP   480,000   Sale   12/28/2011   $752,873   $    7,807
         

 

          $    7,807
         

 

 

See Notes to Financial Statements.  
     
52   www.shiplp.com


Table of Contents
Stone Harbor Investment Funds   Statements of Assets & Liabilities
  November 30, 2011 (Unaudited)

 

 

      Stone Harbor
Emerging Markets
Debt Fund
     Stone Harbor High
Yield Bond Fund
     Stone Harbor Local
Markets Fund
     Stone Harbor
Emerging Markets
Corporate Debt Fund
 

ASSETS:

           

Investments , at value(1)

   $ 950,340,864       $ 437,697,638       $ 956,888,784       $ 26,380,846   

Cash

     12,005,262         10,000         4,899,779         26,150   

Foreign currency, at value

           

(Cost $25,345, $-0-, $406,519 and
$-0-, respectively)

     25,248                 412,139           

Unrealized appreciation on forward foreign currency contracts

     1,178,517         58,812         1,151,543         7,807   

Receivable for investments sold

     3,917,124         718,080         107,516,415         114,102   

Receivable for fund shares sold

     3,919,193         184,736         35,208,904           

Receivable due from broker

                     1,500,000           

Interest receivable

     18,183,295         10,385,730         22,569,683         519,473   

Dividends receivable

             29,345                   

Prepaid offering costs

                     1,360           

Prepaid and other assets

     60,985         40,023         42,978         19,546   

Total Assets

     989,630,488         449,124,364         1,130,191,585         27,067,924   

LIABILITIES:

           

Payable due to broker

     1,180,000                           

Payable for investments purchased

     2,659,371         1,475,703         3,350,427           

Payable for fund shares redeemed

                     143,845           

Unrealized depreciation on forward foreign currency contracts

     134,838         2,633         1,399,064           

Payable to advisor

     437,548         184,405         662,053         38,456   

Payable to administrator

     42,349         28,544         46,179         1,788   

Payable for trustee fees

     8,750         3,741         3,636         3,990   

Other payables

     117,586         96,539         122,228         66,740   

Total Liabilities

     4,580,442         1,791,565         5,727,432         110,974   

Net Assets

   $ 985,050,046       $ 447,332,799       $ 1,124,464,153       $ 26,956,950   
                                     

NET ASSETS CONSIST OF:

           

Paid-in capital

   $ 982,344,351       $ 448,949,678       $ 1,190,336,225       $ 30,978,512   

Undistributed/(overdistributed) net investment income

     3,028,983         1,175,451         (168,427)         (13,851)   

Accumulated net realized gain/(loss) on investments and translation of assets and liabilities denominated in foreign currency

     6,765,857         15,026,233         (15,871,710)         (189,596)   

Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currency

     (7,089,145)         (17,818,563)         (49,831,935)         (3,818,115)   

Net Assets

   $ 985,050,046       $ 447,332,799       $ 1,124,464,153       $ 26,956,950   
                                     

PRICING OF SHARES:

           

Institutional Class

           

Net Assets

   $ 985,050,046       $ 447,332,799       $ 1,124,464,153       $ 26,956,950   

Shares of beneficial interest outstanding (unlimited number of shares, par value of $0.001 per share authorized)

     90,241,713         48,791,854         109,384,504         3,108,783   

Net assets value, offering and redemption price per share

   $ 10.92       $ 9.17       $ 10.28       $ 8.67   
                                     

(1)Cost of Investments

   $ 958,275,392       $ 455,567,414       $ 1,005,074,175       $ 30,205,386   

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  53


Table of Contents
Stone Harbor Investment Funds   Statements of Operations
  For the Six Months Ended November 30, 2011 (Unaudited)

 

 

 

     

Stone Harbor

Emerging

Markets Debt
Fund

     Stone Harbor
High Yield Bond
Fund
    

Stone Harbor

Local Markets

Fund

     Stone Harbor
Emerging
Markets
Corporate Debt
Fund(1)
 

INVESTMENT INCOME:

           

Interest
(net of foreign withholdings tax of $-0-, $3,459, $44,309 and $-0-, respectively)

   $ 31,040,983       $ 19,634,966       $ 27,297,571       $ 1,096,646   

Dividends

             65,607                   

Total Investment Income

     31,040,983         19,700,573         27,297,571         1,096,646   

EXPENSES:

           

Investment advisory fees

     2,731,549         1,161,861         3,262,699         120,688   

Administration fees

     245,723         154,390         232,431         9,004   

Custodian fees

     87,287         17,715         172,195         11,192   

Audit fees

     34,627         34,627         35,222         34,544   

Printing fees

     3,243         3,208         3,668         2,896   

Legal fees

     29,032         29,032         29,032         27,680   

Trustee fees

     12,702         7,626         7,565         8,605   

Transfer agent fees

     19,478         13,183         14,605         13,533   

Registration fees

     72,390         35,494         35,225           

Insurance fees

     8,940         11,863         3,465           

Repayment of reimbursed expenses

     83,978                 10,036           

Other

     2,797         2,995         2,649         1,527   

Total expenses before waiver

     3,331,746         1,471,994         3,808,792         229,669   

Less fees waived by investment advisor

             (193,947)                 (87,684)   

Total Net Expenses

     3,331,746         1,278,047         3,808,792         141,985   

Net Investment Income

     27,709,237         18,422,526         23,488,779         954,661   

REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS:

           

Net realized gain/(loss) on:

           

Investments

     3,699,790         3,432,154         (12,046,157)         (213,300)   

Foreign currency transactions

     2,666,947         159,651         (3,169,883)         23,704   

Net realized gain/(loss)

     6,366, 737         3,591,805         (15,216,040)         (189,596)   

Change in unrealized appreciation/(depreciation) on:

           

Investments

     (23,680,167)         (46,184,495)         (5,525,032)         (3,791,156)   

Translation of assets and liabilities denominated in foreign currencies

     (8,366,919)         (147,562)         (61,867,307)         (26,959)   

Net change

     (32,047,086)         (46,332,057)         (67,392,339)         (3,818,115)   

Net Realized and Unrealized Loss on Investments

     (25,680,349)         (42,740,252)         (82,608,379)         (4,007,711)   

Net Increase/(Decrease) in Net Assets Resulting from Operations

   $ 2,028,888       $ (24,317,726)       $ (59,119,600)       $ (3,053,050)   
                                     

 

(1)

For the period June 1, 2011 (inception) to November 30, 2011.

 

See Notes to Financial Statements.  
     
54   www.shiplp.com


Table of Contents
Stone Harbor Investment Funds   Statements of Changes in Net Assets
 

 

 

     Stone Harbor Emerging Markets Debt Fund     Stone Harbor High Yield Bond Fund  
  

 

 

 
    

For the Six

Months Ended

November 30, 2011
(Unaudited)

   

For the

Year Ended

May 31, 2011

   

For the Six

Months Ended

November 30, 2011

(Unaudited)

   

For the    

Year Ended    

May 31, 2011    

 

 

 

OPERATIONS:

        

Net investment income

   $ 27,709,237      $ 23,722,320      $ 18,422,526      $ 34,681,823       

Net realized gain on investments

     6,366,737        6,919,738        3,591,805        17,313,821       

Net change in unrealized appreciation/(depreciation) on investments and foreign currency translations

     (32,047,086)        19,256,880        (46,332,057)        17,440,379       

 

 

Net increase/(decrease) in net assets resulting from operations

     2,028,888        49,898,938        (24,317,726)        69,436,023       

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

  

     

Institutional Class

        

From net investment income

     (25,717,520)        (24,375,551)        (17,376,323)        (34,395,574)       

From net realized gains

            (9,643,963)               (6,870,389)       

 

 

Net decrease in net assets from distributions to shareholders

     (25,717,520)        (34,019,514)        (17,376,323)        (41,265,963)       

 

 

CAPITAL SHARE TRANSACTIONS:

        

Institutional Class

        

Proceeds from sale of shares

     289,672,525        601,352,890        22,247,907        99,064,977       

Issued to shareholders in reinvestment of distributions

     24,085,909        32,341,186        16,413,575        31,596,120       

Cost of shares redeemed

     (54,367,425)        (78,251,861)        (38,059,891)        (78,370,360)       

 

 

Net increase in net assets from capital share transactions

     259,391,009        555,442,215        601,591        52,290,737       

 

 

Net Increase/(Decrease) in Net Assets

     235,702,377        571,321,639        (41,092,458)        80,460,797       

 

 

NET ASSETS:

        

Beginning of period

     749,347,669        178,026,030        488,425,257        407,964,460       

 

 

End of period

   $ 985,050,046      $ 749,347,669      $ 447,332,799      $ 488,425,257       

 

 

Includes undistributed net investment income of:

   $ 3,028,983      $ 1,037,266      $ 1,175,451      $ 129,248       

OTHER INFORMATION:

        

Share Transactions:

        

Institutional Class

        

Beginning shares

     66,925,355        16,992,367        48,832,904        43,581,412       

Shares sold

     25,956,658        53,869,983        2,334,747        9,968,502       

Shares reinvested

     2,185,984        2,923,915        1,790,826        3,225,739       

Shares redeemed

     (4,826,284)        (6,860,910)        (4,166,623)        (7,942,749)       

 

 

Shares outstanding - end of period

     90,241,713        66,925,355        48,791,854        48,832,904       

 

 

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  55


Table of Contents
Stone Harbor Investment Funds   Statements of Changes in Net Assets
 

 

 

     Stone Harbor Local Markets Fund    

Stone Harbor

Emerging Markets

Corporate Debt Fund

 
  

 

 

 
    

For the Six

Months Ended

November 30, 2011

(Unaudited)

   

For the Period

June 30, 2010

(Inception) to

May 31, 2011

   

For the Period

June 1, 2011

(Inception) to

November 30, 2011

(Unaudited)

 

 

 

OPERATIONS:

      

Net investment income

   $ 23,488,779      $ 9,392,458      $ 954,661   

Net realized gain/(loss) on investments

     (15,216,040)        622,122        (189,596)   

Net change in unrealized appreciation/(depreciation) on investments and foreign currency translations

     (67,392,339)        17,560,404        (3,818,115)   

 

 

Net increase/(decrease) in net assets resulting from operations

     (59,119,600)        27,574,984        (3,053,050)   

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

  

   

Institutional Class

      

From net investment income

     (23,629,644)        (9,743,385)        (968,512)   

From net realized gains

            (954,427)          

 

 

Net decrease in net assets from distributions to shareholders

     (23,629,644)        (10,697,812)        (968,512)   

 

 

CAPITAL SHARE TRANSACTIONS:

      

Institutional Class

      

Proceeds from sale of shares

     605,197,245        580,987,585        30,010,000   

Issued to shareholders in reinvestment of distributions

     23,465,260        10,631,445        968,512   

Cost of shares redeemed

     (27,242,257)        (2,703,053)          

 

 

Net increase in net assets from capital share transactions

     601,420,248        588,915,977        30,978,512   

 

 

Net Increase in Net Assets

     518,671,004        605,793,149        26,956,950   

 

 

NET ASSETS:

      

Beginning of period

     605,793,149                 

 

 

End of period

   $ 1,124,464,153      $ 605,793,149      $ 26,956,950   

 

 

Includes overdistributed net investment income of:

   $ (168,427)      $ (27,562)      $ (13,851)   

OTHER INFORMATION:

      

Share Transactions:

      

Institutional Class

      

Beginning shares

     54,032,190                 

Shares sold

     55,655,196        53,300,605        3,001,005   

Shares reinvested

     2,215,245        977,555        107,778   

Shares redeemed

     (2,518,127)        (245,970)          

 

 

Shares outstanding - end of period

     109,384,504        54,032,190        3,108,783   

 

 

 

See Notes to Financial Statements.  
     
56   www.shiplp.com


Table of Contents
Stone Harbor Emerging Markets Debt Fund   Financial Highlights
  For a share outstanding through the periods presented.

 

 

Institutional Class  

For the

Six Months Ended

November 30, 2011

(Unaudited)

   

For the

Year Ended

May 31, 2011

   

For the

Year Ended

May 31, 2010

   

For the

Year Ended

May 31, 2009

   

For the Period

August 16, 2007

(Inception) to

May 31, 2008

 

 

 

Net asset value - beginning of period

  $ 11.20      $ 10.48      $ 9.22      $ 10.34      $ 10.00   

Income/(loss) from investment operations:

  

   

Net investment income

    0.34 (1)       0.67 (1)       0.75        0.59        0.46   

Net realized and unrealized gain/(loss) on investments

    (0.32     1.00        1.44        (1.18     0.58   

 

 

Total income/(loss) from investment operations

    0.02        1.67        2.19        (0.59     1.04   

 

 

Less distributions to common shareholders:

  

 

From net investment income

    (0.30     (0.63     (0.79     (0.53     (0.54

From net realized gains

           (0.32     (0.14            (0.16

From tax return of capital

                                (0.00 )(2)  

 

 

Total distributions

    (0.30     (0.95     (0.93     (0.53     (0.70

 

 

Net Increase/(Decrease) in Net Asset Value

    (0.28     0.72        1.26        (1.12     0.34   

 

 

Net asset value - end of period

  $ 10.92      $ 11.20      $ 10.48      $ 9.22      $ 10.34   

 

 

Total Return(3)(4)

    0.17     16.30     24.25     (5.10 )%      10.46

Ratios/Supplemental Data:

         

Net assets, end of period (in thousands)

  $ 985,050      $ 749,348      $ 178,026      $ 91,753      $ 19,587   

Ratio of expenses to average net assets with fee waivers/reimbursements

    0.73 %(5)      0.75     0.75     0.75     0.75 %(5) 

Ratio of expenses to average net assets without fee waivers/reimbursements

    0.73 %(5)      0.77     0.91     1.33     2.27 %(5) 

Ratio of net investment income to average net assets with fee waivers/reimbursements

    6.09 %(5)      6.02     6.80     9.32     5.91 %(5) 

Portfolio turnover rate

    28     82     125     84     143

 

(1)

Calculated using average shares.

(2)

Less than $(0.005) per share.

(3) 

Total returns would have been lower had various fees and expenses not been waived and reimbursed during the period.

(4) 

Total returns for periods of less than one year are not annualized.

(5)

Annualized.

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

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Table of Contents
Stone Harbor High Yield Bond Fund   Financial Highlights
  For a share outstanding through the periods presented.

 

 

Institutional Class  

For the

Six Months Ended

November 30, 2011

(Unaudited)

   

For the

Year Ended

May 31, 2011

   

For the

Year Ended

May 31, 2010

   

For the

Year Ended

May 31, 2009

   

For the Period

August 16, 2007

(Inception) to

May 31, 2008

 

 

 

Net asset value - beginning of period

  $ 10.00      $ 9.36      $ 8.39      $ 9.92      $ 10.00   

Income/(loss) from investment operations:

  

   

Net investment income

    0.38 (1)       0.77 (1)       0.73        0.70        0.58   

Net realized and unrealized gain/(loss) on investments

    (0.85)        0.78        0.96        (1.53)        (0.08)   

 

 

Total income/(loss) from investment operations

    (0.47)        1.55        1.69        (0.83)        0.50   

 

 

Less distributions to common shareholders:

  

 

From net investment income

    (0.36)        (0.76)        (0.72)        (0.70)        (0.57)   

From net realized gains

           (0.15)                      (0.01)   

From tax return of capital

                                (0.00 )(2)  

 

 

Total distributions

    (0.36)        (0.91)        (0.72)        (0.70)        (0.58)   

 

 

Net Increase/(Decrease) in Net Asset Value

    (0.83)        0.64        0.97        (1.53)        (0.08)   

 

 

Net asset value - end of period

  $ 9.17      $ 10.00      $ 9.36      $ 8.39      $ 9.92   

 

 

Total Return(3)(4)

    (4.66)%        17.14%        20.53%        (7.77)%        5.09%   

Ratios/Supplemental Data:

         

Net assets, end of period (in thousands)

  $ 447,333      $ 488,425      $ 407,964      $ 223,210      $ 106,912   

Ratio of expenses to average net assets with fee waivers/reimbursements

    0.55 %(5)      0.55%        0.55%        0.55%        0.55 %(5) 

Ratio of expenses to average net assets without fee waivers/reimbursements

    0.63 %(5)      0.65%        0.67%        0.88%        1.21 %(5) 

Ratio of net investment income to average net assets with fee waivers/reimbursements

    7.93 %(5)      7.78%        8.13%        9.07%        7.81 %(5) 

Portfolio turnover rate

    20%        60%        36%        16%        11%   

 

(1) 

Calculated using average shares throughout the period.

(2) 

Less than $(0.005) per share.

(3) 

Total returns would have been lower had various fees and expenses not been waived and reimbursed during the period. The total returns in the table represent the rate that an investor would have earned (or lost) on an investment in a Fund (assuming reinvestment of all dividends and distributions).

(4) 

Total returns for periods of less than one year are not annualized.

(5) 

Annualized.

 

See Notes to Financial Statements.  
     
58   www.shiplp.com


Table of Contents
Stone Harbor Local Markets Fund   Financial Highlights
  For a share outstanding through the periods presented.

 

 

Institutional Class   

For the

Six Months Ended

November 30,

2011 (Unaudited)

   

For the Period

June 30, 2010

(Inception) to

May 31, 2011

 

 

 

Net asset value - beginning of period

   $ 11.21      $ 10.00   

Income/(loss) from investment operations:

    

Net investment income(1)

     0.29        0.51   

Net realized and unrealized gain/(loss) on investments

     (0.95     1.14   

 

 

Total income/(loss) from investment operations

     (0.66     1.65   

 

 

Less distributions to common shareholders:

    

From net investment income

     (0.27     (0.39

From net realized gains

            (0.05

 

 

Total distributions

     (0.27     (0.44

 

 

Net Increase/(Decrease) in Net Asset Value

     (0.93     1.21   

 

 

Net asset value - end of period

   $ 10.28      $ 11.21   

 

 

Total Return(2)(3)

     (5.97 )%      16.82

Ratios/Supplemental Data:

    

Net assets, end of period (in thousands)

   $ 1,124,464      $ 605,793   

Ratio of expenses to average net assets with fee waivers/reimbursements

     0.88 %(4)      1.00 %(4) 

Ratio of expenses to average net assets without fee waivers/reimbursements

     0.88 %(4)      1.01 %(4) 

Ratio of net investment income to average net assets with fee waivers/reimbursements

     5.40 %(4)      5.13 %(4) 

Portfolio turnover rate

     73     102

 

(1) 

Calculated using average shares throughout the period.

(2) 

Total returns would have been lower had various fees and expenses not been waived and reimbursed during the period. The total returns in the table represent the rate that an investor would have earned (or lost) on an investment in a Fund (assuming reinvestment of all dividends and distributions).

(3) 

Total returns for periods of less than one year are not annualized.

(4) 

Annualized.

 

See Notes to Financial Statements.  
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  59


Table of Contents
Stone Harbor Emerging Markets Corporate Debt Fund   Financial Highlights
For a share outstanding through the period presented.

 

 

Institutional Class   

For the Period

June 01, 2011

(Inception) to

November 30, 2011

(Unaudited)

 

 

 

Net asset value - beginning of period

   $ 10.00   

Loss from investment operations:

  

Net investment income(1)

     0.32   

Net realized and unrealized loss on investments

     (1.33

 

 

Total loss from investment operations

     (1.01

 

 

Less distributions to common shareholders:

  

From net investment income

     (0.32

 

 

Total distributions

     (0.32

 

 

Net Decrease in Net Asset Value

     (1.33

 

 

Net asset value - end of period

   $ 8.67   

 

 

Total Return(2)(3)

     (10.19 )% 

Ratios/Supplemental Data:

  

Net assets, end of period (in thousands)

   $ 26,957   

Ratio of expenses to average net assets with fee waivers/reimbursements

     1.00 %(4) 

Ratio of expenses to average net assets without fee waivers/reimbursements

     1.62 %(4) 

Ratio of net investment income to average net assets with fee waivers/reimbursements

     6.72 %(4) 

Portfolio turnover rate

     22

 

(1) 

Calculated using average shares throughout the period.

(2) 

Total returns would have been lower had various fees and expenses not been waived and reimbursed during the period. The total returns in the table represent the rate that an investor would have earned (or lost) on an investment in a Fund (assuming reinvestment of all dividends and distributions).

(3) 

Total returns for periods of less than one year are not annualized.

(4) 

Annualized.

 

See Notes to Financial Statements.  
     
60   www.shiplp.com


Table of Contents
Stone Harbor Investment Funds   Notes to Financial Statements
  November 30, 2011 (Unaudited)

 

1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

 

Stone Harbor Investment Funds, which consists of Stone Harbor Emerging Markets Debt Fund, Stone Harbor High Yield Bond Fund, Stone Harbor Local Markets Fund and Stone Harbor Emerging Markets Corporate Debt Fund (each, a “Fund” and together, the “Funds”) is a Massachusetts business trust (the “Trust”), organized on February 20, 2007 and registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Each Fund is a non-diversified portfolio with an investment objective to maximize total return. Shares of each Fund are currently divided into two classes, designated Institutional Class Shares and Distributor Class Shares. As of the date of this report, there were no outstanding shares for the Distributor Class of each Fund. The Declaration of Trust permits the Trustees to create additional funds and share classes.

The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of the financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

(a) Investment Valuation: Debt securities, including bank loans and linked notes, are generally valued at the mean between the bid and asked prices provided by independent pricing services or brokers that are based on transactions in debt obligations, quotations from dealers, market transactions in comparable securities and various other relationships between securities. Equity securities for which market quotations are available are generally valued at the last sale price or official closing price on the primary market or exchange on which they trade. Publicly traded foreign government debt securities are typically traded internationally in the over-the-counter market, and are valued at the mean between the bid and asked prices as of the close of business of that market. When prices are not readily available, or are determined not to reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Funds calculate their net asset value, the Funds may value these investments at fair value as determined in accordance with the procedures approved by the Funds’ Board of Trustees. Short-term obligations with maturities of 60 days or less are valued at amortized cost, which approximates market value. Money market mutual funds are valued at their net asset value.

A three-tier hierarchy has been established to measure fair value based on the extent of use of “observable inputs” as compared to “unobservable inputs” for disclosure purposes and requires additional disclosures about these valuations measurements. Inputs refer broadly to the assumptions that the market participants would use in pricing a security. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the security 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 security developed based on the best information available in the circumstances.

 

Level 1—

Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

 

Level 2—

Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curve, rates, and similar data.

 

Level 3—

Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

The following is a summary of each Fund’s investments and financial instruments based on the three-tier hierarchy as of November 30, 2011:

 

Investments in Securities at Value*   

Level 1 - Quoted

and Unadjusted

Prices

    

Level 2 - Other

Significant

Observable Inputs

    

Level 3 - Significant

Unobservable

Inputs

     Total  

Stone Harbor Emerging Markets Debt Fund

  

Sovereign Debt Obligations

   $       $ 630,352,484       $       $ 630,352,484   

Bank Loans

             2,264,274         2,717,450         4,981,724   

Convertible Corporate Bonds

             169,000                 169,000   

Corporate Bonds

             259,228,226                 259,228,226   

Participation Notes

             7,597,073                 7,597,073   

Credit Linked Notes

             39,577,657                 39,577,657   

Short Term Investments

     8,434,700                         8,434,700   

Total

   $ 8,434,700       $ 939,188,174       $ 2,717,450       $ 950,340,864   
                                     

 

 
     

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Investments in Securities at Value*   

Level 1 - Quoted

and Unadjusted

Prices

    

Level 2 - Other

Significant

Observable Inputs

    

Level 3 - Significant

Unobservable

Inputs

     Total  

Other Financial Instruments**

  

Assets

           

Forward Foreign Currency Contracts

   $       $ 1,178,517       $       $ 1,178,517   
Liabilities            

Forward Foreign Currency Contracts

             (134,838)                 (134,838)   

Total

   $       $ 1,043,679       $       $ 1,043,679   
                                     
Investments in Securities at Value*    Level 1 - Quoted
and Unadjusted
Prices
     Level 2 - Other
Significant
Observable Inputs
     Level 3 - Significant
Unobservable
Inputs
     Total  

Stone Harbor High Yield Bond Fund

  

Corporate Bonds

   $       $ 407,568,185       $       $ 407,568,185   

Convertible Corporate Bonds

             8,229,290                 8,229,290   

Bank Loans

             9,720,087                 9,720,087   

Common Stocks

     1,911,317                         1,911,317   

Preferred Stocks

     1,104,499                         1,104,499   

Warrants

     39,227                         39,227   

Short Term Investments

     9,125,033                         9,125,033   

Total

   $ 12,180,076       $ 425,517,562       $       $ 437,697,638   
                                     

    

           
Other Financial Instruments**                                    
Assets            

Forward Foreign Currency Contracts

   $       $ 58,812       $       $ 58,812   
Liabilities            

Forward Foreign Currency Contracts

             (2,633)                 (2,633)   

Total

   $       $ 56,179       $       $ 56,179   
                                     
Investments in Securities at Value*    Level 1 - Quoted
and Unadjusted
Prices
     Level 2 – Other
Significant
Observable Inputs
     Level 3 - Significant
Unobservable
Inputs
     Total  

Stone Harbor Local Markets Fund

  

Sovereign Debt Obligations

   $       $ 595,694,632       $       $ 595,694,632   

Corporate Bonds

             40,531,734                 40,531,734   

Credit Linked Notes

             243,353,694                 243,353,694   

Short Term Investments

     77,308,724                         77,308,724   

Total

   $ 77,308,724       $ 879,580,060       $       $ 956,888,784   
                                     
           
Other Financial Instruments**                                    
Assets            

Forward Foreign Currency Contracts

   $       $ 1,151,543       $       $ 1,151,543   
Liabilities            

Forward Foreign Currency Contracts

             (1,399,064)                 (1,399,064)   

Total

   $       $ (247,521)       $       $ (247,521)   
                                     
Investments in Securities at Value*    Level 1 - Quoted
and Unadjusted
Prices
     Level 2 - Other
Significant
Observable Inputs
     Level 3 - Significant
Unobservable
Inputs
     Total  

Stone Harbor Emerging Markets Corporate Debt Fund

           

Corporate Bonds

   $       $ 25,554,843       $       $ 25,554,843   

Credit Linked Notes

             644,000                 644,000   

Short Term Investments

     182,003                         182,003   

Total

   $ 182,003       $ 26,198,843       $       $ 26,380,846   
                                     

 

 
     
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Stone Harbor Investment Funds   Notes to Financial Statements
  November 30, 2011 (Unaudited)

 

 

Investments in Securities at Value*   

Level 1 - Quoted

and Unadjusted

Prices

    

Level 2 - Other

Significant

Observable Inputs

    

Level 3 - Significant

Unobservable

Inputs

     Total  

    

                                   
Other Financial Instruments**                                    
Assets            

Forward Foreign Currency Contracts

   $       $ 7,807       $       $ 7,807   

Total

   $       $ 7,807       $       $ 7,807   
                                     

 

*

For detailed Industry/Country descriptions, see accompanying Statement of Investments.

**

Other financial instruments are derivative instruments not reflected in the Statement of Investments.

There were no significant transfers into or out of Levels 1 and 2 during the period.

Stone Harbor Emerging Markets Corporate Debt Fund was valued using either Level 1 or Level 2 inputs during the six months ended November 30, 2011. Thus a reconciliation of assets in which significant unobservable inputs (Level 3) were used is not applicable for the Fund.

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:

 

Investments in

Securities at Value

 

Balance as
of

May 31,
2011

   

Accrued

Discount/

Premium

   

Realized

Gain/(Loss)*

   

Change in

unrealized

Appreciation/

(Depreciation)*

   

Net Purchases/

(Sales)

   

Transfer in

and/or (out)
of

Level 3

   

Balance as of

November 30,

2011

   

Net Change in

Unrealized

Appreciation/

(Depreciation)

Attributable to Level 3

Investments Still Held

at November 30, 2011

 
Stone Harbor Emerging Markets Debt Fund   

Sovereign Debt

               

Obligations

  $ 17,818,730      $ (9,472   $ (636,146   $ (755,012   $ (5,844,058   $ (10,574,042   $      $   

Bank Loans

    3,197,000                      (479,550                   2,717,450        (479,550

Corporate Bonds

    4,257,737        66,564        445        (1,232,629     1,034,074        (4,126,191              

Total

  $ 25,273,467      $ 57,092      $ (635,701   $ (2,467,191   $ (4,809,984   $ (17,417,683   $      $   
                                                                 

Stone Harbor High Yield Bond Fund

  

Corporate Bonds

  $ 2      $ 49      $      $ (49          $ (2   $      $   

Convertible

               

Corporate

               

Bonds

    342,923        61,031               (105,582            (298,372              

Total

  $ 342,925      $ 61,080      $      $ (105,631   $      $ (298,374   $      $   
                                                                 

Stone Harbor Local Markets Fund

  

Sovereign Debt

               

Obligations

  $ 13,281,491      $ (72,685   $ (397   $ (694,786   $ 13,050,644      $ (25,564,267   $      $   

Total

  $ 13,281,491      $ (72,685   $ (397   $ (694,786   $ 13,050,644      $ (25,564,267   $      $   
                                                                 

* Realized gain/(class) and change in unrealized appreciation/(depreciation) are included in the related amounts on the investment in the Statement of Operations.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

(b) Security Transactions and Investment Income: Security transactions are accounted for on a trade date basis. Interest income, adjusted for amortization of premium and accretion of discount, is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Foreign dividend income is recorded on the ex-dividend date or as soon as practical after the Funds determine the existence of a dividend declaration after exercising reasonable due diligence. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults on an expected interest payment, the Funds’ policy is to generally halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default.

 

 
     

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  November 30, 2011 (Unaudited)

 

(c) 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.

(d) 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.

(e) Risk Exposure and the Use of Derivative Instruments: The Funds’ investment objectives not only permit the Funds to purchase investment securities, they also allow the Funds to enter in various types of derivatives contracts. In doing so, the Funds 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 may 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 effecting 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 risk factors, among others:

Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.

Credit Risk. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.

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 U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.

Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.

The Funds’ use of derivatives can result in losses due to unanticipated changes in these risk factors and the overall market. In instances where the Funds are using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Funds, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions.

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 Fund to increase its market value exposure relative to it 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. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow.

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

 

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Stone Harbor Investment Funds   Notes to Financial Statements
  November 30, 2011 (Unaudited)

 

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. The contract is marked-to-market daily and the change in value is recorded by the Funds 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 Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished.

Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. The Funds bear 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.

Credit Linked Notes: The Funds may invest in credit linked notes to obtain economic exposure to high yield, emerging markets or other securities. Investments in a credit linked note typically provide the holder with a return based on the return of an underlying reference instrument, such as an emerging market bond. Like an investment in a bond, investments in credit-linked securities represent the right to receive periodic income payments (in the form of distributions) and payment of principal at the end of the term of the security. In addition to the risks associated with the underlying reference instrument, an investment in a credit linked note is also subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the note. Because credit linked notes are derivatives, an investment in these instruments is generally subject to the risks associated with derivatives.

The following is a summary of the fair valuations of derivative instruments categorized by risk exposure:

Fair values of derivative instruments on the Statement of Assets and Liabilities as of November 30, 2011:

 

      Foreign Exchange Contracts  

Stone Harbor Emerging Markets Debt Fund

Assets:

  

Unrealized appreciation on forward foreign currency contracts

   $ 1,178,517   
          

Liabilities:

  

Unrealized depreciation on forward foreign currency contracts

   $ (134,838)   
          

Stone Harbor High Yield Bond Fund

Assets:

  

Unrealized appreciation on forward foreign currency contracts

   $ 58,812   
          

Liabilities:

  

Unrealized depreciation on forward foreign currency contracts

   $ (2,633)   
          

Stone Harbor Local Markets Fund

Assets:

  

Unrealized appreciation on forward foreign currency contracts

   $ 1,151,543   
          

Liabilities:

  

Unrealized depreciation on forward foreign currency contracts

   $ (1,399,064)   
          

Stone Harbor Emerging Markets Corporate Debt Fund

Assets:

  

Unrealized appreciation on forward foreign currency contracts

   $ 7,807   
          

Liabilities:

  

Unrealized depreciation on forward foreign currency contracts

   $   
  

 

See Notes to Financial Statements.  
     

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Stone Harbor Investment Funds   Notes to Financial Statements
  November 30, 2011 (Unaudited)

 

The effect of derivative instruments on the Statement of Operations for the period ended November 30, 2011:

 

      Foreign Exchange Contracts

Stone Harbor Emerging Markets Debt Fund

Net Realized Gain on:

          

Foreign currency transactions

     $ 2,259,284  
            

Change in Unrealized Appreciation on:

    

Translation of assets and liabilities denominated in foreign currencies

     $ 852,211  
            

 

Stone Harbor High Yield Bond Fund

Net Realized Gain on:

    

Foreign currency transactions

     $ 172,932  
            

Change in Unrealized Appreciation on:

    

Translation of assets and liabilities denominated in foreign currencies

     $ 58,917  
            

 

Stone Harbor Local Markets Fund

Net Realized Loss on:

    

Foreign currency transactions

     $ (2,993,442 )
            

Change in Unrealized Depreciation on:

    

Translation of assets and liabilities denominated in foreign currencies

     $ (3,503,176 )
            
      

Stone Harbor Emerging Markets Corporate Debt Fund

Net Realized Gain on:

          

Foreign currency transactions

     $ 24,137  
            

Change in Unrealized Appreciation on:

    

Translation of assets and liabilities denominated in foreign currencies

     $ 6,426  
            

(f) Loan Participations and Assignments: The Funds may invest in loans arranged through private negotiation between one or more financial institutions. The Funds’ investment in any such loan may be in the form of a participation in or an assignment of the loan. In connection with purchasing participations, the Funds generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loan, nor any rights of set-off against the borrower and the Funds may not benefit directly from any collateral supporting the loan in which they have purchased the participation.

The Funds assume the credit risk of the borrower, the lender that is selling the participation and any other persons interpositioned between the Funds and the borrower. In the event of the insolvency of the lender selling the participation, the Funds may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower.

(g) Credit and Market Risk: The Funds invest in high yield and emerging market instruments that are subject to certain credit and market risks. The yields of high yield and emerging market debt obligations reflect, among other things, perceived credit and market risks. The Funds’ investment in securities rated below investment grade typically involves risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading. The consequences of political, social, economic or diplomatic changes may have disruptive effects on the market prices of investments held by the Funds. The Funds’ investment in non-dollar denominated securities may also result in foreign currency losses caused by devaluations and exchange rate fluctuations. Investments in derivatives are also subject to credit and market risks.

(h) Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with income tax regulations, are recorded on the ex-date. Income distributions, if any are generally declared and paid on a quarterly basis. Capital gain distributions, if any, are declared and paid at least annually.

(i) Classifications of Distributions: Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of distributions made during the year from net investment income or net realized gains may differ from its ultimate characterization for federal income tax purposes. 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 was recorded by a Fund.

 

 
     
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Stone Harbor Investment Funds   Notes to Financial Statements
  November 30, 2011 (Unaudited)

 

The tax character of the distributions paid by the Funds during the years ended May 31, 2011, and May 31, 2010, was as follows:

Stone Harbor Emerging Markets Debt Fund

     For the Year
Ended May 31, 2011
     For the Year
Ended May 31, 2010

Ordinary Income

   $30,268,192      $10,321,834

Long-Term Capital Gain

   3,751,322     

Tax Return of Capital

       

Total

   $34,019,514      $10,321,834
             

Stone Harbor High Yield Bond Fund

       
    

For the Year

Ended May 31, 2011

     For the Year
Ended May 31, 2010

Ordinary Income

   $37,432,474      $28,484,852

Long-Term Capital Gain

   3,833,489     

Tax Return of Capital

       

Total

   $41,265,963      $28,484,852
             
       

Stone Harbor Local Markets Fund

       
            For the Period
Ended May 31, 2011

Ordinary Income

        $10,697,812

Long-Term Capital Gain

       

Tax Return of Capital

         

Total

        $10,697,812
             

The Stone Harbor Emerging Markets Corporate Debt Fund commenced operations on June 1, 2011.

As of May 31, 2011, the components of distributable earnings on a tax basis were as follows:

 

Stone Harbor Emerging Markets Debt Fund

  

Undistributed Ordinary Income

   $ 1,827,502   

Accumulated Capital Gains/(Loss)

     899,020   

Unrealized Appreciation/(Depreciation)

     23,682,009   

Cumulative Effect of Other Timing Difference*

     (14,204

Total

   $ 26,394,327   
          

Stone Harbor High Yield Bond Fund

  

Undistributed Ordinary Income

   $ 2,353,392   

Accumulated Capital Gains/(Loss)

     9,217,158   

Unrealized Appreciation/(Depreciation)

     28,506,438   

Cumulative Effect of Other Timing Difference*

     182   

Total

   $ 40,077,170   
          

Stone Harbor Local Markets Fund

  

Undistributed Ordinary Income

   $ 1,530,108   

Accumulated Capital Gains/(Loss)

       

Unrealized Appreciation/(Depreciation)

     16,767,828   

Cumulative Effect of Other Timing Difference*

     (1,420,764

Total

   $                 16,877,172   
          

The Stone Harbor Emerging Markets Corporate Debt Fund commenced operations on June 1, 2011.

*Other temporary differences due to timing, consist primarily of mark-to-market on forward foreign currency contracts.

 

 

 
     

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Stone Harbor Investment Funds   Notes to Financial Statements
  November 30, 2011 (Unaudited)

 

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 period ended May 31, 2011, certain differences were reclassified. These differences were primarily due to the differing tax treatment of certain investments and the amounts reclassified did not affect net assets.

The reclassifications were as follows:

 

      Stone Harbor
Emerging Markets Debt Fund
    Stone Harbor
High Yield Bond Fund
    Stone Harbor
Local Markets Fund
 

Paid-in Capital

   $      $ 550,704      $   

(Over)/Undistributed Income

   $ 1,411,884      $ (61,866   $ 323,365   

Accumulated Net Realized Losses

   $ (1,411,884   $ (488,838   $ (323,365

The Stone Harbor Emerging Markets Corporate Debt Fund commenced operations on June 1, 2011.

(j) Expenses: Direct expenses are charged to the Funds; general expenses of the Trust are allocated to the Funds based on each Fund’s relative net assets.

(k) Federal and Other Taxes: No provision for income taxes is included in the accompanying financial statements, as the Funds intend to distribute to shareholders all taxable investment income and realized gains and otherwise comply with Subchapter M of the Internal Revenue Code applicable to regulated investment companies.

The Funds evaluate tax positions taken (or expected to be taken) in the course of preparing the Funds’ tax returns to determine whether these positions meet a “more-likely-than-not” standard that, based on the technical merits, have a more than fifty percent likelihood of being sustained by a taxing authority upon examination. A tax position that meets the “more-likely-than-not” recognition threshold is measured to determine the amount of benefit to recognize in the financial statements.

Management of the Funds analyzes all open tax years, as defined by the Statute of Limitations, for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of and during the fiscal year ended May 31, 2011, the Funds did not have a liability for any unrecognized tax benefits. The Funds’ federal and state income and federal excise tax returns for all tax years since inception are subject to examination by the Internal Revenue Service and state departments of revenue.

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed into law. The provisions of the Modernization Act are generally effective for tax years beginning after the date it was signed into law, therefore the enacted provisions will apply to the Funds for the fiscal year ending May 31, 2012. The Modernization Act is the first major piece of legislation affecting regulated investment companies (“RICs”) since 1986 and it modernizes several of the federal income and excise tax provisions related to RICs. Some highlights of the enacted provisions are as follows:

New capital losses may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for eight years, and carried forward as short-term capital losses, irrespective of the character of the original loss.

The Modernization Act contains simplification provisions, which are aimed at preventing disqualification of a RIC for “inadvertent” failures of the asset diversification and/or qualifying income tests. Additionally, the Modernization Act exempts RICs from the preferential dividend rule, and repealed the 60-day designation requirement for certain types of paythrough income and gains.

Finally, the Modernization Act contains several provisions aimed at preserving the character of distributions made by a RIC during the portion of its taxable year ending after October 31 or December 31, reducing the circumstances under which a RIC might be required to file amended Forms 1099 to restate previously reported distributions.

2. APPLICATION OF RECENT ACCOUNTING PRONOUNCEMENTS

 

In May 2011, the FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements” in GAAP and the International Financial Reporting Standards (“IFRSs”). ASU No.2011-04 amends FASB ASC Topic 820, “Fair Value Measurements and Disclosures”, to establish common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with GAAP and IFRSs. ASU No.2011-04 is effective for fiscal years beginning after December 15, 2011 and for interim periods within those fiscal years. Management is currently evaluating the impact these amendments may have on the Funds financial statements.

 

 
     
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Stone Harbor Investment Funds   Notes to Financial Statements
  November 30, 2011 (Unaudited)

 

3. ADVISORY FEES

 

Stone Harbor Investment Partners LP is the Trust’s investment adviser. Under the investment advisory agreement the Trust pays an investment advisory fee calculated daily and paid monthly of 0.60%, 0.50%, 0.75% and 0.85% of the average daily net assets for Stone Harbor Emerging Markets Debt Fund, Stone Harbor High Yield Bond Fund, and Stone Harbor Local Markets Fund, and Stone Harbor Emerging Markets Corporate Debt Fund, respectively.

The Adviser has contractually agreed to waive fees and reimburse expenses with respect to each of the Funds so that the Net Annual Operating Expenses (exclusive of acquired Fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses) of the Stone Harbor Emerging Markets Debt Fund Institutional Class, Stone Harbor High Yield Bond Fund Institutional Class, Stone Harbor Local Markets Fund Institutional Class and Stone Harbor Emerging Markets Corporate Debt Fund Institutional Class will not exceed 0.75%, 0.55%, 1.00% and 1.00%, respectively. This undertaking is in effect through September 30, 2012 and is reevaluated on an annual basis.

The Adviser will be permitted to recover, on a class by class basis, expenses it has borne through the undertakings described above to the extent that a Fund’s expenses in later periods fall below the annual rates set forth in the relevant undertaking. A Fund will not be obligated to pay any such deferred fees and expenses more than three years after the end of the fiscal year in which the fee and expense was deferred. As of May 31, 2011, deferred fees and expenses that were eligible to be recovered amounted to $83,978, $423,643 and $10,036 for the Stone Harbor Emerging Markets Debt Fund, Stone Harbor High Yield Bond Fund and Stone Harbor Local Markets Fund, respectively.

4. INVESTMENTS

 

During the six months, ended November 30, 2011 the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) were as follows:

 

      Purchases of investments      Sales of investments  

Stone Harbor Emerging Markets Debt Fund

   $ 508,491,015       $ 241,952,650   

Stone Harbor High Yield Bond Fund

   $ 92,596,308       $ 90,633,113   

Stone Harbor Local Markets Fund

   $ 1,020,565,086       $ 531,436,599   

Stone Harbor Emerging Markets Corporate Debt Fund

   $ 35,337,740       $ 5,107,261   

At November 30, 2011 the aggregate gross unrealized appreciation and depreciation of investments for federal income purposes were substantially as follows:

 

Stone Harbor Emerging Markets Debt Fund

  

Gross appreciation on investments (excess of value over tax cost)

   $ 29,802,654   

Gross depreciation on investments (excess of tax cost over value)

     (39,982,113

Net unrealized depreciation

     (10,179,459
          

Cost of investments for income tax purposes

   $ 960,520,323   
          

Stone Harbor High Yield Bond Fund

  

Gross appreciation on investments (excess of value over tax cost)

   $ 13,568,308   

Gross depreciation on investments (excess of tax cost over value)

     (31,446,089

Net unrealized appreciation

     (17,877,781
          

Cost of investments for income tax purposes

   $ 455,575,419   
          

Stone Harbor Local Markets Fund

  

Gross depreciation on investments (excess of tax cost over value)

   $ (63,217,389

Net unrealized depreciation

     (63,217,389
          

Cost of investments for income tax purposes

   $ 1,020,106,173   
          
  

Stone Harbor Emerging Markets Corporate Debt Fund

  

Gross appreciation on investments (excess of value over tax cost)

   $ 49,947   

Gross depreciation on investments (excess of tax cost over value)

     (3,874,487

Net unrealized appreciation

     (3,824,540
          

Cost of investments for income tax purposes

   $ 30,205,386   
          

 

 
     

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  69


Table of Contents
Stone Harbor Investment Funds   Notes to Financial Statements
  November 30, 2011 (Unaudited)

 

Funds elect to defer to the period ending May 31, 2012 the following losses recognized during the period November 1, 2010 through May 31, 2011:

 

      Capital      Currency  

Stone Harbor Emerging Markets Debt Fund

               

Stone Harbor High Yield Bond Fund

             9,401   

Stone Harbor Local Markets Fund

               

The Stone Harbor Emerging Markets Corporate Debt Fund commenced operations on June 1, 2011.

5. SHARES OF BENEFICIAL INTEREST

 

At November 30, 2011, the Trust had an unlimited number of shares of beneficial interest authorized with a par value of $0.001 per share. The Funds have the ability to issue multiple classes of shares. Each share of a class represents an identical interest and has the same rights, except that each class bears certain direct expenses, including those specifically related to the distribution of its shares. Transactions in shares of the Institutional Class can be found on the Statement of Changes in Net Assets.

 

 
     
70   www.shiplp.com


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Stone Harbor Investment Funds   Additional Information
  November 30, 2011 (Unaudited)

 

Stone Harbor

FUND PORTFOLIO HOLDINGS

 

The SEC has adopted the requirement that all registered investment companies file a complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters on Form N-Q. For the Funds, this would be for the fiscal quarters ending August 31 and February 28. The Form N-Q filing must be made within 60 days of the end of the quarter. The Funds’ Forms N-Q will be available on the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC (call 1-800-732-0330 for information on the operation of the Public Reference Room).

PROXY VOTING

 

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how the Funds voted proxies relating to portfolio securities for the period ending June 30, 2011 will be available without a charge, upon request, by contacting Stone Harbor Investment Funds at 1-866-699-8158 or on the SEC website at http://www.sec.gov.

SHAREHOLDER TAX INFORMATION

 

Certain tax information regarding the Trust is required to be provided to shareholders based upon each Fund’s income and distributions for the year ended May 31, 2011.

 

    

Stone Harbor

Emerging Markets Debt Fund

    Stone Harbor
High Yield Bond Fund
    Stone Harbor
Local Markets Fund
 

Dividends Received Deduction Percentage

    0.00     0.18     0.00

Qualified Dividend Income Percentage

    0.00     0.18     0.00

Pursuant to Section 852(b)(3) of the Internal Revenue Code, the Stone Harbor Emerging Markets Debt Fund and the Stone Harbor High Yield Bond Fund designate $3,751,322 and $3,833,489, respectively, as long term capital gain dividends.

 

Stone Harbor Investment Funds Semi-Annual Report  |  November 30, 2011

  71


Table of Contents
Stone Harbor Investment Funds   Notes
  November 30, 2011 (Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

72   www.shiplp.com


Table of Contents

 

LOGO

INVESTMENT ADVISER

Stone Harbor Investment Partners LP

31 W. 52nd Street 16th Floor

New York, New York 10019

ADMINISTRATOR & FUND ACCOUNTANT

ALPS Fund Services, Inc.

1290 Broadway, Suite 1100

Denver, Colorado 80203

TRANSFER AGENT & CUSTODIAN

The Bank of New York Mellon

One Wall Street

New York, New York 10286

LEGAL COUNSEL

Ropes & Gray LLP

1211 Avenue of the Americas

New York, New York 10036

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

Deloitte & Touche LLP

555 17th Street, Suite 3600

Denver, Colorado 80202

This report and its financial statements are submitted for the general information of the shareholders of the Funds. The report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by a prospectus.


Table of Contents
Item 2. Code of Ethics.

Not applicable to this Report.

 

Item 3. Audit Committee Financial Expert.

Not applicable to this Report.

 

Item 4. Principal Accountant Fees and Services.

Not applicable to this Report.

 

Item 5. Audit Committee of Listed Registrants.

Not applicable.

 

Item 6. Investments.

 

  (a) Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form N-CSR.

 

  (b) Not applicable.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to Registrant.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to Registrant.


Table of Contents
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable to Registrant.

 

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2) of Regulation S-K, or this Item.

 

Item 11. Controls and Procedures.

 

  (a) The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

 

  (b) There was no change 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

Item 12. Exhibits.

 

  (a)(1) Not applicable to this Report.

 

  (a)(2) The certifications required by Rule 30a-2(a) of the Investment Company Act of 1940, as amended, and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto as Exhibit 99.Cert.

(a)(3) Not applicable to Registrant.

 

  (b) The certifications by the Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(b) of the Investment Company Act of 1940, as amended, and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as Exhibit 99.906Cert.


Table of Contents

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.

 

Stone Harbor Investment Funds
By:   

/s/ Peter J. Wilby

   Peter J. Wilby
  

President/Principal Executive

Officer

Date:    February 3, 2012

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/ Peter J. Wilby

   Peter J. Wilby
  

President/Principal Executive

Officer

Date:    February 3, 2012
By:   

/s/ James J. Dooley

   James J. Dooley
  

Treasurer, Chief Financial Officer/

Principal Financial Officer

Date:    February 3, 2012
EX-99.CERT 2 d290211dex99cert.htm CERTIFICATIONS Certifications

Exhibit 99.Cert

I, Peter J. Wilby, President and Principal Executive Officer of Stone Harbor Investment Funds, certify that:

 

  1. I have reviewed this report on Form N-CSR of Stone Harbor Investment Funds;

 

  2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

  3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;

 

  4. The Registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:

 

  a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  c. Evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

  d. Disclosed in the report any change in the Registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting; and

 

  5. The Registrant’s other certifying officer and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

 

  a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and

 

  b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

 

By:  

/s/ Peter J. Wilby

  
  Peter J. Wilby   
  President/Principal Executive Officer

 

Date:    February 3, 2012


I, James J. Dooley, Treasurer and Chief Financial Officer/Principal Financial Officer of Stone Harbor Investment Funds, certify that:

 

  1. I have reviewed this report on Form N-CSR of Stone Harbor Investment Funds;

 

  2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

  3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;

 

  4. The Registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:

 

  (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  (c) Evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

  (d) Disclosed in the report any change in the Registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting; and

 

  5. The Registrant’s other certifying officer and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

 

  (a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and

 

  (b) any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

 

By:

  

/s/ James J. Dooley

   James J. Dooley
   Treasurer, Chief Financial Officer/
   Principal Financial Officer

Date:

   February 3, 2012
EX-99.906 3 d290211dex99906.htm 906 CERTIFICATION 906 Certification

Exhibit 99.906Cert

This certification is furnished pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. § 1350, and accompanies the report on Form N-CSR for the period ended November 30, 2011 (the “Form N-CSR”) of Stone Harbor Investment Funds (the “Company”).

I, Peter J. Wilby, the President and Principal Executive Officer of the Company, certify that:

 

  (i) the Form N-CSR fully complies with the requirements of Section 13(a) or Section 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and

 

  (ii) the information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Company.

 

Dated:

     February 3, 2012

By:

    

/s/ Peter J. Wilby

     Peter J. Wilby (Principal Executive Officer)
     President


This certification is furnished pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. § 1350, and accompanies the report on Form N-CSR for the period ended November 30, 2011 (the “Form N-CSR”) of Stone Harbor Investment Funds (the “Company”).

I, James J. Dooley, the Treasurer, Chief Financial Officer and Principal Financial Officer of the Company, certify that:

 

  (i) the Form N-CSR fully complies with the requirements of Section 13(a) or Section 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and

 

  (ii) the information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Company.

 

Dated:      February 3, 2012
By:     

/s/ James J. Dooley

     James J. Dooley (Principal Financial Officer)
     Treasurer, Chief Financial Officer
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