Shareholder Letter
|
2
|
Disclosure of Fund Expenses
|
10
|
Summaries of Portfolio Holdings
|
11
|
Growth of $10,000 Investment
|
|
Stone Harbor Emerging Markets Debt Fund
|
14
|
Stone Harbor High Yield Bond Fund
|
15
|
Stone Harbor Local Markets Fund
|
16
|
Stone Harbor Emerging Markets Corporate Debt Fund
|
17
|
Stone Harbor Investment Grade Fund
|
18
|
Stone Harbor Strategic Income Fund
|
19
|
Stone Harbor Emerging Markets Debt Allocation Fund
|
20
|
Stone Harbor 500 Plus Fund
|
21
|
Report of Independent Registered Public Accounting Firm
|
22
|
Statements of Investments
|
|
Stone Harbor Emerging Markets Debt Fund
|
23
|
Stone Harbor High Yield Bond Fund
|
34
|
Stone Harbor Local Markets Fund
|
42
|
Stone Harbor Emerging Markets Corporate Debt Fund
|
47
|
Stone Harbor Investment Grade Fund
|
52
|
Stone Harbor Strategic Income Fund
|
58
|
Stone Harbor Emerging Markets Debt Allocation Fund
|
60
|
Stone Harbor 500 Plus Fund
|
61
|
Statements of Assets & Liabilities
|
64
|
Statements of Operations
|
66
|
Statements of Changes in Net Assets
|
68
|
Financial Highlights
|
|
Stone Harbor Emerging Markets Debt Fund
|
72
|
Stone Harbor High Yield Bond Fund
|
73
|
Stone Harbor Local Markets Fund
|
74
|
Stone Harbor Emerging Markets Corporate Debt Fund
|
75
|
Stone Harbor Investment Grade Fund
|
76
|
Stone Harbor Strategic Income Fund
|
77
|
Stone Harbor Emerging Markets Debt Allocation Fund
|
78
|
Stone Harbor 500 Plus Fund
|
79
|
Notes to Financial Statements
|
80
|
Additional Information
|
103
|
Board Approval of Investment Advisory Agreements
|
106
|
Trustees & Officers
|
109
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
1
|
Stone Harbor Investment Funds
|
Shareholder Letter
|
2
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Shareholder Letter
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
3
|
Stone Harbor Investment Funds
|
Shareholder Letter
|
4
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Shareholder Letter
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
5
|
Stone Harbor Investment Funds
|
Shareholder Letter
|
6
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Shareholder Letter
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
7
|
Stone Harbor Investment Funds
|
Shareholder Letter
|
8
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Shareholder Letter
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
9
|
Stone Harbor Investment Funds
|
Disclosure of Fund Expenses
|
May 31, 2017 (Unaudited)
|
Actual Total Return
|
Beginning Account Value December 1, 2016
|
Ending Account Value May 31,
2017 |
Expense
Ratio(1) |
Expenses Paid During Period(2)
|
|
STONE HARBOR EMERGING MARKETS DEBT FUND
|
8.46%
|
$1,000.00
|
$1,084.60
|
0.69%
|
$3.59
|
STONE HARBOR HIGH YIELD BOND FUND
|
6.00
|
1,000.00
|
1,060.00
|
0.65
|
3.34
|
STONE HARBOR LOCAL MARKETS FUND
|
12.89
|
1,000.00
|
1,128.90
|
0.89
|
4.72
|
STONE HARBOR EMERGING MARKETS CORPORATE DEBT FUND
|
5.96
|
1,000.00
|
1,059.60
|
1.00
|
5.14
|
STONE HARBOR INVESTMENT GRADE FUND
|
2.67
|
1,000.00
|
1,026.70
|
0.50
|
2.53
|
STONE HARBOR STRATEGIC INCOME FUND
|
4.95
|
1,000.00
|
1,049.50
|
0.10
|
0.51
|
STONE HARBOR EMERGING MARKETS DEBT ALLOCATION FUND
|
10.51
|
1,000.00
|
1,105.10
|
0.02
|
0.10
|
STONE HARBOR 500 PLUS FUND(3)
|
7.71
|
1,000.00
|
1,077.10
|
0.60
|
2.25
|
Hypothetical Annualized Total Return
|
Beginning Account Value December 1, 2016
|
Ending Account Value May 31,
2017 |
Expense
Ratio(1) |
Expenses Paid During Period(2)
|
|
STONE HARBOR EMERGING MARKETS DEBT FUND
|
5.00%
|
$1,000.00
|
$1,021.49
|
0.69%
|
$3.48
|
STONE HARBOR HIGH YIELD BOND FUND
|
5.00
|
1,000.00
|
1,021.69
|
0.65
|
3.28
|
STONE HARBOR LOCAL MARKETS FUND
|
5.00
|
1,000.00
|
1,020.49
|
0.89
|
4.48
|
STONE HARBOR EMERGING MARKETS CORPORATE DEBT FUND
|
5.00
|
1,000.00
|
1,019.95
|
1.00
|
5.04
|
STONE HARBOR INVESTMENT GRADE FUND
|
5.00
|
1,000.00
|
1,022.44
|
0.50
|
2.52
|
STONE HARBOR STRATEGIC INCOME FUND
|
5.00
|
1,000.00
|
1,024.43
|
0.10
|
0.50
|
STONE HARBOR EMERGING MARKETS DEBT ALLOCATION FUND
|
5.00
|
1,000.00
|
1,024.83
|
0.02
|
0.10
|
STONE HARBOR 500 PLUS FUND
|
5.00
|
1,000.00
|
1,021.94
|
0.60
|
3.02
|
(1) |
Annualized, based on the Fund's most recent fiscal half-year expenses.
|
(2) |
Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (182), divided by 365. Note this expense example is typically based on a six-month period.
|
(3) |
The Stone Harbor 500 Plus Fund's Institutional Class commenced operations on January 20, 2017. Actual expenses for this Fund are equal to the Fund’s annualized expense ratio multiplied by the average account value of the period, multiplied by the number of days since the Fund launched (132), divided by 365.
|
10
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Summaries of Portfolio Holdings
|
May 31, 2017 (Unaudited)
|
STONE HARBOR EMERGING MARKETS DEBT FUND
|
|
Country Breakdown(1)
|
%
|
Brazil
|
8.80%
|
Argentina
|
8.74%
|
Ukraine
|
6.85%
|
Mexico
|
5.94%
|
Indonesia
|
4.50%
|
Dominican Republic
|
3.87%
|
Venezuela
|
3.73%
|
Azerbaijan
|
3.57%
|
Turkey
|
3.39%
|
Colombia
|
3.22%
|
Russia
|
2.92%
|
South Africa
|
2.78%
|
Costa Rica
|
2.74%
|
Ivory Coast
|
2.39%
|
Malaysia
|
2.30%
|
Uruguay
|
1.91%
|
Sri Lanka
|
1.85%
|
El Salvador
|
1.83%
|
Zambia
|
1.72%
|
Croatia
|
1.69%
|
Gabon
|
1.67%
|
Angola
|
1.61%
|
Ecuador
|
1.60%
|
Kazakhstan
|
1.48%
|
China
|
1.47%
|
Iraq
|
1.30%
|
Oman
|
1.08%
|
Panama
|
1.07%
|
Ghana
|
0.99%
|
Hungary
|
0.74%
|
Egypt
|
0.73%
|
Peru
|
0.67%
|
Chile
|
0.59%
|
Kenya
|
0.59%
|
Paraguay
|
0.39%
|
Luxembourg
|
0.38%
|
Senegal
|
0.37%
|
Morocco
|
0.36%
|
Cameroon
|
0.36%
|
Trinidad/Tobago
|
0.33%
|
Namibia
|
0.31%
|
Lebanon
|
0.31%
|
Bahrain
|
0.30%
|
Jamaica
|
0.28%
|
Georgia
|
0.28%
|
Serbia
|
0.28%
|
Montenegro
|
0.25%
|
India
|
0.23%
|
Honduras
|
0.22%
|
Suriname
|
0.22%
|
Ethiopia
|
0.20%
|
Bolivia
|
0.14%
|
Nigeria
|
0.10%
|
Jordan
|
0.10%
|
Total
|
95.74%
|
Short Term Investments
|
2.91%
|
Other Assets in Excess of Liabilities
|
1.35%
|
Total Net Assets
|
100.00%
|
STONE HARBOR HIGH YIELD BOND FUND
|
|
Industry Breakdown
|
%
|
Exploration & Production
|
9.95%
|
Media Cable
|
8.20%
|
Healthcare
|
7.03%
|
Media Other
|
5.94%
|
Industrial Other
|
5.40%
|
Technology
|
5.05%
|
Electric
|
4.49%
|
Building Products
|
4.28%
|
Food & Beverage
|
4.28%
|
Chemicals
|
4.07%
|
Metals/Mining/Steel
|
3.91%
|
Wirelines
|
3.78%
|
Wireless
|
3.42%
|
Containers/Packaging
|
3.22%
|
Gaming
|
3.00%
|
Drillers/Services
|
2.85%
|
Paper/Forest Products
|
2.61%
|
Consumer Products
|
2.27%
|
Capital Goods
|
2.27%
|
Retail Non Food/Drug
|
2.17%
|
Retail Food/Drug
|
1.96%
|
Automotive
|
1.95%
|
Leisure
|
1.56%
|
Satellite
|
1.10%
|
Restaurants
|
0.72%
|
Utility Other
|
0.66%
|
Textile/Apparel
|
0.52%
|
Transportation Other
|
0.40%
|
Services Other
|
0.27%
|
Total
|
97.33%
|
Short Term Investments
|
2.86%
|
Liabilities in Excess of Other Assets
|
-0.19%
|
Total Net Assets
|
100.00%
|
(1) |
Country refers to country of primary risk exposure, as determined by Stone Harbor Investment Partners LP (the “Adviser” or “Stone Harbor”). In certain instances, a security’s country of incorporation may be different from its country of risk.
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
11
|
Stone Harbor Investment Funds
|
Summaries of Portfolio Holdings
|
May 31, 2017 (Unaudited)
|
STONE HARBOR LOCAL MARKETS FUND
|
|
Country Breakdown(1)
|
%
|
Mexico
|
10.96%
|
Brazil
|
10.81%
|
Indonesia
|
10.53%
|
South Africa
|
10.39%
|
Colombia
|
8.42%
|
Malaysia
|
5.47%
|
Russia
|
4.85%
|
Poland
|
4.82%
|
Thailand
|
3.58%
|
Turkey
|
4.87%
|
Argentina
|
1.53%
|
Peru
|
1.36%
|
Uruguay
|
0.36%
|
Chile
|
0.22%
|
Total
|
78.17%
|
Short Term Investments
|
4.04%
|
Other Assets in Excess of Liabilities
|
17.79%
|
Total Net Assets
|
100.00%
|
(1) |
Country refers to country of primary risk exposure, as determined by Stone Harbor. In certain instances, a security’s country of incorporation may be different from its country of risk.
|
STONE HARBOR EMERGING MARKETS CORPORATE DEBT FUND
|
|
Country Breakdown(1)
|
%
|
Brazil
|
9.47%
|
India
|
6.77%
|
Turkey
|
5.37%
|
China
|
5.04%
|
Mexico
|
4.31%
|
Indonesia
|
4.18%
|
Colombia
|
4.17%
|
Chile
|
4.09%
|
Argentina
|
3.87%
|
Luxembourg
|
3.43%
|
Hong Kong
|
3.20%
|
Ukraine
|
3.11%
|
Macau
|
2.99%
|
Peru
|
2.97%
|
Ireland
|
2.65%
|
United Arab Emirates
|
2.61%
|
Thailand
|
2.59%
|
Russia
|
2.51%
|
Ghana
|
2.28%
|
Israel
|
2.19%
|
Algeria
|
2.15%
|
Angola
|
2.01%
|
Jamaica
|
1.99%
|
Malaysia
|
1.56%
|
Guatemala
|
1.55%
|
South Korea
|
1.54%
|
Kuwait
|
1.53%
|
Singapore
|
1.52%
|
Morocco
|
1.46%
|
Saudi Arabia
|
1.22%
|
South Africa
|
0.94%
|
Philippines
|
0.83%
|
United States
|
0.74%
|
Total
|
96.84%
|
Short Term Investments
|
0.94%
|
Other Assets in Excess of Liabilities
|
2.22%
|
Total Net Assets
|
100.00%
|
12
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Summaries of Portfolio Holdings
|
May 31, 2017 (Unaudited)
|
STONE HARBOR INVESTMENT GRADE FUND
|
|
Industry Breakdown
|
%
|
U.S. Treasury Bonds/Notes
|
19.83%
|
U.S. Government Agency Mortgage Backed
|
18.61%
|
Asset Backed/Commercial Mortgage Backed
|
16.23%
|
Banking
|
10.04%
|
Electric
|
5.25%
|
Technology
|
3.03%
|
Gas Pipelines
|
2.74%
|
Real Estate Investment Trust (REITs)
|
2.54%
|
Exploration & Production
|
2.08%
|
Automotive
|
2.01%
|
Media Other
|
1.57%
|
Food and Beverage
|
1.38%
|
Media Cable
|
1.37%
|
Wirelines
|
1.35%
|
Healthcare
|
1.00%
|
Transportation Non Air/Rail
|
0.91%
|
Pharmaceuticals
|
0.84%
|
Life Insurance
|
0.81%
|
Retail Food/Drug
|
0.74%
|
Metals/Mining/Steel
|
0.59%
|
Consumer Products
|
0.52%
|
Refining
|
0.52%
|
Retail Non Food/Drug
|
0.49%
|
Drillers/Services
|
0.35%
|
Aerospace/Defense
|
0.34%
|
Non Captive Finance
|
0.34%
|
Paper/Forest Products
|
0.34%
|
Leisure
|
0.33%
|
Total
|
96.15%
|
Short Term Investments
|
8.13%
|
Liabilities in Excess of Other Assets
|
-4.28%
|
Total Net Assets
|
100.00%
|
STONE HARBOR STRATEGIC INCOME FUND
|
|
Industry Breakdown
|
%
|
Stone Harbor Investment Grade Fund
|
40.94%
|
Stone Harbor High Yield Bond Fund
|
34.76%
|
Stone Harbor Emerging Markets Debt Fund
|
15.10%
|
Stone Harbor Local Markets Fund
|
5.08%
|
Stone Harbor Emerging Markets Corporate Fund
|
2.50%
|
Total
|
98.39%
|
Short Term Investments
|
0.33%
|
Other Assets in Excess of Liabilities
|
1.28%
|
Total Net Assets
|
100.00%
|
STONE HARBOR EMERGING MARKETS DEBT ALLOCATION FUND
|
|
Industry Breakdown
|
%
|
Stone Harbor Emerging Markets Debt Fund
|
43.74%
|
Stone Harbor Local Markets Fund
|
55.90%
|
Total
|
99.64%
|
Short Term Investments
|
0.46%
|
Liabilities in Excess of Other Assets
|
-0.10%
|
Total Net Assets
|
100.00%
|
STONE HARBOR 500 PLUS FUND
|
|
Industry Breakdown
|
%
|
Asset Backed/Commercial Mortgage Backed
|
79.49%
|
Total
|
79.49%
|
Short Term Investments
|
18.63%
|
Other Assets in Excess of Liabilities
|
1.88%
|
Total Net Assets
|
100.00%
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
13
|
Stone Harbor Investment Funds
|
Growth of $10,000 Investment
|
6 Months
|
1 Year
|
3 Years
|
5 Years
|
Since Inception
|
|
Stone Harbor Emerging Markets Debt Fund
|
8.46%
|
11.70%
|
4.67%
|
5.08%
|
7.50%
|
JPMorgan EMBI Global Diversified Index
|
7.76%
|
9.77%
|
5.55%
|
6.48%
|
7.84%
|
14
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Growth of $10,000 Investment
|
6 Months
|
1 Year
|
3 Years
|
5 Years
|
Since Inception
|
|
Stone Harbor High Yield Bond Fund
|
6.00%
|
10.97%
|
2.38%
|
6.06%
|
6.59%
|
Citigroup High Yield Market Capped Index
|
6.31%
|
13.26%
|
4.15%
|
6.76%
|
7.65%
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
15
|
Stone Harbor Investment Funds
|
Growth of $10,000 Investment
|
6 Months
|
1 Year
|
3 Years
|
5 Years
|
Since Inception
|
|
Stone Harbor Local Markets Fund
|
12.89%
|
12.60%
|
‐3.78%
|
‐1.58%
|
0.22%
|
JPMorgan GBI EM Global Diversified Index
|
11.91%
|
12.17%
|
‐2.63%
|
0.32%
|
1.81%
|
16
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Growth of $10,000 Investment
|
6 Months
|
1 Year
|
3 Year
|
5 Year
|
Since Inception
|
|
Stone Harbor Emerging Markets Corporate Debt Fund
|
5.96%
|
8.43%
|
4.63%
|
5.54%
|
3.69%
|
JPMorgan CEMBI Broad Diversified Index
|
5.61%
|
8.50%
|
4.96%
|
5.90%
|
5.47%
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
17
|
Stone Harbor Investment Funds
|
Growth of $10,000 Investment
|
6 Months
|
1 Year
|
3 Year
|
Since Inception
|
|
Stone Harbor Investment Grade Fund
|
2.67%
|
2.07%
|
2.24%
|
3.23%
|
Bloomberg Barclays U.S. Aggregate Index
|
2.52%
|
1.58%
|
2.53%
|
3.26%
|
18
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Growth of $10,000 Investment
|
6 Months
|
1 Year
|
3 Year
|
Since Inception
|
|
Stone Harbor Strategic Income Fund
|
4.85%
|
7.34%
|
2.81%
|
4.11%
|
Bloomberg Barclays Global Credit Index (Hedged USD)
|
4.23%
|
5.77%
|
4.05%
|
4.91%
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
19
|
Stone Harbor Investment Funds
|
Growth of $10,000 Investment
|
6 Months
|
1 Year
|
Since Inception
|
|
Stone Harbor Emerging Markets Debt Allocation Fund
|
10.51%
|
11.51%
|
1.57%
|
JPMorgan EMBI Global Diversified Index
|
7.76%
|
9.77%
|
6.08%
|
JPMorgan GBI EM Global Diversified Index
|
11.91%
|
12.17%
|
‐1.84%
|
Blend Index (50% JPMorgan EMBI Global Diversified Index and 50% JPMorgan GBI EM Global Diversified Index)
|
9.82%
|
11.00%
|
2.13%
|
20
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Growth of $10,000 Investment
|
1 Month
|
3 Month
|
YTD
|
Since Inception
|
|
Stone Harbor 500 Plus Fund
|
1.52%
|
2.97%
|
7.71%
|
7.71%
|
S&P 500 Index
|
1.41%
|
2.57%
|
7.38%
|
7.38%
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
21
|
Stone Harbor Investment Funds
|
Report of Independent
Registered Public Accounting Firm
|
22
|
www.shiplp.com
|
Stone Harbor Emerging Markets Debt Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed (in USD)
|
||||||||||||
SOVEREIGN DEBT OBLIGATIONS - 74.82%
|
|||||||||||||||||
Angola - 1.61%
|
|||||||||||||||||
Republic of Angola:
|
|||||||||||||||||
USD
|
|
7.00
|
%
|
08/16/19
|
|
1,747,000
|
$
|
1,809,018
|
|||||||||
USD
|
9.50
|
%
|
11/12/25
|
4,930,000
|
5,293,587
|
(1)
|
|||||||||||
USD
|
9.50
|
%
|
11/12/25
|
14,956,000
|
16,059,005
|
(2)
|
|||||||||||
23,161,610
|
|||||||||||||||||
Argentina - 8.42%
|
|||||||||||||||||
Provincia del Chaco
|
USD
|
9.38
|
%
|
08/18/24
|
3,971,000
|
3,980,928
|
(2)
|
||||||||||
Republic of Argentina:
|
|||||||||||||||||
EUR
|
7.82
|
%
|
12/31/33
|
33,422,720
|
39,845,091
|
||||||||||||
EUR
|
7.82
|
%
|
12/31/33
|
52,803,444
|
63,691,396
|
||||||||||||
EUR
|
0.00
|
%
|
12/15/35
|
131,391,109
|
13,911,138
|
(3)
|
|||||||||||
121,428,553
|
|||||||||||||||||
Azerbaijan - 2.61%
|
|||||||||||||||||
Republic of Azerbaijan:
|
|||||||||||||||||
USD
|
4.75
|
%
|
03/18/24
|
2,403,000
|
2,447,455
|
(2)
|
|||||||||||
USD
|
4.75
|
%
|
03/18/24
|
34,492,000
|
35,130,102
|
(1)
|
|||||||||||
37,577,557
|
|||||||||||||||||
Bahrain - 0.30%
|
|||||||||||||||||
Kingdom of Baharain
|
USD
|
7.00
|
%
|
10/12/28
|
4,110,000
|
4,300,087
|
(1)
|
||||||||||
Bolivia - 0.14%
|
|||||||||||||||||
Republic of Bolivia
|
USD
|
4.50
|
%
|
03/20/28
|
2,097,000
|
2,062,924
|
(2)
|
||||||||||
Brazil - 5.80%
|
|||||||||||||||||
Brazil Minas SPE via State of Minas Gerais:
|
|||||||||||||||||
USD
|
5.33
|
%
|
02/15/28
|
1,892,000
|
1,835,240
|
(1)
|
|||||||||||
USD
|
5.33
|
%
|
02/15/28
|
17,625,000
|
17,096,250
|
(2)
|
|||||||||||
Nota Do Tesouro Nacional
|
BRL
|
10.00
|
%
|
01/01/27
|
68,040,000
|
20,228,486
|
|||||||||||
Republic of Brazil:
|
|||||||||||||||||
USD
|
8.75
|
%
|
02/04/25
|
735,000
|
937,125
|
||||||||||||
USD
|
6.00
|
%
|
04/07/26
|
24,296,000
|
26,470,492
|
||||||||||||
USD
|
8.25
|
%
|
01/20/34
|
3,089,000
|
3,876,695
|
||||||||||||
USD
|
5.63
|
%
|
01/07/41
|
705,000
|
690,900
|
||||||||||||
USD
|
5.00
|
%
|
01/27/45
|
12,014,000
|
10,714,987
|
||||||||||||
USD
|
5.63
|
%
|
02/21/47
|
1,807,000
|
1,759,566
|
||||||||||||
83,609,741
|
|||||||||||||||||
Cameroon - 0.36%
|
|||||||||||||||||
Republic of Cameroon:
|
|||||||||||||||||
USD
|
9.50
|
%
|
11/19/25
|
400,000
|
476,500
|
(2)
|
|||||||||||
USD
|
9.50
|
%
|
11/19/25
|
3,953,000
|
4,709,011
|
(1)
|
|||||||||||
5,185,511
|
|||||||||||||||||
Chile - 0.06%
|
|||||||||||||||||
Republic of Chile
|
USD
|
3.13
|
%
|
03/27/25
|
881,000
|
904,346
|
|||||||||||
Colombia - 3.22%
|
|||||||||||||||||
Bogota Distrio Capital
|
COP
|
9.75
|
%
|
07/26/28
|
638,000,000
|
232,217
|
(2)
|
||||||||||
Republic of Colombia:
|
|||||||||||||||||
USD
|
4.38
|
%
|
07/12/21
|
4,578,000
|
4,887,015
|
||||||||||||
USD
|
4.00
|
%
|
02/26/24
|
18,079,000
|
18,738,883
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
23
|
Stone Harbor Emerging Markets Debt Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed (in USD)
|
||||||||||||
Colombia (continued)
|
|||||||||||||||||
Republic of Colombia: (continued)
|
|||||||||||||||||
USD
|
|
4.50
|
%
|
01/28/26
|
|
4,670,000
|
$
|
4,980,555
|
|||||||||
COP
|
7.50
|
%
|
08/26/26
|
39,286,600,000
|
14,649,966
|
||||||||||||
USD
|
5.63
|
%
|
02/26/44
|
2,674,000
|
2,930,035
|
||||||||||||
46,418,671
|
|||||||||||||||||
Costa Rica - 2.50%
|
|||||||||||||||||
Republic of Costa Rica:
|
|||||||||||||||||
USD
|
4.25
|
%
|
01/26/23
|
10,200,000
|
10,098,000
|
(2)
|
|||||||||||
USD
|
4.38
|
%
|
04/30/25
|
1,920,000
|
1,862,400
|
(1)
|
|||||||||||
USD
|
4.38
|
%
|
04/30/25
|
4,181,000
|
4,055,570
|
(2)
|
|||||||||||
USD
|
5.63
|
%
|
04/30/43
|
822,000
|
746,992
|
(1)
|
|||||||||||
USD
|
7.00
|
%
|
04/04/44
|
2,203,000
|
2,293,874
|
(2)
|
|||||||||||
USD
|
7.00
|
%
|
04/04/44
|
11,287,000
|
11,752,589
|
(1)
|
|||||||||||
USD
|
7.16
|
%
|
03/12/45
|
5,001,000
|
5,257,301
|
(2)
|
|||||||||||
36,066,726
|
|||||||||||||||||
Croatia - 1.69%
|
|||||||||||||||||
Croatian Government:
|
|||||||||||||||||
USD
|
6.63
|
%
|
07/14/20
|
5,927,000
|
6,556,744
|
(2)
|
|||||||||||
USD
|
6.38
|
%
|
03/24/21
|
3,655,000
|
4,064,360
|
(1)
|
|||||||||||
USD
|
5.50
|
%
|
04/04/23
|
9,459,000
|
10,333,957
|
(2)
|
|||||||||||
USD
|
6.00
|
%
|
01/26/24
|
3,040,000
|
3,421,520
|
(1)
|
|||||||||||
24,376,581
|
|||||||||||||||||
Dominican Republic - 3.87%
|
|||||||||||||||||
Dominican Republic:
|
|||||||||||||||||
USD
|
9.04
|
%
|
01/23/18
|
1,838,269
|
1,890,375
|
(2)
|
|||||||||||
USD
|
7.50
|
%
|
05/06/21
|
17,382,000
|
19,380,930
|
(2)
|
|||||||||||
USD
|
6.60
|
%
|
01/28/24
|
7,187,000
|
7,932,651
|
(2)
|
|||||||||||
USD
|
5.88
|
%
|
04/18/24
|
457,000
|
487,276
|
(1)
|
|||||||||||
USD
|
5.50
|
%
|
01/27/25
|
6,825,000
|
7,106,531
|
(2)
|
|||||||||||
USD
|
6.88
|
%
|
01/29/26
|
5,633,000
|
6,323,043
|
(2)
|
|||||||||||
USD
|
5.95
|
%
|
01/25/27
|
3,630,000
|
3,820,575
|
(1)
|
|||||||||||
USD
|
8.63
|
%
|
04/20/27
|
1,225,000
|
1,466,938
|
(2)
|
|||||||||||
USD
|
7.45
|
%
|
04/30/44
|
5,986,000
|
6,794,110
|
(1)
|
|||||||||||
USD
|
6.85
|
%
|
01/27/45
|
560,000
|
596,400
|
(2)
|
|||||||||||
55,798,829
|
|||||||||||||||||
Ecuador - 1.20%
|
|||||||||||||||||
Republic of Ecuador:
|
|||||||||||||||||
USD
|
7.95
|
%
|
06/20/24
|
900,000
|
857,250
|
(1)
|
|||||||||||
USD
|
7.95
|
%
|
06/20/24
|
10,246,000
|
9,759,315
|
(2)
|
|||||||||||
USD
|
9.65
|
%
|
12/13/26
|
900,000
|
913,500
|
(2)
|
|||||||||||
USD
|
9.65
|
%
|
12/13/26
|
5,669,000
|
5,754,035
|
(1)
|
|||||||||||
17,284,100
|
|||||||||||||||||
Egypt - 0.73%
|
|||||||||||||||||
Republic of Egypt:
|
|||||||||||||||||
USD
|
6.13
|
%
|
01/31/22
|
2,289,000
|
2,357,384
|
(1)
|
|||||||||||
USD
|
6.88
|
%
|
04/30/40
|
2,071,000
|
1,975,216
|
(1)
|
|||||||||||
USD
|
8.50
|
%
|
01/31/47
|
5,800,000
|
6,220,500
|
(1)
|
|||||||||||
10,553,100
|
|||||||||||||||||
El Salvador - 1.83%
|
|||||||||||||||||
Republic of El Salvador:
|
|||||||||||||||||
USD
|
7.38
|
%
|
12/01/19
|
194,000
|
196,425
|
(1)
|
24
|
www.shiplp.com
|
Stone Harbor Emerging Markets Debt Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed (in USD)
|
||||||||||||
El Salvador (continued)
|
|||||||||||||||||
Republic of El Salvador: (continued)
|
|||||||||||||||||
USD
|
|
7.75
|
%
|
01/24/23
|
|
6,331,000
|
$
|
6,433,879
|
(2)
|
||||||||
USD
|
5.88
|
%
|
01/30/25
|
443,000
|
397,592
|
(1)
|
|||||||||||
USD
|
5.88
|
%
|
01/30/25
|
1,828,000
|
1,640,630
|
(2)
|
|||||||||||
USD
|
6.38
|
%
|
01/18/27
|
837,000
|
753,300
|
(1)
|
|||||||||||
USD
|
6.38
|
%
|
01/18/27
|
1,734,000
|
1,560,600
|
(2)
|
|||||||||||
USD
|
8.25
|
%
|
04/10/32
|
886,000
|
879,355
|
(1)
|
|||||||||||
USD
|
7.65
|
%
|
06/15/35
|
10,703,000
|
9,980,548
|
(2)
|
|||||||||||
USD
|
7.63
|
%
|
02/01/41
|
4,877,000
|
4,486,840
|
(2)
|
|||||||||||
26,329,169
|
|||||||||||||||||
Ethiopia - 0.20%
|
|||||||||||||||||
Federal Democratic Republic of Ethiopia
|
USD
|
6.63
|
%
|
12/11/24
|
2,841,000
|
2,865,859
|
(1)
|
||||||||||
Gabon - 1.67%
|
|||||||||||||||||
Republic of Gabon:
|
|||||||||||||||||
USD
|
8.20
|
%
|
12/12/17
|
44,000
|
45,237
|
(1)
|
|||||||||||
USD
|
6.38
|
%
|
12/12/24
|
2,507,014
|
2,497,613
|
(2)
|
|||||||||||
USD
|
6.38
|
%
|
12/12/24
|
13,179,935
|
13,130,510
|
(1)
|
|||||||||||
USD
|
6.95
|
%
|
06/16/25
|
8,221,000
|
8,344,315
|
(1)
|
|||||||||||
24,017,675
|
|||||||||||||||||
Georgia - 0.28%
|
|||||||||||||||||
Republic of Georgia
|
USD
|
6.88
|
%
|
04/12/21
|
3,596,000
|
4,009,540
|
(1)
|
||||||||||
Ghana - 0.55%
|
|||||||||||||||||
Republic of Ghana
|
USD
|
10.75
|
%
|
10/14/30
|
6,368,000
|
7,944,080
|
(2)
|
||||||||||
Honduras - 0.22%
|
|||||||||||||||||
Honduras Government
|
USD
|
6.25
|
%
|
01/19/27
|
3,104,000
|
3,235,920
|
(1)
|
||||||||||
Hungary - 0.74%
|
|||||||||||||||||
Republic of Hungary
|
USD
|
6.38
|
%
|
03/29/21
|
9,483,000
|
10,733,571
|
|||||||||||
Indonesia - 2.57%
|
|||||||||||||||||
Republic of Indonesia:
|
|||||||||||||||||
USD
|
5.38
|
%
|
10/17/23
|
6,242,000
|
6,948,126
|
(2)
|
|||||||||||
USD
|
5.88
|
%
|
01/15/24
|
4,001,000
|
4,558,640
|
(2)
|
|||||||||||
USD
|
4.13
|
%
|
01/15/25
|
6,424,000
|
6,640,810
|
(2)
|
|||||||||||
USD
|
4.75
|
%
|
01/08/26
|
1,007,000
|
1,085,672
|
(2)
|
|||||||||||
USD
|
8.50
|
%
|
10/12/35
|
5,887,000
|
8,521,433
|
(2)
|
|||||||||||
USD
|
6.63
|
%
|
02/17/37
|
3,628,000
|
4,516,860
|
(2)
|
|||||||||||
USD
|
5.25
|
%
|
01/17/42
|
1,410,000
|
1,541,306
|
(2)
|
|||||||||||
USD
|
6.75
|
%
|
01/15/44
|
969,000
|
1,265,756
|
(2)
|
|||||||||||
USD
|
5.13
|
%
|
01/15/45
|
1,809,000
|
1,965,026
|
(2)
|
|||||||||||
37,043,629
|
|||||||||||||||||
Iraq - 0.80%
|
|||||||||||||||||
Republic of Iraq
|
USD
|
5.80
|
%
|
01/15/28
|
12,536,000
|
11,501,780
|
(2)
|
||||||||||
Ivory Coast - 2.39%
|
|||||||||||||||||
Ivory Coast Government:
|
|||||||||||||||||
USD
|
5.38
|
%
|
07/23/24
|
1,314,000
|
1,284,435
|
(2)
|
|||||||||||
USD
|
5.38
|
%
|
07/23/24
|
6,086,000
|
5,949,065
|
(1)
|
|||||||||||
USD
|
6.38
|
%
|
03/03/28
|
10,222,000
|
10,324,220
|
(1)
|
|||||||||||
USD
|
5.75
|
%
|
12/31/32
|
2,731,260
|
2,656,151
|
(1)(4)
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
25
|
Stone Harbor Emerging Markets Debt Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed (in USD)
|
||||||||||||
Ivory Coast (continued)
|
|||||||||||||||||
Ivory Coast Government: (continued)
|
|||||||||||||||||
USD
|
|
5.75
|
%
|
12/31/32
|
|
14,665,700
|
$
|
14,262,393
|
(2)(4)
|
||||||||
34,476,264
|
|||||||||||||||||
Jamaica - 0.08%
|
|||||||||||||||||
Jamaican Government
|
USD
|
8.00
|
%
|
03/15/39
|
1,000,000
|
1,191,500
|
|||||||||||
Jordan - 0.10%
|
|||||||||||||||||
Kingdom of Jordan
|
USD
|
5.75
|
%
|
01/31/27
|
1,443,000
|
1,443,902
|
(1)
|
||||||||||
Kazakhstan - 0.46%
|
|||||||||||||||||
KazAgro National Management Holding JSC
|
USD
|
4.63
|
%
|
05/24/23
|
4,921,000
|
4,951,756
|
(1)
|
||||||||||
Republic of Kazakhstan
|
USD
|
5.13
|
%
|
07/21/25
|
1,487,000
|
1,631,239
|
(1)
|
||||||||||
6,582,995
|
|||||||||||||||||
Kenya - 0.59%
|
|||||||||||||||||
Republic of Kenya:
|
|||||||||||||||||
USD
|
5.88
|
%
|
06/24/19
|
733,000
|
761,404
|
(1)
|
|||||||||||
USD
|
6.88
|
%
|
06/24/24
|
418,000
|
430,540
|
(2)
|
|||||||||||
USD
|
6.88
|
%
|
06/24/24
|
7,123,000
|
7,336,690
|
(1)
|
|||||||||||
8,528,634
|
|||||||||||||||||
Lebanon - 0.31%
|
|||||||||||||||||
Lebanese Republic:
|
|||||||||||||||||
USD
|
5.15
|
%
|
11/12/18
|
2,680,000
|
2,716,850
|
||||||||||||
USD
|
6.75
|
%
|
11/29/27
|
1,679,000
|
1,698,309
|
||||||||||||
4,415,159
|
|||||||||||||||||
Malaysia - 1.84%
|
|||||||||||||||||
1MDB Global Investments Ltd.
|
USD
|
4.40
|
%
|
03/09/23
|
28,500,000
|
26,505,000
|
(2)
|
||||||||||
Mexico - 0.72%
|
|||||||||||||||||
United Mexican States:
|
|||||||||||||||||
USD
|
4.13
|
%
|
01/21/26
|
4,692,000
|
4,880,853
|
||||||||||||
USD
|
4.15
|
%
|
03/28/27
|
1,460,000
|
1,506,720
|
||||||||||||
USD
|
4.75
|
%
|
03/08/44
|
1,370,000
|
1,361,437
|
||||||||||||
USD
|
4.60
|
%
|
01/23/46
|
1,230,000
|
1,197,713
|
||||||||||||
USD
|
4.35
|
%
|
01/15/47
|
1,582,000
|
1,480,159
|
||||||||||||
10,426,882
|
|||||||||||||||||
Montenegro - 0.25%
|
|||||||||||||||||
Republic of Montenegro
|
EUR
|
5.75
|
%
|
03/10/21
|
2,991,000
|
3,603,706
|
(1)
|
||||||||||
Namibia - 0.31%
|
|||||||||||||||||
Republic of Namibia
|
USD
|
5.25
|
%
|
10/29/25
|
4,343,000
|
4,451,575
|
(1)
|
||||||||||
Nigeria - 0.10%
|
|||||||||||||||||
Republic of Nigeria
|
USD
|
7.88
|
%
|
02/16/32
|
1,369,000
|
1,516,167
|
(1)
|
||||||||||
Oman - 1.08%
|
|||||||||||||||||
Oman Government:
|
|||||||||||||||||
USD
|
4.75
|
%
|
06/15/26
|
4,629,000
|
4,652,145
|
(1)
|
|||||||||||
USD
|
6.50
|
%
|
03/08/47
|
10,088,000
|
10,932,870
|
(1)
|
|||||||||||
15,585,015
|
26
|
www.shiplp.com
|
Stone Harbor Emerging Markets Debt Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed (in USD)
|
||||||||||||
Panama - 1.07%
|
|||||||||||||||||
Republic of Panama:
|
|||||||||||||||||
USD
|
4.00
|
%
|
09/22/24
|
|
1,658,000
|
$
|
1,745,045
|
||||||||||
USD
|
9.38
|
%
|
04/01/29
|
7,525,000
|
11,184,031
|
||||||||||||
USD
|
8.13
|
%
|
04/28/34
|
1,818,000
|
2,431,575
|
||||||||||||
15,360,651
|
|||||||||||||||||
Paraguay - 0.39%
|
|||||||||||||||||
Republic of Paraguay
|
USD
|
6.10
|
%
|
08/11/44
|
5,109,000
|
5,594,355
|
(1)
|
||||||||||
Peru - 0.47%
|
|||||||||||||||||
Republic of Peru
|
USD
|
6.55
|
%
|
03/14/37
|
5,077,000
|
6,740,987
|
|||||||||||
Russia - 2.92%
|
|||||||||||||||||
Russian Federation:
|
|||||||||||||||||
USD
|
5.00
|
%
|
04/29/20
|
5,566,000
|
5,948,662
|
(1)
|
|||||||||||
RUB
|
7.40
|
%
|
12/07/22
|
800,700,000
|
13,904,963
|
||||||||||||
USD
|
4.88
|
%
|
09/16/23
|
6,800,000
|
7,386,500
|
(2)
|
|||||||||||
USD
|
4.75
|
%
|
05/27/26
|
13,400,000
|
14,126,950
|
(2)
|
|||||||||||
USD
|
12.75
|
%
|
06/24/28
|
379,000
|
672,725
|
(2)
|
|||||||||||
42,039,800
|
|||||||||||||||||
Senegal - 0.37%
|
|||||||||||||||||
Republic of Senegal
|
USD
|
6.25
|
%
|
05/23/33
|
5,320,000
|
5,383,893
|
(1)
|
||||||||||
Serbia - 0.28%
|
|||||||||||||||||
Republic of Serbia
|
USD
|
4.88
|
%
|
02/25/20
|
3,827,000
|
3,997,302
|
(2)
|
||||||||||
South Africa - 2.55%
|
|||||||||||||||||
Republic of South Africa:
|
|||||||||||||||||
USD
|
4.67
|
%
|
01/17/24
|
2,945,000
|
3,029,669
|
||||||||||||
USD
|
5.88
|
%
|
09/16/25
|
20,773,000
|
22,772,401
|
||||||||||||
USD
|
4.30
|
%
|
10/12/28
|
11,381,000
|
10,911,534
|
||||||||||||
36,713,604
|
|||||||||||||||||
Sri Lanka - 1.85%
|
|||||||||||||||||
Republic of Sri Lanka:
|
|||||||||||||||||
USD
|
6.25
|
%
|
10/04/20
|
3,096,000
|
3,301,110
|
(2)
|
|||||||||||
USD
|
6.25
|
%
|
07/27/21
|
5,058,000
|
5,405,738
|
(2)
|
|||||||||||
USD
|
5.88
|
%
|
07/25/22
|
12,967,000
|
13,518,097
|
(1)
|
|||||||||||
USD
|
6.85
|
%
|
11/03/25
|
4,232,000
|
4,517,660
|
(1)
|
|||||||||||
26,742,605
|
|||||||||||||||||
Suriname - 0.22%
|
|||||||||||||||||
Republic of Suriname
|
USD
|
9.25
|
%
|
10/26/26
|
3,078,000
|
3,162,645
|
(1)
|
||||||||||
Trinidad & Tobago - 0.33%
|
|||||||||||||||||
Republic of Trinidad & Tobago
|
USD
|
4.50
|
%
|
08/04/26
|
4,809,000
|
4,720,034
|
(1)
|
||||||||||
Turkey - 3.39%
|
|||||||||||||||||
Republic of Turkey:
|
|||||||||||||||||
USD
|
7.00
|
%
|
06/05/20
|
3,783,000
|
4,161,300
|
||||||||||||
USD
|
5.63
|
%
|
03/30/21
|
3,776,000
|
4,019,080
|
||||||||||||
USD
|
6.25
|
%
|
09/26/22
|
9,659,000
|
10,576,605
|
||||||||||||
USD
|
3.25
|
%
|
03/23/23
|
4,699,000
|
4,449,366
|
||||||||||||
USD
|
5.75
|
%
|
03/22/24
|
3,319,000
|
3,547,181
|
||||||||||||
USD
|
6.00
|
%
|
03/25/27
|
12,160,000
|
13,072,000
|
||||||||||||
USD
|
6.88
|
%
|
03/17/36
|
6,021,000
|
6,894,045
|
||||||||||||
USD
|
6.75
|
%
|
05/30/40
|
1,232,000
|
1,393,700
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
27
|
Stone Harbor Emerging Markets Debt Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed (in USD)
|
||||||||||||
Turkey (continued)
|
|||||||||||||||||
Republic of Turkey: (continued)
|
|||||||||||||||||
USD
|
|
6.00
|
%
|
01/14/41
|
686,000
|
$
|
712,582
|
||||||||||
48,825,859
|
|||||||||||||||||
Ukraine - 6.85%
|
|||||||||||||||||
Ukraine Government:
|
|||||||||||||||||
USD
|
7.75
|
%
|
09/01/19
|
221,000
|
227,299
|
(1)
|
|||||||||||
USD
|
7.75
|
%
|
09/01/20
|
2,540,000
|
2,588,260
|
(2)
|
|||||||||||
USD
|
7.75
|
%
|
09/01/20
|
19,370,000
|
19,738,030
|
(1)
|
|||||||||||
USD
|
7.75
|
%
|
09/01/21
|
879,000
|
892,625
|
(2)
|
|||||||||||
USD
|
7.75
|
%
|
09/01/21
|
13,243,000
|
13,448,266
|
(1)
|
|||||||||||
USD
|
7.75
|
%
|
09/01/22
|
6,700,000
|
6,740,200
|
(1)
|
|||||||||||
USD
|
7.75
|
%
|
09/01/22
|
22,035,000
|
22,167,210
|
(2)
|
|||||||||||
USD
|
7.75
|
%
|
09/01/23
|
10,377,000
|
10,356,246
|
(1)
|
|||||||||||
USD
|
7.75
|
%
|
09/01/24
|
2,269,000
|
2,244,041
|
(2)
|
|||||||||||
USD
|
7.75
|
%
|
09/01/24
|
7,412,000
|
7,330,468
|
(1)
|
|||||||||||
USD
|
7.75
|
%
|
09/01/25
|
450,000
|
443,250
|
(2)
|
|||||||||||
USD
|
7.75
|
%
|
09/01/25
|
8,011,000
|
7,890,835
|
(1)
|
|||||||||||
USD
|
7.75
|
%
|
09/01/27
|
200,000
|
195,300
|
(2)
|
|||||||||||
USD
|
7.75
|
%
|
09/01/27
|
4,613,000
|
4,504,594
|
(1)
|
|||||||||||
98,766,624
|
|||||||||||||||||
Uruguay - 1.91%
|
|||||||||||||||||
Republic of Uruguay:
|
|||||||||||||||||
USD
|
4.50
|
%
|
08/14/24
|
5,356,164
|
5,777,962
|
||||||||||||
USD
|
4.38
|
%
|
10/27/27
|
16,653,799
|
17,611,393
|
||||||||||||
USD
|
5.10
|
%
|
06/18/50
|
4,132,830
|
4,158,660
|
||||||||||||
27,548,015
|
|||||||||||||||||
Venezuela - 0.90%
|
|||||||||||||||||
Republic of Venezuela:
|
|||||||||||||||||
USD
|
13.63
|
%
|
08/15/18
|
5,908,000
|
4,674,705
|
(2)
|
|||||||||||
USD
|
7.75
|
%
|
10/13/19
|
15,051,900
|
8,372,619
|
||||||||||||
13,047,324
|
|||||||||||||||||
Zambia - 1.72%
|
|||||||||||||||||
Republic of Zambia:
|
|||||||||||||||||
USD
|
5.38
|
%
|
09/20/22
|
669,000
|
639,731
|
(1)
|
|||||||||||
USD
|
5.38
|
%
|
09/20/22
|
13,094,000
|
12,521,138
|
(2)
|
|||||||||||
USD
|
8.50
|
%
|
04/14/24
|
8,264,000
|
8,832,150
|
(1)
|
|||||||||||
USD
|
8.97
|
%
|
07/30/27
|
2,663,000
|
2,877,704
|
(1)
|
|||||||||||
24,870,723
|
|||||||||||||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS | |||||||||||||||||
(Cost $1,033,864,216)
|
1,078,650,779
|
||||||||||||||||
BANK LOANS - 0.94%
|
|||||||||||||||||
Brazil - 0.94%
|
|||||||||||||||||
Banco de Investimentos Credit Suisse
|
|||||||||||||||||
Brasil SA - Brazil Loan Tranche A
|
USD
|
6.25
|
%
|
01/10/18
|
6,200,000
|
6,241,235
|
(5)
|
||||||||||
Banco de Investimentos Credit Suisse
|
|||||||||||||||||
Brasil SA - Brazil Loan Tranche B
|
USD
|
6.25
|
%
|
01/10/18
|
7,300,000
|
7,348,551
|
(5)
|
||||||||||
13,589,786
|
28
|
www.shiplp.com
|
Stone Harbor Emerging Markets Debt Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed (in USD)
|
||||||||||||
Indonesia - 0.00%(6)
|
|||||||||||||||||
PT Bakrie & Brothers TBK
|
USD
|
N/A
|
11/25/14
|
|
624,912
|
$
|
62
|
(5)(7)
|
|||||||||
TOTAL BANK LOANS
|
13,589,848
|
||||||||||||||||
(Cost $13,749,965) | |||||||||||||||||
CORPORATE BONDS - 19.48%
|
|||||||||||||||||
Argentina - 0.32%
|
|||||||||||||||||
Cablevision SA
|
USD
|
6.50
|
%
|
06/15/21
|
545,000
|
579,063
|
(1)
|
||||||||||
Pampa Energia SA
|
USD
|
7.50
|
%
|
01/24/27
|
1,274,000
|
1,348,529
|
(1)
|
||||||||||
Petrobras Argentina SA
|
USD
|
7.38
|
%
|
07/21/23
|
1,209,000
|
1,281,540
|
(1)
|
||||||||||
YPF SA
|
USD
|
8.75
|
%
|
04/04/24
|
1,169,000
|
1,349,318
|
(1)
|
||||||||||
4,558,450
|
|||||||||||||||||
Azerbaijan - 0.96%
|
|||||||||||||||||
Southern Gas Corridor CJSC:
|
|||||||||||||||||
USD
|
6.88
|
%
|
03/24/26
|
1,234,000
|
1,366,963
|
(1)
|
|||||||||||
USD
|
6.88
|
%
|
03/24/26
|
2,817,000
|
3,120,532
|
(2)
|
|||||||||||
State Oil Co. of the Azerbaijan Republic
|
USD
|
4.75
|
%
|
03/13/23
|
9,480,000
|
9,385,200
|
|||||||||||
13,872,695
|
|||||||||||||||||
Brazil - 2.06%
|
|||||||||||||||||
Cosan Luxembourg SA
|
USD
|
7.00
|
%
|
01/20/27
|
2,178,000
|
2,265,120
|
(1)
|
||||||||||
ESAL GmbH
|
USD
|
6.25
|
%
|
02/05/23
|
1,542,000
|
1,413,821
|
(1)
|
||||||||||
MARB BondCo PLC
|
USD
|
7.00
|
%
|
03/15/24
|
750,000
|
741,563
|
(1)
|
||||||||||
Marfrig Holdings Europe BV
|
USD
|
8.00
|
%
|
06/08/23
|
3,220,000
|
3,347,190
|
(1)
|
||||||||||
Minerva Luxembourg SA
|
USD
|
6.50
|
%
|
09/20/26
|
2,370,000
|
2,358,150
|
(1)
|
||||||||||
Petrobras Global Finance BV:
|
|||||||||||||||||
USD
|
8.38
|
%
|
05/23/21
|
2,787,000
|
3,130,358
|
||||||||||||
USD
|
8.75
|
%
|
05/23/26
|
13,279,000
|
15,486,634
|
||||||||||||
Rumo Luxembourg Sarl
|
USD
|
7.38
|
%
|
02/09/24
|
872,000
|
901,430
|
(1)
|
||||||||||
29,644,266
|
|||||||||||||||||
Chile - 0.53%
|
|||||||||||||||||
Banco del Estado de Chile
|
USD
|
3.88
|
%
|
02/08/22
|
2,888,000
|
3,032,400
|
(1)
|
||||||||||
Codelco, Inc.:
|
|||||||||||||||||
USD
|
3.00
|
%
|
07/17/22
|
3,008,000
|
3,059,437
|
(1)
|
|||||||||||
USD
|
6.15
|
%
|
10/24/36
|
1,277,000
|
1,537,910
|
(2)
|
|||||||||||
7,629,747
|
|||||||||||||||||
China - 1.47%
|
|||||||||||||||||
Sinochem Overseas Capital Co. Ltd.
|
USD
|
6.30
|
%
|
11/12/40
|
3,836,000
|
4,905,285
|
(2)
|
||||||||||
Sinopec Group Overseas Development Ltd.:
|
|||||||||||||||||
USD
|
3.90
|
%
|
05/17/22
|
2,595,000
|
2,722,514
|
(1)
|
|||||||||||
USD
|
4.38
|
%
|
10/17/23
|
2,765,000
|
2,959,932
|
(2)
|
|||||||||||
USD
|
4.38
|
%
|
04/10/24
|
2,481,000
|
2,664,287
|
(1)
|
|||||||||||
USD
|
3.50
|
%
|
05/03/26
|
3,130,000
|
3,136,880
|
(1)
|
|||||||||||
Three Gorges Finance I Cayman Islands Ltd.
|
USD
|
3.15
|
%
|
06/02/26
|
4,960,000
|
4,857,700
|
(1)
|
||||||||||
21,246,598
|
|||||||||||||||||
Costa Rica - 0.24%
|
|||||||||||||||||
Banco Nacional de Costa Rica
|
USD
|
5.88
|
%
|
04/25/21
|
3,237,000
|
3,403,705
|
(1)
|
||||||||||
Ecuador - 0.40%
|
|||||||||||||||||
EP PetroEcuador via Noble Sovereign Funding I Ltd.
|
USD
|
6.78
|
%
|
09/24/19
|
3,507,368
|
3,542,442
|
(3)
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
29
|
Stone Harbor Emerging Markets Debt Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed (in USD)
|
||||||||||||
Ecuador (continued)
|
|||||||||||||||||
Petroamazonas EP
|
USD
|
|
4.63
|
%
|
02/16/20
|
|
2,410,000
|
$
|
2,246,638
|
(1)
|
|||||||
5,789,080
|
|||||||||||||||||
Ghana - 0.44%
|
|||||||||||||||||
Tullow Oil PLC:
|
|||||||||||||||||
USD
|
6.00
|
%
|
11/01/20
|
1,075,000
|
1,045,438
|
(2)
|
|||||||||||
USD
|
6.25
|
%
|
04/15/22
|
5,620,000
|
5,324,950
|
(2)
|
|||||||||||
6,370,388
|
|||||||||||||||||
India - 0.23%
|
|||||||||||||||||
Vedanta Resources PLC:
|
|||||||||||||||||
USD
|
8.25
|
%
|
06/07/21
|
186,000
|
199,020
|
(1)
|
|||||||||||
USD
|
6.38
|
%
|
07/30/22
|
3,121,000
|
3,121,000
|
(1)
|
|||||||||||
3,320,020
|
|||||||||||||||||
Indonesia - 1.93%
|
|||||||||||||||||
Indika Energy Capital II Pte Ltd.
|
USD
|
6.88
|
%
|
04/10/22
|
440,000
|
430,100
|
(1)
|
||||||||||
Indo Energy Finance II BV
|
USD
|
6.38
|
%
|
01/24/23
|
1,627,000
|
1,509,043
|
(2)
|
||||||||||
Pertamina Persero PT:
|
|||||||||||||||||
USD
|
5.25
|
%
|
05/23/21
|
2,555,000
|
2,753,012
|
(2)
|
|||||||||||
USD
|
4.88
|
%
|
05/03/22
|
5,728,000
|
6,114,640
|
(1)
|
|||||||||||
USD
|
6.00
|
%
|
05/03/42
|
814,000
|
896,817
|
(1)
|
|||||||||||
USD
|
6.00
|
%
|
05/03/42
|
1,964,000
|
2,163,817
|
(2)
|
|||||||||||
USD
|
5.63
|
%
|
05/20/43
|
4,525,000
|
4,809,238
|
(2)
|
|||||||||||
USD
|
6.45
|
%
|
05/30/44
|
7,817,000
|
9,117,983
|
(2)
|
|||||||||||
27,794,650
|
|||||||||||||||||
Jamaica - 0.20%
|
|||||||||||||||||
Digicel Group Ltd.
|
USD
|
7.13
|
%
|
04/01/22
|
3,339,000
|
2,938,320
|
(1)
|
||||||||||
Kazakhstan - 1.02%
|
|||||||||||||||||
KazMunayGas National Co. JSC:
|
|||||||||||||||||
USD
|
7.00
|
%
|
05/05/20
|
1,110,000
|
1,225,856
|
(1)
|
|||||||||||
USD
|
7.00
|
%
|
05/05/20
|
1,434,000
|
1,583,674
|
(2)
|
|||||||||||
USD
|
6.38
|
%
|
04/09/21
|
3,416,000
|
3,772,084
|
(2)
|
|||||||||||
USD
|
6.38
|
%
|
04/09/21
|
7,298,000
|
8,058,743
|
(1)
|
|||||||||||
14,640,357
|
|||||||||||||||||
Luxembourg - 0.38%
|
|||||||||||||||||
Sberbank of Russia PJSC
|
USD
|
5.50
|
%
|
02/26/24
|
5,278,000
|
5,436,340
|
(1)(3)
|
||||||||||
Malaysia - 0.46%
|
|||||||||||||||||
Petronas Capital Ltd.
|
USD
|
3.50
|
%
|
03/18/25
|
6,475,000
|
6,686,354
|
(1)
|
||||||||||
Mexico - 5.22%
|
|||||||||||||||||
Banco Nacional de Comercio Exterior SNC:
|
|||||||||||||||||
USD
|
3.80
|
%
|
08/11/26
|
5,537,000
|
5,523,158
|
(2)(3)
|
|||||||||||
USD
|
3.80
|
%
|
08/11/26
|
5,681,000
|
5,666,797
|
(1)(3)
|
|||||||||||
Cemex SAB de CV:
|
|||||||||||||||||
USD
|
6.13
|
%
|
05/05/25
|
728,000
|
785,330
|
(1)
|
|||||||||||
USD
|
7.75
|
%
|
04/16/26
|
508,000
|
578,104
|
(1)
|
|||||||||||
Comision Federal de Electricidad:
|
|||||||||||||||||
USD
|
4.88
|
%
|
01/15/24
|
1,572,000
|
1,658,460
|
(1)
|
|||||||||||
USD
|
4.75
|
%
|
02/23/27
|
2,073,000
|
2,119,643
|
(1)
|
|||||||||||
Petroleos Mexicanos:
|
|||||||||||||||||
USD
|
6.00
|
%
|
03/05/20
|
1,351,000
|
1,461,782
|
||||||||||||
USD
|
5.50
|
%
|
01/21/21
|
574,000
|
611,597
|
||||||||||||
USD
|
6.38
|
%
|
02/04/21
|
1,991,000
|
2,183,928
|
30
|
www.shiplp.com
|
Stone Harbor Emerging Markets Debt Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed (in USD)
|
||||||||||||
Mexico (continued)
|
|||||||||||||||||
Petroleos Mexicanos: (continued)
|
|||||||||||||||||
USD
|
|
4.88
|
%
|
01/24/22
|
|
1,617,000
|
$
|
1,685,399
|
|||||||||
USD
|
4.77
|
%
|
03/11/22
|
3,067,000
|
3,330,762
|
(1)(3)
|
|||||||||||
USD
|
4.88
|
%
|
01/18/24
|
2,457,000
|
2,518,425
|
||||||||||||
EUR
|
5.50
|
%
|
02/24/25
|
2,005,000
|
2,561,865
|
(2)
|
|||||||||||
USD
|
4.50
|
%
|
01/23/26
|
1,761,000
|
1,732,824
|
||||||||||||
USD
|
6.88
|
%
|
08/04/26
|
7,039,000
|
7,910,780
|
||||||||||||
USD
|
6.50
|
%
|
03/13/27
|
2,835,000
|
3,097,238
|
(1)
|
|||||||||||
USD
|
9.50
|
%
|
09/15/27
|
1,085,000
|
1,329,668
|
||||||||||||
USD
|
6.50
|
%
|
06/02/41
|
8,520,000
|
8,624,796
|
||||||||||||
USD
|
5.50
|
%
|
06/27/44
|
2,986,000
|
2,690,087
|
||||||||||||
USD
|
6.38
|
%
|
01/23/45
|
8,534,000
|
8,509,251
|
||||||||||||
USD
|
5.63
|
%
|
01/23/46
|
1,088,000
|
985,456
|
||||||||||||
USD
|
6.75
|
%
|
09/21/47
|
9,123,000
|
9,387,111
|
||||||||||||
Sixsigma Networks Mexico SA de CV
|
USD
|
8.25
|
%
|
11/07/21
|
364,000
|
364,655
|
(1)
|
||||||||||
75,317,116
|
|||||||||||||||||
Morocco - 0.36%
|
|||||||||||||||||
OCP SA:
|
|||||||||||||||||
USD
|
5.63
|
%
|
04/25/24
|
3,977,000
|
4,315,045
|
(1)
|
|||||||||||
USD
|
4.50
|
%
|
10/22/25
|
913,000
|
922,130
|
(1)
|
|||||||||||
5,237,175
|
|||||||||||||||||
Peru - 0.20%
|
|||||||||||||||||
Peru Payroll Deduction Finance Ltd.
|
USD
|
N/A
|
11/01/29
|
3,763,182
|
2,897,650
|
(8)
|
|||||||||||
South Africa - 0.23%
|
|||||||||||||||||
Eskom Holdings SOC Ltd.:
|
|||||||||||||||||
USD
|
5.75
|
%
|
01/26/21
|
1,375,000
|
1,401,813
|
(1)
|
|||||||||||
USD
|
7.13
|
%
|
02/11/25
|
400,000
|
421,300
|
(2)
|
|||||||||||
USD
|
7.13
|
%
|
02/11/25
|
1,368,000
|
1,440,846
|
(1)
|
|||||||||||
3,263,959
|
|||||||||||||||||
Venezuela - 2.83%
|
|||||||||||||||||
Petroleos de Venezuela:
|
|||||||||||||||||
USD
|
6.00
|
%
|
05/16/24
|
89,661,931
|
35,407,496
|
(2)
|
|||||||||||
USD
|
6.00
|
%
|
11/15/26
|
14,123,143
|
5,458,595
|
(2)
|
|||||||||||
40,866,091
|
|||||||||||||||||
TOTAL CORPORATE BONDS
|
280,912,961
|
||||||||||||||||
(Cost $268,514,030) | |||||||||||||||||
CREDIT LINKED NOTES - 0.50%
|
|||||||||||||||||
Iraq - 0.50%
|
|||||||||||||||||
Republic of Iraq (Counterparty: Bank of America - Merrill Lynch):
|
|||||||||||||||||
JPY
|
2.59
|
%
|
01/01/28
|
712,496,731
|
4,952,415
|
(3)(5)
|
|||||||||||
JPY
|
2.86
|
%
|
01/01/28
|
325,488,161
|
2,262,400
|
(3)(5)
|
|||||||||||
7,214,815
|
|||||||||||||||||
TOTAL CREDIT LINKED NOTES
|
7,214,815
|
||||||||||||||||
(Cost $9,603,586) |
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
31
|
Stone Harbor Emerging Markets Debt Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed (in USD)
|
||||||||||||||
SHORT TERM INVESTMENTS - 2.91%
|
|||||||||||||||||||
Money Market Mutual Funds - 2.91%
|
|||||||||||||||||||
State Street Institutional Liquid Reserves Fund (7-Day Yield)
|
USD
|
0.94
|
%
|
N/A
|
|
41,963,013
|
$
|
41,967,210
|
|||||||||||
TOTAL SHORT TERM INVESTMENTS
|
41,967,210
|
||||||||||||||||||
(Cost $41,967,204) | |||||||||||||||||||
Total Investments - 98.65%
|
1,422,335,613
|
||||||||||||||||||
(Cost $1,367,699,001) | |||||||||||||||||||
Other Assets In Excess of Liabilities - 1.35%
|
19,435,911
|
(9)
|
|||||||||||||||||
Net Assets - 100.00%
|
$
|
1,441,771,524
|
*
|
The principal amount/shares of each security is stated in the currency in which the security is denominated.
|
BRL
|
-
|
Brazilian Real
|
COP
|
-
|
Colombian Peso
|
EUR
|
-
|
Euro Currency
|
JPY
|
-
|
Japanese Yen
|
MXN
|
-
|
Mexican Peso
|
RUB
|
-
|
Russian Ruble
|
USD
|
-
|
United States Dollar
|
(1)
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $423,746,307, which represents approximately 29.39% of net assets as of May 31, 2017.
|
(2)
|
Securities were originally issued 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. As of May 31, 2017, the aggregate market value of those securities was $436,484,541, which represents approximately 30.27% of net assets.
|
(3)
|
Floating or variable rate security. Interest rate disclosed is that which is in effect as of May 31, 2017.
|
(4)
|
Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect as of May 31, 2017.
|
(5)
|
The level 3 assets were a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs.
|
(6)
|
Amount represents less than 0.005% of net assets.
|
(7)
|
Security is in default and therefore is non-income producing.
|
(8)
|
Issued with a zero coupon. Income is recognized through the accretion of discount.
|
(9)
|
Includes cash which is being held as collateral for forward foreign currency contracts.
|
Counterparty
|
Foreign Currency
|
Contracted Amount**
|
Purchase/Sale Contract
|
Settlement Date
|
Current Value
|
Unrealized Appreciation/ (Depreciation)
|
|||||||||||
Citigroup Global Markets
|
COP
|
41,577,514,000
|
Sale
|
06/02/17
|
$
|
14,252,304
|
$
|
113,253
|
|||||||||
Citigroup Global Markets
|
COP
|
41,577,514,000
|
Sale
|
06/16/17
|
14,220,044
|
24,685
|
|||||||||||
Citigroup Global Markets
|
EUR
|
112,125,203
|
Purchase
|
06/09/17
|
126,019,155
|
180,838
|
|||||||||||
Citigroup Global Markets
|
JPY
|
776,608,000
|
Purchase
|
06/09/17
|
7,015,217
|
7,595
|
|||||||||||
Goldman Sachs & Co.
|
MXN
|
283,471,440
|
Sale
|
06/02/17
|
15,197,678
|
135,463
|
|||||||||||
Goldman Sachs & Co.
|
MXN
|
283,471,440
|
Purchase
|
06/02/17
|
15,197,678
|
317,678
|
32
|
www.shiplp.com
|
Stone Harbor Emerging Markets Debt Fund
|
Statements of Investments
|
Counterparty
|
Foreign Currency
|
Contracted Amount**
|
Purchase/Sale Contract
|
Settlement Date
|
Current Value
|
Unrealized Appreciation/ (Depreciation)
|
|||||||||||
J.P. Morgan Chase & Co.
|
EUR
|
16,199,659
|
Purchase
|
06/09/17
|
$
|
18,207,032
|
$
|
315,795
|
|||||||||
$
|
1,095,307
|
||||||||||||||||
Citigroup Global Markets
|
COP
|
41,577,514,000
|
Purchase
|
06/02/17
|
$
|
14,252,304
|
$
|
(30,593
|
)
|
||||||||
Citigroup Global Markets
|
EUR
|
111,758,000
|
Sale
|
07/10/17
|
125,812,799
|
(170,890
|
)
|
||||||||||
Citigroup Global Markets
|
JPY
|
797,887,700
|
Sale
|
07/10/17
|
7,217,501
|
(7,152
|
)
|
||||||||||
Goldman Sachs & Co.
|
MXN
|
283,471,440
|
Purchase
|
07/14/17
|
15,090,453
|
(133,005
|
)
|
||||||||||
J.P. Morgan Chase & Co.
|
EUR
|
128,324,861
|
Sale
|
06/09/17
|
144,226,188
|
(3,554,466
|
)
|
||||||||||
J.P. Morgan Chase & Co.
|
JPY
|
776,608,000
|
Sale
|
06/09/17
|
7,015,217
|
(35,456
|
)
|
||||||||||
$ | (3,931,562 | ) |
**
|
The contracted amount is stated in the currency in which the contract is denominated.
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
33
|
Stone Harbor High Yield Bond Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value (Expressed in USD)
|
||||||||||||
CORPORATE BONDS ‐ 88.17%
|
|||||||||||||||||
Automotive ‐ 1.95%
|
|||||||||||||||||
American Axle & Manufacturing, Inc.
|
USD
|
6.25
|
%
|
04/01/25
|
|
485,000
|
$
|
481,362
|
(1)
|
||||||||
Dana Financing Luxembourg Sarl
|
USD
|
6.50
|
%
|
06/01/26
|
1,165,000
|
1,252,375
|
(1)
|
||||||||||
ZF North America Capital, Inc.
|
USD
|
4.75
|
%
|
04/29/25
|
1,325,000
|
1,397,478
|
(1)
|
||||||||||
3,131,215
|
|||||||||||||||||
Building Products ‐ 3.77%
|
|||||||||||||||||
Griffon Corp.
|
USD
|
5.25
|
%
|
03/01/22
|
1,280,000
|
1,316,800
|
|||||||||||
NCI Building Systems, Inc.
|
USD
|
8.25
|
%
|
01/15/23
|
745,000
|
811,119
|
(1)
|
||||||||||
Norbord, Inc.
|
USD
|
6.25
|
%
|
04/15/23
|
1,005,000
|
1,075,350
|
(1)
|
||||||||||
RSI Home Products, Inc.
|
USD
|
6.50
|
%
|
03/15/23
|
775,000
|
821,500
|
(1)
|
||||||||||
Standard Industries, Inc.
|
USD
|
5.38
|
%
|
11/15/24
|
595,000
|
628,468
|
(1)
|
||||||||||
Summit Materials LLC / Summit Materials Finance Corp.
|
USD
|
6.13
|
%
|
07/15/23
|
585,000
|
614,250
|
|||||||||||
US Concrete, Inc.
|
USD
|
6.38
|
%
|
06/01/24
|
745,000
|
782,250
|
|||||||||||
6,049,737
|
|||||||||||||||||
Capital Goods ‐ 1.12%
|
|||||||||||||||||
SPX FLOW, Inc.
|
USD
|
5.63
|
%
|
08/15/24
|
1,250,000
|
1,287,500
|
(1)
|
||||||||||
Terex Corp.
|
USD
|
5.63
|
%
|
02/01/25
|
495,000
|
507,994
|
(1)
|
||||||||||
1,795,494
|
|||||||||||||||||
Chemicals ‐ 2.43%
|
|||||||||||||||||
CF Industries, Inc.
|
USD
|
5.15
|
%
|
03/15/34
|
1,625,000
|
1,509,219
|
|||||||||||
Lyond Basel Escrow
|
USD
|
0.00
|
%
|
08/15/15
|
25,000
|
0
|
(2)
|
||||||||||
Lyondell Chemical Co.
|
USD
|
0.00
|
%
|
08/15/15
|
945,000
|
0
|
(2)
|
||||||||||
Trinseo Materials Operating SCA / Trinseo Materials Finance, Inc.
|
USD
|
6.75
|
%
|
05/01/22
|
1,235,000
|
1,315,275
|
(1)
|
||||||||||
Versum Materials, Inc.
|
USD
|
5.50
|
%
|
09/30/24
|
1,010,000
|
1,063,025
|
(1)
|
||||||||||
3,887,519
|
|||||||||||||||||
Consumer Products ‐ 2.27%
|
|||||||||||||||||
Energizer SpinCo, Inc.
|
USD
|
5.50
|
%
|
06/15/25
|
1,095,000
|
1,159,331
|
(1)
|
||||||||||
Revlon Consumer Products Corp.:
|
|||||||||||||||||
USD
|
5.75
|
%
|
02/15/21
|
645,000
|
606,693
|
||||||||||||
USD
|
6.25
|
%
|
08/01/24
|
925,000
|
825,563
|
||||||||||||
Spectrum Brands, Inc.
|
USD
|
6.13
|
%
|
12/15/24
|
980,000
|
1,043,700
|
|||||||||||
3,635,287
|
|||||||||||||||||
Containers/Packaging ‐ 1.69%
|
|||||||||||||||||
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc.
|
USD
|
7.25
|
%
|
05/15/24
|
1,205,000
|
1,319,475
|
(1)
|
||||||||||
Flex Acquisition Co. Inc.
|
USD
|
6.88
|
%
|
01/15/25
|
630,000
|
661,106
|
(1)
|
||||||||||
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc.
|
USD
|
6.38
|
%
|
05/01/22
|
695,000
|
728,013
|
(1)
|
||||||||||
2,708,594
|
|||||||||||||||||
Drillers/Services ‐ 2.85%
|
|||||||||||||||||
FTS International, Inc.
|
USD
|
6.25
|
%
|
05/01/22
|
1,030,000
|
911,550
|
|||||||||||
Parker Drilling Co.
|
USD
|
7.50
|
%
|
08/01/20
|
1,180,000
|
1,098,875
|
|||||||||||
Rowan Cos, Inc.
|
USD
|
7.38
|
%
|
06/15/25
|
1,387,000
|
1,366,195
|
|||||||||||
SESI LLC
|
USD
|
7.13
|
%
|
12/15/21
|
1,190,000
|
1,192,975
|
|||||||||||
4,569,595
|
34
|
www.shiplp.com
|
Stone Harbor High Yield Bond Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value (Expressed in USD)
|
||||||||||||
Electric ‐ 3.63%
|
|||||||||||||||||
Calpine Corp.
|
USD
|
|
5.75
|
%
|
01/15/25
|
|
975,000
|
$
|
929,906
|
||||||||
Covanta Holding Corp.
|
USD
|
5.88
|
%
|
07/01/25
|
975,000
|
953,063
|
|||||||||||
Dynegy, Inc.:
|
|||||||||||||||||
USD
|
6.75
|
%
|
11/01/19
|
580,000
|
599,575
|
||||||||||||
USD
|
8.00
|
%
|
01/15/25
|
835,000
|
814,209
|
(1)
|
|||||||||||
GenOn Energy, Inc.
|
USD
|
9.50
|
%
|
10/15/18
|
1,722,000
|
1,248,450
|
|||||||||||
NRG Energy, Inc.
|
USD
|
6.25
|
%
|
07/15/22
|
1,235,000
|
1,268,184
|
|||||||||||
5,813,387
|
|||||||||||||||||
Exploration & Production ‐ 9.76%
|
|||||||||||||||||
Callon Petroleum Co.
|
USD
|
6.13
|
%
|
10/01/24
|
935,000
|
972,400
|
|||||||||||
Continental Resources, Inc.:
|
|||||||||||||||||
USD
|
5.00
|
%
|
09/15/22
|
950,000
|
954,750
|
||||||||||||
USD
|
4.90
|
%
|
06/01/44
|
895,000
|
770,255
|
||||||||||||
Denbury Resources, Inc.
|
USD
|
9.00
|
%
|
05/15/21
|
653,000
|
675,855
|
(1)
|
||||||||||
Diamondback Energy, Inc.
|
USD
|
4.75
|
%
|
11/01/24
|
935,000
|
942,012
|
(1)
|
||||||||||
EP Energy LLC / Everest Acquisition Finance, Inc.:
|
|||||||||||||||||
USD
|
6.38
|
%
|
06/15/23
|
1,035,000
|
746,494
|
||||||||||||
USD
|
8.00
|
%
|
02/15/25
|
905,000
|
778,300
|
(1)
|
|||||||||||
Series WI
|
USD
|
9.38
|
%
|
05/01/20
|
293,000
|
265,897
|
|||||||||||
Laredo Petroleum, Inc.
|
USD
|
5.63
|
%
|
01/15/22
|
800,000
|
789,000
|
|||||||||||
Murphy Oil Corp.:
|
|||||||||||||||||
USD
|
4.70
|
%
|
12/01/22
|
450,000
|
441,000
|
||||||||||||
USD
|
6.88
|
%
|
08/15/24
|
605,000
|
635,250
|
||||||||||||
Oasis Petroleum, Inc.
|
USD
|
6.88
|
%
|
03/15/22
|
1,213,000
|
1,231,195
|
|||||||||||
QEP Resources, Inc.
|
USD
|
5.38
|
%
|
10/01/22
|
1,302,000
|
1,279,215
|
|||||||||||
Range Resources Corp.
|
USD
|
5.00
|
%
|
03/15/23
|
1,000,000
|
978,750
|
(1)
|
||||||||||
RSP Permian, Inc.
|
USD
|
5.25
|
%
|
01/15/25
|
765,000
|
780,300
|
(1)
|
||||||||||
SM Energy Co.:
|
|||||||||||||||||
USD
|
6.13
|
%
|
11/15/22
|
1,055,000
|
1,044,450
|
||||||||||||
USD
|
5.63
|
%
|
06/01/25
|
520,000
|
491,239
|
||||||||||||
Southwestern Energy Co.
|
USD
|
6.70
|
%
|
01/23/25
|
1,050,000
|
1,042,125
|
|||||||||||
Ultra Resources, Inc.
|
USD
|
6.88
|
%
|
04/15/22
|
810,000
|
818,100
|
(1)
|
||||||||||
15,636,587
|
|||||||||||||||||
Food & Beverage ‐ 4.28%
|
|||||||||||||||||
Chobani LLC / Chobani Finance Corp. Inc
|
USD
|
7.50
|
%
|
04/15/25
|
1,005,000
|
1,060,727
|
(1)
|
||||||||||
Cott Holdings, Inc.
|
USD
|
5.50
|
%
|
04/01/25
|
890,000
|
913,362
|
(1)
|
||||||||||
Dean Foods Co.
|
USD
|
6.50
|
%
|
03/15/23
|
1,010,000
|
1,070,600
|
(1)
|
||||||||||
Pilgrim’s Pride Corp.
|
USD
|
5.75
|
%
|
03/15/25
|
1,100,000
|
1,133,000
|
(1)
|
||||||||||
Pinnacle Foods Finance LLC / Pinnacle Food Finance Corp., Series WI
|
USD
|
5.88
|
%
|
01/15/24
|
1,135,000
|
1,214,450
|
|||||||||||
Post Holdings, Inc.:
|
|||||||||||||||||
USD
|
5.50
|
%
|
03/01/25
|
675,000
|
710,438
|
(1)
|
|||||||||||
USD
|
5.00
|
%
|
08/15/26
|
755,000
|
762,550
|
(1)
|
|||||||||||
6,865,127
|
|||||||||||||||||
Gaming ‐ 3.00%
|
|||||||||||||||||
Boyd Gaming Corp., Series WI
|
USD
|
6.38
|
%
|
04/01/26
|
505,000
|
552,268
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
35
|
Stone Harbor High Yield Bond Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value (Expressed in USD)
|
||||||||||||
Gaming (continued)
|
|||||||||||||||||
Eldorado Resorts, Inc.
|
USD
|
6.00
|
%
|
04/01/25
|
650,000
|
$
|
685,750
|
(1)
|
|||||||||
Golden Nugget, Inc.
|
USD
|
8.50
|
%
|
12/01/21
|
985,000
|
1,056,412
|
(1)
|
||||||||||
Jacobs Entertainment, Inc.
|
USD
|
7.88
|
%
|
02/01/24
|
950,000
|
1,004,625
|
(1)
|
||||||||||
MGM Resorts International
|
USD
|
6.63
|
%
|
12/15/21
|
588,000
|
662,970
|
|||||||||||
Pinnacle Entertainment, Inc.
|
USD
|
5.63
|
%
|
05/01/24
|
815,000
|
845,563
|
(1)
|
||||||||||
4,807,588
|
|||||||||||||||||
Healthcare ‐ 6.70%
|
|||||||||||||||||
Amsurg Corp.
|
USD
|
5.63
|
%
|
07/15/22
|
980,000
|
1,026,427
|
|||||||||||
CHS/Community Health Systems, Inc.
|
USD
|
6.25
|
%
|
03/31/23
|
1,215,000
|
1,259,955
|
|||||||||||
Endo Dac / Endo Finance LLC / Endo Finco, Inc.
|
USD
|
5.88
|
%
|
10/15/24
|
330,000
|
342,788
|
(1)
|
||||||||||
Endo Finance LLC / Endo Ltd. / Endo Finco, Inc.
|
USD
|
6.00
|
%
|
02/01/25
|
1,080,000
|
973,080
|
(1)
|
||||||||||
Envision Healthcare Corp.
|
USD
|
6.25
|
%
|
12/01/24
|
360,000
|
386,100
|
(1)
|
||||||||||
HCA, Inc.:
|
|||||||||||||||||
USD
|
5.38
|
%
|
02/01/25
|
1,000,000
|
1,053,750
|
||||||||||||
USD
|
5.25
|
%
|
06/15/26
|
750,000
|
815,625
|
||||||||||||
HealthSouth Corp.
|
USD
|
5.75
|
%
|
11/01/24
|
680,000
|
705,500
|
|||||||||||
Mallinckrodt International Finance SA / Mallinckrodt CB LLC
|
USD
|
5.63
|
%
|
10/15/23
|
1,414,000
|
1,364,510
|
(1)
|
||||||||||
Tenet Healthcare Corp.
|
USD
|
4.38
|
%
|
10/01/21
|
440,000
|
453,860
|
|||||||||||
Valeant Pharmaceuticals International, Inc.:
|
|||||||||||||||||
USD
|
7.00
|
%
|
10/01/20
|
435,000
|
417,600
|
(1)
|
|||||||||||
USD
|
6.50
|
%
|
03/15/22
|
615,000
|
647,164
|
(1)
|
|||||||||||
USD
|
5.88
|
%
|
05/15/23
|
1,570,000
|
1,286,419
|
(1)
|
|||||||||||
10,732,778
|
|||||||||||||||||
Industrial Other ‐ 3.83%
|
|||||||||||||||||
AECOM:
|
|||||||||||||||||
USD
|
5.75
|
%
|
10/15/22
|
565,000
|
596,075
|
||||||||||||
USD
|
5.13
|
%
|
03/15/27
|
630,000
|
629,212
|
(1)
|
|||||||||||
Cleaver‐Brooks, Inc.
|
USD
|
8.75
|
%
|
12/15/19
|
901,000
|
929,156
|
(1)
|
||||||||||
Gates Global LLC / Gates Global Co.
|
USD
|
6.00
|
%
|
07/15/22
|
955,000
|
977,729
|
(1)
|
||||||||||
MasTec, Inc.
|
USD
|
4.88
|
%
|
03/15/23
|
1,233,000
|
1,248,413
|
|||||||||||
Park‐Ohio Industries, Inc.
|
USD
|
6.63
|
%
|
04/15/27
|
890,000
|
930,606
|
(1)
|
||||||||||
Welbilt, Inc.
|
USD
|
9.50
|
%
|
02/15/24
|
715,000
|
832,975
|
|||||||||||
6,144,166
|
|||||||||||||||||
Leisure ‐ 1.56%
|
|||||||||||||||||
AMC Entertainment Holdings, Inc.
|
USD
|
5.75
|
%
|
06/15/25
|
1,035,000
|
1,077,021
|
|||||||||||
Cinemark USA, Inc.:
|
|||||||||||||||||
USD
|
5.13
|
%
|
12/15/22
|
740,000
|
764,050
|
||||||||||||
USD
|
4.88
|
%
|
06/01/23
|
646,000
|
660,529
|
||||||||||||
2,501,600
|
|||||||||||||||||
Media Cable ‐ 8.20%
|
|||||||||||||||||
Cable One, Inc.
|
USD
|
5.75
|
%
|
06/15/22
|
655,000
|
689,387
|
(1)
|
||||||||||
Cablevision Systems Corp.
|
USD
|
5.88
|
%
|
09/15/22
|
2,010,000
|
2,090,400
|
|||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp.:
|
|||||||||||||||||
USD
|
5.13
|
%
|
05/01/27
|
975,000
|
999,985
|
(1)
|
|||||||||||
USD
|
5.50
|
%
|
05/01/26
|
1,485,000
|
1,573,387
|
(1)
|
36
|
www.shiplp.com
|
Stone Harbor High Yield Bond Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value (Expressed in USD)
|
||||||||||||
Media Cable (continued)
|
|||||||||||||||||
DISH DBS Corp.
|
USD
|
7.75
|
%
|
07/01/26
|
2,720,000
|
$
|
3,202,800
|
||||||||||
Quebecor Media, Inc.
|
USD
|
5.75
|
%
|
01/15/23
|
701,000
|
745,689
|
|||||||||||
SFR Group SA
|
USD
|
7.38
|
%
|
05/01/26
|
745,000
|
809,718
|
(1)
|
||||||||||
Unitymedia GmbH
|
USD
|
6.13
|
%
|
01/15/25
|
715,000
|
768,625
|
(1)
|
||||||||||
UPCB Finance IV Ltd.
|
USD
|
5.38
|
%
|
01/15/25
|
680,000
|
709,172
|
(1)
|
||||||||||
Virgin Media Finance PLC
|
USD
|
6.00
|
%
|
10/15/24
|
860,000
|
909,450
|
(1)
|
||||||||||
Ziggo Secured Finance BV
|
USD
|
5.50
|
%
|
01/15/27
|
635,000
|
646,830
|
(1)
|
||||||||||
13,145,443
|
|||||||||||||||||
Media Other ‐ 5.94%
|
|||||||||||||||||
Block Communications, Inc.
|
USD
|
6.88
|
%
|
02/15/25
|
1,210,000
|
1,305,287
|
(1)
|
||||||||||
EW Scripps Co.
|
USD
|
5.13
|
%
|
05/15/25
|
1,320,000
|
1,354,650
|
(1)
|
||||||||||
Gray Television, Inc.
|
USD
|
5.88
|
%
|
07/15/26
|
1,020,000
|
1,037,850
|
(1)
|
||||||||||
LIN Television Corp.
|
USD
|
5.88
|
%
|
11/15/22
|
800,000
|
841,000
|
|||||||||||
Nexstar Broadcasting, Inc.
|
USD
|
5.63
|
%
|
08/01/24
|
975,000
|
984,750
|
(1)
|
||||||||||
Sinclair Television Group, Inc.
|
USD
|
5.63
|
%
|
08/01/24
|
1,240,000
|
1,278,750
|
(1)
|
||||||||||
TEGNA, Inc.
|
USD
|
6.38
|
%
|
10/15/23
|
1,109,000
|
1,178,312
|
|||||||||||
Tribune Media Co.
|
USD
|
5.88
|
%
|
07/15/22
|
1,450,000
|
1,535,188
|
|||||||||||
9,515,787
|
|||||||||||||||||
Metals/Mining/Steel ‐ 3.91%
|
|||||||||||||||||
Anglo American Capital PLC:
|
|||||||||||||||||
USD
|
4.88
|
%
|
05/14/25
|
565,000
|
588,690
|
(1)
|
|||||||||||
USD
|
4.13
|
%
|
09/27/22
|
795,000
|
814,875
|
(1)
|
|||||||||||
Coeur Mining, Inc.
|
USD
|
5.88
|
%
|
06/01/24
|
530,000
|
528,013
|
(1)
|
||||||||||
Freeport‐McMoRan, Inc.
|
USD
|
3.55
|
%
|
03/01/22
|
870,000
|
817,800
|
|||||||||||
Hudbay Minerals, Inc.
|
USD
|
7.25
|
%
|
01/15/23
|
420,000
|
441,000
|
(1)
|
||||||||||
Kaiser Aluminum Corp.
|
USD
|
5.88
|
%
|
05/15/24
|
765,000
|
808,988
|
|||||||||||
New Gold, Inc.
|
USD
|
6.25
|
%
|
11/15/22
|
850,000
|
877,625
|
(1)
|
||||||||||
Nyrstar Netherlands Holdings BV
|
EUR
|
6.88
|
%
|
03/15/24
|
1,200,000
|
1,395,642
|
(1)
|
||||||||||
6,272,633
|
|||||||||||||||||
Paper/Forest Products ‐ 2.61%
|
|||||||||||||||||
Boise Cascade Co.
|
USD
|
5.63
|
%
|
09/01/24
|
745,000
|
776,663
|
(1)
|
||||||||||
Cascades, Inc.
|
USD
|
5.50
|
%
|
07/15/22
|
1,200,000
|
1,227,000
|
(1)
|
||||||||||
Louisiana‐Pacific Corp.
|
USD
|
4.88
|
%
|
09/15/24
|
1,290,000
|
1,309,350
|
|||||||||||
Mercer International, Inc.
|
USD
|
7.75
|
%
|
12/01/22
|
810,000
|
872,775
|
|||||||||||
NewPage Corp.
|
USD
|
11.38
|
%
|
12/31/14
|
1,120,616
|
112
|
(2)(3)
|
||||||||||
4,185,900
|
|||||||||||||||||
Restaurants ‐ 0.72%
|
|||||||||||||||||
Landry’s, Inc.
|
USD
|
6.75
|
%
|
10/15/24
|
1,110,000
|
1,148,850
|
(1)
|
||||||||||
Retail Food/Drug ‐ 1.96%
|
|||||||||||||||||
Albertsons Cos LLC / Safeway, Inc. / New Albertson’s, Inc. /
|
|||||||||||||||||
Albertson’s LLC
|
USD
|
6.63
|
%
|
06/15/24
|
795,000
|
824,813
|
(1)
|
||||||||||
Fresh Market, Inc.
|
USD
|
9.75
|
%
|
05/01/23
|
840,000
|
711,900
|
(1)
|
||||||||||
Safeway, Inc.
|
USD
|
7.25
|
%
|
02/01/31
|
918,000
|
899,679
|
|||||||||||
Tops Holding LLC / Tops Markets II Corp.
|
USD
|
8.00
|
%
|
06/15/22
|
835,000
|
705,575
|
(1)
|
||||||||||
3,141,967
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
37
|
Stone Harbor High Yield Bond Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value (Expressed in USD)
|
||||||||||||
Retail Non Food/Drug ‐ 2.17%
|
|||||||||||||||||
Hot Topic, Inc.
|
USD
|
9.25
|
%
|
06/15/21
|
720,000
|
$
|
734,400
|
(1)
|
|||||||||
JC Penney Corp., Inc.
|
USD
|
7.40
|
%
|
04/01/37
|
930,000
|
720,750
|
|||||||||||
L Brands, Inc.
|
USD
|
6.88
|
%
|
11/01/35
|
980,000
|
954,883
|
|||||||||||
Murphy Oil USA, Inc.
|
USD
|
5.63
|
%
|
05/01/27
|
590,000
|
618,762
|
|||||||||||
PetSmart, Inc.
|
USD
|
7.13
|
%
|
03/15/23
|
475,000
|
444,125
|
(1)
|
||||||||||
3,472,920
|
|||||||||||||||||
Satellite ‐ 1.10%
|
|||||||||||||||||
Hughes Satellite Systems Corp.
|
USD
|
6.63
|
%
|
08/01/26
|
890,000
|
945,625
|
|||||||||||
Intelsat Jackson Holdings SA
|
USD
|
5.50
|
%
|
08/01/23
|
985,000
|
817,550
|
|||||||||||
1,763,175
|
|||||||||||||||||
Services Other ‐ 0.27%
|
|||||||||||||||||
KAR Auction Services, Inc.
|
USD
|
5.13
|
%
|
06/01/25
|
420,000
|
429,450
|
(1)
|
||||||||||
Technology ‐ 4.40%
|
|||||||||||||||||
Artesyn Embedded Technologies, Inc.
|
USD
|
9.75
|
%
|
10/15/20
|
600,000
|
592,500
|
(1)
|
||||||||||
Diebold Nixdorf, Inc., Series WI
|
USD
|
8.50
|
%
|
04/15/24
|
535,000
|
602,544
|
|||||||||||
Micron Technology, Inc.
|
USD
|
5.50
|
%
|
02/01/25
|
351,000
|
367,894
|
|||||||||||
Nuance Communication
|
USD
|
5.63
|
%
|
12/15/26
|
995,000
|
1,052,212
|
(1)
|
||||||||||
Ptc Inc. 05/15/2024, 6.0%
|
USD
|
6.00
|
%
|
05/15/24
|
775,000
|
827,793
|
|||||||||||
Seagate HDD Cayman
|
USD
|
4.88
|
%
|
06/01/27
|
1,250,000
|
1,221,014
|
|||||||||||
Symantec Corp.
|
USD
|
5.00
|
%
|
04/15/25
|
500,000
|
520,000
|
(1)
|
||||||||||
Western Digital Corp.
|
USD
|
10.50
|
%
|
04/01/24
|
960,000
|
1,128,000
|
|||||||||||
Zayo Group LLC / Zayo Capital, Inc.
|
USD
|
5.75
|
%
|
01/15/27
|
705,000
|
745,460
|
(1)
|
||||||||||
7,057,417
|
|||||||||||||||||
Textile/Apparel ‐ 0.45%
|
|||||||||||||||||
Levi Strauss & Co.
|
USD
|
5.00
|
%
|
05/01/25
|
693,000
|
725,051
|
|||||||||||
Transportation Other ‐ 0.40%
|
|||||||||||||||||
XPO Logistics, Inc.
|
USD
|
6.50
|
%
|
06/15/22
|
600,000
|
639,270
|
(1)
|
||||||||||
Wireless ‐ 3.42%
|
|||||||||||||||||
Altice Luxembourg SA
|
USD
|
7.75
|
%
|
05/15/22
|
435,000
|
462,731
|
(1)
|
||||||||||
Sprint Capital Corp.
|
USD
|
8.75
|
%
|
03/15/32
|
2,355,000
|
2,974,659
|
|||||||||||
T‐Mobile USA, Inc.
|
USD
|
6.50
|
%
|
01/15/26
|
1,010,000
|
1,117,313
|
|||||||||||
Wind Acquisition Finance SA
|
USD
|
7.38
|
%
|
04/23/21
|
895,000
|
933,149
|
(1)
|
||||||||||
5,487,852
|
|||||||||||||||||
Wirelines ‐ 3.78%
|
|||||||||||||||||
CenturyLink, Inc.:
|
|||||||||||||||||
USD
|
7.65
|
%
|
03/15/42
|
730,000
|
693,044
|
||||||||||||
Series WI
|
USD
|
5.63
|
%
|
04/01/25
|
470,000
|
468,388
|
|||||||||||
Cogent Communications Group, Inc.
|
USD
|
5.38
|
%
|
03/01/22
|
675,000
|
713,812
|
(1)
|
||||||||||
Frontier Communications Corp.
|
USD
|
9.00
|
%
|
08/15/31
|
1,600,000
|
1,320,000
|
|||||||||||
GCI, Inc.
|
USD
|
6.88
|
%
|
04/15/25
|
516,000
|
562,440
|
|||||||||||
Level 3 Financing, Inc.
|
USD
|
5.25
|
%
|
03/15/26
|
485,000
|
505,462
|
|||||||||||
T‐Mobile USA, Inc.
|
USD
|
5.38
|
%
|
04/15/27
|
965,000
|
1,030,138
|
|||||||||||
Windstream Services LLC
|
USD
|
7.50
|
%
|
04/01/23
|
841,000
|
765,310
|
|||||||||||
6,058,594
|
|||||||||||||||||
TOTAL CORPORATE BONDS
|
141,322,983
|
||||||||||||||||
(Cost $135,618,991)
|
38
|
www.shiplp.com
|
Stone Harbor High Yield Bond Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate |
Maturity Date
|
Principal Amount/Shares*
|
Value (Expressed in USD)
|
||||||||||||
BANK LOANS ‐ 8.04%(4)
|
|||||||||||||||||
Building Products ‐ 0.51%
|
|||||||||||||||||
Summit Materials, LLC ‐ Restatement Effective Date Term Loan
|
Libor+2.75%
|
USD
|
3.79
|
%
|
07/17/22
|
805,650
|
$
|
814,588
|
|||||||||
Capital Goods ‐ 1.15%
|
|||||||||||||||||
Blount International, Inc. ‐ Initial Term Loan
|
Libor+5.00%
|
USD
|
6.01
|
%
|
04/12/23
|
888,061
|
903,047
|
(3)
|
|||||||||
Gardner Denver, Inc. ‐ Initial Term Loan
|
Libor+3.25%
|
USD
|
4.56
|
%
|
07/30/20
|
932,630
|
937,759
|
||||||||||
1,840,806
|
|||||||||||||||||
Chemicals ‐ 1.64%
|
|||||||||||||||||
Axalta Coating Systems Dutch Holding B B.V. (Axalta Coatng Systems U.S. Holdings, Inc.) ‐ Term B‐1 Dollar Loan
|
Libor+2.50%
|
USD
|
3.65
|
%
|
02/01/23
|
734,432
|
740,445
|
||||||||||
Ineos Styrolution US Holding LLC ‐ (Styrolution US Holding LLC) ‐ 2024 Dollar Term Loan
|
Libor+2.75%
|
USD
|
3.90
|
%
|
03/07/24
|
789,963
|
792,432
|
||||||||||
MacDermid, Incorporated (Platform Specialty Products Corporation) ‐Tranche B‐5 Term Loan
|
Libor+3.50%
|
USD
|
4.54
|
%
|
06/07/20
|
1,084,325
|
1,095,846
|
||||||||||
2,628,723
|
|||||||||||||||||
Containers/Packaging ‐ 1.53%
|
|||||||||||||||||
Albea Beauty Holdings S.A. ‐ Facility B
|
Libor+3.75%
|
USD
|
L+3.75
|
%
|
04/12/24
|
1,160,000
|
1,162,900
|
||||||||||
Flex Acquisition Co., Inc. (aka Novalex) ‐ Initial Term Loan
|
Libor+3.25%
|
USD
|
4.40
|
%
|
12/29/23
|
1,280,000
|
1,288,960
|
||||||||||
2,451,860
|
|||||||||||||||||
Healthcare ‐ 0.33%
|
|||||||||||||||||
Air Medical Group Holdings, Inc. ‐ Initial Term Loan
|
Libor+3.25%
|
USD
|
4.29
|
%
|
04/28/22
|
528,655
|
524,171
|
||||||||||
Industrial Other ‐ 1.57%
|
|||||||||||||||||
Filtration Group Corporation ‐ Term Loan (First Lien)
|
Libor+3.25%
|
USD
|
4.29
|
%
|
11/23/20
|
1,057,788
|
1,067,595
|
||||||||||
Gates Global LLC ‐ Initial B‐1 Dollar Term Loan
|
Libor+3.25%
|
USD
|
4.41
|
%
|
03/30/24
|
1,017,369
|
1,023,012
|
||||||||||
Welbilt, Inc. (Manitowoc Foodservice, Inc.) ‐ Term B Loan
|
Libor+3.00%
|
USD
|
4.00
|
%
|
02/28/23
|
426,308
|
431,104
|
||||||||||
2,521,711
|
|||||||||||||||||
Technology ‐ 0.65%
|
|||||||||||||||||
Vertiv Group Corporation (Cortes NP Acquisition Corporation) ‐ Term B Loan
|
Libor+4.00%
|
USD
|
5.00
|
%
|
11/30/23
|
1,035,409
|
1,045,440
|
||||||||||
Utility Other ‐ 0.66%
|
|||||||||||||||||
Lightstone Holdco LLC ‐ Refinanced Term B Loan
|
Libor+4.50%
|
USD
|
5.54
|
%
|
01/30/24
|
1,010,149
|
994,997
|
||||||||||
Lightstone Holdco LLC ‐ Refinanced Term C Loan
|
Libor+4.50%
|
USD
|
5.54
|
%
|
01/30/24
|
62,319
|
61,384
|
||||||||||
1,056,381
|
|||||||||||||||||
TOTAL BANK LOANS
|
12,883,680
|
||||||||||||||||
(Cost $12,823,474)
|
|||||||||||||||||
COMMON/PREFERRED STOCKS ‐ 1.06%
|
|||||||||||||||||
Denbury Resources
|
USD
|
47,950
|
73,363
|
(5)
|
|||||||||||||
Halcon Resources Co
|
USD
|
35,619
|
216,564
|
(5)
|
|||||||||||||
Midstates Petroleum
|
USD
|
456
|
7,825
|
(5)
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
39
|
Stone Harbor High Yield Bond Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value (Expressed in USD)
|
||||||||||||
COMMON/PREFERRED STOCKS (continued)
|
|||||||||||||||||
NRG Energy, Inc.
|
USD
|
10,061
|
$
|
161,580
|
|||||||||||||
Quicksilver, Inc.
|
USD
|
10,219
|
129,373
|
(3)(5)
|
|||||||||||||
Quiksilver Escrow ESCROW
|
USD
|
521,000
|
0
|
(3)(5)
|
|||||||||||||
Vistra Energy Corp.
|
USD
|
75,699
|
1,118,074
|
||||||||||||||
TOTAL COMMON/PREFERRED STOCKS
|
1,706,779
|
||||||||||||||||
(Cost $2,229,154)
|
|||||||||||||||||
RIGHTS ‐ 0.06%
|
|||||||||||||||||
Electric ‐ 0.06%
|
|||||||||||||||||
Vistra Energy Corp.
|
|||||||||||||||||
expires 10/01/2020, strike price $1.350
|
USD
|
75,699
|
94,624
|
(3)
|
|||||||||||||
TOTAL RIGHTS
|
94,624
|
||||||||||||||||
(Cost $102,194)
|
|||||||||||||||||
WARRANTS ‐ 0.00%(6)
|
|||||||||||||||||
Exploration & Production ‐ 0.00%(6)
|
|||||||||||||||||
Halcon Resources Corp.
|
|||||||||||||||||
expires 09/09/2020, strike price $0.010
|
USD
|
9,675
|
8,224
|
||||||||||||||
Midstates Petroleum
|
|||||||||||||||||
expires 04/21/2020, strike price $0.010
|
USD
|
3,236
|
32
|
(3)
|
|||||||||||||
Transportation Other ‐ 0.00%(6)
|
|||||||||||||||||
General Maritime Corp.
|
|||||||||||||||||
expires 05/17/2017, strike price $0.010
|
USD
|
2,984
|
0
|
(3)
|
|||||||||||||
TOTAL WARRANTS
|
8,256
|
||||||||||||||||
(Cost $129)
|
|||||||||||||||||
SHORT TERM INVESTMENTS ‐ 2.86%
|
|||||||||||||||||
Money Market Mutual Funds ‐ 2.86%
|
|||||||||||||||||
State Street Institutional Liquid Reserves Fund
(7‐Day Yield) |
USD
|
0.94
|
%
|
N/A
|
4,579,086
|
4,579,544
|
|||||||||||
TOTAL SHORT TERM INVESTMENTS
|
4,579,544
|
||||||||||||||||
(Cost $4,578,449)
|
|||||||||||||||||
Total Investments ‐ 100.19%
|
160,595,866
|
||||||||||||||||
(Cost $155,352,391)
|
|||||||||||||||||
Liabilities in Excess of Other Assets ‐ (0.19)%
|
(311,117
|
)
|
|||||||||||||||
Net Assets ‐ 100.00%
|
$
|
160,284,749
|
* |
The principal amount/shares of each security is stated in the currency in which the security is denominated.
|
40
|
www.shiplp.com
|
Stone Harbor High Yield Bond Fund
|
Statements of Investments
|
(1)
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $68,799,884, which represents approximately 42.92% of net assets as of May 31, 2017.
|
(2)
|
Security is in default and therefore is non-income producing.
|
(3)
|
The level 3 assets were a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs.
|
(4)
|
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. Bank Loans, while exempt from registration, under the Securities Act of 1933, 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.
|
(5)
|
Non-income producing security.
|
(6)
|
Amount represents less than 0.005% of net assets.
|
Counterparty
|
Foreign Currency
|
Contracted Amount**
|
Purchase/Sale Contract
|
Settlement Date
|
Current Value
|
Unrealized Appreciation/ (Depreciation)
|
|||||||||||
Citigroup Global Markets
|
EUR
|
1,219,900
|
Purchase
|
06/09/17
|
$
|
1,371,063
|
$
|
1,967
|
|||||||||
$
|
1,967
|
||||||||||||||||
Citigroup Global Markets
|
EUR
|
1,246,900
|
Sale
|
07/10/17
|
$
|
1,403,711
|
$
|
(1,906
|
)
|
||||||||
J.P. Morgan Chase & Co.
|
EUR
|
1,219,900
|
Sale
|
06/09/17
|
1,371,063
|
(35,701
|
)
|
||||||||||
$
|
(37,607
|
)
|
** |
The contracted amount is stated in the currency in which the contract is denominated.
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
41
|
Stone Harbor Local Markets Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed (in USD)
|
|||||||||||
SOVEREIGN DEBT OBLIGATIONS ‐ 71.96%
|
||||||||||||||||
Argentina ‐ 1.53%
|
||||||||||||||||
Republic of Argentina:
|
||||||||||||||||
ARS
|
15.50
|
% |
10/17/26
|
81,596,000
|
$
|
5,596,329
|
||||||||||
EUR
|
7.82
|
% |
12/31/33
|
2,810,004
|
3,349,963
|
|||||||||||
EUR
|
7.82
|
% |
12/31/33
|
5,185,159
|
6,254,327
|
|||||||||||
15,200,619
|
||||||||||||||||
Brazil ‐ 10.81%
|
||||||||||||||||
Nota Do Tesouro Nacional:
|
||||||||||||||||
BRL
|
10.00
|
% |
01/01/21
|
131,928,000
|
40,547,579
|
|||||||||||
BRL
|
10.00
|
% |
01/01/23
|
31,963,000
|
9,668,633
|
|||||||||||
BRL
|
10.00
|
% |
01/01/25
|
138,858,000
|
41,527,472
|
|||||||||||
BRL
|
10.00
|
% |
01/01/27
|
51,790,000
|
15,397,315
|
|||||||||||
107,140,999
|
||||||||||||||||
Chile ‐ 0.22%
|
||||||||||||||||
Republic of Chile
|
CLP
|
4.50
|
% |
02/28/21
|
1,440,000,000
|
2,207,694
|
||||||||||
Colombia ‐ 8.42%
|
||||||||||||||||
Bogota Distrio Capital
|
COP
|
9.75
|
% |
07/26/28
|
62,776,000,000
|
22,848,966
|
(1) | |||||||||
Republic of Colombia:
|
||||||||||||||||
COP
|
7.75
|
% |
04/14/21
|
24,451,000,000
|
8,993,365
|
|||||||||||
COP
|
4.38
|
% |
03/21/23
|
2,013,000,000
|
646,790
|
|||||||||||
COP
|
10.00
|
% |
07/24/24
|
24,599,700,000
|
10,419,024
|
|||||||||||
COP
|
7.50
|
% |
08/26/26
|
23,854,000,000
|
8,895,152
|
|||||||||||
COP
|
9.85
|
% |
06/28/27
|
33,767,000,000
|
15,104,978
|
|||||||||||
Titulos De Tesoreira:
|
||||||||||||||||
COP
|
5.00
|
% |
11/21/18
|
35,708,600,000
|
12,199,316
|
|||||||||||
COP
|
11.00
|
% |
07/24/20
|
10,975,500,000
|
4,336,252
|
|||||||||||
83,443,843
|
||||||||||||||||
Indonesia ‐ 10.53%
|
||||||||||||||||
Republic of Indonesia:
|
||||||||||||||||
IDR
|
8.25
|
% |
07/15/21
|
121,545,000,000
|
9,636,000
|
|||||||||||
IDR
|
7.00
|
% |
05/15/22
|
257,180,000,000
|
19,570,780
|
|||||||||||
IDR
|
5.63
|
% |
05/15/23
|
34,887,000,000
|
2,462,768
|
|||||||||||
IDR
|
11.00
|
% |
09/15/25
|
86,142,000,000
|
8,033,679
|
|||||||||||
IDR
|
8.38
|
% |
09/15/26
|
56,377,000,000
|
4,634,596
|
|||||||||||
IDR
|
6.13
|
% |
05/15/28
|
149,010,000,000
|
10,250,031
|
|||||||||||
IDR
|
9.00
|
% |
03/15/29
|
155,632,000,000
|
13,188,936
|
|||||||||||
IDR
|
8.75
|
% |
05/15/31
|
13,809,000,000
|
1,160,091
|
|||||||||||
IDR
|
8.25
|
% |
06/15/32
|
189,700,000,000
|
15,182,124
|
|||||||||||
IDR
|
6.63
|
% |
05/15/33
|
129,002,000,000
|
8,865,885
|
|||||||||||
IDR
|
8.38
|
% |
03/15/34
|
141,460,000,000
|
11,386,149
|
|||||||||||
104,371,039
|
||||||||||||||||
Malaysia ‐ 5.47%
|
||||||||||||||||
Malaysian Government:
|
||||||||||||||||
MYR
|
3.58
|
% |
09/28/18
|
12,870,000
|
3,020,391
|
|||||||||||
MYR
|
3.65
|
% |
10/31/19
|
33,930,000
|
7,970,775
|
|||||||||||
MYR
|
4.16
|
% |
07/15/21
|
4,460,000
|
1,063,679
|
|||||||||||
MYR
|
4.05
|
% |
09/30/21
|
2,480,000
|
589,000
|
|||||||||||
MYR
|
3.62
|
% |
11/30/21
|
44,530,000
|
10,399,004
|
|||||||||||
MYR
|
3.48
|
% |
03/15/23
|
31,981,000
|
7,352,641
|
|||||||||||
MYR
|
4.18
|
% |
07/15/24
|
53,160,000
|
12,656,551
|
42
|
www.shiplp.com
|
Stone Harbor Local Markets Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed (in USD)
|
|||||||||||
Malaysia (continued)
|
||||||||||||||||
Malaysian Government: (continued)
|
||||||||||||||||
|
MYR
|
|
3.96
|
%
|
09/15/25
|
|
10,692,000
|
$
|
2,493,135
|
|||||||
MYR
|
4.39
|
%
|
04/15/26
|
16,370,000
|
3,928,991
|
|||||||||||
MYR
|
3.90
|
%
|
11/30/26
|
4,280,000
|
998,000
|
|||||||||||
MYR
|
4.50
|
%
|
04/15/30
|
11,870,000
|
2,809,418
|
|||||||||||
MYR
|
3.84
|
%
|
04/15/33
|
4,270,000
|
944,787
|
|||||||||||
54,226,372
|
||||||||||||||||
Mexico ‐ 4.75%
|
||||||||||||||||
Mexican Bonos:
|
||||||||||||||||
MXN
|
10.00
|
%
|
12/05/24
|
114,760,900
|
7,116,983
|
|||||||||||
MXN
|
5.75
|
%
|
03/05/26
|
124,230,000
|
5,987,705
|
|||||||||||
MXN
|
8.50
|
%
|
05/31/29
|
42,515,000
|
2,480,894
|
|||||||||||
MXN
|
7.75
|
%
|
05/29/31
|
89,606,000
|
4,934,616
|
|||||||||||
MXN
|
7.75
|
%
|
11/23/34
|
173,246,000
|
9,523,030
|
|||||||||||
MXN
|
10.00
|
%
|
11/20/36
|
50,396,000
|
3,378,109
|
|||||||||||
MXN
|
8.50
|
%
|
11/18/38
|
119,442,000
|
7,034,095
|
|||||||||||
MXN
|
7.75
|
%
|
11/13/42
|
120,860,000
|
6,595,174
|
|||||||||||
47,050,606
|
||||||||||||||||
Peru ‐ 1.36%
|
||||||||||||||||
Republic of Peru:
|
||||||||||||||||
PEN
|
6.35
|
%
|
08/12/28
|
24,715,000
|
7,978,162
|
(2)
|
||||||||||
PEN
|
6.95
|
%
|
08/12/31
|
16,290,000
|
5,492,910
|
(2)
|
||||||||||
13,471,072
|
||||||||||||||||
Poland ‐ 4.82%
|
||||||||||||||||
Republic of Poland:
|
||||||||||||||||
PLN
|
2.75
|
%
|
08/25/23
|
16,559,479
|
4,909,909
|
|||||||||||
PLN
|
4.00
|
%
|
10/25/23
|
24,665,000
|
7,081,810
|
|||||||||||
PLN
|
3.25
|
%
|
07/25/25
|
105,440,000
|
28,787,284
|
|||||||||||
PLN
|
2.50
|
%
|
07/25/26
|
14,140,000
|
3,612,493
|
|||||||||||
PLN
|
2.75
|
%
|
04/25/28
|
13,050,000
|
3,361,154
|
|||||||||||
47,752,650
|
||||||||||||||||
Russia ‐ 4.85%
|
||||||||||||||||
Russian Federation:
|
||||||||||||||||
RUB
|
7.00
|
%
|
08/16/23
|
278,060,000
|
4,730,746
|
|||||||||||
RUB
|
7.75
|
%
|
09/16/26
|
744,810,000
|
13,216,701
|
|||||||||||
RUB
|
8.15
|
%
|
02/03/27
|
330,937,000
|
6,105,910
|
|||||||||||
RUB
|
7.05
|
%
|
01/19/28
|
164,290,000
|
2,783,545
|
|||||||||||
RUB
|
8.50
|
%
|
09/17/31
|
1,125,240,000
|
21,177,604
|
|||||||||||
48,014,506
|
||||||||||||||||
South Africa ‐ 10.39%
|
||||||||||||||||
Republic of South Africa:
|
||||||||||||||||
ZAR
|
7.75
|
%
|
02/28/23
|
410,700,000
|
30,963,600
|
|||||||||||
ZAR
|
10.50
|
%
|
12/21/26
|
238,693,000
|
20,440,463
|
|||||||||||
ZAR
|
7.00
|
%
|
02/28/31
|
309,715,000
|
19,730,158
|
|||||||||||
ZAR
|
6.25
|
%
|
03/31/36
|
310,320,000
|
17,118,922
|
|||||||||||
ZAR
|
6.50
|
%
|
02/28/41
|
174,390,000
|
9,481,343
|
|||||||||||
ZAR
|
8.75
|
%
|
02/28/48
|
75,030,000
|
5,201,386
|
|||||||||||
102,935,872
|
||||||||||||||||
Thailand ‐ 3.58%
|
||||||||||||||||
Thailand Government:
|
||||||||||||||||
THB
|
3.88
|
%
|
06/13/19
|
240,000,000
|
7,376,547
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
43
|
Stone Harbor Local Markets Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed (in USD)
|
||||||||||||
Thailand (continued)
|
|||||||||||||||||
Thailand Government: (continued)
|
|||||||||||||||||
|
THB
|
|
1.20
|
%
|
07/14/21
|
|
343,613,487
|
$
|
9,944,740
|
||||||||
THB
|
3.85
|
%
|
12/12/25
|
273,250,000
|
8,822,462
|
||||||||||||
THB
|
3.58
|
%
|
12/17/27
|
202,770,000
|
6,363,507
|
||||||||||||
THB
|
4.68
|
%
|
06/29/44
|
83,167,000
|
2,962,792
|
||||||||||||
35,470,048
|
|||||||||||||||||
Turkey ‐ 4.87%
|
|||||||||||||||||
Republic of Turkey:
|
|||||||||||||||||
TRY
|
9.20
|
%
|
09/22/21
|
42,675,000
|
11,605,316
|
||||||||||||
TRY
|
9.50
|
%
|
01/12/22
|
13,930,000
|
3,821,382
|
||||||||||||
TRY
|
8.50
|
%
|
09/14/22
|
47,860,000
|
12,582,599
|
||||||||||||
TRY
|
7.10
|
%
|
03/08/23
|
29,000,000
|
7,094,022
|
||||||||||||
TRY
|
10.40
|
%
|
03/20/24
|
17,800,000
|
5,085,858
|
||||||||||||
TRY
|
9.00
|
%
|
07/24/24
|
12,550,000
|
3,340,358
|
||||||||||||
TRY
|
10.60
|
%
|
02/11/26
|
16,300,000
|
4,712,719
|
||||||||||||
48,242,254
|
|||||||||||||||||
Uruguay ‐ 0.36%
|
|||||||||||||||||
Oriental Republic of Uruguay
|
UYU
|
5.00
|
%
|
09/14/18
|
99,225,880
|
3,556,379
|
|||||||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS
|
713,083,953
|
||||||||||||||||
(Cost $751,396,362)
|
|||||||||||||||||
CORPORATE BONDS ‐ 6.21%
|
|||||||||||||||||
Mexico ‐ 6.21%
|
|||||||||||||||||
America Movil SAB de CV
|
MXN
|
6.00
|
%
|
06/09/19
|
342,900,000
|
17,706,999
|
|||||||||||
Petroleos Mexicanos:
|
|||||||||||||||||
MXN
|
7.65
|
%
|
11/24/21
|
120,000,000
|
6,097,655
|
(1)
|
|||||||||||
MXN
|
7.19
|
%
|
09/12/24
|
383,460,000
|
18,131,780
|
(1)
|
|||||||||||
MXN
|
7.47
|
%
|
11/12/26
|
421,560,000
|
19,634,215
|
||||||||||||
61,570,649
|
|||||||||||||||||
TOTAL CORPORATE BONDS
|
61,570,649
|
||||||||||||||||
(Cost $67,820,318)
|
|||||||||||||||||
SHORT TERM INVESTMENTS ‐ 4.04%
|
|||||||||||||||||
Money Market Mutual Funds ‐ 4.04%
|
|||||||||||||||||
State Street Institutional Liquid Reserves Fund (7‐Day Yield)
|
USD
|
0.94
|
%
|
N/A
|
40,007,356
|
40,011,357
|
|||||||||||
TOTAL SHORT TERM INVESTMENTS
|
40,011,357
|
||||||||||||||||
(Cost $40,009,682)
|
|||||||||||||||||
Total Investments ‐ 82.21%
|
814,665,959
|
||||||||||||||||
(Cost $859,226,362)
|
|||||||||||||||||
Other Assets In Excess of Liabilities ‐ 17.79%
|
176,276,068
|
(3)
|
|||||||||||||||
Net Assets ‐ 100.00%
|
$
|
990,942,027
|
*
|
The principal amount/shares of each security is stated in the currency in which the security is denominated.
|
44
|
www.shiplp.com
|
Stone Harbor Local Markets Fund
|
Statements of Investments
|
Currency Abbreviations:
|
||
ARS
|
-
|
Argentine Peso
|
BRL
|
-
|
Brazilian Real
|
CLP
|
-
|
Chilean Peso
|
COP
|
-
|
Columbian Peso
|
CZK
|
-
|
Czech Republic Koruna
|
EUR
|
-
|
Euro
|
HUF
|
-
|
Hungarian Forint
|
IDR
|
-
|
Indonesian Rupiah
|
INR
|
-
|
Indian Rupee
|
MXN
|
-
|
Mexican Peso
|
MYR
|
-
|
Malaysian Ringgit
|
PEN
|
-
|
Peruvian Nuevo Sol
|
PLN
|
-
|
Polish Zloty
|
RON
|
-
|
Romanian Leu
|
RUB
|
-
|
Russian Ruble
|
THB
|
-
|
Thai Baht
|
TRY
|
-
|
Turkish Lira
|
USD
|
-
|
United States Dollar
|
UYU
|
-
|
Uruguayan Peso
|
ZAR
|
-
|
South African Rand
|
(1) |
Securities were originally issued 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. As of May 31, 2017, the aggregate market value of those securities was $47,078,401, which represents approximately 4.75% of net assets.
|
(2) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $13,471,072, which represents approximately 1.36% of net assets as of May 31, 2017.
|
(3) |
Includes cash which is being held as collateral for forward foreign currency contracts.
|
Counterparty
|
Foreign Currency
|
Contracted Amount**
|
Purchase/Sale Contract
|
Settlement Date
|
Current Value
|
Unrealized Appreciation/ (Depreciation)
|
||||||||||
Citigroup Global Markets
|
ARS
|
143,833,494
|
Sale
|
06/05/17
|
$
|
8,909,317
|
$
|
240,538
|
||||||||
Citigroup Global Markets
|
BRL
|
33,999,568
|
Purchase
|
07/05/17
|
10,422,189
|
121,162
|
||||||||||
Citigroup Global Markets
|
COP
|
18,657,355,000
|
Sale
|
06/16/17
|
6,381,055
|
50,852
|
||||||||||
Citigroup Global Markets
|
EUR
|
2,656,005
|
Purchase
|
06/05/17
|
2,984,306
|
80,195
|
||||||||||
Citigroup Global Markets
|
EUR
|
2,656,005
|
Purchase
|
07/07/17
|
2,989,546
|
9,601
|
||||||||||
Citigroup Global Markets
|
HUF
|
1,540,346,970
|
Purchase
|
06/26/17
|
5,619,318
|
16,121
|
||||||||||
Citigroup Global Markets
|
INR
|
86,722,650
|
Purchase
|
06/22/17
|
1,340,236
|
10,236
|
||||||||||
Citigroup Global Markets
|
MXN
|
540,000,000
|
Purchase
|
06/09/17
|
28,915,183
|
94,432
|
||||||||||
Citigroup Global Markets
|
MXN
|
253,886,307
|
Sale
|
07/14/17
|
13,515,504
|
116,854
|
||||||||||
Citigroup Global Markets
|
PEN
|
2,271,808
|
Sale
|
07/07/17
|
692,027
|
1,443
|
||||||||||
Citigroup Global Markets
|
PLN
|
44,062,230
|
Purchase
|
06/26/17
|
11,841,823
|
33,008
|
||||||||||
Citigroup Global Markets
|
RON
|
54,215,604
|
Purchase
|
06/26/17
|
13,349,065
|
53,106
|
||||||||||
Citigroup Global Markets
|
ZAR
|
79,592,086
|
Sale
|
06/28/17
|
6,036,991
|
51,948
|
||||||||||
Citigroup Global Markets
|
RUB
|
669,712,738
|
Sale
|
06/28/17
|
11,730,190
|
85,698
|
||||||||||
Goldman Sachs & Co.
|
BRL
|
21,045,465
|
Purchase
|
06/02/17
|
6,500,458
|
110,458
|
||||||||||
Goldman Sachs & Co.
|
BRL
|
13,787,682
|
Purchase
|
07/05/17
|
4,226,460
|
50,399
|
||||||||||
Goldman Sachs & Co.
|
CZK
|
115,000,000
|
Purchase
|
08/07/17
|
4,923,891
|
279,866
|
||||||||||
Goldman Sachs & Co.
|
HUF
|
539,779,870
|
Purchase
|
06/26/17
|
1,969,163
|
5,041
|
||||||||||
Goldman Sachs & Co.
|
INR
|
110,514,000
|
Purchase
|
06/22/17
|
1,707,914
|
12,914
|
||||||||||
Goldman Sachs & Co.
|
MXN
|
118,896,813
|
Sale
|
06/02/17
|
6,374,383
|
15,617
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
45
|
Stone Harbor Local Markets Fund
|
Statements of Investments
|
Counterparty
|
Foreign Currency
|
Contracted Amount**
|
Purchase/Sale Contract
|
Settlement Date
|
Current Value
|
Unrealized Appreciation/ (Depreciation)
|
||||||||||
Goldman Sachs & Co.
|
MXN
|
91,213,794
|
Purchase
|
06/02/17
|
$
|
4,890,221
|
$
|
102,221
|
||||||||
Goldman Sachs & Co.
|
MXN
|
86,482,047
|
Sale
|
07/14/17
|
4,603,826
|
40,578
|
||||||||||
Goldman Sachs & Co.
|
RON
|
31,505,712
|
Purchase
|
06/26/17
|
7,757,394
|
31,429
|
||||||||||
Goldman Sachs & Co.
|
RUB
|
2,350,000,000
|
Purchase
|
06/09/17
|
41,344,182
|
121,536
|
||||||||||
Goldman Sachs & Co.
|
RUB
|
18,697,326
|
Sale
|
06/28/17
|
327,488
|
2,125
|
||||||||||
Goldman Sachs & Co.
|
TRY
|
29,160,708
|
Purchase
|
06/30/17
|
8,189,772
|
81,692
|
||||||||||
Goldman Sachs & Co.
|
ZAR
|
87,154,161
|
Sale
|
06/28/17
|
6,610,567
|
38,666
|
||||||||||
J.P. Morgan Chase & Co.
|
TRY
|
87,600,000
|
Purchase
|
06/09/17
|
24,761,728
|
42,849
|
||||||||||
J.P. Morgan Chase & Co.
|
ARS
|
65,198,000
|
Sale
|
06/01/17
|
4,046,842
|
7,760
|
||||||||||
J.P. Morgan Chase & Co.
|
ARS
|
49,751,330
|
Sale
|
06/05/17
|
3,081,691
|
8,454
|
||||||||||
J.P. Morgan Chase & Co.
|
BRL
|
17,215,048
|
Purchase
|
07/05/17
|
5,277,081
|
65,138
|
||||||||||
J.P. Morgan Chase & Co.
|
COP
|
140,223,500
|
Sale
|
06/16/17
|
47,958
|
388
|
||||||||||
J.P. Morgan Chase & Co.
|
EUR
|
2,729,000
|
Purchase
|
06/05/17
|
3,066,323
|
81,402
|
||||||||||
J.P. Morgan Chase & Co.
|
EUR
|
2,729,000
|
Purchase
|
07/07/17
|
3,071,707
|
9,940
|
||||||||||
J.P. Morgan Chase & Co.
|
HUF
|
583,347,000
|
Purchase
|
06/26/17
|
2,128,100
|
5,758
|
||||||||||
J.P. Morgan Chase & Co.
|
INR
|
59,923,395
|
Purchase
|
06/22/17
|
926,073
|
7,073
|
||||||||||
J.P. Morgan Chase & Co.
|
RON
|
56,798,716
|
Purchase
|
06/26/17
|
13,985,084
|
52,219
|
||||||||||
J.P. Morgan Chase & Co.
|
RUB
|
146,851,600
|
Sale
|
06/28/17
|
2,572,143
|
17,147
|
||||||||||
J.P. Morgan Chase & Co.
|
UYU
|
71,606,350
|
Purchase
|
10/26/17
|
2,456,057
|
38,557
|
||||||||||
J.P. Morgan Chase & Co.
|
ZAR
|
59,593,723
|
Sale
|
06/28/17
|
4,520,132
|
26,456
|
||||||||||
$
|
2,220,877
|
|||||||||||||||
Citigroup Global Markets
|
ARS
|
143,433,185
|
Purchase
|
06/05/17
|
$
|
8,884,521
|
$
|
(60,479
|
)
|
|||||||
Citigroup Global Markets
|
BRL
|
33,999,568
|
Purchase
|
06/02/17
|
10,501,681
|
(121,192
|
)
|
|||||||||
Citigroup Global Markets
|
BRL
|
33,999,568
|
Sale
|
06/02/17
|
10,501,681
|
(128,052
|
)
|
|||||||||
Citigroup Global Markets
|
EUR
|
2,656,005
|
Sale
|
06/05/17
|
2,984,306
|
(9,580
|
)
|
|||||||||
Citigroup Global Markets
|
MXN
|
253,886,307
|
Purchase
|
06/02/17
|
13,611,539
|
(119,467
|
)
|
|||||||||
Citigroup Global Markets
|
MXN
|
253,886,307
|
Sale
|
06/02/17
|
13,611,539
|
(395,341
|
)
|
|||||||||
Citigroup Global Markets
|
PEN
|
11,902,440
|
Sale
|
06/09/17
|
3,635,998
|
(1,998
|
)
|
|||||||||
Citigroup Global Markets
|
PEN
|
11,902,440
|
Purchase
|
06/09/17
|
3,635,998
|
(12,418
|
)
|
|||||||||
Citigroup Global Markets
|
PLN
|
206,400,000
|
Purchase
|
06/09/17
|
55,478,741
|
(29,825
|
)
|
|||||||||
Citigroup Global Markets
|
THB
|
168,500,000
|
Purchase
|
07/14/17
|
4,946,140
|
(3,410
|
)
|
|||||||||
Citigroup Global Markets
|
THB
|
336,592,955
|
Sale
|
07/14/17
|
9,880,332
|
(142,108
|
)
|
|||||||||
Citigroup Global Markets
|
UYU
|
35,842,200
|
Purchase
|
11/07/17
|
1,226,632
|
(3,368
|
)
|
|||||||||
Goldman Sachs & Co.
|
BRL
|
21,045,466
|
Sale
|
06/02/17
|
6,500,458
|
(91,973
|
)
|
|||||||||
Goldman Sachs & Co.
|
CLP
|
6,510,768,540
|
Purchase
|
06/12/17
|
9,658,862
|
(78,468
|
)
|
|||||||||
Goldman Sachs & Co.
|
IDR
|
55,479,330,000
|
Sale
|
06/16/17
|
4,157,873
|
(26,873
|
)
|
|||||||||
Goldman Sachs & Co.
|
MXN
|
86,482,047
|
Purchase
|
06/02/17
|
4,636,539
|
(41,327
|
)
|
|||||||||
Goldman Sachs & Co.
|
MXN
|
58,799,028
|
Sale
|
06/02/17
|
3,152,377
|
(98,866
|
)
|
|||||||||
J.P. Morgan Chase & Co.
|
ARS
|
65,198,000
|
Purchase
|
06/01/17
|
4,046,842
|
(5,240
|
)
|
|||||||||
J.P. Morgan Chase & Co.
|
ARS
|
50,151,640
|
Purchase
|
06/05/17
|
3,106,487
|
(136,425
|
)
|
|||||||||
J.P. Morgan Chase & Co.
|
ARS
|
114,949,330
|
Purchase
|
07/14/17
|
6,989,005
|
(15,829
|
)
|
|||||||||
J.P. Morgan Chase & Co.
|
ARS
|
82,392,780
|
Purchase
|
08/28/17
|
4,902,986
|
(17,014
|
)
|
|||||||||
J.P. Morgan Chase & Co.
|
BRL
|
17,215,048
|
Purchase
|
06/02/17
|
5,317,331
|
(112,488
|
)
|
|||||||||
J.P. Morgan Chase & Co.
|
BRL
|
17,215,048
|
Sale
|
06/02/17
|
5,317,331
|
(68,841
|
)
|
|||||||||
J.P. Morgan Chase & Co.
|
EUR
|
2,729,000
|
Sale
|
06/05/17
|
3,066,323
|
(9,963
|
)
|
|||||||||
J.P. Morgan Chase & Co.
|
IDR
|
55,462,265,600
|
Sale
|
06/16/17
|
4,156,594
|
(26,594
|
)
|
|||||||||
J.P. Morgan Chase & Co.
|
THB
|
296,368,330
|
Sale
|
07/14/17
|
8,699,581
|
(130,146
|
)
|
|||||||||
$
|
(1,887,285
|
)
|
** |
The contracted amount is stated in the currency in which the contract is denominated.
|
46
|
www.shiplp.com
|
Stone Harbor Emerging Markets Corporate Debt Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed (in USD)
|
|||||||||||
CORPORATE BONDS - 96.84%
|
||||||||||||||||
Algeria - 2.15%
|
||||||||||||||||
GTH Finance BV:
|
||||||||||||||||
|
USD
|
6.25
|
%
|
04/26/20
|
86,000
|
$
|
92,020
|
(1)
|
||||||||
USD
|
7.25
|
%
|
04/26/23
|
172,000
|
191,350
|
(1)
|
||||||||||
283,370
|
||||||||||||||||
Angola - 2.01%
|
||||||||||||||||
Puma International Financing SA
|
USD
|
6.75
|
%
|
02/01/21
|
255,000
|
263,925
|
(1)
|
|||||||||
Argentina - 3.87%
|
||||||||||||||||
Cablevision SA
|
USD
|
6.50
|
%
|
06/15/21
|
91,000
|
96,687
|
(1)
|
|||||||||
Pampa Energia SA
|
USD
|
7.50
|
%
|
01/24/27
|
64,000
|
67,744
|
(1)
|
|||||||||
Petrobras Argentina SA
|
USD
|
7.38
|
%
|
07/21/23
|
116,000
|
122,960
|
(1)
|
|||||||||
YPF SA:
|
||||||||||||||||
USD
|
8.75
|
%
|
04/04/24
|
52,000
|
60,021
|
(1)
|
||||||||||
USD
|
8.50
|
%
|
07/28/25
|
142,000
|
162,519
|
(1)
|
||||||||||
509,931
|
||||||||||||||||
Brazil - 9.47%
|
||||||||||||||||
Banco do Brasil SA/Cayman
|
USD
|
9.00
|
%
|
Perpetual
|
70,000
|
72,261
|
(1)(2)(3)
|
|||||||||
Braskem Finance Ltd.
|
USD
|
5.75
|
%
|
04/15/21
|
26,000
|
27,304
|
(4)
|
|||||||||
Cosan Luxembourg SA
|
USD
|
7.00
|
%
|
01/20/27
|
93,000
|
96,720
|
(1)
|
|||||||||
ESAL GmbH
|
USD
|
6.25
|
%
|
02/05/23
|
29,000
|
26,589
|
(1)
|
|||||||||
GTL Trade Finance, Inc.
|
USD
|
5.89
|
%
|
04/29/24
|
22,000
|
21,890
|
(1)
|
|||||||||
Itau Unibanco Holding SA
|
USD
|
5.65
|
%
|
03/19/22
|
65,000
|
68,185
|
(1)
|
|||||||||
MARB BondCo PLC
|
USD
|
7.00
|
%
|
03/15/24
|
77,000
|
76,134
|
(1)
|
|||||||||
Marfrig Holdings Europe BV:
|
||||||||||||||||
USD
|
6.88
|
%
|
06/24/19
|
42,000
|
43,273
|
(1)
|
||||||||||
USD
|
8.00
|
%
|
06/08/23
|
77,000
|
80,041
|
(1)
|
||||||||||
Minerva Luxembourg SA
|
USD
|
6.50
|
%
|
09/20/26
|
60,000
|
59,700
|
(1)
|
|||||||||
Petrobras Global Finance BV:
|
||||||||||||||||
USD
|
5.38
|
%
|
01/27/21
|
34,000
|
34,924
|
|||||||||||
USD
|
8.38
|
%
|
05/23/21
|
92,000
|
103,334
|
|||||||||||
USD
|
6.25
|
%
|
03/17/24
|
74,000
|
76,587
|
|||||||||||
USD
|
7.25
|
%
|
03/17/44
|
82,000
|
81,231
|
|||||||||||
Raizen Fuels Finance SA
|
USD
|
5.30
|
%
|
01/20/27
|
52,000
|
53,755
|
(1)
|
|||||||||
Rumo Luxembourg Sarl
|
USD
|
7.38
|
%
|
02/09/24
|
93,000
|
96,139
|
(1)
|
|||||||||
Vale Overseas Ltd.:
|
||||||||||||||||
USD
|
4.38
|
%
|
01/11/22
|
78,000
|
79,537
|
|||||||||||
USD
|
6.88
|
%
|
11/10/39
|
80,000
|
85,880
|
|||||||||||
Votorantim Group
|
USD
|
5.75
|
%
|
01/28/27
|
64,000
|
63,072
|
(1)
|
|||||||||
1,246,556
|
||||||||||||||||
Chile - 4.09%
|
||||||||||||||||
Cencosud SA
|
USD
|
4.88
|
%
|
01/20/23
|
36,000
|
38,293
|
(1)
|
|||||||||
Colbun SA
|
USD
|
4.50
|
%
|
07/10/24
|
69,000
|
72,019
|
(1)
|
|||||||||
Empresa Electrica Angamos SA
|
USD
|
4.88
|
%
|
05/25/29
|
63,000
|
64,654
|
(1)
|
|||||||||
Empresa Nacional de Telecomunicaciones SA
|
USD
|
4.88
|
%
|
10/30/24
|
45,000
|
47,025
|
(1)
|
|||||||||
Entel Chile SA
|
USD
|
4.75
|
%
|
08/01/26
|
48,000
|
49,558
|
(1)
|
|||||||||
GeoPark Latin America Ltd. Agencia en Chile
|
USD
|
7.50
|
%
|
02/11/20
|
195,000
|
196,950
|
(1)
|
|||||||||
VTR Finance BV
|
USD
|
6.88
|
%
|
01/15/24
|
65,000
|
69,306
|
(1)
|
|||||||||
537,805
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
47
|
Stone Harbor Emerging Markets Corporate Debt Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed (in USD)
|
|||||||||||
China - 5.04%
|
||||||||||||||||
China Life Insurance Co. Ltd.
|
|
USD
|
4.00
|
%
|
07/03/75
|
300,000
|
$
|
302,025
|
(2)
|
|||||||
Lenovo Group Ltd.
|
USD
|
4.70
|
%
|
05/08/19
|
350,000
|
361,017
|
||||||||||
663,042
|
||||||||||||||||
Colombia - 4.17%
|
||||||||||||||||
Banco de Bogota SA
|
USD
|
6.25
|
%
|
05/12/26
|
67,000
|
71,505
|
(1)
|
|||||||||
Bancolombia SA
|
USD
|
5.13
|
%
|
09/11/22
|
100,000
|
104,095
|
||||||||||
Ecopetrol SA:
|
||||||||||||||||
USD
|
5.38
|
%
|
06/26/26
|
108,000
|
111,677
|
|||||||||||
USD
|
7.38
|
%
|
09/18/43
|
76,000
|
82,035
|
|||||||||||
GrupoSura Finance SA
|
USD
|
5.50
|
%
|
04/29/26
|
59,000
|
63,425
|
(1)
|
|||||||||
Millicom International Cellular SA
|
USD
|
6.63
|
%
|
10/15/21
|
48,000
|
50,196
|
(1)
|
|||||||||
Oleoducto Central SA
|
USD
|
4.00
|
%
|
05/07/21
|
64,000
|
66,301
|
(1)
|
|||||||||
549,234
|
||||||||||||||||
Ghana - 2.28%
|
||||||||||||||||
Tullow Oil PLC:
|
||||||||||||||||
USD
|
6.00
|
%
|
11/01/20
|
18,000
|
17,505
|
(4)
|
||||||||||
USD
|
6.00
|
%
|
11/01/20
|
63,000
|
61,267
|
(1)
|
||||||||||
USD
|
6.25
|
%
|
04/15/22
|
64,000
|
60,640
|
(4)
|
||||||||||
USD
|
6.25
|
%
|
04/15/22
|
169,000
|
160,128
|
(1)
|
||||||||||
299,540
|
||||||||||||||||
Guatemala - 1.55%
|
||||||||||||||||
Comcel Trust via Comunicaciones Celulares SA
|
USD
|
6.88
|
%
|
02/06/24
|
149,000
|
159,415
|
(1)
|
|||||||||
Energuate Trust
|
USD
|
5.88
|
%
|
05/03/27
|
44,000
|
44,785
|
(1)
|
|||||||||
204,200
|
||||||||||||||||
Hong Kong - 3.20%
|
||||||||||||||||
CK Hutchison Capital Securities 17 Ltd.
|
USD
|
4.00
|
%
|
Perpetual
|
214,000
|
215,070
|
(1)(2)(3)
|
|||||||||
Towngas Finance Ltd.
|
USD
|
4.75
|
%
|
Perpetual
|
200,000
|
206,766
|
(2)(3)
|
|||||||||
421,836
|
||||||||||||||||
India - 6.77%
|
||||||||||||||||
ABJA Investment Co. Pte Ltd.
|
USD
|
5.95
|
%
|
07/31/24
|
200,000
|
209,250
|
||||||||||
Adani Transmission
|
USD
|
4.00
|
%
|
08/03/26
|
126,000
|
125,987
|
(1)
|
|||||||||
Bharti Airtel International Netherlands BV
|
USD
|
5.13
|
%
|
03/11/23
|
23,000
|
24,363
|
(1)
|
|||||||||
Greenko Dutch BV
|
USD
|
8.00
|
%
|
08/01/19
|
107,000
|
111,614
|
(4)
|
|||||||||
Greenko Investment Co.
|
USD
|
4.88
|
%
|
08/16/23
|
100,000
|
97,906
|
(1)
|
|||||||||
Reliance Industries Ltd.
|
USD
|
4.13
|
%
|
01/28/25
|
40,000
|
41,511
|
(1)
|
|||||||||
Vedanta Resources PLC:
|
||||||||||||||||
USD
|
6.00
|
%
|
01/31/19
|
66,000
|
67,898
|
(1)
|
||||||||||
USD
|
8.25
|
%
|
06/07/21
|
55,000
|
58,850
|
(1)
|
||||||||||
USD
|
6.38
|
%
|
07/30/22
|
102,000
|
102,000
|
(1)
|
||||||||||
USD
|
7.13
|
%
|
05/31/23
|
51,000
|
52,466
|
(1)
|
||||||||||
891,845
|
||||||||||||||||
Indonesia - 4.18%
|
||||||||||||||||
Indika Energy Capital II Pte Ltd.
|
USD
|
6.88
|
%
|
04/10/22
|
125,000
|
122,188
|
(1)
|
|||||||||
Listrindo Capital BV
|
USD
|
4.95
|
%
|
09/14/26
|
61,000
|
61,610
|
(1)
|
|||||||||
Pratama Agung Pte Ltd.
|
USD
|
6.25
|
%
|
02/24/20
|
350,000
|
366,184
|
||||||||||
549,982
|
48
|
www.shiplp.com
|
Stone Harbor Emerging Markets Corporate Debt Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed (in USD)
|
|||||||||||
Ireland - 2.65%
|
||||||||||||||||
Rosneft Oil Co. via Rosneft International
|
||||||||||||||||
Finance Ltd.
|
|
USD
|
4.20
|
%
|
03/06/22
|
345,000
|
$
|
349,097
|
(1)
|
|||||||
Israel - 2.19%
|
||||||||||||||||
Delek & Avner Tamar Bond Ltd.:
|
||||||||||||||||
USD
|
3.84
|
%
|
12/30/18
|
47,000
|
47,764
|
(1)
|
||||||||||
USD
|
5.08
|
%
|
12/30/23
|
233,000
|
240,572
|
(1)
|
||||||||||
288,336
|
||||||||||||||||
Jamaica - 1.99%
|
||||||||||||||||
Digicel Group Ltd.
|
USD
|
7.13
|
%
|
04/01/22
|
298,000
|
262,240
|
(4)
|
|||||||||
Kuwait - 1.53%
|
||||||||||||||||
Equate Petrochemical BV:
|
||||||||||||||||
USD
|
3.00
|
%
|
03/03/22
|
107,000
|
105,663
|
(1)
|
||||||||||
USD
|
4.25
|
%
|
11/03/26
|
94,000
|
96,021
|
(1)
|
||||||||||
201,684
|
||||||||||||||||
Luxembourg - 3.43%
|
||||||||||||||||
Sberbank of Russia PJSC
|
USD
|
5.50
|
%
|
02/26/24
|
438,000
|
451,139
|
(1)(2)
|
|||||||||
Macau - 2.99%
|
||||||||||||||||
MCE Finance Ltd.
|
USD
|
5.00
|
%
|
02/15/21
|
80,000
|
82,100
|
(1)
|
|||||||||
Melco Resorts Finance Ltd.
|
USD
|
4.88
|
%
|
06/06/25
|
110,000
|
110,550
|
(1)
|
|||||||||
Studio City Co. Ltd.:
|
||||||||||||||||
USD
|
5.88
|
%
|
11/30/19
|
23,000
|
24,308
|
(1)
|
||||||||||
USD
|
7.25
|
%
|
11/30/21
|
163,000
|
176,142
|
(1)
|
||||||||||
393,100
|
||||||||||||||||
Malaysia - 1.56%
|
||||||||||||||||
Axiata SPV2 Bhd
|
USD
|
3.47
|
%
|
11/19/20
|
200,000
|
205,428
|
||||||||||
Mexico - 4.31%
|
||||||||||||||||
Alfa SAB de CV
|
USD
|
5.25
|
%
|
03/25/24
|
35,000
|
37,537
|
(1)
|
|||||||||
Cemex SAB de CV:
|
||||||||||||||||
USD
|
5.70
|
%
|
01/11/25
|
20,000
|
21,044
|
(1)
|
||||||||||
USD
|
7.75
|
%
|
04/16/26
|
79,000
|
89,902
|
(1)
|
||||||||||
Metalsa SA de CV
|
USD
|
4.90
|
%
|
04/24/23
|
74,000
|
74,185
|
(1)
|
|||||||||
Mexico Generadora De Energia
|
USD
|
5.50
|
%
|
12/06/32
|
142,982
|
146,735
|
(1)
|
|||||||||
Sixsigma Networks Mexico SA de CV
|
USD
|
8.25
|
%
|
11/07/21
|
117,000
|
117,211
|
(1)
|
|||||||||
Southern Copper Corp.
|
USD
|
6.75
|
%
|
04/16/40
|
71,000
|
80,851
|
||||||||||
567,465
|
||||||||||||||||
Morocco - 1.46%
|
||||||||||||||||
OCP SA:
|
||||||||||||||||
USD
|
5.63
|
%
|
04/25/24
|
21,000
|
22,785
|
(1)
|
||||||||||
USD
|
4.50
|
%
|
10/22/25
|
168,000
|
169,680
|
(1)
|
||||||||||
192,465
|
||||||||||||||||
Peru - 2.97%
|
||||||||||||||||
BBVA Banco Continental SA
|
USD
|
5.00
|
%
|
08/26/22
|
97,000
|
104,942
|
(1)
|
|||||||||
Cia Minera Ares SAC
|
USD
|
7.75
|
%
|
01/23/21
|
55,000
|
59,125
|
(1)
|
|||||||||
Cia Minera Milpo SAA
|
USD
|
4.63
|
%
|
03/28/23
|
158,000
|
159,975
|
(1)
|
|||||||||
Kallpa Generacion SA
|
USD
|
4.88
|
%
|
05/24/26
|
64,000
|
67,200
|
(1)
|
|||||||||
391,242
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
49
|
Stone Harbor Emerging Markets Corporate Debt Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed (in USD)
|
|||||||||||
Philippines - 0.83%
|
||||||||||||||||
FPT Finance Ltd.
|
|
USD
|
6.38
|
%
|
09/28/20
|
100,000
|
$
|
108,975
|
||||||||
Russia - 2.51%
|
||||||||||||||||
Evraz Group SA
|
USD
|
6.75
|
%
|
01/31/22
|
200,000
|
213,875
|
||||||||||
Gazprom OAO Via Gaz Capital SA
|
USD
|
6.51
|
%
|
03/07/22
|
104,000
|
116,415
|
(1)
|
|||||||||
330,290
|
||||||||||||||||
Saudi Arabia - 1.22%
|
||||||||||||||||
Acwa Power Management And
|
||||||||||||||||
Investments One Ltd.
|
USD
|
5.95
|
%
|
12/15/39
|
157,000
|
160,827
|
(1)
|
|||||||||
Singapore - 1.52%
|
||||||||||||||||
United Overseas Bank Ltd.
|
USD
|
2.88
|
%
|
10/17/22
|
200,000
|
200,490
|
(2)
|
|||||||||
South Africa - 0.94%
|
||||||||||||||||
Myriad International Holdings BV
|
USD
|
5.50
|
%
|
07/21/25
|
115,000
|
123,913
|
(1)
|
|||||||||
South Korea - 1.54%
|
||||||||||||||||
Korea Gas Corp.
|
USD
|
3.88
|
%
|
02/12/24
|
63,000
|
66,312
|
(1)
|
|||||||||
Korea National Oil Corp.
|
USD
|
3.25
|
%
|
07/10/24
|
134,000
|
136,376
|
(1)
|
|||||||||
202,688
|
||||||||||||||||
Thailand - 2.59%
|
||||||||||||||||
PTT Exploration & Production PCL
|
USD
|
4.88
|
%
|
Perpetual
|
333,000
|
340,909
|
(1)(2)(3)
|
|||||||||
Turkey - 5.37%
|
||||||||||||||||
Akbank TAS
|
USD
|
5.13
|
%
|
03/31/25
|
73,000
|
71,814
|
(1)
|
|||||||||
Turkiye Garanti Bankasi AS:
|
||||||||||||||||
USD
|
4.75
|
%
|
10/17/19
|
193,000
|
198,307
|
(1)
|
||||||||||
USD
|
5.00
|
%
|
04/30/20
|
129,000
|
130,935
|
(1)
|
||||||||||
USD
|
6.25
|
%
|
04/20/21
|
56,000
|
59,640
|
(1)
|
||||||||||
USD
|
5.25
|
%
|
09/13/22
|
154,000
|
157,080
|
(1)
|
||||||||||
USD
|
6.13
|
%
|
05/24/27
|
88,000
|
88,594
|
(1)(2)
|
||||||||||
706,370
|
||||||||||||||||
Ukraine - 3.11%
|
||||||||||||||||
Oschadbank Via SSB #1 PLC
|
USD
|
9.63
|
%
|
03/20/25
|
400,000
|
408,900
|
(4)(5)
|
|||||||||
United Arab Emirates - 2.61%
|
||||||||||||||||
DP World Ltd.
|
USD
|
6.85
|
%
|
07/02/37
|
84,000
|
100,905
|
(1)
|
|||||||||
MAF Global Securities Ltd.
|
USD
|
5.50
|
%
|
Perpetual
|
239,000
|
243,182
|
(2)(3)
|
|||||||||
344,087
|
||||||||||||||||
United States - 0.74%
|
||||||||||||||||
BBVA Bancomer SA
|
USD
|
6.75
|
%
|
09/30/22
|
86,000
|
97,567
|
(1)
|
|||||||||
TOTAL CORPORATE BONDS
|
12,748,478
|
|||||||||||||||
(Cost $12,230,855)
|
50
|
www.shiplp.com
|
Stone Harbor Emerging Markets Corporate Debt Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed (in USD)
|
|||||||||||
SHORT TERM INVESTMENTS - 0.94%
|
||||||||||||||||
Money Market Mutual Funds - 0.94%
|
||||||||||||||||
State Street Institutional Liquid Reserves Fund (7-Day Yield)
|
|
USD
|
0.94
|
%
|
N/A
|
123,543
|
$
|
123,556
|
||||||||
TOTAL SHORT TERM INVESTMENTS
|
123,556
|
|||||||||||||||
(Cost $123,555)
|
||||||||||||||||
Total Investments - 97.78%
|
12,872,034
|
|||||||||||||||
(Cost $12,354,410)
|
||||||||||||||||
Other Assets In Excess of Liabilities - 2.22%
|
292,712
|
|||||||||||||||
Net Assets - 100.00%
|
$
|
13,164,746
|
* |
The principal amount/shares of each security is stated in the currency in which the security is denominated.
|
(1) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $8,602,932, which represents approximately 65.35% of net assets as of May 31, 2017.
|
(2) |
Floating or variable rate security. Interest rate disclosed is that which is in effect as of May 31, 2017.
|
(3) |
Security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.
|
(4) |
Securities were originally issued 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. As of May 31, 2017, the aggregate market value of those securities was $888,203, which represents approximately 6.75% of net assets.
|
(5) |
Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect as of May 31, 2017.
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
51
|
Stone Harbor Investment Grade Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value (Expressed in USD)
|
||||||||||||
CORPORATE BONDS ‐ 41.48%
|
|
||||||||||||||||
Aerospace/Defense ‐ 0.34%
|
|||||||||||||||||
L3 Technologies, Inc.
|
USD
|
3.85
|
%
|
12/15/26
|
50,000
|
$
|
51,602
|
||||||||||
Automotive ‐ 2.01%
|
|||||||||||||||||
Ford Motor Credit Co. LLC
|
USD
|
3.16
|
%
|
08/04/20
|
75,000
|
76,396
|
|||||||||||
General Motors Financial Co., Inc.
|
USD
|
4.30
|
%
|
07/13/25
|
75,000
|
76,056
|
|||||||||||
Hyundai Capital America
|
USD
|
2.55
|
%
|
02/06/19
|
75,000
|
75,328
|
(1)
|
||||||||||
Johnson Controls International PLC
|
USD
|
4.50
|
%
|
02/15/47
|
75,000
|
79,109
|
|||||||||||
306,889
|
|||||||||||||||||
Banking ‐ 10.04%
|
|||||||||||||||||
American Express Co.
|
USD
|
3.63
|
%
|
12/05/24
|
75,000
|
77,471
|
|||||||||||
Bank of America Corp.:
|
|||||||||||||||||
USD
|
3.95
|
%
|
04/21/25
|
25,000
|
25,462
|
||||||||||||
Series GMTN
|
USD
|
3.30
|
%
|
01/11/23
|
175,000
|
178,479
|
|||||||||||
Capital One Financial Corp.
|
USD
|
3.75
|
%
|
03/09/27
|
200,000
|
200,859
|
|||||||||||
Citigroup, Inc.:
|
|||||||||||||||||
USD
|
4.40
|
%
|
06/10/25
|
100,000
|
104,441
|
||||||||||||
USD
|
4.60
|
%
|
03/09/26
|
100,000
|
105,489
|
||||||||||||
Deutsche Bank AG
|
USD
|
3.70
|
%
|
05/30/24
|
75,000
|
74,994
|
|||||||||||
The Goldman Sachs Group, Inc.
|
USD
|
2.35
|
%
|
11/15/21
|
125,000
|
124,047
|
|||||||||||
ING Groep NV
|
USD
|
3.15
|
%
|
03/29/22
|
75,000
|
76,522
|
|||||||||||
JPMorgan Chase & Co.
|
USD
|
2.70
|
%
|
05/18/23
|
75,000
|
74,379
|
|||||||||||
Mizuho Financial Group, Inc.
|
USD
|
2.63
|
%
|
04/12/21
|
100,000
|
100,224
|
(1)
|
||||||||||
Morgan Stanley
|
USD
|
4.88
|
%
|
11/01/22
|
75,000
|
81,851
|
|||||||||||
PNC Financial Services Group, Inc.
|
USD
|
3.90
|
%
|
04/29/24
|
75,000
|
79,053
|
|||||||||||
Santander UK PLC
|
USD
|
5.00
|
%
|
11/07/23
|
75,000
|
80,395
|
(1)
|
||||||||||
Wells Fargo & Co.:
|
|||||||||||||||||
USD
|
2.10
|
%
|
07/26/21
|
125,000
|
123,901
|
||||||||||||
USD
|
3.58
|
%
|
05/22/28
|
25,000
|
25,319
|
(2)
|
|||||||||||
1,532,886
|
|||||||||||||||||
Consumer Products ‐ 0.52%
|
|||||||||||||||||
Newell Brands, Inc.
|
USD
|
3.85
|
%
|
04/01/23
|
75,000
|
79,102
|
|||||||||||
Drillers/Services ‐ 0.35%
|
|||||||||||||||||
Halliburton Co.
|
USD
|
5.00
|
%
|
11/15/45
|
50,000
|
53,967
|
|||||||||||
Electric ‐ 5.25%
|
|||||||||||||||||
Dominion Energy, Inc.
|
USD
|
2.58
|
%
|
07/01/20
|
100,000
|
100,836
|
|||||||||||
DTE Energy Co., Series F
|
USD
|
3.85
|
%
|
12/01/23
|
75,000
|
78,633
|
|||||||||||
Duke Energy Corp.
|
USD
|
3.75
|
%
|
09/01/46
|
50,000
|
46,988
|
|||||||||||
Enel Finance International NV
|
USD
|
2.88
|
%
|
05/25/22
|
75,000
|
75,025
|
(1)
|
||||||||||
Entergy Louisiana LLC
|
USD
|
3.05
|
%
|
06/01/31
|
75,000
|
72,714
|
|||||||||||
Eversource Energy
|
USD
|
2.50
|
%
|
03/15/21
|
50,000
|
50,038
|
|||||||||||
Exelon Generation Co. LLC
|
USD
|
5.60
|
%
|
06/15/42
|
75,000
|
74,641
|
|||||||||||
Georgia Power Co.
|
USD
|
4.30
|
%
|
03/15/42
|
50,000
|
50,686
|
|||||||||||
Great Plains Energy, Inc.
|
USD
|
3.15
|
%
|
04/01/22
|
75,000
|
76,335
|
|||||||||||
South Carolina Electric & Gas Co.
|
USD
|
4.10
|
%
|
06/15/46
|
50,000
|
48,409
|
|||||||||||
Southern Co.
|
USD
|
1.55
|
%
|
07/01/18
|
50,000
|
49,879
|
|||||||||||
WEC Energy Group, Inc.
|
USD
|
2.45
|
%
|
06/15/20
|
75,000
|
75,849
|
|||||||||||
800,033
|
52
|
www.shiplp.com
|
Stone Harbor Investment Grade Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value (Expressed in USD)
|
||||||||||||
Exploration & Production ‐ 2.08%
|
|||||||||||||||||
Anadarko Petroleum Corp.
|
USD
|
6.45
|
%
|
09/15/36
|
75,000
|
$
|
89,422
|
||||||||||
Apache Corp.
|
USD
|
5.10
|
%
|
09/01/40
|
75,000
|
79,244
|
|||||||||||
BP Capital Markets PLC
|
USD
|
2.32
|
%
|
02/13/20
|
75,000
|
75,886
|
|||||||||||
Continental Resources, Inc.
|
USD
|
4.50
|
%
|
04/15/23
|
75,000
|
73,875
|
|||||||||||
318,427
|
|||||||||||||||||
Food and Beverage ‐ 1.38%
|
|||||||||||||||||
Anheuser‐Busch InBev Finance, Inc.
|
USD
|
3.65
|
%
|
02/01/26
|
75,000
|
77,272
|
|||||||||||
Kraft Heinz Foods Co.
|
USD
|
4.88
|
%
|
02/15/25
|
75,000
|
80,343
|
(1)
|
||||||||||
PepsiCo, Inc.
|
USD
|
4.25
|
%
|
10/22/44
|
50,000
|
52,686
|
|||||||||||
210,301
|
|||||||||||||||||
Gas Pipelines ‐ 2.74%
|
|||||||||||||||||
Boardwalk Pipelines LP
|
USD
|
3.38
|
%
|
02/01/23
|
75,000
|
74,788
|
|||||||||||
EQT Midstream Partners LP
|
USD
|
4.00
|
%
|
08/01/24
|
75,000
|
77,139
|
|||||||||||
Kinder Morgan, Inc.
|
USD
|
5.55
|
%
|
06/01/45
|
75,000
|
80,230
|
|||||||||||
Sabine Pass Liquefaction LLC
|
USD
|
5.75
|
%
|
05/15/24
|
75,000
|
83,898
|
|||||||||||
Western Gas Partners LP
|
USD
|
5.45
|
%
|
04/01/44
|
50,000
|
52,418
|
|||||||||||
Williams Partners LP / ACMP Finance Corp.
|
USD
|
4.88
|
%
|
03/15/24
|
50,000
|
51,937
|
|||||||||||
420,410
|
|||||||||||||||||
Healthcare ‐ 1.00%
|
|||||||||||||||||
Medtronic, Inc.:
|
|||||||||||||||||
USD
|
3.15
|
%
|
03/15/22
|
50,000
|
51,990
|
||||||||||||
USD
|
4.63
|
%
|
03/15/45
|
25,000
|
27,834
|
||||||||||||
Teva Pharmaceutical Finance Netherlands III BV
|
USD
|
2.20
|
%
|
07/21/21
|
75,000
|
73,600
|
|||||||||||
153,424
|
|||||||||||||||||
Leisure ‐ 0.33%
|
|||||||||||||||||
Time Warner, Inc.
|
USD
|
3.60
|
%
|
07/15/25
|
50,000
|
50,059
|
|||||||||||
Life Insurance ‐ 0.81%
|
|||||||||||||||||
American International Group, Inc.
|
USD
|
3.88
|
%
|
01/15/35
|
100,000
|
96,331
|
|||||||||||
Nippon Life Insurance Co.
|
USD
|
5.10
|
%
|
10/16/44
|
25,000
|
26,969
|
(1)(2)
|
||||||||||
123,300
|
|||||||||||||||||
Media Cable ‐ 1.37%
|
|||||||||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital
|
USD
|
5.38
|
%
|
05/01/47
|
125,000
|
130,753
|
(1)
|
||||||||||
Comcast Corp.
|
USD
|
4.25
|
%
|
01/15/33
|
75,000
|
79,628
|
|||||||||||
210,381
|
|||||||||||||||||
Media Other ‐ 1.57%
|
|||||||||||||||||
21st Century Fox America, Inc.
|
USD
|
6.65
|
%
|
11/15/37
|
25,000
|
32,211
|
|||||||||||
CBS Corp.
|
USD
|
4.85
|
%
|
07/01/42
|
50,000
|
52,076
|
|||||||||||
The Interpublic Group of Cos, Inc.
|
USD
|
3.75
|
%
|
02/15/23
|
75,000
|
78,216
|
|||||||||||
Omnicom Group, Inc.:
|
|||||||||||||||||
USD
|
3.63
|
%
|
05/01/22
|
25,000
|
26,195
|
||||||||||||
USD
|
3.65
|
%
|
11/01/24
|
50,000
|
51,669
|
||||||||||||
240,367
|
|||||||||||||||||
Metals/Mining/Steel ‐ 0.59%
|
|||||||||||||||||
Newmont Mining Corp.
|
USD
|
6.25
|
%
|
10/01/39
|
75,000
|
90,213
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
53
|
Stone Harbor Investment Grade Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value (Expressed in USD)
|
||||||||||||
Non Captive Finance ‐ 0.34%
|
|
||||||||||||||||
Discover Bank
|
USD
|
4.25
|
%
|
03/13/26
|
50,000
|
$
|
51,951
|
||||||||||
Paper/Forest Products ‐ 0.34%
|
|||||||||||||||||
Packaging Corp. of America
|
USD
|
3.90
|
%
|
06/15/22
|
50,000
|
52,649
|
|||||||||||
Pharmaceuticals ‐ 0.84%
|
|||||||||||||||||
Allergan Funding SCS
|
USD
|
3.45
|
%
|
03/15/22
|
50,000
|
51,892
|
|||||||||||
Gilead Sciences, Inc.
|
USD
|
4.50
|
%
|
02/01/45
|
75,000
|
76,853
|
|||||||||||
128,745
|
|||||||||||||||||
Real Estate Investment Trust (REITs) ‐ 2.54%
|
|||||||||||||||||
Corporate Office Properties LP
|
USD
|
3.60
|
%
|
05/15/23
|
75,000
|
74,483
|
|||||||||||
Crown Castle International Corp.
|
USD
|
4.88
|
%
|
04/15/22
|
75,000
|
82,248
|
|||||||||||
DDR Corp.
|
USD
|
3.38
|
%
|
05/15/23
|
75,000
|
73,123
|
|||||||||||
Digital Realty Trust LP
|
USD
|
4.75
|
%
|
10/01/25
|
75,000
|
80,919
|
|||||||||||
Kimco Realty Corp.
|
USD
|
3.20
|
%
|
05/01/21
|
75,000
|
76,614
|
|||||||||||
387,387
|
|||||||||||||||||
Refining ‐ 0.52%
|
|||||||||||||||||
Phillips 66
|
USD
|
4.65
|
%
|
11/15/34
|
75,000
|
79,373
|
|||||||||||
Retail Food/Drug ‐ 0.74%
|
|||||||||||||||||
CVS Pass‐Through Trust
|
USD
|
6.04
|
%
|
12/10/28
|
34,058
|
38,662
|
|||||||||||
Kroger Co.
|
USD
|
4.45
|
%
|
02/01/47
|
75,000
|
75,160
|
|||||||||||
113,822
|
|||||||||||||||||
Retail Non Food/Drug ‐ 0.49%
|
|||||||||||||||||
Macy's Retail Holdings, Inc.
|
USD
|
3.88
|
%
|
01/15/22
|
75,000
|
74,648
|
|||||||||||
Technology ‐ 3.03%
|
|||||||||||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd.
|
USD
|
2.38
|
%
|
01/15/20
|
125,000
|
125,309
|
(1)
|
||||||||||
Microsoft Corp., Series 30Y
|
USD
|
4.25
|
%
|
02/06/47
|
125,000
|
133,198
|
|||||||||||
Oracle Corp.:
|
|||||||||||||||||
USD
|
2.65
|
%
|
07/15/26
|
25,000
|
24,277
|
||||||||||||
USD
|
4.30
|
%
|
07/08/34
|
50,000
|
53,570
|
||||||||||||
Tencent Holdings Ltd.
|
USD
|
3.80
|
%
|
02/11/25
|
50,000
|
52,160
|
(1)
|
||||||||||
Xilinx, Inc.
|
USD
|
2.95
|
%
|
06/01/24
|
75,000
|
75,463
|
|||||||||||
463,977
|
|||||||||||||||||
Transportation Non Air/Rail ‐ 0.91%
|
|||||||||||||||||
ERAC USA Finance LLC
|
USD
|
7.00
|
%
|
10/15/37
|
50,000
|
63,589
|
(1)
|
||||||||||
FedEx Corp.
|
USD
|
4.40
|
%
|
01/15/47
|
75,000
|
75,684
|
|||||||||||
139,273
|
|||||||||||||||||
Wirelines ‐ 1.35%
|
|||||||||||||||||
AT&T, Inc.:
|
|||||||||||||||||
USD
|
3.60
|
%
|
02/17/23
|
50,000
|
51,217
|
||||||||||||
USD
|
5.45
|
%
|
03/01/47
|
75,000
|
79,493
|
54
|
www.shiplp.com
|
Stone Harbor Investment Grade Fund
|
Statements of Investments
|
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value (Expressed in USD)
|
|||||||||||
Wirelines (continued)
|
|||||||||||||||||
Verizon Communications, Inc.
|
|
USD
|
3.50
|
%
|
11/01/24
|
75,000
|
$
|
76,136
|
|||||||||
206,846
|
|||||||||||||||||
TOTAL CORPORATE BONDS
(Cost $6,185,108)
|
6,340,032
|
||||||||||||||||
ASSET BACKED/COMMERCIAL MORTGAGE BACKED SECURITIES ‐ 16.23%
|
|||||||||||||||||
1211 Avenue of the Americas Trust, Series 2015‐1211
|
USD
|
3.90
|
%
|
08/10/35
|
25,000
|
26,722
|
(1)
|
||||||||||
Banc of America Funding Corp., Series 2012‐R6
|
USD
|
1.18
|
%
|
07/26/36
|
7,050
|
7,044
|
(1)(2)
|
||||||||||
Bayview Opportunity Master Fund IVb Trust:
|
|||||||||||||||||
Series 2016‐CRT1
|
USD
|
2.79
|
%
|
10/27/27
|
137,186
|
137,190
|
(1)(2)
|
||||||||||
Series 2017‐NPL1
|
USD
|
3.60
|
%
|
01/28/32
|
41,414
|
41,450
|
(1)(3)
|
||||||||||
BHMS Mortgage Trust, Series 2014‐ATLS
|
USD
|
2.49
|
%
|
07/05/33
|
25,000
|
25,065
|
(1)(2)
|
||||||||||
Cosmopolitan Hotel Trust, Series 2016‐CSMO
|
USD
|
2.39
|
%
|
11/15/21
|
100,000
|
100,865
|
(1)(2)
|
||||||||||
Fannie Mae Pool:
|
|||||||||||||||||
Series 2009
|
USD
|
5.00
|
%
|
02/01/23
|
200,617
|
220,443
|
|||||||||||
Series 2016
|
USD
|
2.30
|
%
|
09/01/46
|
201,344
|
205,026
|
(2)
|
||||||||||
Financial Asset Securities Corp. AAA Trust, Series 2005‐2
|
USD
|
1.29
|
%
|
11/26/35
|
32,410
|
31,234
|
(1)(2)
|
||||||||||
Freddie Mac Non Gold Pool:
|
|||||||||||||||||
Series 2012
|
USD
|
2.18
|
%
|
12/01/42
|
159,444
|
162,799
|
(2)
|
||||||||||
Series 2015
|
USD
|
2.49
|
%
|
07/01/45
|
108,299
|
110,389
|
(2)
|
||||||||||
Series 2016
|
USD
|
2.42
|
%
|
09/01/43
|
82,321
|
84,115
|
(2)
|
||||||||||
Freddie Mac Whole Loan Securities Trust:
|
|||||||||||||||||
Series 2015‐SC02
|
USD
|
3.00
|
%
|
09/25/45
|
72,583
|
71,289
|
|||||||||||
Series 2016‐SC01
|
USD
|
3.50
|
%
|
07/25/46
|
130,645
|
133,064
|
|||||||||||
GAHR Commercial Mortgage Trust, Series 2015‐NRF
|
USD
|
2.29
|
%
|
12/15/34
|
18,305
|
18,342
|
(1)(2)
|
||||||||||
Hyatt Hotel Portfolio Trust, Series 2015‐HYT
|
USD
|
2.25
|
%
|
11/15/19
|
100,000
|
100,219
|
(1)(2)
|
||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust:
|
|||||||||||||||||
Series 2006‐LDP9
|
USD
|
5.34
|
%
|
05/15/47
|
75,000
|
74,455
|
|||||||||||
Series 2007‐LDPX
|
USD
|
5.46
|
%
|
01/15/49
|
33,184
|
33,155
|
(2)
|
||||||||||
New Residential Advance Receivables Trust Advance Receivables Backed Notes, Series 2017‐T1
|
USD
|
3.21
|
%
|
02/16/21
|
100,000
|
101,032
|
(1)
|
||||||||||
Progress Residential Trust, Series 2016‐SFR1
|
USD | 2.49 | % |
09/17/18
|
49,793 | 50,458 | (1)(2) | ||||||||||
RBSSP Resecuritization Trust:
|
|||||||||||||||||
Series 2012‐6
|
USD
|
1.33
|
%
|
11/26/35
|
41,263
|
39,150
|
(1)(2)
|
||||||||||
Series 2012‐6
|
USD
|
1.31
|
%
|
01/26/36
|
35,729
|
34,873
|
(1)(2)
|
||||||||||
Series 2012‐6
|
USD
|
1.14
|
%
|
08/26/36
|
45,459
|
44,954
|
(1)(2)
|
||||||||||
Santandar Drive Auto Receivables Trust, Series 2013‐1
|
USD
|
2.27
|
%
|
01/15/19
|
96,885
|
97,075
|
|||||||||||
TAL Advantage V LLC, Series 2013‐2A
|
USD
|
3.55
|
%
|
11/20/23
|
32,500
|
32,242
|
(1)
|
||||||||||
Towd Point Mortgage Trust:
|
|||||||||||||||||
Series 2015‐3
|
USD
|
3.00
|
%
|
03/25/23
|
57,378
|
58,174
|
(1)(2)
|
||||||||||
Series 2015‐5
|
USD
|
2.75
|
%
|
09/25/22
|
35,073
|
35,389
|
(1)(2)
|
||||||||||
Series 2016‐3
|
USD
|
2.25
|
%
|
04/25/56
|
118,843
|
118,658
|
(1)(2)
|
||||||||||
Series 2016‐5
|
USD
|
2.50
|
%
|
10/25/56
|
46,280
|
46,404
|
(1)(2)
|
||||||||||
TRU Trust, Series 2016‐TOYS
|
USD
|
3.24
|
%
|
11/15/19
|
49,385
|
49,630
|
(1)(2)
|
||||||||||
VOLT LIV LLC, Series 2017‐NPL1
|
USD
|
3.63
|
%
|
02/25/47
|
95,861
|
96,332
|
(1)(3)
|
||||||||||
VOLT XXII LLC, Series 2015‐NPL4
|
USD
|
3.50
|
%
|
02/25/18
|
11,583
|
11,653
|
(1)(3)
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
55
|
Stone Harbor Investment Grade Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value(Expressed in USD)
|
||||||||||||
ASSET BACKED/COMMERCIAL MORTGAGE BACKED SECURITIES (continued)
|
|||||||||||||||||
VOLT XXV LLC, Series 2015‐NPL8
|
USD
|
3.50
|
%
|
06/26/45
|
40,972
|
$
|
41,157
|
(1)(3)
|
|||||||||
VOLT XXXIII LLC, Series 2015‐NPL5
|
USD
|
3.50
|
%
|
03/25/55
|
11,484
|
11,556
|
(1)(3)
|
||||||||||
VOLT XXXIX LLC, Series 2015‐NP13
|
USD
|
4.13
|
%
|
10/25/18
|
28,266
|
28,536
|
(1)(3)
|
||||||||||
|
|||||||||||||||||
TOTAL ASSET BACKED/COMMERCIAL MORTGAGE BACKED SECURITIES
|
|
2,480,139
|
|||||||||||||||
(Cost $2,466,747)
|
|||||||||||||||||
U.S. TREASURY BONDS/NOTES ‐ 19.83%
|
|||||||||||||||||
U.S. Treasury Bonds
|
USD
|
2.50
|
%
|
02/15/46
|
425,000
|
393,241
|
|||||||||||
U.S. Treasury Notes:
|
|||||||||||||||||
USD
|
0.75
|
%
|
02/15/19
|
250,000
|
247,890
|
||||||||||||
USD
|
1.38
|
%
|
09/30/20
|
600,000
|
597,129
|
||||||||||||
USD
|
2.00
|
%
|
11/15/21
|
925,000
|
937,032
|
||||||||||||
USD
|
2.75
|
%
|
02/15/24
|
250,000
|
261,929
|
||||||||||||
USD
|
2.00
|
%
|
08/15/25
|
600,000
|
593,731
|
||||||||||||
TOTAL U.S. TREASURY BONDS/NOTES
|
3,030,952
|
||||||||||||||||
(Cost $3,064,263)
|
|||||||||||||||||
U.S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES ‐ 18.61%
|
|||||||||||||||||
FGLMC TBA:
|
|||||||||||||||||
USD
|
3.00
|
%
|
06/13/17
|
100,000
|
100,409
|
(4)
|
|||||||||||
USD
|
3.50
|
%
|
06/13/17
|
425,000
|
438,717
|
(4)
|
|||||||||||
FNMA TBA:
|
|||||||||||||||||
USD
|
3.00
|
%
|
06/13/17
|
600,000
|
602,766
|
(4)
|
|||||||||||
USD
|
3.50
|
%
|
06/13/17
|
300,000
|
309,667
|
(4)
|
|||||||||||
USD
|
4.00
|
%
|
06/13/17
|
700,000
|
739,156
|
(4)
|
|||||||||||
USD
|
4.50
|
%
|
06/13/17
|
225,000
|
242,524
|
(4)
|
|||||||||||
USD
|
2.50
|
%
|
06/19/17
|
100,000
|
100,991
|
(4)
|
|||||||||||
USD
|
3.00
|
%
|
06/19/17
|
300,000
|
309,363
|
(4)
|
|||||||||||
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES
|
2,843,593
|
||||||||||||||||
(Cost $2,819,632)
|
|||||||||||||||||
SHORT TERM INVESTMENTS ‐ 8.13%
|
|||||||||||||||||
Money Market Mutual Funds ‐ 8.13%
|
|||||||||||||||||
State Street Institutional Liquid Reserves Fund
|
|||||||||||||||||
(7‐Day Yield)
|
USD
|
0.94
|
%
|
N/A
|
1,242,956
|
1,243,081
|
|||||||||||
TOTAL SHORT TERM INVESTMENTS
|
1,243,081
|
||||||||||||||||
(Cost $1,242,798)
|
|||||||||||||||||
Total Investments ‐ 104.28%
|
15,937,797
|
||||||||||||||||
(Cost $15,778,548)
|
|||||||||||||||||
Liabilities in Excess of Other Assets ‐ (4.28)%
|
(654,730
|
)
|
|||||||||||||||
Net Assets ‐ 100.00%
|
$
|
15,283,067
|
*
|
The principal amount/shares of each security is stated in the currency in which the security is denominated.
|
56
|
www.shiplp.com
|
Stone Harbor Investment Grade Fund
|
Statements of Investments
|
(1)
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $2,098,424, which represents approximately 13.73% of net assets as of May 31, 2017.
|
(2)
|
Floating or variable rate security. Interest rate disclosed is that which is in effect as of May 31, 2017.
|
(3)
|
Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect as of May 31, 2017.
|
(4)
|
Investment purchased on a delayed delivery basis.
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
57
|
Stone Harbor Strategic Income Fund
|
Statements of Investments
|
Currency
|
Rate
|
Shares*
|
Value (Expressed in USD)
|
|||||||||||
OPEN-END FUNDS - 98.39%
|
||||||||||||||
Stone Harbor Emerging Markets Corporate Debt Fund
|
USD
|
N/A
|
102,140
|
$
|
933,563
|
(1)
|
||||||||
Stone Harbor Emerging Markets Debt Fund
|
USD
|
N/A
|
531,630
|
5,635,273
|
(1)
|
|||||||||
Stone Harbor High Yield Bond Fund
|
USD
|
N/A
|
1,560,636
|
12,968,881
|
(1)
|
|||||||||
Stone Harbor Investment Grade Fund
|
USD
|
N/A
|
1,471,669
|
15,275,924
|
(1)
|
|||||||||
Stone Harbor Local Markets Fund
|
USD
|
N/A
|
216,232
|
1,894,190
|
(1)(2)
|
|||||||||
36,707,831
|
||||||||||||||
TOTAL OPEN‐END FUNDS
|
36,707,831
|
|||||||||||||
(Cost $37,230,435)
|
||||||||||||||
SHORT TERM INVESTMENTS ‐ 0.33%
|
||||||||||||||
Money Market Mutual Funds ‐ 0.33%
|
||||||||||||||
State Street Institutional Liquid Reserves Fund (7‐Day Yield)
|
USD
|
0.94
|
%
|
124,514
|
124,514
|
|||||||||
TOTAL SHORT TERM INVESTMENTS
|
124,514
|
|||||||||||||
(Cost $124,514)
|
||||||||||||||
Total Investments ‐ 98.72%
|
36,832,345
|
|||||||||||||
(Cost $37,354,949)
|
||||||||||||||
Other Assets In Excess of Liabilities ‐ 1.28%
|
476,572
|
(3)
|
||||||||||||
Net Assets ‐ 100.00%
|
$
|
37,308,917
|
* |
The shares of each security is stated in the currency in which the security is denominated.
|
EUR |
-
|
Euro Currency
|
GBP | - | Great Britain Pound |
JPY | - | Japanese Yen |
MXN | - | Mexican Peso |
USD | - | United States Dollar |
(1) |
Affiliated with the Fund, as each is a series of Stone Harbor Investment Funds and has the same investment adviser.
|
(2) |
Non-income producing security.
|
(3) |
Includes cash which is being held as collateral for futures contracts and credit default swap contracts.
|
Counterparty
|
Foreign Currency
|
Contracted Amount**
|
Purchase/Sale Contract
|
Settlement Date
|
Current Value
|
Unrealized Appreciation/ (Depreciation)
|
|||||||||||
Citigroup Global Markets
|
EUR
|
190,200
|
Purchase
|
06/09/17
|
$
|
213,769
|
$
|
307
|
|||||||||
Citigroup Global Markets
|
GBP
|
92,400
|
Purchase
|
06/09/17
|
119,089
|
325
|
|||||||||||
Citigroup Global Markets
|
JPY
|
88,708,000
|
Purchase
|
06/19/17
|
801,688
|
13,289
|
|||||||||||
Citigroup Global Markets
|
MXN
|
7,421,000
|
Purchase
|
06/22/17
|
396,471
|
5,799
|
|||||||||||
J.P. Morgan Chase & Co.
|
EUR
|
710,000
|
Purchase
|
06/30/17
|
798,915
|
2,101
|
|||||||||||
J.P. Morgan Chase & Co.
|
GBP
|
92,400
|
Sale
|
06/09/17
|
119,089
|
596
|
|||||||||||
$
|
22,417
|
58
|
www.shiplp.com
|
Stone Harbor Strategic Income Fund
|
Statements of Investments
|
Counterparty
|
Foreign Currency
|
Contracted Amount**
|
Purchase/Sale Contract
|
Settlement Date
|
Current Value
|
Unrealized Appreciation/ (Depreciation)
|
|||||||||||
Citigroup Global Markets
|
EUR
|
211,900
|
Sale
|
07/10/17
|
$
|
238,549
|
$
|
(324
|
)
|
||||||||
Citigroup Global Markets
|
GBP
|
101,100
|
Sale
|
07/10/17
|
130,428
|
(346
|
)
|
||||||||||
Citigroup Global Markets
|
JPY
|
88,708,000
|
Sale
|
06/19/17
|
801,688
|
(2,118
|
)
|
||||||||||
Citigroup Global Markets
|
MXN
|
7,421,000
|
Sale
|
06/22/17
|
396,471
|
(1,667
|
)
|
||||||||||
J.P. Morgan Chase & Co.
|
EUR
|
190,200
|
Sale
|
06/09/17
|
213,768
|
(5,566
|
)
|
||||||||||
J.P. Morgan Chase & Co.
|
MXN
|
7,238,000
|
Purchase
|
06/22/17
|
386,694
|
(5,281
|
)
|
||||||||||
$
|
(15,302
|
)
|
** |
The contracted amount is stated in the currency in which the contract is denominated.
|
Description
|
Position
|
Contracts
|
Currency
|
Expiration Date
|
Notional Amount***
|
Unrealized Appreciation/(Depreciation)
|
||||||||||||
Euro‐Bund Future
|
Long
|
32
|
EUR
|
6/08/17
|
5,194,240
|
$
|
40,845
|
|||||||||||
US Ultra T‐bond
|
Long
|
2
|
USD
|
9/20/17
|
330,250
|
3,375
|
||||||||||||
$
|
44,220
|
|||||||||||||||||
Long Gilt Future
|
Long
|
10
|
GBP
|
9/27/17
|
1,279,400
|
$
|
(2,706
|
)
|
||||||||||
US 10Yr Note Future
|
Short
|
(37
|
)
|
USD
|
9/20/17
|
(4,672,985
|
)
|
(14,453
|
)
|
|||||||||
$
|
(17,159
|
)
|
***
|
The notional amount of each security is stated in the currency in which the security is denominated.
|
Reference Obligations
|
Clearinghouse
|
Fixed Deal Pay Rate
|
Maturity Date
|
Implied Credit Spread at May 31, 2017(2)
|
Notional Amount(3)
|
Value
|
Upfront Premiums Received
|
Unrealized Depreciation
|
|||||||||||||||||||
CDX HY CDSI S285 Y(4)
|
Intercontinental
Exchange |
5.000
|
%
|
06/20/2022
|
3.280
|
%
|
$
|
5,450,000
|
$
|
(409,502
|
)
|
$
|
338,445
|
$
|
(71,057
|
)
|
|||||||||||
$
|
(409,502
|
)
|
$
|
338,445
|
$
|
(71,057
|
)
|
(1) |
If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.
|
(2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
|
(3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.
|
(4) |
Based on an index of 100 North American equities with high yield credit ratings that trade in the CDS market.
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
59
|
Stone Harbor Emerging Markets Debt Allocation Fund
|
Statements of Investments
|
Currency
|
Rate
|
Shares*
|
Value (Expressed in USD)
|
|||||||||||
OPEN‐END FUNDS ‐ 99.64%
|
||||||||||||||
Stone Harbor Emerging Markets Debt Fund
|
USD
|
N/A
|
1,142,278
|
$
|
12,108,147
|
(1)
|
||||||||
Stone Harbor Local Markets Fund
|
USD
|
N/A
|
1,766,344
|
15,473,177
|
(1)(2)
|
|||||||||
27,581,324
|
||||||||||||||
TOTAL OPEN‐END FUNDS
|
27,581,324
|
|||||||||||||
(Cost $24,080,615)
|
||||||||||||||
SHORT TERM INVESTMENTS ‐ 0.46%
|
||||||||||||||
Money Market Mutual Funds ‐ 0.46%
|
||||||||||||||
State Street Institutional Liquid Reserves Fund (7‐Day Yield)
|
USD
|
0.94
|
%
|
127,090
|
127,103
|
|||||||||
TOTAL SHORT TERM INVESTMENTS
|
127,103
|
|||||||||||||
(Cost $127,103)
|
||||||||||||||
Total Investments ‐ 100.10%
|
27,708,427
|
|||||||||||||
(Cost $24,207,718)
|
||||||||||||||
Liabilities in Excess of Other Assets ‐ (0.10)%
|
(27,573
|
)
|
||||||||||||
Net Assets ‐ 100.00%
|
$
|
27,680,854
|
*
|
The shares of each security is stated in the currency in which the security is denominated.
|
(1)
|
Affiliated with the Fund, as each is a series of Stone Harbor Investment Funds and has the same investment adviser.
|
(2)
|
Non-income producing security.
|
Counterparty
|
Foreign Currency
|
Contracted Amount**
|
Purchase/Sale Contract
|
Settlement Date
|
Current Value
|
Unrealized Appreciation/ (Depreciation)
|
|||||||||||
Citigroup Global Markets
|
EUR
|
160,000
|
Purchase
|
06/05/17
|
$
|
179,777
|
$
|
577
|
|||||||||
$
|
577
|
||||||||||||||||
Citigroup Global Markets
|
EUR
|
160,000
|
Sale
|
06/05/17
|
$
|
179,777
|
$
|
(4,177
|
)
|
||||||||
Citigroup Global Markets
|
EUR
|
160,000
|
Sale
|
07/07/17
|
180,093
|
(579
|
)
|
||||||||||
$
|
(4,756
|
)
|
** |
The contracted amount is stated in the currency in which the contract is denominated.
|
60
|
www.shiplp.com
|
Stone Harbor 500 Plus Fund
|
Statements of Investments
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||
ASSET BACKED/COMMERCIAL MORTGAGE BACKED SECURITIES -79.49%
|
|||||||||||||||||
Bayview Opportunity Master Fund IVb Trust:
|
|||||||||||||||||
Series 2017-CRT1
|
|
USD
|
3.19
|
%
|
10/25/28 |
97,492
|
$
|
97,843
|
(1)(2)
|
||||||||
Series 2017-NPL1
|
USD
|
3.60
|
%
|
01/28/32 |
20,707
|
20,725
|
(2)(3)
|
||||||||||
CD Commercial Mortgage Trust, Series 2007-CD5
|
USD
|
5.89
|
%
|
08/15/17 |
14,491
|
14,510
|
(1)
|
||||||||||
COMM Mortgage Trust, Series 2013-THL
|
USD
|
2.04
|
%
|
06/08/30 |
75,000
|
75,273
|
(1)(2)
|
||||||||||
Hertz Vehicle Financing LLC, Series 2015-2A
|
USD
|
2.02
|
%
|
09/25/19 |
100,000
|
99,733
|
(2)
|
||||||||||
Hudsons Bay Simon JV Trust, Series 2015-HBFL
|
USD
|
3.54
|
%
|
08/05/34 |
100,000
|
99,729
|
(1)(2)
|
||||||||||
Hyatt Hotel Portfolio Trust, Series 2015-HYT
|
USD
|
2.25
|
%
|
11/15/19 |
75,000
|
75,164
|
(1)(2)
|
||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust:
|
|||||||||||||||||
Series 2006-LDP9
|
USD
|
5.34
|
%
|
05/15/47 |
80,000
|
79,419
|
|||||||||||
Series 2007-LDPX
|
USD
|
5.46
|
%
|
01/15/49 |
59,732
|
59,678
|
(1)
|
||||||||||
LB Commercial Mortgage Trust, Series 2007-C3
|
USD
|
6.01
|
%
|
07/15/44 |
17,498
|
17,507
|
(1)
|
||||||||||
Mill City Mortgage Loan Trust:
|
|||||||||||||||||
Series 2016-1
|
USD
|
2.50
|
%
|
04/25/57 |
25,567
|
25,672
|
(1)(2)
|
||||||||||
Series 2017-1
|
USD
|
2.75
|
%
|
11/25/58 |
96,622
|
97,465
|
(1)(2)
|
||||||||||
New Residential Advance Receivables Trust Advance Receivables Backed Notes, Series 2017-T1
|
USD
|
3.21
|
%
|
02/16/21
|
100,000
|
101,032
|
(2)
|
||||||||||
Progress Residential Trust, Series 2016-SFR1
|
USD
|
2.49
|
%
|
09/17/18
|
39,834
|
40,366
|
(1)(2)
|
||||||||||
SLM Student Loan Trust, Series 2005-3
|
USD
|
1.25
|
%
|
10/25/24 |
192,132
|
191,861
|
(1)
|
||||||||||
Towd Point Mortgage Trust:
|
|||||||||||||||||
Series 2015-3
|
USD
|
3.00
|
%
|
03/25/23
|
17,214
|
17,452
|
(1)(2)
|
||||||||||
Series 2016-2
|
USD
|
2.75
|
%
|
08/25/55 |
23,994
|
24,182
|
(1)(2)
|
||||||||||
Series 2016-3
|
USD
|
2.25
|
%
|
04/25/56 |
19,807
|
19,776
|
(1)(2)
|
||||||||||
Series 2016-5
|
USD
|
2.50
|
%
|
10/25/56 |
92,561
|
92,808
|
(1)(2)
|
||||||||||
Series 2017-1
|
USD
|
2.75
|
%
|
10/25/56 |
75,338
|
76,026
|
(1)(2)
|
||||||||||
TRU Trust, Series 2016-TOYS
|
USD
|
3.24
|
%
|
11/15/19 |
39,508
|
39,704
|
(1)(2)
|
||||||||||
VOLT LIV LLC, Series 2017-NPL1
|
USD
|
3.63
|
%
|
02/25/47 |
86,275
|
86,699
|
(2)(3)
|
||||||||||
VOLT LVIII LLC, Series 2017-NPL5
|
USD
|
3.38
|
%
|
05/27/47 |
100,000
|
100,262
|
(2)(3)
|
||||||||||
VOLT XXV LLC, Series 2015-NPL8
|
USD
|
3.50
|
%
|
06/26/45
|
46,825
|
47,037
|
(2)(3)
|
||||||||||
VOLT XXXIII LLC, Series 2015-NPL5
|
USD
|
3.50
|
%
|
03/25/55 |
45,935
|
46,226
|
(2)(3)
|
||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-BXRP
|
USD
|
2.46
|
%
|
11/15/29 |
80,343
|
80,407
|
(1)(2)
|
||||||||||
TOTAL ASSET BACKED/COMMERCIAL MORTGAGE BACKED SECURITIES
|
1,726,556
|
||||||||||||||||
(Cost $1,719,346)
|
|||||||||||||||||
SHORT TERM INVESTMENTS - 18.63%
|
|||||||||||||||||
Money Market Mutual Funds - 18.63%
|
|||||||||||||||||
State Street Institutional Liquid Reserves Fund (7-Day Yield)
|
USD
|
0.94
|
%
|
N/A
|
404,550
|
404,590
|
|||||||||||
TOTAL SHORT TERM INVESTMENTS
|
404,590
|
||||||||||||||||
(Cost $404,590)
|
|||||||||||||||||
Total Investments - 98.12%
|
2,131,146
|
||||||||||||||||
(Cost $2,123,936)
|
|||||||||||||||||
Other Assets in Excess of Liabilities - 1.88%
|
40,897
|
||||||||||||||||
Net Assets - 100.00%
|
$
|
2,172,043
|
*
|
The principal amount/shares of each security is stated in the currency in which the security is denominated.
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
61
|
Stone Harbor 500 Plus Fund
|
Statements of Investments
|
(1)
|
Floating or variable rate security. Interest rate disclosed is that which is in effect as of May 31, 2017.
|
(2)
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $1,363,581, which represents approximately 62.78% of net assets as of May 31, 2017.
|
(3)
|
Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect as of May 31, 2017.
|
Description
|
Position
|
Contracts
|
Currency
|
Expiration Date
|
Notional Amount**
|
Unrealized Appreciation/(Depreciation)
|
|||||||||
S&P 500 Mini Future
|
Long
|
18
|
USD
|
6/16/17
|
2,169,990
|
$
|
131,465
|
||||||||
2,169,990
|
$
|
131,465
|
**
|
The notional amount of each security is stated in the currency in which the security is denominated.
|
62
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Statements of Assets and Liabilities
|
Stone Harbor Emerging
Markets Debt Fund
|
Stone Harbor High
Yield Bond Fund
|
Stone Harbor Local
Markets Fund
|
||||||||||
ASSETS:
|
||||||||||||
Investments, at value(1)
|
$
|
1,422,335,613
|
$
|
160,595,866
|
$
|
814,665,959
|
||||||
Investments in affiliates, at value(2)
|
–
|
–
|
–
|
|||||||||
Cash
|
8,973,172
|
–
|
140,000
|
|||||||||
Foreign currency, at value (3)
|
–
|
–
|
1,441,141
|
|||||||||
Variation margin receivable on credit default swap contracts
|
–
|
–
|
–
|
|||||||||
Unrealized appreciation on forward foreign currency contracts
|
1,095,307
|
1,967
|
2,220,877
|
|||||||||
Deposits with brokers for credit default swap contracts and forward foreign currency contracts
|
2,830,000
|
–
|
750,000
|
|||||||||
Cash pledged as collateral for forward commitments
|
–
|
–
|
–
|
|||||||||
Deposits with brokers for futures contracts
|
–
|
–
|
–
|
|||||||||
Receivable for investments sold
|
47,934,112
|
–
|
190,505,897
|
|||||||||
Receivable for variation margin on future contracts
|
–
|
–
|
–
|
|||||||||
Receivable for fund shares sold
|
1,675,339
|
9,702
|
–
|
|||||||||
Receivable from adviser
|
–
|
–
|
–
|
|||||||||
Interest receivable
|
22,047,081
|
2,473,004
|
19,575,562
|
|||||||||
Deferred offering costs
|
–
|
–
|
–
|
|||||||||
Prepaid and other assets
|
24,489
|
5,456
|
16,028
|
|||||||||
Total Assets
|
1,506,915,113
|
163,085,995
|
1,029,315,464
|
|||||||||
LIABILITIES:
|
||||||||||||
Payable due to brokers for forward foreign currency contracts
|
110,000
|
–
|
190,000
|
|||||||||
Payable for investments purchased
|
19,769,163
|
1,849,244
|
35,149,549
|
|||||||||
Payable for fund shares redeemed
|
40,315,000
|
735,000
|
338,596
|
|||||||||
Swap premium received
|
–
|
–
|
–
|
|||||||||
Unrealized depreciation on forward foreign currency contracts
|
3,931,562
|
37,607
|
1,887,285
|
|||||||||
Variation margin payable on futures contracts
|
–
|
–
|
–
|
|||||||||
Payable to adviser
|
750,708
|
57,624
|
622,225
|
|||||||||
Payable to administrator
|
151,383
|
30,937
|
96,849
|
|||||||||
Payable for offering costs
|
–
|
–
|
–
|
|||||||||
Other payables
|
115,773
|
90,834
|
88,933
|
|||||||||
Total Liabilities
|
65,143,589
|
2,801,246
|
38,373,437
|
|||||||||
Net Assets
|
$
|
1,441,771,524
|
$
|
160,284,749
|
$
|
990,942,027
|
||||||
NET ASSETS CONSIST OF:
|
||||||||||||
Paid‐in capital
|
$
|
1,568,465,387
|
$
|
178,970,405
|
$
|
1,275,733,465
|
||||||
Undistributed/(overdistributed) net investment income
|
2,015,745
|
560,218
|
(59,111,856
|
)
|
||||||||
Accumulated net realized gain/(loss)
|
(180,619,968
|
)
|
(24,454,411
|
)
|
(181,696,581
|
)
|
||||||
Net unrealized appreciation/(depreciation)
|
51,910,360
|
5,208,537
|
(43,983,001
|
)
|
||||||||
Net Assets
|
$
|
1,441,771,524
|
$
|
160,284,749
|
$
|
990,942,027
|
||||||
PRICING OF SHARES:
|
||||||||||||
Institutional Class
|
||||||||||||
Net Assets
|
$
|
1,441,771,524
|
$
|
160,284,749
|
$
|
990,942,027
|
||||||
Shares of beneficial interest outstanding (unlimited number of shares, par value of $0.001 per share authorized)
|
135,994,567
|
19,299,361
|
113,182,642
|
|||||||||
Net assets value, offering and redemption price per share
|
$
|
10.60
|
$
|
8.31
|
$
|
8.76
|
||||||
(1)Cost of Investments
|
$
|
1,367,699,001
|
$
|
155,352,391
|
$
|
859,226,362
|
||||||
(2)Cost of Investments in affiliates
|
$
|
–
|
$
|
–
|
$
|
–
|
||||||
(3)Cost of Investments in foreign cash
|
$
|
–
|
$
|
–
|
$
|
1,448,845
|
64
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Statements of Assets and Liabilities
|
Stone Harbor Emerging
Markets Corporate
Debt Fund |
Stone Harbor Investment
Grade Fund
|
Stone Harbor Strategic
Income Fund |
Stone Harbor Emerging
Markets Debt
Allocation Fund |
Stone Harbor 500
Plus Fund |
||||||||||||||
$
|
12,872,034
|
$
|
15,937,797
|
$
|
124,514
|
$
|
127,103
|
$
|
2,131,146
|
|||||||||
–
|
–
|
36,707,831
|
27,581,324
|
–
|
||||||||||||||
–
|
–
|
–
|
–
|
–
|
||||||||||||||
–
|
–
|
190,484
|
–
|
–
|
||||||||||||||
–
|
–
|
622
|
–
|
–
|
||||||||||||||
–
|
–
|
22,417
|
577
|
–
|
||||||||||||||
–
|
–
|
189,879
|
–
|
–
|
||||||||||||||
–
|
3,000,000
|
–
|
–
|
–
|
||||||||||||||
–
|
–
|
151,284
|
–
|
82,800
|
||||||||||||||
336,350
|
–
|
2,079,000
|
–
|
–
|
||||||||||||||
–
|
–
|
–
|
–
|
360
|
||||||||||||||
–
|
–
|
–
|
–
|
–
|
||||||||||||||
6,928
|
12,385
|
13,199
|
11,457
|
–
|
||||||||||||||
171,778
|
85,788
|
84
|
83
|
3,261
|
||||||||||||||
–
|
–
|
–
|
–
|
41,274
|
||||||||||||||
6,526
|
1,277
|
1,486
|
4,473
|
1,062
|
||||||||||||||
13,393,616
|
19,037,247
|
39,480,800
|
27,725,017
|
2,259,903
|
||||||||||||||
–
|
–
|
–
|
–
|
–
|
||||||||||||||
110,000
|
2,823,024
|
–
|
–
|
–
|
||||||||||||||
52,500
|
871,500
|
2,100,000
|
–
|
–
|
||||||||||||||
–
|
–
|
–
|
–
|
–
|
||||||||||||||
–
|
–
|
15,302
|
4,756
|
–
|
||||||||||||||
–
|
–
|
8,091
|
–
|
–
|
||||||||||||||
–
|
–
|
–
|
–
|
36,593
|
||||||||||||||
3,203
|
12,578
|
3,865
|
2,217
|
8,788
|
||||||||||||||
–
|
–
|
–
|
–
|
–
|
||||||||||||||
63,167
|
47,078
|
44,625
|
37,190
|
42,479
|
||||||||||||||
228,870
|
3,754,180
|
2,171,883
|
44,163
|
87,860
|
||||||||||||||
$
|
13,164,746
|
$
|
15,283,067
|
$
|
37,308,917
|
$
|
27,680,854
|
$
|
2,172,043
|
|||||||||
$
|
17,481,080
|
$
|
15,084,937
|
$
|
38,161,649
|
$
|
32,098,413
|
$
|
2,031,953
|
|||||||||
17,169
|
0
|
138,924
|
301,402
|
1,777
|
||||||||||||||
(4,851,127
|
)
|
38,881
|
(433,513
|
)
|
(8,215,491
|
)
|
(362
|
)
|
||||||||||
517,624
|
159,249
|
(558,143
|
)
|
3,496,530
|
138,675
|
|||||||||||||
$
|
13,164,746
|
$
|
15,283,067
|
$
|
37,308,917
|
$
|
27,680,854
|
$
|
2,172,043
|
|||||||||
$
|
13,164,746
|
$
|
15,283,067
|
$
|
37,308,917
|
$
|
27,680,854
|
$
|
2,172,043
|
|||||||||
1,439,886
|
1,472,733
|
3,770,478
|
2,897,021
|
202,741
|
||||||||||||||
$
|
9.14
|
$
|
10.38
|
$
|
9.90
|
$
|
9.55
|
$
|
10.71
|
|||||||||
$
|
12,354,410
|
$
|
15,778,548
|
$
|
124,514
|
$
|
127,103
|
$
|
2,123,936
|
|||||||||
$
|
–
|
$
|
–
|
$
|
37,230,435
|
$
|
24,080,615
|
$
|
–
|
|||||||||
$
|
–
|
$
|
–
|
$
|
192,590
|
$
|
–
|
$
|
–
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
65
|
Stone Harbor Investment Funds
|
Statements of Operations
|
Stone Harbor Emerging
Markets Debt Fund
|
Stone Harbor High
Yield Bond Fund
|
Stone Harbor Local
Markets Fund
|
||||||||||
INVESTMENT INCOME:
|
||||||||||||
Interest(1)
|
$
|
94,101,623
|
$
|
14,771,671
|
$
|
73,025,646
|
||||||
Dividends
|
268,975
|
212,703
|
187,833
|
|||||||||
Dividends from affiliated investment companies
|
–
|
–
|
–
|
|||||||||
Total Investment Income
|
94,370,598
|
14,984,374
|
73,213,479
|
|||||||||
EXPENSES:
|
||||||||||||
Operational:
|
||||||||||||
Investment advisory fee
|
9,352,667
|
1,193,357
|
7,180,770
|
|||||||||
Administration fees
|
855,883
|
159,338
|
525,154
|
|||||||||
Custodian fees
|
112,171
|
42,514
|
475,758
|
|||||||||
Printing fees
|
6,317
|
6,056
|
4,288
|
|||||||||
Professional fees
|
93,344
|
93,344
|
94,344
|
|||||||||
Offering costs
|
–
|
–
|
–
|
|||||||||
Trustee fees
|
186,189
|
29,696
|
113,216
|
|||||||||
Transfer agent fees
|
33,900
|
23,574
|
30,812
|
|||||||||
Registration fees
|
22,313
|
22,745
|
25,516
|
|||||||||
Insurance fees
|
40,181
|
6,824
|
26,251
|
|||||||||
Other
|
27,870
|
11,430
|
23,091
|
|||||||||
Total expenses before waiver/reimbursement
|
10,730,835
|
1,588,878
|
8,499,200
|
|||||||||
Less fees waived by investment adviser
|
–
|
(36,364
|
)
|
–
|
||||||||
Less expenses reimbursed by investment adviser
|
–
|
–
|
–
|
|||||||||
Total Net Expenses
|
10,730,835
|
1,552,514
|
8,499,200
|
|||||||||
Net Investment Income
|
83,639,763
|
13,431,860
|
64,714,279
|
|||||||||
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
|
||||||||||||
Net realized gain/(loss) on:
|
||||||||||||
Investments
|
29,724,800
|
(6,759,356
|
)
|
(58,879,887
|
)
|
|||||||
Investments ‐ affiliated investment companies
|
–
|
–
|
–
|
|||||||||
Credit default swap contracts
|
4,681,709
|
–
|
–
|
|||||||||
Futures contracts
|
–
|
–
|
–
|
|||||||||
Forward foreign currency contracts
|
1,478,256
|
399,980
|
(19,148,143
|
)
|
||||||||
Foreign currency transactions
|
(173,271
|
)
|
(23,280
|
)
|
1,697,906
|
|||||||
Net realized gain/(loss)
|
35,711,494
|
(6,382,656
|
)
|
(76,330,124
|
)
|
|||||||
Change in unrealized appreciation/(depreciation) on:
|
||||||||||||
Investments
|
62,171,790
|
18,172,276
|
116,891,430
|
|||||||||
Credit default swap contracts
|
151,724
|
–
|
–
|
|||||||||
Futures contracts
|
–
|
–
|
–
|
|||||||||
Forward foreign currency contracts
|
(2,912,301
|
)
|
(134,019
|
)
|
1,328,631
|
|||||||
Translation of assets and liabilities denominated in foreign currencies
|
126,882
|
1,310
|
577,474
|
|||||||||
Net change in unrealized appreciation/(depreciation)
|
59,538,095
|
18,039,567
|
118,797,535
|
|||||||||
Net Realized and Unrealized Gain
|
95,249,589
|
11,656,911
|
42,467,411
|
|||||||||
Net Increase in Net Assets Resulting from Operations
|
$
|
178,889,352
|
$
|
25,088,771
|
$
|
107,181,690
|
||||||
(1)Including Foreign Tax Withholding
|
$
|
11,510
|
$
|
–
|
$
|
874,091
|
66
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Statements of Operations
|
Stone Harbor Emerging
Markets Corporate Debt Fund |
Stone Harbor Investment
Grade Fund |
Stone Harbor Strategic
Income Fund |
Stone Harbor Emerging
Markets Debt Allocation Fund |
Stone Harbor 500
Plus Fund(2) |
||||||||||||||
$
|
826,729
|
$
|
349,513
|
$
|
–
|
$
|
–
|
$
|
15,067
|
|||||||||
2,454
|
12,273
|
345
|
184
|
1,717
|
||||||||||||||
–
|
–
|
1,539,669
|
1,416,353
|
–
|
||||||||||||||
829,183
|
361,786
|
1,540,014
|
1,416,537
|
16,784
|
||||||||||||||
128,324
|
56,921
|
211,418
|
358,155
|
3,276
|
||||||||||||||
12,397
|
36,964
|
21,107
|
26,255
|
8,978
|
||||||||||||||
8,961
|
13,103
|
19,366
|
5,932
|
3,631
|
||||||||||||||
3,592
|
3,594
|
3,626
|
3,723
|
1,999
|
||||||||||||||
72,689
|
56,046
|
52,946
|
47,916
|
42,671
|
||||||||||||||
–
|
–
|
–
|
–
|
23,465
|
||||||||||||||
1,882
|
1,873
|
4,463
|
7,219
|
58
|
||||||||||||||
21,796
|
20,644
|
21,335
|
22,676
|
7,445
|
||||||||||||||
32,366
|
19,974
|
20,351
|
21,978
|
385
|
||||||||||||||
781
|
409
|
934
|
2,053
|
–
|
||||||||||||||
5,135
|
5,187
|
4,291
|
6,268
|
619
|
||||||||||||||
287,923
|
214,715
|
359,837
|
502,175
|
92,527
|
||||||||||||||
(128,324
|
)
|
(56,921
|
)
|
(211,418
|
)
|
(358,155
|
)
|
(3,276
|
)
|
|||||||||
(8,529
|
)
|
(76,346
|
)
|
(105,162
|
)
|
(117,093
|
)
|
(84,869
|
)
|
|||||||||
151,070
|
81,448
|
43,257
|
26,927
|
4,382
|
||||||||||||||
678,113
|
280,338
|
1,496,757
|
1,389,610
|
12,402
|
||||||||||||||
166,313
|
56,374
|
(50,575
|
)
|
13
|
–
|
|||||||||||||
–
|
–
|
(408,037
|
)
|
2,151,359
|
–
|
|||||||||||||
–
|
–
|
(307,292
|
)
|
–
|
–
|
|||||||||||||
–
|
–
|
337,337
|
–
|
(35
|
)
|
|||||||||||||
53,364
|
–
|
170,491
|
(195,260
|
)
|
–
|
|||||||||||||
(1,494
|
)
|
–
|
(43,462
|
)
|
(55,201
|
)
|
–
|
|||||||||||
218,183
|
56,374
|
(301,538
|
)
|
1,900,911
|
(35
|
)
|
||||||||||||
399,869
|
(32,311
|
)
|
1,474,636
|
2,496,329
|
7,210
|
|||||||||||||
–
|
–
|
(71,057
|
)
|
–
|
–
|
|||||||||||||
–
|
–
|
6,703
|
–
|
131,465
|
||||||||||||||
(3,298
|
)
|
–
|
27,437
|
16,375
|
–
|
|||||||||||||
(70
|
)
|
–
|
3,374
|
–
|
–
|
|||||||||||||
396,501
|
(32,311
|
)
|
1,441,093
|
2,512,704
|
138,675
|
|||||||||||||
614,684
|
24,063
|
1,139,555
|
4,413,615
|
138,640
|
||||||||||||||
$
|
1,292,797
|
$
|
304,401
|
$
|
2,636,312
|
$
|
5,803,225
|
$
|
151,042
|
|||||||||
$
|
–
|
$
|
–
|
$
|
–
|
$
|
–
|
$
|
–
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
67
|
Stone Harbor Investment Funds
|
Statements of Changes in Net Assets
|
Stone Harbor Emerging Markets Debt Fund
|
||||||||
For the Year Ended May 31, 2017
|
For the Year Ended May 31, 2016
|
|||||||
OPERATIONS:
|
||||||||
Net investment income
|
$
|
83,639,763
|
$
|
132,338,061
|
||||
Net realized gain/(loss)
|
35,711,494
|
(75,239,163
|
)
|
|||||
Net change in unrealized appreciation/(depreciation)
|
59,538,095
|
(14,545,970
|
)
|
|||||
Net increase/(decrease) in net assets resulting from operations
|
178,889,352
|
42,552,928
|
||||||
DISTRIBUTIONS TO SHAREHOLDERS:
|
||||||||
Institutional Class
|
||||||||
From net investment income
|
(90,794,571
|
)
|
(125,569,725
|
)
|
||||
Net decrease in net assets from distributions to shareholders
|
(90,794,571
|
)
|
(125,569,725
|
)
|
||||
CAPITAL SHARE TRANSACTIONS:
|
||||||||
Institutional Class
|
||||||||
Proceeds from sale of shares
|
263,243,956
|
199,480,217
|
||||||
Issued to shareholders in reinvestment of distributions
|
85,031,047
|
118,098,700
|
||||||
Cost of shares redeemed
|
(568,088,003
|
)
|
(597,412,891
|
)
|
||||
Net decrease in net assets from capital share transactions
|
(219,813,000
|
)
|
(279,833,974
|
)
|
||||
Net Increase/(Decrease) in Net Assets
|
(131,718,219
|
)
|
(362,850,771
|
)
|
||||
NET ASSETS:
|
||||||||
Beginning of year
|
1,573,489,743
|
1,936,340,514
|
||||||
End of year
|
$
|
1,441,771,524
|
$
|
1,573,489,743
|
||||
Includes undistributed/(overdistributed) net investment income of:
|
$
|
2,015,745
|
$
|
4,512,569
|
||||
OTHER INFORMATION:
|
||||||||
Share Transactions:
|
||||||||
Institutional Class
|
||||||||
Beginning shares
|
156,258,645
|
185,010,068
|
||||||
Shares sold
|
25,504,654
|
20,059,678
|
||||||
Shares reinvested
|
8,200,580
|
12,105,213
|
||||||
Shares redeemed
|
(53,969,312
|
)
|
(60,916,314
|
)
|
||||
Shares outstanding ‐ end of year
|
135,994,567
|
156,258,645
|
68
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Statements of Changes in Net Assets
|
Stone Harbor High Yield Bond Fund
|
Stone Harbor Local Markets Fund
|
Stone Harbor Emerging Markets Corporate Debt Fund
|
||||||||||||||||||||
For the Year Ended May 31, 2017
|
For the Year Ended May 31, 2016
|
For the Year Ended May 31, 2017
|
For the Year Ended May 31, 2016
|
For the Year Ended May 31, 2017
|
For the Year Ended May 31, 2016
|
|||||||||||||||||
$ |
13,431,860
|
$
|
16,112,323
|
$
|
64,714,279
|
$
|
69,470,968
|
$
|
678,113
|
$
|
1,512,161
|
|||||||||||
(6,382,656
|
) |
(15,415,405
|
)
|
(76,330,124
|
)
|
(297,637,894
|
)
|
218,183
|
(1,501,308
|
)
|
||||||||||||
18,039,567
|
(10,186,279
|
)
|
118,797,535
|
114,005,325
|
396,501
|
(305,707
|
)
|
|||||||||||||||
25,088,771
|
(9,489,361
|
)
|
107,181,690
|
(114,161,601
|
)
|
1,292,797
|
(294,854
|
)
|
||||||||||||||
(12,429,528
|
) |
(16,172,824
|
)
|
–
|
–
|
(653,203
|
)
|
(1,499,763
|
)
|
|||||||||||||
(12,429,528
|
) |
(16,172,824
|
)
|
–
|
–
|
(653,203
|
)
|
(1,499,763
|
)
|
|||||||||||||
7,142,372
|
5,620,922
|
183,701,624
|
217,498,360
|
962,544
|
25,088,754
|
|||||||||||||||||
11,608,008
|
14,352,976
|
–
|
–
|
653,203
|
963,639
|
|||||||||||||||||
(121,660,433
|
) |
(33,490,494
|
)
|
(226,443,779
|
)
|
(739,781,975
|
)
|
(6,437,161
|
)
|
(30,912,635
|
)
|
|||||||||||
(102,910,053
|
) |
(13,516,596
|
)
|
(42,742,155
|
)
|
(522,283,615
|
)
|
(4,821,414
|
)
|
(4,860,242
|
)
|
|||||||||||
(90,250,810
|
) |
(39,178,781
|
)
|
64,439,535
|
(636,445,216
|
)
|
(4,181,820
|
)
|
(6,654,859
|
)
|
||||||||||||
250,535,559
|
289,714,340
|
926,502,492
|
1,562,947,708
|
17,346,566
|
24,001,425
|
|||||||||||||||||
$ |
160,284,749
|
$
|
250,535,559
|
$
|
990,942,027
|
$
|
926,502,492
|
$
|
13,164,746
|
$
|
17,346,566
|
|||||||||||
$ |
560,218
|
$
|
278,565
|
$
|
(59,111,856
|
)
|
$
|
(134,019,451
|
)
|
$
|
17,169
|
$
|
26,081
|
|||||||||
31,654,090
|
33,382,621
|
119,102,327
|
186,605,612
|
1,967,303
|
2,634,743
|
|||||||||||||||||
869,025
|
705,428
|
21,754,483
|
27,917,285
|
106,476
|
2,877,035
|
|||||||||||||||||
1,425,710
|
1,831,361
|
–
|
–
|
72,666
|
111,772
|
|||||||||||||||||
(14,649,464
|
) |
(4,265,320
|
)
|
(27,674,168
|
)
|
(95,420,570
|
)
|
(706,559
|
)
|
(3,656,247
|
)
|
|||||||||||
19,299,361
|
31,654,090
|
113,182,642
|
119,102,327
|
1,439,886
|
1,967,303
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
69
|
Stone Harbor Investment Funds
|
Statements of Changes in Net Assets
|
|
Stone Harbor Investment Grade Fund
|
|||||||
For the Year Ended May 31, 2017
|
For the Year Ended May 31, 2016
|
|||||||
OPERATIONS:
|
||||||||
Net investment income
|
$
|
280,338
|
$
|
219,467
|
||||
Net realized gain/(loss)
|
56,374
|
68,147
|
||||||
Net realized gain/(loss) on investments ‐ affiliated investment companies
|
–
|
–
|
||||||
Distributions from affiliated investment companies
|
–
|
–
|
||||||
Net change in unrealized appreciation/(depreciation)
|
(32,311
|
)
|
166,394
|
|||||
Net increase/(decrease) in net assets resulting from operations
|
304,401
|
454,008
|
||||||
DISTRIBUTIONS TO SHAREHOLDERS:
|
||||||||
Institutional Class
|
||||||||
From net investment income
|
(297,043
|
)
|
(215,807
|
)
|
||||
From net realized gains
|
(62,079
|
)
|
(135,024
|
)
|
||||
Net decrease in net assets from distributions to shareholders
|
(359,122
|
)
|
(350,831
|
)
|
||||
CAPITAL SHARE TRANSACTIONS:
|
||||||||
Institutional Class
|
||||||||
Proceeds from sale of shares
|
1,714,642
|
7,701,633
|
||||||
Issued to shareholders in reinvestment of distributions
|
359,122
|
350,831
|
||||||
Cost of shares redeemed
|
(2,528,868
|
)
|
(2,239,900
|
)
|
||||
Net increase/(decrease) in net assets from capital share transactions
|
(455,104
|
)
|
5,812,564
|
|||||
Net Increase/(Decrease) in Net Assets
|
(509,825
|
)
|
5,915,741
|
|||||
NET ASSETS:
|
||||||||
Beginning of period
|
15,792,892
|
9,877,151
|
||||||
End of period
|
$
|
15,283,067
|
$
|
15,792,892
|
||||
Includes undistributed net investment income of:
|
$
|
–
|
$
|
7,340
|
||||
OTHER INFORMATION:
|
||||||||
Share Transactions:
|
||||||||
Institutional Class
|
||||||||
Beginning shares
|
1,518,095
|
953,189
|
||||||
Shares sold
|
164,614
|
747,478
|
||||||
Shares reinvested
|
35,095
|
34,384
|
||||||
Shares redeemed
|
(245,071
|
)
|
(216,956
|
)
|
||||
Shares outstanding ‐ end of period
|
1,472,733
|
1,518,095
|
70
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Statements of Changes in Net Assets
|
Stone Harbor Strategic Income Fund
|
Stone Harbor Emerging Markets Debt Allocation Fund
|
Stone Harbor 500 Plus Fund
|
||||||||||||||||
For the Year Ended
May 31, 2017 |
For the Year Ended
May 31, 2016 |
For the Year Ended
May 31, 2017 |
For the Year Ended
May 31, 2016 |
For the Period January 20, 2017 (Commencement of Operations) to
May 31, 2017 |
||||||||||||||
$ |
1,496,757
|
$
|
1,551,464
|
$
|
1,389,610
|
$
|
3,372,901
|
$
|
12,402
|
|||||||||
106,499
|
713
|
(250,448
|
)
|
6,807
|
(35
|
)
|
||||||||||||
(408,037
|
) |
(480,155
|
)
|
2,151,359
|
(10,092,327
|
)
|
–
|
|||||||||||
–
|
21,861
|
–
|
–
|
–
|
||||||||||||||
1,441,093
|
(972,176
|
)
|
2,512,704
|
5,191,251
|
138,675
|
|||||||||||||
2,636,312
|
121,707
|
5,803,225
|
(1,521,368
|
)
|
151,042
|
|||||||||||||
(1,417,693
|
) |
(1,277,346
|
)
|
(1,818,851
|
)
|
(2,967,695
|
)
|
(12,105
|
)
|
|||||||||
–
|
(480,732
|
)
|
–
|
–
|
–
|
|||||||||||||
(1,417,693
|
) |
(1,758,078
|
)
|
(1,818,851
|
)
|
(2,967,695
|
)
|
(12,105
|
)
|
|||||||||
2,400,000
|
2,802,571
|
5,055,634
|
53,716,767
|
2,021,001
|
||||||||||||||
1,247,105
|
1,236,613
|
1,818,851
|
2,967,695
|
12,105
|
||||||||||||||
(4,050,000
|
) |
–
|
(50,653,241
|
)
|
(70,119,671
|
)
|
–
|
|||||||||||
(402,895
|
) |
4,039,184
|
(43,778,756
|
)
|
(13,435,209
|
)
|
2,033,106
|
|||||||||||
815,724
|
2,402,813
|
(39,794,382
|
)
|
(17,924,272
|
)
|
2,172,043
|
||||||||||||
36,493,193
|
34,090,380
|
67,475,236
|
85,399,508
|
–
|
||||||||||||||
$ |
37,308,917
|
$
|
36,493,193
|
$
|
27,680,854
|
$
|
67,475,236
|
$
|
2,172,043
|
|||||||||
$ |
138,924
|
$
|
130,713
|
$
|
301,402
|
$
|
981,104
|
$
|
1,777
|
|||||||||
3,813,000
|
3,390,417
|
7,583,812
|
9,124,028
|
–
|
||||||||||||||
243,244
|
289,702
|
538,403
|
6,166,414
|
201,592
|
||||||||||||||
128,674
|
132,881
|
209,545
|
361,033
|
1,149
|
||||||||||||||
(414,440
|
) |
–
|
(5,434,739
|
)
|
(8,067,663
|
)
|
–
|
|||||||||||
3,770,478
|
3,813,000
|
2,897,021
|
7,583,812
|
202,741
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
71
|
Stone Harbor Emerging Markets Debt Fund
|
Financial Highlights
|
Institutional Class
|
For the Year Ended May 31, 2017
|
For the Year Ended May 31, 2016
|
For the Year Ended May 31, 2015
|
For the Year Ended May 31, 2014
|
For the Year Ended May 31, 2013
|
|||||||||||||||
Net asset value ‐ beginning of year
|
$
|
10.07
|
$
|
10.47
|
$
|
11.11
|
$
|
11.34
|
$
|
10.93
|
||||||||||
Income/(loss) from investment operations:
|
||||||||||||||||||||
Net investment income(1)
|
0.56
|
0.77
|
0.59
|
0.55
|
0.55
|
|||||||||||||||
Net realized and unrealized gain/(loss) on investments
|
0.59
|
(0.43
|
)
|
(0.70
|
)
|
(0.31
|
)
|
0.45
|
||||||||||||
Total income/(loss) from investment operations
|
1.15
|
0.34
|
(0.11
|
)
|
0.24
|
1.00
|
||||||||||||||
Less distributions to shareholders:
|
||||||||||||||||||||
From net investment income
|
(0.62
|
)
|
(0.74
|
)
|
(0.53
|
)
|
(0.47
|
)
|
(0.54
|
)
|
||||||||||
From net realized gains
|
–
|
–
|
–
|
–
|
(0.05
|
)
|
||||||||||||||
Total distributions
|
(0.62
|
)
|
(0.74
|
)
|
(0.53
|
)
|
(0.47
|
)
|
(0.59
|
)
|
||||||||||
Net Increase/(Decrease) in Net Asset Value
|
0.53
|
(0.40
|
)
|
(0.64
|
)
|
(0.23
|
)
|
0.41
|
||||||||||||
Net asset value ‐ end of year
|
$
|
10.60
|
$
|
10.07
|
$
|
10.47
|
$
|
11.11
|
$
|
11.34
|
||||||||||
Total Return
|
11.70
|
%
|
3.70
|
%
|
(1.01
|
)%
|
2.45
|
%
|
9.05
|
%
|
||||||||||
Ratios/Supplemental Data:
|
||||||||||||||||||||
Net assets, end of period (in millions)
|
$
|
1,442
|
$
|
1,573
|
$
|
1,936
|
$
|
2,178
|
$
|
1,837
|
||||||||||
Ratio of expenses to average net assets without fee waivers/reimbursements/ repayment of previously waived fees
|
0.69
|
%
|
0.68
|
%
|
0.68
|
%
|
0.70
|
%
|
0.68
|
%
|
||||||||||
Ratio of expenses to average net assets with fee waivers/reimbursements/ repayment of previously waived fees
|
0.69
|
%
|
0.68
|
%
|
0.68
|
%
|
0.70
|
%
|
0.68
|
%
|
||||||||||
Ratio of net investment income to average net assets with fee waivers/ reimbursements/repayment of previously waived fees
|
5.37
|
%
|
7.73
|
%
|
5.54
|
%
|
5.21
|
%
|
4.68
|
%
|
||||||||||
Portfolio turnover rate
|
114
|
%
|
90
|
%
|
75
|
%
|
68
|
%
|
68
|
%
|
(1) |
Calculated using average shares throughout the period.
|
72
|
www.shiplp.com
|
Stone Harbor High Yield Bond Fund
|
Financial Highlights
|
Institutional Class
|
For the Year Ended May 31, 2017
|
For the Year Ended May 31, 2016
|
For the Year Ended May 31, 2015
|
For the Year Ended May 31, 2014
|
For the Year Ended May 31, 2013
|
|||||||||||||||
Net asset value ‐ beginning of year
|
$
|
7.91
|
$
|
8.68
|
$
|
9.63
|
$
|
9.83
|
$
|
9.13
|
||||||||||
Income/(loss) from investment operations:
|
||||||||||||||||||||
Net investment income(1)
|
0.46
|
0.49
|
0.54
|
0.60
|
0.70
|
|||||||||||||||
Net realized and unrealized gain/(loss) on investments
|
0.39
|
(0.77
|
)
|
(0.58
|
)
|
0.13
|
0.72
|
|||||||||||||
Total income/(loss) from investment operations
|
0.85
|
(0.28
|
)
|
(0.04
|
)
|
0.73
|
1.42
|
|||||||||||||
Less distributions to shareholders:
|
||||||||||||||||||||
From net investment income
|
(0.45
|
)
|
(0.49
|
)
|
(0.60
|
)
|
(0.64
|
)
|
(0.68
|
)
|
||||||||||
From net realized gains
|
–
|
–
|
(0.31
|
)
|
(0.29
|
)
|
(0.04
|
)
|
||||||||||||
Total distributions
|
(0.45
|
)
|
(0.49
|
)
|
(0.91
|
)
|
(0.93
|
)
|
(0.72
|
)
|
||||||||||
Net Increase/(Decrease) in Net Asset Value
|
0.40
|
(0.77
|
)
|
(0.95
|
)
|
(0.20
|
)
|
0.70
|
||||||||||||
Net asset value ‐ end of year
|
$
|
8.31
|
$
|
7.91
|
$
|
8.68
|
$
|
9.63
|
$
|
9.83
|
||||||||||
Total Return(2)
|
10.97
|
%
|
(3.03
|
)%
|
(0.27
|
)%
|
7.90
|
%
|
15.87
|
%
|
||||||||||
Ratios/Supplemental Data:
|
||||||||||||||||||||
Net assets, end of period (in millions)
|
$
|
160
|
$
|
251
|
$
|
290
|
$
|
303
|
$
|
387
|
||||||||||
Ratio of expenses to average net assets without fee waivers/reimbursements/ repayment of previously waived fees
|
0.67
|
%
|
0.64
|
%
|
0.62
|
%(3)
|
0.62
|
%
|
0.60
|
%
|
||||||||||
Ratio of expenses to average net assets with fee waivers/reimbursements/ repayment of previously waived fees
|
0.65
|
%
|
0.64
|
%
|
0.60
|
%(3)
|
0.55
|
%
|
0.55
|
%
|
||||||||||
Ratio of net investment income to average net assets with fee waivers/ reimbursements/repayment of previously waived fees
|
5.63
|
%
|
6.06
|
%
|
5.98
|
%
|
6.23
|
%
|
7.27
|
%
|
||||||||||
Portfolio turnover rate
|
70
|
%
|
48
|
%
|
52
|
%
|
54
|
%
|
59
|
%
|
(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) |
Effective October 1, 2014, the expense limitation rate changed from 0.55% to 0.65%.
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
73
|
Stone Harbor Local Markets Fund
|
Financial Highlights
|
Institutional Class
|
For the Year Ended May 31, 2017
|
For the Year Ended May 31, 2016
|
For the Year Ended May 31, 2015
|
For the Year Ended May 31, 2014
|
For the Year Ended May 31, 2013
|
|||||||||||||||
Net asset value ‐ beginning of year
|
$
|
7.78
|
$
|
8.38
|
$
|
9.96
|
$
|
10.51
|
$
|
10.10
|
||||||||||
Income/(loss) from investment operations:
|
||||||||||||||||||||
Net investment income(1)
|
0.56
|
0.50
|
0.52
|
0.53
|
0.49
|
|||||||||||||||
Net realized and unrealized gain/(loss) on investments
|
0.42
|
(1.10
|
)
|
(1.98
|
)
|
(0.96
|
)
|
0.33
|
||||||||||||
Total income/(loss) from investment operations
|
0.98
|
(0.60
|
)
|
(1.46
|
)
|
(0.43
|
)
|
0.82
|
||||||||||||
Less distributions to shareholders:
|
||||||||||||||||||||
From net investment income
|
–
|
–
|
(0.12
|
)
|
(0.07
|
)
|
(0.39
|
)
|
||||||||||||
From net realized gains
|
–
|
–
|
–
|
(0.05
|
)
|
(0.02
|
)
|
|||||||||||||
Total distributions
|
–
|
–
|
(0.12
|
)
|
(0.12
|
)
|
(0.41
|
)
|
||||||||||||
Net Increase/(Decrease) in Net Asset Value
|
0.98
|
(0.60
|
)
|
(1.58
|
)
|
(0.55
|
)
|
0.41
|
||||||||||||
Net asset value ‐ end of year
|
$
|
8.76
|
$
|
7.78
|
$
|
8.38
|
$
|
9.96
|
$
|
10.51
|
||||||||||
Total Return
|
12.60
|
%
|
(7.16
|
)%
|
(14.70
|
)%
|
(4.04
|
)%
|
7.92
|
%
|
||||||||||
Ratios/Supplemental Data:
|
||||||||||||||||||||
Net assets, end of period (in millions)
|
$
|
991
|
$
|
927
|
$
|
1,563
|
$
|
2,491
|
$
|
2,464
|
||||||||||
Ratio of expenses to average net assets without fee waivers/reimbursements/repayment of previously waived fees
|
0.89
|
%
|
0.88
|
%
|
0.87
|
%
|
0.88
|
%
|
0.86
|
%
|
||||||||||
Ratio of expenses to average net assets with fee waivers/reimbursements/repayment of previously waived fees
|
0.89
|
%
|
0.88
|
%
|
0.87
|
%
|
0.88
|
%
|
0.86
|
%
|
||||||||||
Ratio of net investment income to average net assets with fee waivers/reimbursements/repayment of previously waived fees
|
6.76
|
%
|
6.49
|
%
|
5.62
|
%
|
5.41
|
%
|
4.45
|
%
|
||||||||||
Portfolio turnover rate
|
125
|
%
|
166
|
%
|
145
|
%
|
181
|
%
|
191
|
%
|
(1) |
Calculated using average shares throughout the period.
|
74
|
www.shiplp.com
|
Stone Harbor Emerging Markets Corporate Debt Fund
|
Financial Highlights
|
Institutional Class
|
For the Year Ended May 31, 2017
|
For the Year Ended May 31, 2016
|
For the Year Ended May 31, 2015
|
For the Year Ended May 31, 2014
|
For the Year Ended May 31, 2013
|
|||||||||||||||
Net asset value ‐ beginning of period
|
$
|
8.82
|
$
|
9.11
|
$
|
9.23
|
$
|
9.37
|
$
|
8.89
|
||||||||||
Income from investment operations:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Net investment income(1)
|
0.41
|
0.43
|
0.41
|
0.41
|
0.44
|
|||||||||||||||
Net realized and unrealized gain/(loss) on investments
|
0.32
|
(0.27
|
)
|
(0.08
|
)
|
(0.08
|
)
|
0.46
|
||||||||||||
Total income from investment operations
|
0.73
|
0.16
|
0.33
|
0.33
|
0.90
|
|||||||||||||||
Less distributions to shareholders:
|
||||||||||||||||||||
From net investment income
|
(0.41
|
)
|
(0.45
|
)
|
(0.45
|
)
|
(0.47
|
)
|
(0.42
|
)
|
||||||||||
Total distributions
|
(0.41
|
)
|
(0.45
|
)
|
(0.45
|
)
|
(0.47
|
)
|
(0.42
|
)
|
||||||||||
Net Increase/(Decrease) in Net Asset Value
|
0.32
|
(0.29
|
)
|
(0.12
|
)
|
(0.14
|
)
|
0.48
|
||||||||||||
Net asset value ‐ end of period
|
$
|
9.14
|
$
|
8.82
|
$
|
9.11
|
$
|
9.23
|
$
|
9.37
|
||||||||||
Total Return(2)
|
8.43
|
%
|
1.92
|
%
|
3.64
|
%
|
3.80
|
%
|
10.13
|
%
|
||||||||||
Ratios/Supplemental Data:
|
||||||||||||||||||||
Net assets, end of period (in millions)
|
$
|
13
|
$
|
17
|
$
|
24
|
$
|
26
|
$
|
68
|
||||||||||
Ratio of expenses to average net assets without fee waivers/reimbursements
|
1.91
|
%
|
1.37
|
%
|
1.40
|
%
|
1.22
|
%
|
1.16
|
%
|
||||||||||
Ratio of expenses to average net assets with fee waivers/reimbursements
|
1.00
|
%
|
1.00
|
%
|
1.00
|
%
|
1.00
|
%
|
1.00
|
%
|
||||||||||
Ratio of net investment income to average net assets with fee waivers/reimbursements
|
4.49
|
%
|
4.93
|
%
|
4.52
|
%
|
4.58
|
%
|
4.68
|
%
|
||||||||||
Portfolio turnover rate
|
72
|
%
|
127
|
%
|
62
|
%
|
78
|
%
|
78
|
%
|
(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).
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
75
|
Stone Harbor Investment Grade Fund
|
Financial Highlights
|
Institutional Class
|
For the Year Ended May 31, 2017
|
For the Year Ended May 31, 2016
|
For the Year Ended May 31, 2015
|
For the Period December 19, 2013 (Commencement of Operations) to May 31, 2014
|
||||||||||||
Net asset value ‐ beginning of period
|
$
|
10.40
|
$
|
10.36
|
$
|
10.38
|
$
|
10.00
|
||||||||
Income/(loss) from investment operations:
|
||||||||||||||||
Net investment income(1)
|
0.18
|
0.16
|
0.13
|
0.07
|
||||||||||||
Net realized and unrealized gain on investments
|
0.03
|
0.12
|
0.07
|
0.37
|
||||||||||||
Total income from investment operations
|
0.21
|
0.28
|
0.20
|
0.44
|
||||||||||||
Less distributions to shareholders:
|
||||||||||||||||
From net investment income
|
(0.19
|
)
|
(0.15
|
)
|
(0.14
|
)
|
(0.06
|
)
|
||||||||
From net realized gains
|
(0.04
|
)
|
(0.09
|
)
|
(0.08
|
)
|
–
|
|||||||||
Total distributions
|
(0.23
|
)
|
(0.24
|
)
|
(0.22
|
)
|
(0.06
|
)
|
||||||||
Net Increase/(Decrease) in Net Asset Value
|
(0.02
|
)
|
0.04
|
(0.02
|
)
|
0.38
|
||||||||||
Net asset value ‐ end of period
|
$
|
10.38
|
$
|
10.40
|
$
|
10.36
|
$
|
10.38
|
||||||||
Total Return(2)(3)
|
2.07
|
%
|
2.71
|
%
|
1.94
|
%
|
4.41
|
%
|
||||||||
Ratios/Supplemental Data:
|
||||||||||||||||
Net assets, end of period (in millions)
|
$
|
15
|
$
|
16
|
$
|
10
|
$
|
3
|
||||||||
Ratio of expenses to average net assets without fees waived by investment adviser and expenses reimbursed by investment adviser
|
1.32
|
%
|
1.40
|
%
|
2.07
|
%
|
4.14
|
%(4)
|
||||||||
Ratio of expenses to average net assets with fees waived by investment adviser and expenses reimbursed by investment adviser
|
0.50
|
%
|
0.50
|
%
|
0.50
|
%
|
0.50
|
%(4)
|
||||||||
Ratio of net investment income to average net assets with fee waivers/reimbursements
|
1.72
|
%
|
1.57
|
%
|
1.26
|
%
|
1.62
|
%(4)
|
||||||||
Portfolio turnover rate
|
49
|
%
|
52
|
%
|
51
|
%
|
27
|
%
|
(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.
|
76
|
www.shiplp.com
|
Stone Harbor Strategic Income Fund
|
Financial Highlights
|
Institutional Class
|
For the Year Ended May 31, 2017
|
For the Year Ended May 31, 2016
|
For the Year Ended May 31, 2015
|
For the Period December 19, 2013 (Commencement of Operations) to May 31, 2014
|
||||||||||||
Net asset value ‐ beginning of period
|
$
|
9.57
|
$
|
10.05
|
$
|
10.44
|
$
|
10.00
|
||||||||
Income/(loss) from investment operations:
|
||||||||||||||||
Net investment income(1)
|
0.38
|
0.43
|
0.49
|
0.15
|
||||||||||||
Net realized and unrealized gain/(loss) on investments
|
0.31
|
(0.43
|
)
|
(0.37
|
)
|
0.42
|
||||||||||
Total income from investment operations
|
0.69
|
–
|
0.12
|
0.57
|
||||||||||||
Less distributions to shareholders:
|
||||||||||||||||
From net investment income
|
(0.36
|
)
|
(0.35
|
)
|
(0.48
|
)
|
(0.13
|
)
|
||||||||
From net realized gains
|
–
|
(0.13
|
)
|
(0.03
|
)
|
–
|
||||||||||
Total distributions
|
(0.36
|
)
|
(0.48
|
)
|
(0.51
|
)
|
(0.13
|
)
|
||||||||
Net Increase/(Decrease) in Net Asset Value
|
0.33
|
(0.48
|
)
|
(0.39
|
)
|
0.44
|
||||||||||
Net asset value ‐ end of period
|
$
|
9.90
|
$
|
9.57
|
$
|
10.05
|
$
|
10.44
|
||||||||
Total Return(2)(3)
|
7.34
|
%
|
0.19
|
%
|
1.15
|
%
|
5.73
|
%
|
||||||||
Ratios/Supplemental Data:
|
||||||||||||||||
Net assets, end of period (in millions)
|
$
|
37
|
$
|
36
|
$
|
34
|
$
|
11
|
||||||||
Ratio of expenses to average net assets without fees waived by investment adviser and expenses reimbursed by investment adviser
|
0.94
|
%(4)
|
0.96
|
%(4)
|
1.06
|
%(4)
|
1.46
|
%(4)(5)
|
||||||||
Ratio of expenses to average net assets with fees waived by investment adviser and expenses reimbursed by investment adviser
|
0.11
|
%(4)
|
0.12
|
%(4)
|
0.11
|
%(4)
|
0.12
|
%(4)(5)
|
||||||||
Ratio of net investment income to average net assets with fee waivers/reimbursements
|
3.89
|
%(4)
|
4.46
|
%(4)
|
4.88
|
%(4)
|
3.38
|
%(4)(5)
|
||||||||
Portfolio turnover rate
|
20
|
%
|
26
|
%
|
8
|
%
|
0
|
%(6)
|
(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) |
Ratio does not include expenses of the mutual funds held in the investment portfolio.
|
(5) |
Annualized.
|
(6) |
Less than 0.5%.
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
77
|
Stone Harbor Emerging Markets Debt Allocation Fund
|
Financial Highlights
|
Institutional Class
|
For the Year Ended May 31, 2017
|
For the Year Ended May 31, 2016
|
For the Period October 21, 2014 (Commencement of Operations) to May 31, 2015
|
|||||||||
Net asset value ‐ beginning of period
|
$
|
8.90
|
$
|
9.36
|
$
|
10.00
|
||||||
Income/(loss) from investment operations:
|
||||||||||||
Net investment income(1)
|
0.25
|
0.32
|
0.23
|
|||||||||
Net realized and unrealized gain/(loss) on investments
|
0.74
|
(0.52
|
)
|
(0.70
|
)
|
|||||||
Total income/(loss) from investment operations
|
0.99
|
(0.20
|
)
|
(0.47
|
)
|
|||||||
Less distributions to shareholders:
|
||||||||||||
From net investment income
|
(0.34
|
)
|
(0.26
|
)
|
(0.17
|
)
|
||||||
Total distributions
|
(0.34
|
)
|
(0.26
|
)
|
(0.17
|
)
|
||||||
Net Increase/(Decrease) in Net Asset Value
|
0.65
|
(0.46
|
)
|
(0.64
|
)
|
|||||||
Net asset value ‐ end of period
|
$
|
9.55
|
$
|
8.90
|
$
|
9.36
|
||||||
Total Return(2)(3)
|
11.51
|
%
|
(1.96
|
%)
|
(4.73
|
%)
|
||||||
Ratios/Supplemental Data:
|
||||||||||||
Net assets, end of period (in millions)
|
$
|
28
|
$
|
67
|
$
|
85
|
||||||
Ratio of expenses to average net assets without fees waived by investment adviser and expenses reimbursed by investment adviser
|
0.98
|
%(4)
|
0.87
|
%(4)
|
0.97
|
%(4)(5)
|
||||||
Ratio of expenses to average net assets with fees waived by investment adviser and expenses reimbursed by investment adviser
|
0.05
|
%(4)
|
0.06
|
%(4)
|
0.10
|
%(4)(5)
|
||||||
Ratio of net investment income to average net assets with fee waivers/reimbursements
|
2.72
|
%(4)
|
3.72
|
%(4)
|
3.68
|
%(4)(5)
|
||||||
Portfolio turnover rate
|
24
|
%
|
70
|
%
|
11
|
%
|
(1) |
Calculated using average shares throughout the period.
|
(2) |
Total returns would have been lower in 2015 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) |
Ratio does not include expenses of the mutual funds held in the investment portfolio.
|
(5) |
Annualized.
|
78
|
www.shiplp.com
|
Stone Harbor 500 Plus Fund
|
Financial Highlights
|
Institutional Class
|
For the Period January 20, 2017 (Commencement of Operations) to May 31, 2017
|
|||
Net asset value ‐ beginning of period
|
$
|
10.00
|
||
Income/(loss) from investment operations:
|
||||
Net investment income(1)
|
0.06
|
|||
Net realized and unrealized gain on investments
|
0.71
|
|||
Total income from investment operations
|
0.77
|
|||
Less distributions to shareholders:
|
||||
From net investment income
|
(0.06
|
)
|
||
Total distributions
|
(0.06
|
)
|
||
Net Increase in Net Asset Value
|
0.71
|
|||
Net asset value ‐ end of period
|
$
|
10.71
|
||
Total Return(2)(3)
|
7.71
|
%
|
||
Ratios/Supplemental Data:
|
||||
Net assets, end of period (in millions)
|
$
|
2
|
||
Ratio of expenses to average net assets without fees waived by investment adviser and expenses reimbursed by investment adviser
|
12.71
|
%(4)(5)
|
||
Ratio of expenses to average net assets with fees waived by investment adviser and expenses reimbursed by investment adviser
|
0.60
|
%(4)
|
||
Ratio of net investment income to average net assets with fee waivers/reimbursements
|
1.70
|
%(4)
|
||
Portfolio turnover rate
|
20
|
%
|
(1) |
Calculated using average shares throughout the period.
|
(2) |
Total returns for periods of less than one year are not annualized.
|
(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) |
Annualized.
|
(5) |
Ratios before fee waivers for start up periods may not be representative of long term operating results.
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
79
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
80
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
81
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
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.
|
Investments in Securities at Value*
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||
Stone Harbor Emerging Markets Debt Fund
|
|||||||||||||
Sovereign Debt Obligations
|
$
|
–
|
$
|
1,078,650,779
|
$
|
–
|
$
|
1,078,650,779
|
|||||
Bank Loans
|
–
|
–
|
13,589,848
|
13,589,848
|
|||||||||
Corporate Bonds
|
–
|
280,912,961
|
–
|
280,912,961
|
|||||||||
Credit Linked Notes
|
–
|
–
|
7,214,815
|
7,214,815
|
|||||||||
Short Term Investments
|
41,967,210
|
–
|
–
|
41,967,210
|
|||||||||
Total
|
$
|
41,967,210
|
$
|
1,359,563,740
|
$
|
20,804,663
|
$
|
1,422,335,613
|
Other Financial Instruments**
|
|||||||||||||
Assets
|
|||||||||||||
Forward Foreign Currency Contracts
|
$
|
–
|
$
|
1,095,307
|
$
|
–
|
$
|
1,095,307
|
|||||
Liabilities
|
|||||||||||||
Forward Foreign Currency Contracts
|
–
|
(3,931,562
|
)
|
–
|
(3,931,562
|
)
|
|||||||
Total
|
$
|
–
|
$
|
(2,836,255
|
)
|
$
|
–
|
$
|
(2,836,255
|
)
|
Investments in Securities at Value*
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||
Stone Harbor High Yield Bond Fund
|
|||||||||||||
Corporate Bonds
|
$
|
–
|
$
|
141,322,871
|
$
|
112
|
$
|
141,322,983
|
|||||
Bank Loans
|
–
|
11,980,633
|
903,047
|
12,883,680
|
|||||||||
Common/Preferred Stocks
|
1,577,406
|
–
|
129,373
|
1,706,779
|
|||||||||
Rights
|
–
|
–
|
94,624
|
94,624
|
|||||||||
Warrants
|
8,224
|
–
|
32
|
8,256
|
|||||||||
Short Term Investments
|
4,579,544
|
–
|
–
|
4,579,544
|
|||||||||
Total
|
$
|
6,165,174
|
$
|
153,303,504
|
$
|
1,127,188
|
$
|
160,595,866
|
82
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
Other Financial Instruments**
|
|||||||||||||
Assets
|
|||||||||||||
Forward Foreign Currency Contracts
|
$
|
–
|
$
|
1,967
|
$
|
–
|
$
|
1,967
|
|||||
Liabilities
|
|||||||||||||
Forward Foreign Currency Contracts
|
–
|
(37,607
|
)
|
–
|
(37,607
|
)
|
|||||||
Total
|
$
|
–
|
$
|
(35,640
|
)
|
$
|
–
|
$
|
(35,640
|
)
|
Investments in Securities at Value*
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||
Stone Harbor Local Markets Fund
|
|||||||||||||
Sovereign Debt Obligations
|
$
|
–
|
$
|
713,083,953
|
$
|
–
|
$
|
713,083,953
|
|||||
Corporate Bonds
|
–
|
61,570,649
|
–
|
61,570,649
|
|||||||||
Short Term Investments
|
40,011,357
|
–
|
–
|
40,011,357
|
|||||||||
Total
|
$
|
40,011,357
|
$
|
774,654,602
|
$
|
–
|
$
|
814,665,959
|
Other Financial Instruments**
|
|||||||||||||
Assets
|
|||||||||||||
Forward Foreign Currency Contracts
|
$
|
–
|
$
|
2,220,877
|
$
|
–
|
$
|
2,220,877
|
|||||
Liabilities
|
|||||||||||||
Forward Foreign Currency Contracts
|
–
|
(1,887,285
|
)
|
–
|
(1,887,285
|
)
|
|||||||
Total
|
$
|
–
|
$
|
333,592
|
$
|
–
|
$
|
333,592
|
Investments in Securities at Value*
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||
Stone Harbor Emerging Markets Corporate Debt Fund
|
|||||||||||||
Corporate Bonds
|
$
|
–
|
$
|
12,748,478
|
$
|
–
|
$
|
12,748,478
|
|||||
Short Term Investments
|
123,556
|
–
|
–
|
123,556
|
|||||||||
Total
|
$
|
123,556
|
$
|
12,748,478
|
$
|
–
|
$
|
12,872,034
|
Investments in Securities at Value*
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||
Stone Harbor Investment Grade Fund
|
|||||||||||||
Corporate Bonds
|
$
|
–
|
$
|
6,340,032
|
$
|
–
|
$
|
6,340,032
|
|||||
Asset Backed/Commercial Mortgage Backed Securities
|
–
|
2,480,139
|
–
|
2,480,139
|
|||||||||
U.S. Treasury Bonds/Notes
|
–
|
3,030,952
|
–
|
3,030,952
|
|||||||||
U.S. Government Agency Mortgage Backed Securities
|
–
|
2,843,593
|
–
|
2,843,593
|
|||||||||
Short Term Investments
|
1,243,081
|
–
|
–
|
1,243,081
|
|||||||||
Total
|
$
|
1,243,081
|
$
|
14,694,716
|
$
|
–
|
$
|
15,937,797
|
Investments in Securities at Value*
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||
Stone Harbor Strategic Income Fund
|
|||||||||||||
Open‐End Funds
|
$
|
36,707,831
|
$
|
–
|
$
|
–
|
$
|
36,707,831
|
|||||
Short Term Investments
|
124,514
|
–
|
–
|
124,514
|
|||||||||
Total
|
$
|
36,832,345
|
$
|
–
|
$
|
–
|
$
|
36,832,345
|
Other Financial Instruments**
|
|||||||||||||
Assets
|
|||||||||||||
Forward Foreign Currency Contracts
|
$
|
–
|
$
|
22,417
|
$
|
–
|
$
|
22,417
|
|||||
Futures Contracts
|
44,220
|
–
|
–
|
44,220
|
|||||||||
Liabilities
|
4
|
||||||||||||
Forward Foreign Currency Contracts
|
–
|
(15,302
|
)
|
–
|
(15,302
|
)
|
|||||||
Credit Default Swap Contracts
|
–
|
(71,057
|
)
|
–
|
(71,057
|
)
|
|||||||
Futures Contracts
|
(17,159
|
)
|
–
|
–
|
(17,159
|
)
|
|||||||
Total
|
$
|
27,061
|
$
|
(63,942
|
)
|
$
|
–
|
$
|
(36,881
|
)
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
83
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
Investments in Securities at Value*
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Stone Harbor Emerging Markets Debt Allocation Fund
|
||||||||||||||||
Open‐End Funds
|
$
|
27,581,324
|
$
|
–
|
$
|
–
|
$
|
27,581,324
|
||||||||
Short Term Investments
|
127,103
|
–
|
–
|
127,103
|
||||||||||||
Total
|
$
|
27,708,427
|
$
|
–
|
$
|
–
|
$
|
27,708,427
|
||||||||
Other Financial Instruments**
|
||||||||||||||||
Assets
|
||||||||||||||||
Forward Foreign Currency Contracts
|
$
|
–
|
$
|
577
|
$
|
–
|
$
|
577
|
||||||||
Liabilities
|
||||||||||||||||
Forward Foreign Currency Contracts
|
–
|
(4,756
|
)
|
–
|
(4,756
|
)
|
||||||||||
Total
|
$
|
–
|
$
|
(4,179
|
)
|
$
|
–
|
$
|
(4,179
|
)
|
Investments in Securities at Value*
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Stone Harbor 500 Plus Fund
|
||||||||||||||||
Asset Backed/Commercial Mortgage Backed Securities
|
$
|
–
|
$
|
1,726,556
|
$
|
–
|
$
|
1,726,556
|
||||||||
Short Term Investments
|
404,590
|
–
|
–
|
404,590
|
||||||||||||
Total
|
$
|
404,590
|
$
|
1,726,556
|
$
|
–
|
$
|
2,131,146
|
||||||||
Other Financial Instruments**
|
||||||||||||||||
Assets
|
||||||||||||||||
Futures Contracts
|
$
|
131,465
|
$
|
–
|
$
|
–
|
$
|
131,465
|
||||||||
Total
|
$
|
131,465
|
$
|
–
|
$
|
–
|
$
|
131,465
|
* |
For detailed Industry/Country descriptions see accompanying Statement of Investments.
|
** |
Other financial instruments are derivative instruments reflected in the Statement of Investments. The derivatives shown in this table are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract’s value.
|
Investments in Securities
|
Balance as of May 31, 2016
|
Accrued discount/ premium
|
Return of Capital
|
Realized Gain/(Loss)
|
Change in Unrealized Appreciation/ (Depreciation)
|
Purchases
|
Sales Proceeds
|
Transfer into Level 3
|
Transfer out of Level 3
|
Balance as of May 31, 2017
|
Net change in unrealized appreciation/ (depreciation) included in the Statements of Operations at May 31, 2017
|
|||||||||||||||||||||||||||||||||
Stone Harbor Emerging Markets Debt Fund
|
||||||||||||||||||||||||||||||||||||||||||||
Bank Loans
|
$
|
19,440,382
|
$
|
–
|
$
|
–
|
$
|
–
|
$
|
(350,534
|
)
|
$
|
8,000,000
|
$
|
(13,500,000
|
)
|
$
|
–
|
$
|
–
|
$
|
13,589,848
|
$
|
(350,534
|
)
|
|||||||||||||||||||
Credit Linked Notes
|
25,970,744
|
571,144
|
–
|
(5,793,323
|
)
|
8,573,857
|
–
|
(22,107,607
|
)
|
–
|
–
|
7,214,815
|
1,538,168
|
|||||||||||||||||||||||||||||||
Total
|
$
|
45,411,126
|
$
|
571,144
|
$
|
–
|
$
|
(5,793,323
|
)
|
$
|
8,223,323
|
$
|
8,000,000
|
$
|
(35,607,607
|
)
|
$
|
–
|
$
|
–
|
$
|
20,804,663
|
$
|
1,187,634
|
84
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
Investments in Securities
|
Balance as of May 31, 2016
|
Accrued discount/ premium
|
Return of Capital
|
Realized Gain/(Loss)
|
Change in Unrealized Appreciation/ (Depreciation)
|
Purchases
|
Sales Proceeds
|
Transfer into Level 3
|
Transfer out of Level 3
|
Balance as of May 31, 2017
|
Net change in unrealized appreciation/ (depreciation) included in the Statements of Operations at May 31, 2017
|
|||||||||||||||||||||||||||||||||
Stone Harbor High Yield Bond Fund
|
||||||||||||||||||||||||||||||||||||||||||||
Bank Loans
|
$
|
618,388
|
$
|
327
|
$
|
–
|
$
|
5,193
|
$
|
(4,585
|
)
|
$
|
1,406,536
|
$
|
(1,122,813
|
)
|
$
|
–
|
$
|
–
|
$
|
903,047
|
$
|
14,986
|
||||||||||||||||||||
Warrants
|
–
|
–
|
–
|
–
|
32
|
–
|
–
|
–
|
32
|
–
|
||||||||||||||||||||||||||||||||||
Corporate Bond
|
–
|
–
|
–
|
–
|
112
|
–
|
–
|
–
|
–
|
112
|
112
|
|||||||||||||||||||||||||||||||||
Rights
|
–
|
–
|
–
|
–
|
(7,570
|
)
|
102,194
|
–
|
–
|
–
|
94,624
|
(7,570
|
)
|
|||||||||||||||||||||||||||||||
Common Stock
|
–
|
–
|
–
|
–
|
(66,419
|
)
|
195,792
|
–
|
–
|
–
|
129,373
|
(66,419
|
)
|
|||||||||||||||||||||||||||||||
Total
|
$
|
618,388
|
$
|
327
|
$
|
–
|
$
|
5,193
|
$
|
(78,462
|
)
|
$
|
1,704,554
|
$
|
(1,122,813
|
)
|
$
|
–
|
$
|
–
|
$
|
1,127,188
|
$
|
(58,891
|
)
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
85
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
86
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
87
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
88
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
3. |
DERIVATIVE INSTRUMENTS
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
89
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
90
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
Risk Exposure
|
Location
|
Fair Value
|
Location
|
Fair Value
|
|||||||
Stone Harbor Emerging Markets Debt Fund
|
|||||||||||
Foreign Exchange Rate Risk (Forward Foreign Currency Contracts)
|
Unrealized appreciation on forward foreign currency contracts
|
$
|
1,095,307
|
Unrealized depreciation on forward foreign currency contracts
|
$
|
(3,931,562
|
)
|
||||
Total
|
$
|
1,095,307
|
$
|
(3,931,562
|
)
|
Stone Harbor High Yield Bond Fund
|
|||||||||||
Foreign Exchange Rate Risk (Forward Foreign Currency Contracts)
|
Unrealized appreciation on forward foreign currency contracts
|
$
|
1,967
|
Unrealized depreciation on forward foreign currency contracts
|
|||||||
Total
|
$
|
1,967
|
$
|
(37,607
|
)
|
Stone Harbor Local Markets Fund
|
|||||||||||
Foreign Exchange Rate Risk (Forward Foreign Currency Contracts)
|
Unrealized appreciation on forward foreign currency contracts
|
$
|
2,220,877
|
Unrealized depreciation on forward foreign currency contracts
|
|||||||
Total
|
$
|
2,220,877
|
$
|
(1,887,285
|
)
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
91
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
Risk Exposure
|
Location
|
Fair Value
|
Location
|
Fair Value
|
|||||||
Stone Harbor Strategic Income Fund
|
|||||||||||
Credit Risk (Swap Contracts)*
|
Unrealized appreciation on credit default swap contracts
|
$
|
–
|
Unrealized depreciation on credit default swap contracts
|
$
|
(71,057
|
)
|
||||
Interest Rate Risk (Futures Contracts)*
|
Unrealized appreciation on futures contracts
|
44,220
|
Unrealized depreciation on futures contracts
|
(17,159
|
)
|
||||||
Foreign Exchange Rate Risk (Forward Foreign Currency Contracts)
|
Unrealized appreciation on forward foreign currency contracts
|
22,417
|
Unrealized depreciation on forward foreign currency contracts
|
(15,302
|
)
|
||||||
Total
|
$
|
66,637
|
$
|
(103,518
|
)
|
||||||
Stone Harbor Emerging Markets Debt Allocation Fund
|
|||||||||||
Foreign Exchange Rate Risk (Forward Foreign Currency Contracts)
|
Unrealized appreciation on forward foreign currency contracts
|
$
|
577
|
Unrealized depreciation on forward foreign currency contracts
|
$
|
(4,756
|
)
|
||||
Total
|
$
|
577
|
$
|
(4,756
|
)
|
||||||
Stone Harbor 500 Plus Fund
|
|||||||||||
Interest Rate Risk (Futures Contracts)*
|
Unrealized appreciation on futures contracts
|
$
|
131,465
|
Unrealized depreciation on futures contracts
|
$
|
–
|
|||||
Total
|
$
|
131,465
|
$
|
–
|
* |
The value presented includes cumulative gain/(loss) on open futures contracts and credit default swap contracts; however, the value reflected on the accompanying Statement of Assets and Liabilities is only the unsettled variation margin receivable/(payable) as of May 31, 2017.
|
Fund
|
Purchased Options
|
Forward Foreign Currency Contracts*
|
Credit Default Swap Contracts
|
Futures Contracts**
|
||||||||||||
Stone Harbor Emerging Markets Debt Fund
|
$
|
–
|
$
|
(103,616,239
|
)
|
$
|
(1,992,885
|
)
|
$
|
–
|
||||||
Stone Harbor High Yield Bond Fund
|
–
|
(1,103,496
|
)
|
–
|
–
|
|||||||||||
Stone Harbor Local Markets Fund
|
–
|
67,271,907
|
–
|
–
|
||||||||||||
Stone Harbor Emerging Markets Corporate Debt Fund
|
–
|
(152,519
|
)
|
–
|
–
|
|||||||||||
Stone Harbor Investment Grade Fund
|
–
|
–
|
–
|
–
|
||||||||||||
Stone Harbor Strategic Income Fund
|
479
|
175,334
|
(319,396
|
)
|
13,293
|
|||||||||||
Stone Harbor Emerging Markets Debt Allocation Fund
|
–
|
(354,087
|
)
|
–
|
–
|
|||||||||||
Stone Harbor 500 Plus Fund
|
–
|
–
|
–
|
81,641
|
* |
Represents the average foreign currency amount translated into US dollars (bought) or sold
|
** |
Represents the average unrealized appreciation/(depreciation)
|
92
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
Risk Exposure
|
Location
|
Realized Gain/(Loss) on Derivatives
|
Location
|
Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income
|
||||||
Stone Harbor Emerging Markets Debt Fund
|
||||||||||
Credit Risk (Swap Contracts)
|
Net realized gain/(loss) on credit default swap contracts
|
$
|
4,681,709
|
Change in unrealized appreciation/(depreciation) on credit default swap contracts
|
$
|
151,724
|
||||
Foreign Exchange Rate Risk (Forward Foreign Currency Contracts)
|
Net realized gain/(loss) on forward foreign currency contracts
|
1,478,256
|
Change in unrealized appreciation/(depreciation) on forward foreign currency contracts
|
(2,912,301
|
)
|
|||||
Total
|
$
|
6,159,965
|
$
|
(2,760,577
|
)
|
|||||
Stone Harbor High Yield Bond Fund
|
||||||||||
Foreign Exchange Rate Risk (Forward Foreign Currency Contracts)
|
Net realized gain/(loss) on forward foreign currency contracts
|
$
|
399,980
|
Change in unrealized appreciation/(depreciation) on forward foreign currency contracts
|
$
|
(134,019
|
)
|
|||
Total
|
$
|
399,980
|
$
|
(134,019
|
)
|
|||||
Stone Harbor Local Markets Fund
|
||||||||||
Foreign Exchange Rate Risk (Forward Foreign Currency Contracts)
|
Net realized gain/(loss) on forward foreign currency contracts
|
$
|
(19,148,143
|
)
|
Change in unrealized appreciation/(depreciation) on forward foreign currency contracts
|
$
|
1,328,631
|
|||
Total
|
$
|
(19,148,143
|
)
|
$
|
1,328,631
|
|||||
Stone Harbor Emerging Markets Corporate Debt Fund
|
||||||||||
Foreign Exchange Rate Risk (Forward Foreign Currency Contracts)
|
Net realized gain/(loss) on forward foreign currency contracts
|
$
|
53,364
|
Change in unrealized appreciation/(depreciation) on forward foreign currency contracts
|
$
|
(3,298
|
)
|
|||
Total
|
$
|
53,364
|
$
|
(3,298
|
)
|
|||||
Stone Harbor Strategic Income Fund
|
||||||||||
Currency Risk (Purchased Options)
|
Net realized gain/loss on investments
|
$
|
(54,168
|
)
|
Change in unrealized appreciation/depreciation on investments
|
$
|
37,888
|
|||
Credit Risk (Swap Contracts)
|
Net realized gain/(loss) on credit default swap contracts
|
(307,292
|
)
|
Change in unrealized appreciation/(depreciation) on credit default swap contracts
|
(71,057
|
)
|
||||
Interest Rate Risk (Futures Contracts)
|
Net realized gain/(loss) on futures contracts
|
337,337
|
Change in unrealized appreciation/(depreciation) on futures contracts
|
6,703
|
||||||
Foreign Exchange Rate Risk (Forward Foreign Currency Contracts)
|
Net realized gain/(loss) on forward foreign currency contracts
|
170,491
|
Change in unrealized appreciation/(depreciation) on forward foreign currency contracts
|
27,437
|
||||||
Total
|
$
|
146,368
|
$
|
971
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
93
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
Risk Exposure
|
Location
|
Realized
Gain/(Loss) on
Derivatives
|
Location
|
Change in Unrealized
Appreciation/(Depreciation) on
Derivatives Recognized in Income
|
|||||||
Stone Harbor Emerging Markets Debt Allocation Fund
|
|||||||||||
Foreign Exchange Rate Risk (Forward Foreign Currency Contracts)
|
Net realized gain/(loss) on forward foreign currency contracts
|
$ |
(195,260
|
)
|
Change in unrealized appreciation/(depreciation) on forward foreign currency contracts
|
$
|
16,375
|
||||
Total
|
$
|
(195,260
|
)
|
$
|
16,375
|
||||||
Stone Harbor 500 Plus Fund
|
|||||||||||
Interest Rate Risk (Futures Contracts)
|
Net realized gain/(loss) on futures contracts
|
$
|
(35
|
)
|
Change in unrealized appreciation/(depreciation) on futures contracts
|
$
|
131,465
|
||||
Total
|
$
|
(35
|
)
|
$
|
131,465
|
From
|
Gross Amounts of Recognized Assets
|
Gross Amounts Offset In The Statements of Assets and Liabilities
|
Net Amounts Presented In The Statements of Assets and Liabilities
|
Financial Instruments Available for Offset(a)
|
Cash Collateral Received(a)
|
Net Amount
|
||||||||||||||||||
Stone Harbor Emerging Market Debt Fund
|
||||||||||||||||||||||||
Forward Foreign Currency Contracts
|
$
|
1,095,307
|
$
|
–
|
$
|
1,095,307
|
$
|
(657,436
|
)
|
$
|
(110,000
|
)
|
$
|
327,871
|
||||||||||
TOTAL
|
$
|
1,095,307
|
$
|
–
|
$
|
1,095,307
|
$
|
(657,436
|
)
|
$
|
(110,000
|
)
|
$
|
327,871
|
||||||||||
Stone Harbor High Yield
|
||||||||||||||||||||||||
Forward Foreign Currency Contracts
|
$
|
1,967
|
$
|
–
|
$
|
1,967
|
$
|
(1,906
|
)
|
$
|
–
|
$
|
61
|
|||||||||||
TOTAL
|
$
|
1,967
|
$
|
–
|
$
|
1,967
|
$
|
(1,906
|
)
|
$
|
–
|
$
|
61
|
|||||||||||
Stone Harbor Local Markets Funds
|
||||||||||||||||||||||||
Forward Foreign Currency Contracts
|
$
|
2,220,878
|
$
|
–
|
$
|
2,220,878
|
$
|
(1,665,841
|
)
|
$
|
(190,000
|
)
|
$
|
365,037
|
||||||||||
TOTAL
|
$
|
2,220,878
|
$
|
–
|
$
|
2,220,878
|
$
|
(1,665,841
|
)
|
$
|
(190,000
|
)
|
$
|
365,037
|
||||||||||
Stone Harbor Strategic Income Fund
|
||||||||||||||||||||||||
Forward Foreign Currency Contracts
|
$
|
22,417
|
$
|
–
|
$
|
22,417
|
$
|
(7,152
|
)
|
$
|
–
|
$
|
15,265
|
|||||||||||
TOTAL
|
$
|
22,417
|
$
|
–
|
$
|
22,417
|
$
|
(7,152
|
)
|
$
|
–
|
$
|
15,265
|
|||||||||||
Stone Harbor Emerging Markets Debt Allocation Fund
|
||||||||||||||||||||||||
Forward Foreign Currency Contracts
|
$
|
577
|
$
|
–
|
$
|
577
|
$
|
(577
|
)
|
$
|
–
|
$
|
–
|
|||||||||||
TOTAL
|
$
|
577
|
$
|
–
|
$
|
577
|
$
|
(577
|
)
|
$
|
–
|
$
|
–
|
94
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
Description
|
Gross Amounts of
Recognized Liabilities
|
Gross
Amounts
Offset In The
Statements of
Assets and
Liabilities
|
Net Amounts
Presented In The
Statements of
Assets and
Liabilities
|
Financial
Instruments
Available for
Offset(a)
|
Cash Collateral
Pledged(a)
|
Net
Amount
|
||||||||||||||||||
Stone Harbor Emerging Market Debt Fund
|
||||||||||||||||||||||||
Forward Foreign Currency Contracts
|
$
|
3,931,562
|
$
|
–
|
$
|
3,931,562
|
$
|
(657,436
|
)
|
$
|
(2,830,000
|
)
|
$
|
444,126
|
||||||||||
TOTAL
|
$
|
3,931,562
|
$
|
–
|
$
|
3,931,562
|
$
|
(657,436
|
)
|
$
|
(2,830,000
|
)
|
$
|
444,126
|
||||||||||
Stone Harbor High Yield Fund
|
||||||||||||||||||||||||
Forward Foreign Currency Contracts
|
$
|
37,607
|
$
|
–
|
$
|
37,607
|
$
|
(1,906
|
)
|
$
|
–
|
$
|
35,701
|
|||||||||||
TOTAL
|
$
|
37,607
|
$
|
–
|
$
|
37,607
|
$
|
(1,906
|
)
|
$
|
–
|
$
|
35,701
|
|||||||||||
Stone Harbor Local Markets Funds
|
||||||||||||||||||||||||
Forward Foreign Currency Contracts
|
$
|
1,887,285
|
$
|
–
|
$
|
1,887,285
|
$
|
(1,665,841
|
)
|
$
|
(221,444
|
)
|
$
|
–
|
||||||||||
TOTAL
|
$
|
1,887,285
|
$
|
–
|
$
|
1,887,285
|
$
|
(1,665,841
|
)
|
$
|
(221,444
|
)
|
$
|
–
|
||||||||||
Stone Harbor Strategic Income Fund
|
||||||||||||||||||||||||
Forward Foreign Currency Contracts
|
$
|
15,302
|
$
|
–
|
$
|
15,302
|
$
|
(7,152
|
)
|
$
|
–
|
$
|
8,150
|
|||||||||||
TOTAL
|
$
|
15,302
|
$
|
–
|
$
|
15,302
|
$
|
(7,152
|
)
|
$
|
–
|
$
|
8,150
|
|||||||||||
Stone Harbor Emerging Markets Debt Allocation Fund
|
||||||||||||||||||||||||
Forward Foreign Currency Contracts
|
$
|
4,756
|
$
|
–
|
$
|
4,756
|
$
|
(577
|
)
|
$
|
–
|
$
|
4,179
|
|||||||||||
TOTAL
|
$
|
4,756
|
$
|
–
|
$
|
4,756
|
$
|
(577
|
)
|
$
|
–
|
$
|
4,179
|
(a)
|
These amounts are limited to the derivatives asset/liability balance and, accordingly, do not include excess collateral received/pledged.
|
Stone Harbor Emerging Markets Debt Fund
|
2017
|
2016
|
||||||
Ordinary Income
|
$
|
90,794,571
|
$
|
125,569,725
|
||||
Total
|
$
|
90,794,571
|
$
|
125,569,725
|
Stone Harbor High Yield Bond Fund
|
2017
|
2016
|
||||||
Ordinary Income
|
$
|
12,429,528
|
$
|
16,172,824
|
||||
Total
|
$
|
12,429,528
|
$
|
16,172,824
|
Stone Harbor Local Markets Fund
|
2017
|
2016
|
||||||
Total
|
$
|
–
|
$
|
–
|
Stone Harbor Emerging Markets Corporate Debt Fund
|
2017
|
2016
|
||||||
Ordinary Income
|
$
|
653,203
|
$
|
1,499,763
|
||||
Total
|
$
|
653,203
|
$
|
1,499,763
|
Stone Harbor Investment Grade Fund
|
2017
|
2016
|
||||||
Ordinary Income
|
$
|
351,688
|
$
|
329,050
|
||||
Long‐Term Capital Gain
|
7,434
|
21,781
|
||||||
Total
|
$
|
359,122
|
$
|
350,831
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
95
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
Stone Harbor Strategic Income Fund
|
2017
|
2016
|
||||||
Ordinary Income
|
$
|
1,417,693
|
$
|
1,268,147
|
||||
Long‐Term Capital Gain
|
–
|
489,931
|
||||||
Total
|
$
|
1,417,693
|
$
|
1,758,078
|
Stone Harbor Emerging Markets Debt Allocation Fund
|
2017
|
2016
|
||||||
Ordinary Income
|
$
|
1,818,851
|
$
|
2,967,695
|
||||
Total
|
$
|
1,818,851
|
$
|
2,967,695
|
Stone Harbor 500 Plus Fund
|
For the Period
Ended May 31, 2017
|
|||
Ordinary Income
|
$
|
12,105
|
||
Total
|
$
|
12,105
|
Stone Harbor Emerging Markets Debt Fund
|
||||
Undistributed Ordinary Income
|
$
|
4,894,492
|
||
Accumulated Capital Loss
|
(179,140,573
|
)
|
||
Unrealized Appreciation
|
50,248,057
|
|||
Cumulative Effect of Other Timing Difference*
|
(2,695,839
|
)
|
||
Total
|
$
|
(126,693,863
|
)
|
|
Stone Harbor High Yield Bond Fund
|
||||
Undistributed Ordinary Income
|
$
|
524,578
|
||
Accumulated Capital Loss
|
(24,346,686
|
)
|
||
Unrealized Appreciation
|
5,100,812
|
|||
Cumulative Effect of Other Timing Difference*
|
35,640
|
|||
Total
|
$
|
(18,685,656
|
)
|
|
Stone Harbor Local Markets Fund
|
||||
Accumulated Capital Loss
|
$
|
(179,901,476
|
)
|
|
Unrealized Depreciation
|
(58,735,041
|
)
|
||
Cumulative Effect of Other Timing Difference*
|
(46,154,921
|
)
|
||
Total
|
$
|
(284,791,438
|
)
|
|
Stone Harbor Emerging Markets Corporate Debt Fund
|
||||
Undistributed Ordinary Income
|
$
|
17,169
|
||
Accumulated Capital Loss
|
(4,820,775
|
)
|
||
Unrealized Appreciation
|
487,272
|
|||
Total
|
$
|
(4,316,334
|
)
|
|
Stone Harbor Investment Grade Fund
|
||||
Accumulated Capital Gain
|
$
|
38,881
|
||
Unrealized Appreciation
|
159,249
|
|||
Total
|
$
|
198,130
|
96
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
Stone Harbor Strategic Income Fund
|
||||
Undistributed Ordinary Income
|
$
|
71,585
|
||
Accumulated Capital Loss
|
(141,064
|
)
|
||
Unrealized Depreciation
|
(823,531
|
)
|
||
Cumulative Effect of Other Timing Difference*
|
40,278
|
|||
Total
|
$
|
(852,732
|
)
|
Stone Harbor Emerging Markets Debt Allocation Fund
|
||||
Undistributed Ordinary Income
|
$
|
297,223
|
||
Accumulated Capital Loss
|
(7,916,062
|
)
|
||
Unrealized Appreciation
|
3,197,101
|
|||
Cumulative Effect of Other Timing Difference*
|
4,179
|
|||
Total
|
$
|
(4,417,559
|
)
|
Stone Harbor 500 Plus Fund
|
||||
Undistributed Ordinary Income
|
$
|
54,025
|
||
Accumulated Capital Gain
|
78,858
|
|||
Unrealized Appreciation
|
138,672
|
|||
Cumulative Effect of Other Timing Difference*
|
(131,465
|
)
|
||
Total
|
$
|
140,090
|
*
|
Other temporary differences due to timing, consist primarily of mark-to-market on forward foreign currency contracts.
|
Fund
|
Paid-in Capital
|
Accumulated Net
Investment Income/(Loss)
|
Accumulated Net Realized
Gain/(Loss) on Investments
|
|||||||||
Stone Harbor Emerging Markets Debt Fund
|
$
|
(1,871,232
|
)
|
$
|
4,657,984
|
$
|
(2,786,752
|
)
|
||||
Stone Harbor High Yield Bond Fund
|
–
|
(720,679
|
)
|
720,679
|
||||||||
Stone Harbor Local Markets Fund
|
(76,662,789
|
)
|
10,193,316
|
66,469,473
|
||||||||
Stone Harbor Emerging Markets Corporate Debt Fund
|
–
|
(33,822
|
)
|
33,822
|
||||||||
Stone Harbor Investment Grade Fund
|
–
|
9,365
|
(9,365
|
)
|
||||||||
Stone Harbor Strategic Income Fund
|
–
|
(70,853
|
)
|
70,853
|
||||||||
Stone Harbor Emerging Markets Debt Allocation Fund
|
–
|
(250,461
|
)
|
250,461
|
||||||||
Stone Harbor 500 Plus Fund
|
(1,153
|
)
|
1,480
|
(327
|
)
|
Fund
|
Amount
|
|||
Stone Harbor Local Markets Fund
|
$
|
76,662,789
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
97
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
Fund
|
Amount
|
|||
Stone Harbor Emerging Markets Debt Fund
|
$
|
15,295,197
|
||
Stone Harbor Strategic Income Fund
|
31,016
|
Fund
|
Short-Term
|
Long-Term
|
||||||
Stone Harbor Emerging Markets Debt Fund
|
$
|
77,380,083
|
$
|
101,760,490
|
||||
Stone Harbor High Yield Bond Fund
|
2,836,987
|
20,393,992
|
||||||
Stone Harbor Local Markets Fund
|
111,964,632
|
62,257,292
|
||||||
Stone Harbor Emerging Markets Corporate Debt Fund
|
2,010,614
|
2,798,816
|
||||||
Stone Harbor Strategic Income Fund
|
59,112
|
58,010
|
||||||
Stone Harbor Emerging Markets Debt Allocation Fund
|
980,119
|
6,935,943
|
Fund
|
Amount
|
|||
Stone Harbor High Yield Bond Fund
|
$
|
1,115,707
|
||
Stone Harbor Local Markets Fund
|
5,679,552
|
|||
Stone Harbor Emerging Markets Corporate Debt Fund
|
11,345
|
|||
Stone Harbor Strategic Income Fund
|
23,942
|
Fund
|
Amount
|
|||
Stone Harbor Local Markets Fund
|
$
|
35,529,488
|
Stone Harbor Emerging Markets Debt Fund
|
||||
Gross appreciation on investments (excess of value over tax cost)
|
$
|
62,545,266
|
||
Gross depreciation on investments (excess of tax cost over value)
|
(9,570,957
|
)
|
||
Net depreciation of foreign currency and derivatives
|
(2,726,252
|
)
|
||
Net unrealized appreciation
|
$
|
50,248,057
|
||
Cost of investments for income tax purposes
|
$
|
1,369,361,304
|
Stone Harbor High Yield Bond Fund
|
||||
Gross appreciation on investments (excess of value over tax cost)
|
$
|
7,689,125
|
||
Gross depreciation on investments (excess of tax cost over value)
|
(2,553,375
|
)
|
||
Net depreciation of foreign currency and derivatives
|
(34,938
|
)
|
||
Net unrealized appreciation
|
$
|
5,100,812
|
||
Cost of investments for income tax purposes
|
$
|
155,460,116
|
98
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
Stone Harbor Local Markets Fund
|
||||
Gross appreciation on investments (excess of value over tax cost)
|
$
|
37,256,009
|
||
Gross depreciation on investments (excess of tax cost over value)
|
(96,568,452
|
)
|
||
Net appreciation of foreign currency and derivatives
|
577,402
|
|||
Net unrealized depreciation
|
$
|
(58,735,041
|
)
|
|
Cost of investments for income tax purposes
|
$
|
873,978,402
|
||
Stone Harbor Emerging Markets Corporate Debt Fund
|
||||
Gross appreciation on investments (excess of value over tax cost)
|
$
|
496,607
|
||
Gross depreciation on investments (excess of tax cost over value)
|
(9,335
|
)
|
||
Net unrealized appreciation
|
$
|
487,272
|
||
Cost of investments for income tax purposes
|
$
|
12,384,762
|
||
Stone Harbor Investment Grade Fund
|
||||
Gross appreciation on investments (excess of value over tax cost)
|
$
|
254,404
|
||
Gross depreciation on investments (excess of tax cost over value)
|
(95,155
|
)
|
||
Net unrealized appreciation
|
$
|
159,249
|
||
Cost of investments for income tax purposes
|
$
|
15,778,548
|
||
Stone Harbor Strategic Income Fund
|
||||
Gross appreciation on investments (excess of value over tax cost)
|
$
|
510,878
|
||
Gross depreciation on investments (excess of tax cost over value)
|
(1,298,870
|
)
|
||
Net depreciation of foreign currency and derivatives
|
(35,539
|
)
|
||
Net unrealized depreciation
|
$
|
(823,531
|
)
|
|
Cost of investments for income tax purposes
|
$
|
37,620,337
|
||
Stone Harbor Emerging Markets Debt Allocation Fund
|
||||
Gross appreciation on investments (excess of value over tax cost)
|
$
|
3,206,421
|
||
Gross depreciation on investments (excess of tax cost over value)
|
(5,141
|
)
|
||
Net depreciation of foreign currency and derivatives
|
(4,179
|
)
|
||
Net unrealized appreciation
|
$
|
3,197,101
|
||
Cost of investments for income tax purposes
|
$
|
24,507,147
|
||
Stone Harbor 500 Plus Fund
|
||||
Gross appreciation on investments (excess of value over tax cost)
|
$
|
7,671
|
||
Gross depreciation on investments (excess of tax cost over value)
|
(464
|
)
|
||
Net appreciation of foreign currency and derivatives
|
131,465
|
|||
Net unrealized appreciation
|
$ | 138,672 | ||
Cost of investments for income tax purposes
|
$
|
2,123,939
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
99
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
2018
|
2019
|
2020
|
Total
|
||||||||||||
Stone Harbor High Yield Bond Fund
|
$
|
65,578
|
$
|
–
|
$
|
36,364
|
$
|
101,942
|
|||||||
Stone Harbor Emerging Markets Corporate Debt Fund
|
$
|
100,868
|
$
|
112,847
|
$
|
136,853
|
$
|
350,568
|
|||||||
Stone Harbor Investment Grade Fund
|
$
|
120,267
|
$
|
125,244
|
$
|
133,267
|
$
|
378,778
|
|||||||
Stone Harbor Strategic Income Fund
|
$
|
248,095
|
$
|
290,586
|
$
|
316,580
|
$
|
855,261
|
|||||||
Stone Harbor Debt Allocation Fund
|
$
|
379,648
|
$
|
734,211
|
$
|
475,248
|
$
|
1,589,107
|
|||||||
Stone Harbor 500 Plus Fund
|
N/A
|
N/A
|
$
|
88,145
|
$
|
88,145
|
Purchases
|
Sales
|
|||||||
Stone Harbor Emerging Markets Debt Fund
|
$
|
1,686,963,756
|
$
|
1,897,618,876
|
||||
Stone Harbor High Yield Bond Fund
|
159,313,552
|
258,207,071
|
||||||
Stone Harbor Local Markets Fund
|
1,079,658,587
|
1,150,752,648
|
||||||
Stone Harbor Emerging Markets Corporate Debt Fund
|
10,387,624
|
14,431,894
|
||||||
Stone Harbor Investment Grade Fund
|
6,892,309
|
5,177,240
|
||||||
Stone Harbor Strategic Income Fund
|
7,476,706
|
7,794,281
|
||||||
Stone Harbor Emerging Markets Debt Allocation Fund
|
11,872,719
|
56,375,536
|
||||||
Stone Harbor 500 Plus Fund
|
1,949,020
|
229,265
|
Purchases
|
Sales
|
|||||||
Stone Harbor Investment Grade Fund
|
$
|
447,146
|
$
|
451,496
|
100
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
Security Name
|
Share Balance May 31, 2016
|
Purchases
|
Sales
|
Share Balance May 31, 2017
|
Dividend Income
|
Realized Gain /Loss
|
Market Value May 31, 2017
|
|||||||||||||||||||||
Stone Harbor Emerging Markets Corporate Debt Fund
|
-
|
107,884
|
5,744
|
102,140
|
$
|
12,809
|
$
|
490
|
$
|
933,563
|
||||||||||||||||||
Stone Harbor Emerging Markets Debt Fund
|
749,205
|
86,399
|
303,974
|
531,630
|
428,533
|
(94,930
|
)
|
5,635,273
|
||||||||||||||||||||
Stone Harbor High Yield Bond Fund
|
1,602,382
|
193,118
|
234,864
|
1,560,636
|
739,445
|
(272,891
|
)
|
12,968,881
|
||||||||||||||||||||
Stone Harbor Investment Grade Fund
|
1,517,054
|
199,686
|
245,071
|
1,471,669
|
358,882
|
(43,822
|
)
|
15,275,924
|
||||||||||||||||||||
Stone Harbor Local Markets Fund
|
-
|
228,218
|
11,986
|
216,232
|
-
|
3,116
|
1,894,190
|
|||||||||||||||||||||
3,868,641 |
815,305
|
801,639
|
3,882,307
|
$ |
1,539,669
|
$ |
(408,037
|
)
|
$ |
36,707,831
|
Security Name
|
Share Balance May 31, 2016
|
Purchases
|
Sales
|
Share Balance May 31, 2017
|
Dividend Income
|
Realized Gain
|
Market Value May 31, 2017
|
|||||||||||||||||||||
Stone Harbor Emerging Markets Debt Fund
|
3,307,937
|
525,528
|
2,691,187
|
1,142,278
|
$
|
1,416,353
|
$
|
1,270,738
|
$
|
12,108,147
|
||||||||||||||||||
Stone Harbor Local Markets Fund
|
4,386,315
|
751,625
|
3,371,596
|
1,766,344
|
-
|
880,621
|
15,473,177
|
|||||||||||||||||||||
7,694,252
|
1,277,153
|
6,062,783
|
2,908,622
|
$
|
1,416,353
|
$
|
2,151,359
|
$
|
27,581,324
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
101
|
Stone Harbor Investment Funds
|
Notes to Financial Statements
|
102
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Additional Information
|
Stone Harbor Emerging Markets Debt Fund
|
Stone Harbor High Yield Bond Fund
|
Stone Harbor Local Markets Fund
|
Stone Harbor Emerging Markets Corporate Debt Fund
|
Stone Harbor Investment Grade Fund
|
Stone Harbor Strategic Income Fund
|
Stone Harbor Emerging Markets Debt Allocation Fund
|
|
Dividends Received Deduction Percentage
|
0.00%
|
1.21%
|
0.00%
|
0.00%
|
0.00%
|
0.58%
|
0.00%
|
Qualified Dividend Income Percentage
|
0.00%
|
1.21%
|
0.00%
|
0.00%
|
0.00%
|
0.57%
|
0.00%
|
Index
|
Description
|
Bloomberg Barclays U.S. Aggregate Index
|
The Bloomberg Barclays U.S. Aggregate Index represents securities that are SEC‐registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass‐through securities, and asset‐backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis.
|
Bloomberg Barclays Global Credit Index (Hedged USD)
|
Bloomberg Barclays Global Credit Index is a subset of the Global Aggregate Index and is subject to the same quality, liquidity, and maturity requirements and exclusion rules of the latter. Constituents must be rated investment grade by at least two of the three major ratings agencies. Constituents must have a remaining maturity of at least one year. The index does not include convertibles, floating‐rate notes, fixed‐rate perpetuals, warrants, linked bonds, and structured products.
|
CEMBI Broad Diversified
|
The JPMorgan 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. 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.
|
Citigroup High Yield Market Capped Index
|
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 and capping the par value of individual issuers at US $15 billion par amount outstanding. The 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.
|
JPMorgan CEMBI Broad Diversified Index
|
The JPMorgan CEMBI Broad Diversified tracks total returns of U.S. dollar‐denominated debt instruments issued by corporate entities in emerging market countries and consists of an investable universe of corporate bonds. The minimum amount outstanding required is $350 mm for the CEMBI Broad Diversified. The CEMBI Broad Diversified limits the weights of those index countries with larger corporate debt stocks by only including a specified portion of these countries’ eligible current face amounts of debt outstanding.
|
JPMorgan EMBI Global Diversified Index
|
The JPMorgan EMBI Global Diversified (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. The 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.
|
JPMorgan GBI EM Global Diversified Index
|
The JPMorgan 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.
|
S&P 500 Index
|
The S&P 500 is an index of 500 stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500 is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe.
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
103
|
Stone Harbor Investment Funds
|
Additional Information
|
104
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Additional Information
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
105
|
Stone Harbor Investment Funds
|
Board Approval of
Investment Advisory Agreement |
106
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Board Approval of
Investment Advisory Agreement |
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
107
|
Stone Harbor Investment Funds
|
Board Approval of
Investment Advisory Agreement |
·
|
So‐called “fallout benefits” to the Adviser, such as the benefits from offering its institutional clients the ability to invest in a registered investment company. The Trustees also considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.
|
·
|
The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years.
|
108
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Trustees & Officers
|
Name and Year of Birth(1)
|
Position(s) Held with the Trust
|
Term of Office and Length of Time Served(2)
|
Principal Occupation (s) During Past 5 Years
|
Number of Portfolios in Fund Complex Overseen by Trustee(3)
|
Other Directorships Held by Trustee
|
Alan Brott
1942 |
Chairman of the Audit Committee; Trustee
|
Since 2007
|
Columbia University ‐ Associate Professor, 2000‐Present; Consultant, 1991‐Present.
|
11
|
Stone Harbor Emerging Markets Income Fund, Stone Harbor Emerging Markets Total Income Fund, Grosvenor Registered Multi‐Strategy Fund, Man FRM Alternative Multi‐Strategy Fund, Excelsior Private Markets Fund II, Excelsior Private Markets Fund III, Excelsior Venture Partners III, UST Global Private Markets, and NB CrossRoads Private Markets Fund.
|
Heath B. McLendon
1933 |
Trustee
|
Since 2007
|
Retired since 2006; formerly Citigroup ‐ Chairman of Equity Research Oversight Committee.
|
11
|
Stone Harbor Emerging Markets Income Fund and Stone Harbor Emerging Markets Total Income Fund.
|
Patrick Sheehan
1947 |
Trustee
|
Since 2007
|
Retired since 2002; formerly, Citigroup Asset Management‐Managing Director and Fixed Income Portfolio Manager.
|
11
|
Stone Harbor Emerging Markets Income Fund and Stone Harbor Emerging Markets Total Income Fund.
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
109
|
Stone Harbor Investment Funds
|
Trustees & Officers
|
Name and Year of Birth(1)
|
Position(s) Held with the Trust
|
Term of Office and Length of Time Served(2)
|
Principal Occupation(s) During Past 5 Years
|
Number of Portfolios in Fund Complex Overseen by Trustee(3)
|
Other Directorships Held by Trustee
|
Glenn Marchak
1956 |
Trustee
|
Since 2015
|
Consultant and Private Investor.
|
11
|
Stone Harbor Emerging Markets Income Fund, Stone Harbor Emerging Markets Total Income Fund, Apollo Tactical Income Fund Inc. and Apollo Senior Floating Rate Fund Inc.
|
Bruce Speca
1956 |
Trustee
|
Since 2016
|
Trustee, the Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds and The KP Funds (November 2011‐Present); Global Head of Asset Allocation, Manulife Asset Management (subsidiary of Manulife Financial), 2010 to 2011. Executive Vice President – Investment Management Services, John Hancock Financial Services (subsidiary of Manulife Financial), 2003 to 2010.
|
11
|
Stone Harbor Emerging Markets Income Fund, Stone Harbor Emerging Markets Total Income Fund, The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds and The KP Funds.
|
Name and Year of Birth(1)
|
Position(s) Held with the Trust
|
Term of Office and Length of Time Served(2)
|
Principal Occupation(s) During Past 5 Years
|
Number of Portfolios in Fund Complex Overseen by Trustee(3)
|
Other Directorships Held by Trustee
|
Thomas K. Flanagan*
1953
|
Chairman and Trustee
|
Since 2012
|
Since April 2006, Portfolio Manager of Stone Harbor; prior to April 2006, Managing Director and Senior Portfolio Manager for emerging markets debt portfolios at Salomon Brothers Asset Management Inc.; joined Salomon Brothers Asset Management Inc. in 1991.
|
11
|
Stone Harbor Emerging Markets Income Fund and Stone Harbor Emerging Markets Total Income Fund.
|
110
|
www.shiplp.com
|
Stone Harbor Investment Funds
|
Trustees & Officers
|
Name and Year of Birth(1)
|
Position(s) Held with the Trust
|
Term of Office and Length of Time Served(2)
|
Principal Occupation(s) During Past 5 Years
|
Peter J. Wilby
1958 |
President
|
Since 2007
|
Co‐portfolio manager of the Fund; since April 2006, Chief Investment Officer of Stone Harbor; prior to April 2006, Chief Investment Officer — North American Fixed Income at Citigroup Asset Management; joined Citigroup or its predecessor firms in 1989.
|
Jeffrey S. Scott
1959 |
Chief Compliance Officer
|
Since 2007
|
Since April 2006, Chief Compliance Officer of Stone Harbor; from October 2006 to March 2007, Director of Compliance, New York Life Investment Management LLC; from July 1998 to September 2006, Chief Compliance Officer, Salomon Brothers Asset Management Inc.
|
Thomas M. Reynolds
1960 |
Principal Financial and Accounting Officer
|
Since 2014
|
Since February 2008, Controller of Stone Harbor; from February 2006 to February 2008, Vice President of Portfolio Administration for Goldman Sachs Asset Management; from 1991 to 2006, Citigroup Asset Management.
|
Amanda Suss
1969 |
Treasurer
|
Since 2014
|
Since July 2011, Senior Finance Associate of Stone Harbor; from 2000 to July 2006, Director of Business Operations at Citigroup Asset Management; From April 1994 to April 2000, Mutual Fund Accounting Manager at Smith Barney Asset Management.
|
Adam J. Shapiro
1963 |
Secretary; Anti‐Money Laundering Officer
|
Since 2007
|
Since April 2006, General Counsel of Stone Harbor; from April 2004 to March 2006, General Counsel, North American Fixed Income, Salomon Brothers Asset Management Inc.; from August 1999 to March 2004, Director of Product and Business Development, Citigroup Asset Management.
|
Vilma V. DeVooght
1977 |
Assistant Secretary
|
Since 2015
|
Senior Counsel, ALPS, since 2014; Associate Counsel, First Data Corporation 2012 to 2014; Legal Counsel, Invesco 2009 to 2011
|
Erich Rettinger
1985 |
Assistant Treasurer
|
Since 2016
|
Fund Controller, since 2013, and Fund Accountant, 2007 to 2013, ALPS
|
*
|
Mr. Flanagan is an interested person of the Trust (as defined in the 1940 Act) (an “Interested Trustee”) because of his position with the Adviser
|
(1)
|
The business address of each Trustee and Officer of the Fund is c/o Stone Harbor Investment Partners LP, 31 West 52nd Street, 16th Floor, New York, NY 10019.
|
(2)
|
Each Trustee serves until retirement, resignation or removal from the Board. Officers are typically elected every year, unless an officer earlier retires, resigns or is removed from office.
|
(3)
|
The term “Fund Complex” as used in this table includes each Fund of the Trust, the Stone Harbor Emerging Markets Income Fund and the Stone Harbor Emerging Markets Total Income Fund, two closed-end funds advised by the Adviser.
|
Stone Harbor Investment Funds Annual Report | May 31, 2017
|
111
|
Item 2.
|
Code of Ethics.
|
(a) |
The Registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or any persons performing similar functions on behalf of the Registrant.
|
(b)
|
Not applicable.
|
(c) |
During the period covered by this report, no amendments to the provisions of the code of ethics adopted in Item 2(a) above were made.
|
(d) |
During the period covered by this report, no implicit or explicit waivers to the provisions of the code of ethics adopted in Item 2(a) above were granted.
|
(e) |
Not applicable.
|
(f) |
The Registrant’s Code of Ethics is attached as Exhibit 12.A.1. hereto.
|
Item 3.
|
Audit Committee Financial Expert.
|
Item 4.
|
Principal Accountant Fees and Services.
|
(a) |
Audit Fees: For the Registrant’s fiscal years ended May 31, 2016 and May 31, 2017, the aggregate fees billed for professional services rendered by the principal accountant for the audit of the Registrant’s annual financial statements were $297,200 and $333,000, respectively.
|
(b) |
Audit-Related Fees: For the Registrant’s fiscal years ended May 31, 2016 and May 31, 2017, there were no fees billed for assurance and related services by the principal accountant that were reasonably related to the performance of the audit of the Registrant’s financial statements and were not reported in paragraph (a) of this Item 4.
|
(c) |
Tax Fees: For the Registrant’s fiscal years ended May 31, 2016 and May 31, 2017, the aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice and tax planning were $35,280 and $32,600, respectively. The fiscal year 2016 and 2017 tax fees were for services pertaining to federal and state income tax return review, review of year-end dividend distributions and excise tax preparation.
|
(d) |
All Other Fees: For the Registrant’s fiscal years ended May 31, 2016 and May 31, 2017, aggregate fees billed to the Registrant by the principal accountant for services provided by the principal accountant other than the services reported in paragraphs (a) through (c) of this Item 4 were $1,000 and $0, respectively. These fees were related to services provided to assist Stone Harbor Investment Funds in Indian tax matters.
|
(e)(1) |
Audit Committee Pre-Approval Policies and Procedures: All services to be performed by the Registrant's principal accountant must be pre-approved by the Registrant's Audit Committee.
|
(e)(2) |
No services described in paragraphs (b) through (d) of this Item 4 were approved by the Registrant’s audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2‑01 of Regulation S-X.
|
(f) |
Not applicable.
|
(g) |
The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for the fiscal year ended May 31, 2016 and May 31, 2017 were $0 and $0, respectively.
|
(h) |
Not applicable.
|
Item 5.
|
Audit Committee of Listed Registrants.
|
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.
|
Item 8.
|
Portfolio Managers of Closed-End Management Investment Companies.
|
Item 9.
|
Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
|
Item 10.
|
Submission of Matters to Vote of Security Holders.
|
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) |
The Code of Ethics that applies to the Registrant’s principal executive officer and principal financial officer is attached hereto as Exhibit 12.A.1.
|
(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.
|
(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.
|
|
Stone Harbor Investment Funds
|
||
|
|
|
|
|
By:
|
/s/ Peter J. Wilby
|
|
Peter J. Wilby | |||
President and Chief Executive Officer/Principal Executive Officer | |||
Date: | August 10, 2017 |
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Stone Harbor Investment Funds
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By:
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/s/ Peter J. Wilby
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Peter J. Wilby | |||
President and Chief Executive Officer/Principal Executive Officer | |||
Date: | August 10, 2017 | ||
By: | /s/ Thomas M. Reynolds | ||
Thomas M. Reynolds | |||
Principal Financial Officer/Principal Accounting Officer | |||
Date: | August 10, 2017 |
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honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;
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full, fair, accurate, timely and understandable disclosure in reports and documents that a Fund files with, or submits to, the Securities and Exchange Commission (“SEC”) and in other public communications made by a Fund;
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compliance with applicable laws and governmental rules and regulations;
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the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and
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accountability for adherence to the Code.
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use his personal influence or personal relationships improperly to influence investment decisions or financial reporting by the relevant Fund whereby the Covered Officer would benefit personally to the detriment of such Fund;
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cause the relevant Fund to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of such Fund; or
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retaliate against any other Covered Officer or any employee of the relevant Fund or its Service Providers for reports of potential violations that are made in good faith.
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service on the board of directors or governing board of a publicly traded entity;
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any ownership interest in, or any consulting or employment relationship with, any entities doing business with the Fund, other than a Service Provider or an affiliate of a Service Provider. This restriction shall not apply to or otherwise limit the ownership of publicly traded securities so long as the Covered Person’s ownership does not exceed more than 2% of the outstanding securities of the relevant class.
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a direct or indirect financial interest in commissions, transaction charges or spreads paid by the Fund for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officer’s employment with a Service Provider or its affiliate. This restriction shall not apply to or otherwise limit the ownership of publicly traded securities so long as the Covered Person’s ownership does not exceed more than 2% of the particular class of security outstanding.
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No Covered Officer should knowingly misrepresent, or cause others to misrepresent, facts about the Funds to others, whether within or outside the Funds, including to the relevant Fund’s Board and auditors, and to governmental regulators and self-regulatory organizations.
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Each Covered Officer should, to the extent appropriate within his area of responsibility, consult with other officers and employees of the relevant Fund and the Service Providers or with counsel to such Fund with the goal of promoting full, fair, accurate, timely and understandable disclosure in the registration statements or periodic reports that the Fund files with, or submits to, the SEC (which, for sake of clarity, does not include any sales literature, omitting prospectuses, or “tombstone” advertising prepared by the Fund’s principal underwriter(s)).
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It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.
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upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing to the Fund that he has received, read, and understands the Code;
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provide full and fair responses to all questions asked in any Trustee and Officer Questionnaire provided by the Fund as well as with respect to any supplemental request for information; and
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notify the President of the Fund promptly if he is convinced to a moral certainty that there has been a material violation of this Code (with respect to violations by a President, the Covered Officer shall report to the Chairman of the Fund).
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the President will take all appropriate action to investigate any potential material violations reported to him, which actions may include the use of internal or external counsel, accountants or other personnel;
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if, after such investigation, the President believes that no material violation has occurred, the President is not required to take any further action;
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any matter that the President believes is a material violation will be reported to the Audit Committee of the Board of Trustees (the “Committee”);
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if the Committee concurs that a material violation has occurred, it will inform and make a recommendation to the Board, which will consider appropriate action, which may include review of, and appropriate modifications to applicable policies and procedures; notification to appropriate personnel of a Service Provider or its board; or a recommendation to dismiss the Covered Officer;
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the Committee will be authorized to grant waivers, as it deems appropriate; and
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any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules.
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Principal Executive Officer
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Principal Financial Officer
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Principal Accounting Officer
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Peter Wilby
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Thomas Reynolds
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Thomas Reynolds
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1. |
I have reviewed this report on Form N-CSR of Stone Harbor Investment Funds;
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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;
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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;
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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:
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(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;
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(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;
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(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
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(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
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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):
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(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
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(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.
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By:
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/s/ Peter J. Wilby
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Peter J. Wilby
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President and Chief Executive Officer/ Principal Executive Officer
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Date:
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August 10, 2017
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1. |
I have reviewed this report on Form N-CSR of Stone Harbor Investment Funds;
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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;
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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;
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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:
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(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;
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(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;
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(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
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(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
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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):
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(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
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(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.
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By:
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/s/ Thomas M. Reynolds
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Thomas M. Reynolds
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Principal Financial Officer/Principal Accounting Officer
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Date:
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August 10, 2017
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(i) |
the Report 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
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(ii) |
the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
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Dated:
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August 10, 2017
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By: | /s/ Peter J. Wilby | |
Peter J. Wilby (Principal Executive Officer)
President and Chief Executive Officer
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(i) |
the Report 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
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(ii) |
the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
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Dated:
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August 10, 2017
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By: | /s/ Thomas M. Reynolds | |
Thomas M. Reynolds
Principal Financial Officer/Principal Accounting Officer
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