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Morgan Chase & Co. 7H6GLXDRUGQFU57RNE97 684505.00000000 USD 563928.10000000 EUR 2021-03-22 -3735.00000000 N N N Republica Orient Uruguay 549300RDR012H2V82H43 Uruguay Government International Bond 760942BD3 4117000.00000000 PA USD 5029172.81000000 0.379553962543 Long DBT NUSS UY N 2 2055-04-20 Fixed 4.97500000 N N N N N N 2021-03-30 STONE HARBOR INVESTMENT FUNDS Peter Wilby Peter Wilby President and Chief Executive Officer/Principal Executive Officer XXXX NPORT-EX 2 fp0064871_nportex.htm

Stone Harbor Emerging Markets Debt Fund Statement of Investments
      February 28, 2021 (Unaudited)

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		 Maturity
Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
                   
SOVEREIGN DEBT OBLIGATIONS - 68.43%
Angola - 2.60%
Republic of Angola:
   USD   6M US L + 7.50%  07/01/23   18,311,231   $17,767,616(1)
   USD   6M US L + 4.50%  12/07/23   5,202,000    4,995,546(1)
   USD   6.93%  02/19/27   6,642,857    6,047,076 
   USD   9.38%  05/08/48   5,991,000    5,916,112(2)
                    34,726,350 
                      
Argentina - 3.40%                     
Republic of Argentina:                     
   USD   1.00%  07/09/29   408,132    162,615 
   USD   0.13%  07/09/30   90,276,980    33,063,944(3)
   USD   0.13%  07/09/35   9,545,000    3,064,840(3)
   USD   0.13%  01/09/38   3,904,419    1,461,717(3)
   USD   0.13%  07/09/46   23,287,974    7,543,119(3)
                    45,296,235 
                      
Armenia - 0.14%                     
Republic of Armenia  USD   3.60%  02/02/31   2,074,000    1,924,283(4)
                      
Bahamas - 0.18%                     
Commonwealth of Bahamas  USD   8.95%  10/15/32   2,182,000    2,334,740(4)
                      
Bahrain - 1.39%                     
Kingdom of Bahrain:                     
   USD   5.63%  09/30/31   2,458,000    2,488,341(4)
   USD   5.45%  09/16/32   8,095,000    8,074,763(4)
   USD   5.25%  01/25/33   5,296,000    5,183,460(4)
   USD   6.00%  09/19/44   2,968,000    2,846,961(2)
                    18,593,525 
                      
Belarus - 1.35%                     
Development Bank Belarus  USD   6.75%  05/02/24   3,089,000    3,142,301(2)
Republic of Belarus:                     
   USD   5.88%  02/24/26   2,260,000    2,285,990(2)
   USD   7.63%  06/29/27   275,000    298,289(4)
   USD   7.63%  06/29/27   8,734,000    9,473,661(2)
   USD   6.20%  02/28/30   2,866,000    2,833,757(2)
                    18,033,998 
                      
Benin - 0.70%                     
Republic of Benin  EUR   4.88%  01/19/32   7,927,000    9,373,029(4)
                      
Brazil - 2.85%                     
Fed Republic of Brazil:                     
   USD   6.00%  04/07/26   1,713,000    1,993,771 
   USD   4.63%  01/13/28   5,626,000    6,088,387 

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		 Maturity
Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Brazil (continued)
Fed Republic of Brazil: (continued)
   USD   3.88%  06/12/30   14,674,000   $14,664,829 
   USD   5.00%  01/27/45   2,770,000    2,716,331 
   USD   5.63%  02/21/47   2,414,000    2,544,507 
State of Minas Gerais:                     
   USD   5.33%  02/15/28   1,295,700    1,409,276(4)
   USD   5.33%  02/15/28   7,866,600    8,556,157(2)
                    37,973,258 
                      
Cameroon - 0.10%                     
Republic of Cameroon  USD   9.50%  11/19/25   1,170,000    1,272,009(4)
                      
Colombia - 3.08%                     
Republic of Colombia:                     
   USD   8.13%  05/21/24   2,703,000    3,239,377 
   USD   3.00%  01/30/30   4,862,000    4,835,411 
   USD   3.13%  04/15/31   21,231,000    21,101,622 
   USD   6.13%  01/18/41   3,215,000    3,873,070 
   USD   5.00%  06/15/45   4,997,000    5,405,349 
   USD   5.20%  05/15/49   2,392,000    2,670,444 
                    41,125,273 
                      
Costa Rica - 0.27%                     
Costa Rica Government:                     
   USD   5.63%  04/30/43   195,000    173,550(4)
   USD   7.16%  03/12/45   1,102,000    1,087,019(4)
   USD   7.16%  03/12/45   2,331,000    2,299,313(2)
                    3,559,882 
                      
Dominican Republic - 2.06%                     
Dominican Republic:                     
   USD   6.60%  01/28/24   1,632,000    1,840,080(2)
   USD   5.88%  04/18/24   2,537,000    2,741,279(4)
   USD   5.95%  01/25/27   2,152,000    2,415,620(2)
   USD   4.88%  09/23/32   2,045,000    2,083,344(4)
   USD   4.88%  09/23/32   2,490,000    2,536,687(2)
   USD   6.50%  02/15/48   5,315,000    5,672,102 
   USD   5.88%  01/30/60   10,540,000    10,253,444(4)
                    27,542,556 
                      
Ecuador - 1.11%                     
Republic of Ecuador:                     
   USD   0.50%  07/31/30   13,483,738    7,980,687(3)(4)
   USD   0.00%  07/31/30   5,211,766    2,195,456(4)(5)
   USD   0.50%  07/31/35   10,014,323    4,600,330(3)(4)
                    14,776,473 
                      
Egypt - 3.42%                     
Republic of Egypt:                     
   USD   5.88%  06/11/25   936,000    1,002,690(4)
   USD   5.25%  10/06/25   1,451,000    1,520,829(4)
   EUR   4.75%  04/16/26   2,252,000    2,834,326(4)
   EUR   5.63%  04/16/30   550,000    675,630(2)

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		 Maturity
Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Egypt (continued)
Republic of Egypt: (continued)
   EUR   6.38%  04/11/31   1,115,000   $1,410,045(2)
   USD   7.05%  01/15/32   1,753,000    1,824,161(4)
   USD   7.63%  05/29/32   6,817,000    7,289,929(4)
   USD   8.50%  01/31/47   3,169,000    3,306,654(2)
   USD   7.90%  02/21/48   4,503,000    4,468,524(4)
   USD   7.90%  02/21/48   2,099,000    2,082,930(2)
   USD   8.70%  03/01/49   1,115,000    1,179,809(4)
   USD   8.88%  05/29/50   13,646,000    14,643,864(4)
   USD   8.15%  11/20/59   3,335,000    3,330,310(4)
                    45,569,701 
                      
El Salvador - 1.24%                     
Republic of El Salvador:                     
   USD   6.38%  01/18/27   3,032,000    2,990,310(2)
   USD   8.25%  04/10/32   867,000    884,340(4)
   USD   8.25%  04/10/32   7,183,000    7,326,660(2)
   USD   7.63%  02/01/41   296,000    289,185(4)
   USD   7.63%  02/01/41   4,341,000    4,241,048(2)
   USD   9.50%  07/15/52   720,000    758,700(2)
                    16,490,243 
                      
Ethiopia - 0.09%                     
Republic of Ethiopia  USD   6.63%  12/11/24   1,319,000    1,234,502(4)
                      
Gabon - 0.85%                     
Republic of Gabon:                     
   USD   6.38%  12/12/24   3,470,000    3,601,210(2)
   USD   6.63%  02/06/31   7,928,000    7,788,021(4)
                    11,389,231 
                      
Ghana - 1.98%                     
Republic of Ghana:                     
   USD   7.88%  08/07/23   1,228,000    1,362,504(2)
   USD   6.38%  02/11/27   1,308,000    1,350,714(4)
   USD   7.88%  03/26/27   2,046,000    2,239,091(4)
   USD   7.63%  05/16/29   690,000    722,883(4)
   USD   7.63%  05/16/29   1,268,000    1,328,428(2)
   USD   8.63%  06/16/49   2,077,000    2,015,988(4)
   USD   8.63%  06/16/49   600,000    582,375(2)
   USD   8.95%  03/26/51   6,493,000    6,381,402(4)
   USD   8.95%  03/26/51   2,200,000    2,162,188(2)
   USD   8.75%  03/11/61   8,550,000    8,213,344(4)
                    26,358,917 
                      
Guatemala - 0.83%                     
Republic of Guatemala:                     
   USD   4.50%  05/03/26   400,000    436,312(2)
   USD   4.38%  06/05/27   3,000,000    3,259,687(2)
   USD   5.38%  04/24/32   2,181,000    2,557,223(2)
   USD   6.13%  06/01/50   3,986,000    4,836,139(2)
                    11,089,361 

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		 Maturity
Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Honduras - 0.23%
Honduras Government  USD   5.63%  06/24/30   2,825,000   $3,107,941(4)
                      
Indonesia - 1.95%                     
Perusahaan Penerbit Sbsn  USD   2.30%  06/23/25   1,125,000    1,162,266(4)
Republic of Indonesia:                     
   USD   2.85%  02/14/30   7,584,000    7,789,005 
   USD   1.85%  03/12/31   8,842,000    8,399,900 
   USD   8.50%  10/12/35   2,547,000    4,018,290(2)
   USD   5.25%  01/17/42   1,380,000    1,661,175(2)
   USD   6.75%  01/15/44   948,000    1,360,380(2)
   USD   5.13%  01/15/45   670,000    796,253(2)
   USD   5.25%  01/08/47   664,000    808,627(4)
                    25,995,896 
                      
Iraq - 0.25%                     
Republic of Iraq  USD   5.80%  01/15/28   3,517,500    3,270,220(2)
                      
Ivory Coast - 0.64%                     
Ivory Coast Government:                     
   EUR   5.25%  03/22/30   1,720,000    2,198,483(2)
   EUR   5.88%  10/17/31   1,489,000    1,938,311(2)
   EUR   6.88%  10/17/40   1,965,000    2,585,359(2)
   EUR   6.63%  03/22/48   1,446,000    1,850,713(4)
                    8,572,866 
                      
Jordan - 0.69%                     
Kingdom of Jordan:                     
   USD   5.85%  07/07/30   5,738,000    6,110,970(4)
   USD   7.38%  10/10/47   531,000    582,690(4)
   USD   7.38%  10/10/47   2,325,000    2,551,324(2)
                    9,244,984 
                      
Kazakhstan - 0.14%                     
Republic of Kazakhstan  USD   4.88%  10/14/44   1,560,000    1,910,513(4)
                      
Kenya - 0.92%                     
Republic of Kenya:                     
   USD   6.88%  06/24/24   3,675,000    4,087,289(4)
   USD   7.00%  05/22/27   1,055,000    1,169,896(4)
   USD   7.25%  02/28/28   1,510,000    1,679,403(2)
   USD   8.25%  02/28/48   2,861,000    3,170,346(4)
   USD   8.25%  02/28/48   1,980,000    2,194,087(2)
                    12,301,021 
                      
Lebanon - 0.34%                     
Lebanese Republic:                     
   USD   8.25%  04/12/21   5,803,000    796,099(2)(6)
   USD   6.00%  01/27/23   3,176,000    421,813(6)
   USD   6.40%  05/26/23   1,400,000    185,948(6)
   USD   6.65%  04/22/24   4,700,000    628,625(6)
   USD   6.60%  11/27/26   4,525,000    600,977(6)
   USD   6.65%  02/26/30   4,400,000    585,750(6)

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		 Maturity
Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Lebanon (continued)
Lebanese Republic: (continued)                     
   USD   8.20%  05/17/33   9,575,000   $1,276,167(6)
                    4,495,379 
                      
Malaysia - 2.11%                     
1mdb Global Investments  USD   4.40%  03/09/23   28,000,000    28,217,000(2)
                      
Mexico - 2.16%                     
United Mexican States:                     
   USD   4.75%  04/27/32   11,098,000    12,459,239 
   USD   6.05%  01/11/40   3,354,000    4,103,409 
   USD   4.75%  03/08/44   2,446,000    2,580,530 
   USD   3.77%  05/24/61   3,840,000    3,378,600 
   USD   3.75%  04/19/71   7,347,000    6,294,313 
                    28,816,091 
                      
Morocco - 0.10%                     
Kingdom of Morocco  EUR   1.50%  11/27/31   1,117,000    1,296,755(2)
                      
Mozambique - 0.92%                     
Republic of Mozambique  USD   5.00%  09/15/31   14,017,000    12,282,396(3)(4)
                      
Nigeria - 1.92%                     
Republic of Nigeria:                     
   USD   6.50%  11/28/27   5,800,000    6,215,062(4)
   USD   7.88%  02/16/32   13,364,000    14,422,680(4)
   USD   7.70%  02/23/38   1,880,000    1,932,288(4)
   USD   7.70%  02/23/38   3,012,000    3,095,771(2)
                    25,665,801 
                      
Oman - 3.03%                     
Oman Government:                     
   USD   4.88%  02/01/25   4,237,000    4,413,100(4)
   USD   5.63%  01/17/28   1,943,000    2,008,576(4)
   USD   6.25%  01/25/31   11,749,000    12,380,509(4)
   USD   7.38%  10/28/32   11,422,000    12,821,195(4)
   USD   6.50%  03/08/47   5,248,000    4,984,780(4)
   USD   6.75%  01/17/48   1,674,000    1,617,764(4)
   USD   6.75%  01/17/48   694,000    670,686(2)
   USD   7.00%  01/25/51   1,599,000    1,587,008(4)
                    40,483,618 
                      
Pakistan - 0.62%                     
Republic of Pakistan:                     
   USD   6.88%  12/05/27   4,041,000    4,320,082(2)
   USD   6.88%  12/05/27   1,443,000    1,542,657(4)
   USD   7.88%  03/31/36   473,000    507,810(2)
Third Pkstan Intl Sukuk  USD   5.50%  10/13/21   1,915,000    1,937,980(2)
                    8,308,529 

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		 Maturity
Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Panama - 1.19%
Republic of Panama:
   USD   4.00%  09/22/24   2,040,000   $2,221,050 
   USD   9.38%  04/01/29   4,988,000    7,378,499 
   USD   4.50%  04/16/50   146,000    162,699 
   USD   4.50%  04/01/56   1,778,000    1,963,023 
   USD   3.87%  07/23/60   4,130,000    4,092,572 
                    15,817,843 
                      
Papua New Guinea - 0.85%                     
Papua New Guinea Government:                     
   USD   8.38%  10/04/28   8,972,000    9,381,347(4)
   USD   8.38%  10/04/28   1,883,000    1,968,912(2)
                    11,350,259 
                      
Peru - 0.02%                     
Republic of Peru  USD   6.55%  03/14/37   155,000    214,966 
                      
                      
Qatar - 2.92%                     
State of Qatar:                     
   USD   4.50%  04/23/28   1,300,000    1,534,000(4)
   USD   4.00%  03/14/29   6,356,000    7,277,620(4)
   USD   4.00%  03/14/29   12,972,000    14,852,940(2)
   USD   3.75%  04/16/30   2,300,000    2,600,437(4)
   USD   5.10%  04/23/48   5,802,000    7,394,830(4)
   USD   4.40%  04/16/50   2,635,000    3,097,772(4)
   USD   4.40%  04/16/50   1,824,000    2,144,340(2)
                    38,901,939 
                      
Romania - 2.13%                     
Republic of Romania:                     
   USD   3.00%  02/14/31   4,274,000    4,334,771(4)
   EUR   3.38%  02/08/38   1,103,000    1,469,729(4)
   EUR   4.13%  03/11/39   3,037,000    4,370,811 
   USD   6.13%  01/22/44   1,325,000    1,721,465(4)
   USD   6.13%  01/22/44   2,826,000    3,671,592(2)
   EUR   4.63%  04/03/49   2,143,000    3,278,908(2)
   EUR   4.63%  04/03/49   406,000    621,203(4)
   EUR   3.38%  01/28/50   368,000    474,258(4)
   USD   4.00%  02/14/51   8,685,000    8,414,950(4)
                    28,357,687 
                      
Russia - 3.28%                     
Russian Federation:                     
   USD   5.10%  03/28/35   16,200,000    19,080,563(2)
   USD   5.10%  03/28/35   2,000,000    2,355,625(4)
   USD   5.63%  04/04/42   10,000,000    12,603,125(2)
   USD   5.88%  09/16/43   4,800,000    6,294,000(2)
   USD   5.25%  06/23/47   2,800,000    3,486,437(2)
                    43,819,750 
                      
Saudi Arabia - 2.56%                     
Kingdom of Saudi Arabia:                     
   USD   4.38%  04/16/29   2,675,000    3,094,223(4)

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		 Maturity
Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Saudi Arabia (continued)
Kingdom of Saudi Arabia: (continued)
   USD   4.50%  04/17/30   5,642,000   $6,613,482(4)
   USD   3.25%  10/22/30   5,348,000    5,732,387(4)
   USD   2.25%  02/02/33   4,137,000    3,974,106(4)
   USD   4.50%  10/26/46   4,578,000    5,155,972(2)
   USD   5.00%  04/17/49   2,923,000    3,529,523(2)
   USD   5.25%  01/16/50   933,000    1,169,603(4)
   USD   5.25%  01/16/50   3,916,000    4,909,073(2)
                    34,178,369 
                      
South Africa - 0.54%                     
Republic of South Africa:                     
   USD   5.00%  10/12/46   1,208,000    1,049,450 
   USD   5.75%  09/30/49   6,631,000    6,098,448 
                    7,147,898 
                      
Sri Lanka - 0.95%                     
Republic of Sri Lanka:                     
   USD   5.88%  07/25/22   462,000    298,784(4)
   USD   6.13%  06/03/25   758,000    450,418(4)
   USD   6.85%  11/03/25   3,656,000    2,158,754(2)
   USD   6.20%  05/11/27   1,145,000    664,279(2)
   USD   6.75%  04/18/28   7,188,000    4,155,562(4)
   USD   7.85%  03/14/29   3,222,000    1,863,726(4)
   USD   7.55%  03/28/30   5,419,000    3,148,947(2)
                    12,740,470 
                      
Trinidad & Tobago - 0.45%                     
Trinidad & Tobago:                     
   USD   4.38%  01/16/24   4,954,000    5,245,047(2)
   USD   4.50%  06/26/30   763,000    803,177(2)
                    6,048,224 
                      
                      
Tunisia - 0.27%                     
Banque Centrale de Tunisie:                     
   USD   5.75%  01/30/25   200,000    179,000(2)
   EUR   6.38%  07/15/26   783,000    847,893(2)
   USD   8.25%  09/19/27   2,613,000    2,522,362 
                    3,549,255 
                      
Turkey - 4.31%                     
Hazine Mustesarligi Varl  USD   5.80%  02/21/22   9,400,000    9,667,313(4)
Republic of Turkey:                     
   USD   6.25%  09/26/22   693,000    724,916 
   USD   5.75%  03/22/24   7,723,000    8,099,496 
   USD   6.35%  08/10/24   1,687,000    1,799,027 
   USD   4.75%  01/26/26   5,718,000    5,739,443 
   USD   5.13%  02/17/28   2,753,000    2,728,911 
   USD   5.95%  01/15/31   5,378,000    5,367,916 
   USD   5.88%  06/26/31   5,723,000    5,669,347 
   USD   6.88%  03/17/36   10,855,000    11,228,141 
   USD   6.63%  02/17/45   1,606,000    1,546,528 

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		 Maturity
Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Turkey (continued)
Republic of Turkey: (continued)
   USD   5.75%  05/11/47   5,554,000   $4,873,635 
                    57,444,673 
                      
Ukraine - 2.49%                     
Ukraine Government:                     
   EUR   6.75%  06/20/26   2,260,000    2,919,381(4)
   USD   7.75%  09/01/26   2,662,000    2,883,695(4)
   USD   7.75%  09/01/27   3,027,000    3,282,876(2)
   USD   9.75%  11/01/28   4,641,000    5,486,532(4)
   USD   9.75%  11/01/28   272,000    321,555(2)
   EUR   4.38%  01/27/30   5,331,000    5,933,625(4)
   USD   7.38%  09/25/32   7,706,000    7,917,915(2)
   USD   7.25%  03/15/33   1,788,000    1,819,290(4)
   USD   7.25%  03/15/33   2,655,000    2,701,462(2)
                    33,266,331 
                      
United Arab Emirates - 1.06%                     
Abu Dhabi Govt Int'l:                     
   USD   3.13%  04/16/30   3,409,000    3,702,174(4)
   USD   4.13%  10/11/47   3,789,000    4,343,141(4)
Fin Dept Govt Sharjah  USD   4.00%  07/28/50   6,534,000    6,043,950(4)
                    14,089,265 
                      
Uruguay - 1.32%                     
Republic of Uruguay:                     
   USD   4.38%  10/27/27   7,674,705    8,750,362 
   USD   4.38%  01/23/31   2,118,000    2,455,225 
   USD   5.10%  06/18/50   1,062,000    1,315,221 
   USD   4.98%  04/20/55   4,117,000    5,029,173 
                    17,549,981 
                      
Venezuela - 0.19%                     
Republic of Venezuela:                     
   USD   7.75%  10/13/19   25,087,500    2,508,750(6)
   USD   9.25%  05/07/28   927,000    92,700(6)
                    2,601,450 
                      
Zambia - 0.24%                     
Republic of Zambia  USD   5.38%  09/20/22   5,630,000    3,186,228(2)(6)
                      
TOTAL SOVEREIGN DEBT OBLIGATIONS                   912,897,164 
(Cost $925,847,975)                     
                      
CORPORATE BONDS - 25.81%                     
Argentina - 0.09%                     
MSU Energy SA  USD   6.88%  02/01/25   733,000    502,105(4)
Pampa Energia SA  USD   7.50%  01/24/27   859,000    730,955(4)
                    1,233,060 

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		 Maturity
Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Azerbaijan - 0.40%                     
Southern Gas Corridor CJSC  USD   6.88%  03/24/26   1,092,000   $1,308,598(4)
State Oil Co. of the Azerbaijan Republic  USD   6.95%  03/18/30   3,199,000    4,061,231 
                    5,369,829 
                      
Bahrain - 0.71%                     
Oil and Gas Holding Co. BSCC  USD   7.63%  11/07/24   8,480,000    9,487,000(4)
                      
Brazil - 1.42%                     
Adecoagro SA  USD   6.00%  09/21/27   4,297,000    4,544,077(4)
Banco do Brasil SA  USD   10Y US TI + 6.36%  Perpetual   1,400,000    1,528,051(7)
CSN Resources SA  USD   7.63%  04/17/26   1,566,000    1,695,665(4)
Gol Finance SA  USD   7.00%  01/31/25   2,771,000    2,493,467(4)
Guara Norte Sarl  USD   5.20%  06/15/34   425,000    433,904(4)
Minerva Luxembourg SA  USD   6.50%  09/20/26   1,272,000    1,335,600(4)
MV24 Capital BV  USD   6.75%  06/01/34   2,228,584    2,423,139(4)
NBM US Holdings, Inc.  USD   7.00%  05/14/26   1,278,000    1,379,090(4)
Simpar Europe SA  USD   5.20%  01/26/31   882,000    895,230(4)
Usiminas International Sarl  USD   5.88%  07/18/26   2,093,000    2,263,056(4)
                    18,991,279 
                      
Chile - 1.87%                     
Codelco, Inc.:                     
   USD   5.63%  10/18/43   1,497,000    1,920,136(2)
   USD   4.38%  02/05/49   6,658,000    7,377,896(4)
   USD   4.38%  02/05/49   1,550,000    1,717,594(2)
Corp Nacional del Cobre de Chile:                     
   USD   3.00%  09/30/29   1,774,000    1,860,760(4)
   USD   3.00%  09/30/29   2,609,000    2,736,596 
   USD   3.70%  01/30/50   3,642,000    3,615,254(4)
Empresa Nacional del Petroleo  USD   5.25%  11/06/29   1,525,000    1,774,719(2)
Geopark, Ltd.:                     
   USD   6.50%  09/21/24   2,393,000    2,500,685(4)
   USD   5.50%  01/17/27   1,380,000    1,410,187(4)
                    24,913,827 
                      
China - 0.37%                     
Country Garden Holdings Co., Ltd.  USD   4.80%  08/06/30   1,676,000    1,798,819 
Shimao Group Holdings, Ltd.  USD   5.60%  07/15/26   1,624,000    1,779,295 
Wanda Properties International Co., Ltd.  USD   7.25%  01/29/24   1,283,000    1,319,285 
                    4,897,399 
                      
Colombia - 0.57%                     
AI Candelaria Spain SLU  USD   7.50%  12/15/28   5,251,000    5,999,267(4)
Gran Tierra Energy International Holdings, Ltd.  USD   6.25%  02/15/25   1,940,000    1,610,200(4)
                    7,609,467 
                      
Ghana - 0.42%                     
Kosmos Energy, Ltd.  USD   7.13%  04/04/26   2,498,000    2,498,000(4)
Tullow Oil PLC  USD   7.00%  03/01/25   3,796,000    3,055,780(4)
                    5,553,780 

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		 Maturity
Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
India - 0.09%                     
Network i2i, Ltd.  USD   5Y US TI + 4.28%  Perpetual   1,140,000   $1,209,825(1)(4)(7)
                      
Indonesia - 3.03%                     
Indonesia Asahan Aluminium Persero PT:                     
   USD   5.71%  11/15/23   2,367,000    2,630,699(4)
   USD   5.45%  05/15/30   2,725,000    3,133,750(4)
   USD   6.76%  11/15/48   1,754,000    2,245,383(4)
   USD   5.80%  05/15/50   3,901,000    4,553,198(4)
Pertamina Persero PT:                     
   USD   6.00%  05/03/42   1,922,000    2,307,457(2)
   USD   5.63%  05/20/43   2,573,000    2,981,062(2)
   USD   6.45%  05/30/44   7,649,000    9,699,888(2)
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara:                     
   USD   5.45%  05/21/28   795,000    927,666(2)
   USD   5.25%  10/24/42   2,744,000    2,997,391(2)
PT Bakrie & Brothers TBK  IDR   0.00%  12/22/22   6,750,674,000    –(8)
PT Pertamina Pertij  USD   2.30%  02/09/31   9,575,000    8,990,925(4)
                    40,467,419 
                      
Israel - 0.40%                     
Leviathan Bond, Ltd.  USD   6.50%  06/30/27   4,811,000    5,316,155(4)
                      
Kazakhstan - 2.14%                     
KazMunayGas National Co. JSC:                     
   USD   4.75%  04/24/25   6,009,000    6,826,788(4)
   USD   5.38%  04/24/30   4,000,000    4,760,625(2)
   USD   5.75%  04/19/47   6,752,000    8,011,248(4)
   USD   6.38%  10/24/48   1,996,000    2,564,548(4)
KazTransGas JSC  USD   4.38%  09/26/27   5,774,000    6,438,010(4)
                    28,601,219 
                      
Macau - 0.16%                     
Studio City Finance, Ltd.:                     
   USD   6.00%  07/15/25   543,000    575,173(4)
   USD   6.50%  01/15/28   1,419,000    1,530,746(4)
                    2,105,919 
                      
Malaysia - 0.23%                     
1MDB Energy, Ltd.  USD   5.99%  05/11/22   3,000,000    3,135,000 
                      
Mexico - 5.09%                     
Aerovias de Mexico SA de CV  USD   7.00%  02/05/25   2,388,000    1,152,210(4)(6)
Axtel SAB Axtel de CV  USD   6.38%  11/14/24   2,221,000    2,332,050(4)
Banco Mercantil del Norte SA/Grand Cayman:                     
   USD   6.75%  Perpetual   1,486,000    1,585,841(1)(4)(7)
   USD   7.50%  Perpetual   2,615,000    2,928,800(1)(4)(7)
Banco Nacional de Comercio Exterior SNC:                     
   USD   3.80%  08/11/26   3,289,000    3,302,362(1)(4)
   USD   3.80%  08/11/26   2,056,000    2,064,352(1)(2)

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		 Maturity
Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Mexico (continued)
Cemex SAB de CV  USD   7.38%  06/05/27   2,743,000   $3,088,344(4)
Cometa Energia SA de CV  USD   6.38%  04/24/35   4,349,554    5,029,851(4)
FEL Energy VI Sarl  USD   5.75%  12/01/40   403,000    425,367(4)
Grupo Televisa SAB  USD   6.63%  01/15/40   2,534,000    3,362,697 
Petroleos Mexicanos:                     
   USD   6.88%  08/04/26   3,126,000    3,348,884 
   USD   6.49%  01/23/27   1,006,000    1,056,300 
   USD   9.50%  09/15/27   1,062,000    1,216,488 
   USD   5.35%  02/12/28   1,267,000    1,230,257 
   USD   6.50%  01/23/29   2,473,000    2,476,400 
   USD   6.63%  06/15/35   4,200,000    4,017,615 
   USD   5.63%  01/23/46   653,000    529,191 
   USD   6.75%  09/21/47   2,892,000    2,542,068 
   USD   7.69%  01/23/50   23,384,000    22,329,381 
   USD   6.95%  01/28/60   4,329,000    3,824,239 
                    67,842,697 
                      
Nigeria - 0.08%                     
IHS Netherlands Holdco BV  USD   8.00%  09/18/27   980,000    1,061,156(4)
                      
Panama - 1.10%                     
Aeropuerto Internacional de Tocumen SA:                     
   USD   5.63%  05/18/36   5,895,000    6,611,611(2)
   USD   6.00%  11/18/48   5,206,842    5,981,360(4)
AES Panama Generation Holdings SRL  USD   4.38%  05/31/30   1,993,000    2,117,064(4)
                    14,710,035 
                      
Peru - 2.16%                     
Kallpa Generacion SA:                     
   USD   4.88%  05/24/26   792,000    874,046(4)
   USD   4.13%  08/16/27   1,947,000    2,107,822(4)
Peru Payroll Deduction Finance Ltd.  USD   0.00%  11/01/29   2,312,818    1,908,798(5)
Petroleos del Peru SA:                     
   USD   4.75%  06/19/32   2,020,000    2,216,748(4)
   USD   4.75%  06/19/32   10,032,000    11,009,117(2)
   USD   5.63%  06/19/47   2,277,000    2,518,704(4)
   USD   5.63%  06/19/47   7,428,000    8,216,482(2)
                    28,851,717 
                      
Russia - 0.46%                     
Gazprom PJSC Via Gaz Capital SA  USD   4.95%  02/06/28   2,633,000    2,973,184(4)
Gazprom PJSC via Gaz Finance PLC  USD   5Y US TI + 4.264%   12/31/49   3,004,000    3,121,907(1)(4)(7)
                    6,095,091 
                      
South Africa - 1.77%                     
Eskom Holdings SOC, Ltd.:                     
   USD   6.75%  08/06/23   5,327,000    5,594,016(4)
   USD   7.13%  02/11/25   14,473,000    15,160,467(4)
   USD   8.45%  08/10/28   2,516,000    2,816,662(4)
                    23,571,145 

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		 Maturity
Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Ukraine - 0.28%
NAK Naftogaz Ukraine via Kondor Finance PLC  USD   7.63%  11/08/26   3,373,000   $3,449,947(4)
State Savings Bank of Ukraine Via SSB #1 PLC  USD   9.63%  03/20/25   315,000    338,625(2)(3)
                    3,788,572 
                      
United Arab Emirates - 2.35%                     
Abu Dhabi Crude Oil Pipeline:                     
   USD   3.65%  11/02/29   1,236,000    1,390,500(4)
   USD   4.60%  11/02/47   861,000    997,415(4)
DAE Funding LLC  USD   3.38%  03/20/28   2,600,000    2,643,875(4)
DP World Crescent, Ltd.  USD   4.85%  09/26/28   2,275,000    2,575,016(2)
DP World PLC:                     
   USD   4.70%  09/30/49   437,000    466,839(4)
   USD   4.70%  09/30/49   500,000    534,140(2)
DP World Salaam  USD   5Y US TI + 5.75%  12/31/49   11,136,000    12,136,501(1)(7)
DP World, Ltd.  USD   6.85%  07/02/37   521,000    684,382(4)
MDGH - GMTN BV:                     
   USD   4.50%  11/07/28   707,000    831,830(4)
   USD   4.50%  11/07/28   3,494,000    4,110,909(2)
   USD   2.88%  05/21/30   3,680,000    3,871,475 
   USD   3.95%  05/21/50   990,000    1,061,775 
                    31,304,657 
                      
Venezuela - 0.25%                     
Petroleos de Venezuela SA:                     
   USD   6.00%  05/16/24   60,489,976    2,646,436(2)(6)
   USD   6.00%  11/15/26   3,307,000    144,681(2)(6)
   USD   5.38%  04/12/27   600,000    26,250(6)
   USD   9.75%  05/17/35   11,517,000    503,869(6)
                    3,321,236 
                      
Vietnam - 0.15%                     
Mong Duong Finance Holdings BV  USD   5.13%  05/07/29   1,961,000    2,005,122(4)
                      
Zambia - 0.22%                     
First Quantum Minerals, Ltd.:                     
   USD   7.50%  04/01/25   1,167,000    1,214,409(4)
   USD   6.88%  03/01/26   1,638,000    1,709,663(4)
                    2,924,072 
                      
TOTAL CORPORATE BONDS                   344,366,678 
(Cost $349,853,836)                     
                      
CREDIT LINKED NOTES - 0.61%                     
Iraq - 0.61%                     
Republic of Iraq (Counterparty: Bank of America - Merrill Lynch):                     
   JPY   2.99%  01/01/28   206,836,761    1,528,452(1)(8)
   JPY   2.55%  01/01/28   453,405,051    3,362,841(1)(8)

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		 Maturity
Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Iraq (continued)
Republic of Iraq (Counterparty: Bank of America - Merrill Lynch): (continued)                  
   JPY   3.05%  01/01/28   445,001,475   $3,297,173(1)(8)
                    8,188,466 
                      
                      
TOTAL CREDIT LINKED NOTES                   8,188,466 
(Cost $10,088,605)                     
                      
SHORT TERM INVESTMENTS - 2.48%                     
Money Market Fund - 2.48%                     
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield)  USD   0.08%  N/A   33,129,925    33,139,864 
                      
TOTAL SHORT TERM INVESTMENTS                   33,139,864 
(Cost $33,138,352)                     
                      
Total Investments - 97.33%                   1,298,592,172 
(Cost $1,318,928,768)                     
Other Assets In Excess of Liabilities - 2.67%                   35,565,411(9)
                      
Net Assets - 100.00%                  $1,334,157,583 

 

*The principal amount/shares of each security is stated in the currency in which the security is denominated. 

 

Currency Abbreviations:
     
EUR - Euro Currency
IDR - Indonesian Rupiah
JPY - Japanese Yen
USD - United States Dollar

 

Investment Abbreviations:
LIBOR - London Interbank Offered Rate
 
Reference Rates:
6M US L - 6 Month LIBOR as of February 28, 2021 was 0.20%
5Y US TI -  5 Year US Treasury Index as of February 28, 2021 was 0.75%
10Y US TI -  10 Year US Treasury Index as of February 28, 2021 was 1.44%

 

(1) Floating or variable rate security. The reference rate is described above. The rate in effect as of February 28, 2021 is based on the reference rate plus the displayed spread as of the security's last reset date. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.
(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 February 28, 2021, the aggregate fair value of those securities was $330,930,578, which represents approximately 24.80% of net assets.

 

 

(3) Step bond.  Coupon changes periodically based upon a predetermined schedule.  Interest rate disclosed is that which is in effect as of February 28, 2021.
(4) 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 fair value of Rule 144A securities amounts to $548,914,182, which represents approximately 41.14% of net assets as of February 28, 2021.
(5) Issued with a zero coupon.  Income is recognized through the accretion of discount.

(6) Security is in default and therefore is non-income producing.
(7) Security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.
(8) The level 3 assets were valued using significant unobservable inputs as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs.
(9) Includes cash which is being held as collateral for forward foreign currency contracts.

 

OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS        
Counterparty  Settlement
Date		  Fund
Receiving		  U.S. $ Value
at February 28, 2021		   Fund
Delivering		  U.S. $ Value
at February 28, 2021		   Unrealized
Appreciation/
(Depreciation)		 
                         
Citigroup Global Markets  03/22/21  USD   64,310,571   EUR   63,958,913   $351,658 
Citigroup Global Markets  03/22/21  USD   9,236,066   JPY   9,007,698    228,368 
Citigroup Global Markets  03/22/21  EUR   291,738   USD   291,358    380 
J.P. Morgan Chase & Co.  03/22/21  USD   18,906,273   EUR   18,768,634    137,639 
J.P. Morgan Chase & Co.  03/22/21  EUR   44,939   USD   44,852    87 
                      $718,132 
Citigroup Global Markets  03/22/21  EUR   13,481,110   USD   13,685,242   $(204,132)
J.P. Morgan Chase & Co.  03/22/21  EUR   23,721,627   USD   23,925,408    (203,781)
J.P. Morgan Chase & Co.  03/22/21  JPY   900,283   USD   927,837    (27,554)
                      $(435,467)

 

CREDIT DEFAULT SWAP CONTRACTS ON SOVEREIGN DEBT OBLIGATIONS ISSUE - SELL PROTECTION (OVER THE COUNTER)

 

Reference Obligations  Clearing House  Fixed Deal
Pay Rate		   Currency  Maturity Date  Implied Credit Spread at February 28, 2021(1)(2)   Notional Amount***(3)   Value   Upfront Premiums Received/(Paid)   Unrealized Depreciation 
Republic of Argentina CDS USD 5Y(4)  Goldman Sachs   5.000%  USD  12/20/2025   14.381%   4,500,000   $(1,425,246)  $1,361,250   $(63,996)
Republic of Argentina CDS USD 5Y(4)  Barclays   5.000%  USD  12/20/2025   14.381%   7,700,000    (2,438,754)   2,333,100    (105,654)
                           $(3,864,000)  $3,694,350   $(169,650)

 

Credit default swaps pay quarterly.

 

***The notional amount of each security is stated in the currency in which the security is denominated.

 

(1) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay 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 or underlying securities comprising the referenced index.
(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 Republic of Argentina Sovereign Debt Obligation, USD Denominated 1.00% fixed coupon, 07/09/2029 maturity.

 

See Notes to Quarterly Statement of Investments

  

 

Stone Harbor High Yield Bond Fund Statement of Investments
      February 28, 2021 (Unaudited)

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		  
Maturity Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
                   
CORPORATE BONDS - 96.25%                 
Aerospace/Defense - 3.35%                     
Bombardier, Inc.  USD   6.00%  10/15/22   1,263,000   $1,240,588(1)
Moog, Inc.  USD   4.25%  12/15/27   285,000    293,194(1)
Signature Aviation US Holdings, Inc.  USD   4.00%  03/01/28   591,000    599,386(1)
TransDigm, Inc.  USD   6.25%  03/15/26   996,000    1,050,925(1)
                    3,184,093 
                      
Airlines - 1.28%                     
Delta Air Lines, Inc.:                     
   USD   7.00%  05/01/25   473,000    551,459(1)
   USD   7.38%  01/15/26   293,000    343,519 
Delta Air Lines, Inc. / SkyMiles IP, Ltd.  USD   4.75%  10/20/28   286,000    317,758(1)
                    1,212,736 
                      
Automotive - 5.33%                     
Clarios Global LP / Clarios US Finance Co.:                     
   USD   6.25%  05/15/26   165,000    175,931(1)
   USD   8.50%  05/15/27   439,000    474,406(1)
Ford Motor Co.  USD   8.50%  04/21/23   587,000    656,706 
Ford Motor Credit Co. LLC:                     
   USD   5.13%  06/16/25   118,000    127,587 
   USD   3.38%  11/13/25   418,000    425,361 
   USD   4.13%  08/17/27   688,000    724,980 
   USD   5.11%  05/03/29   1,539,000    1,687,129 
General Motors Co.  USD   6.80%  10/01/27   623,000    790,700 
                    5,062,800 
                      
Building Products - 5.19%                     
Advanced Drainage Systems, Inc.  USD   5.00%  09/30/27   381,000    401,406(1)
American Woodmark Corp.  USD   4.88%  03/15/26   175,000    178,860(1)
Cemex SAB de CV:                     
   USD   7.38%  06/05/27   315,000    354,659(1)
   USD   3.88%  07/11/31   682,000    681,420(1)
Griffon Corp., Series WI  USD   5.75%  03/01/28   559,000    587,649 
Specialty Building Products Holdings LLC / SBP Finance Corp.  USD   6.38%  09/30/26   608,000    631,560(1)
Summit Materials LLC / Summit Materials Finance Corp.  USD   5.25%  01/15/29   310,000    329,375(1)
TopBuild Corp.  USD   5.63%  05/01/26   358,000    370,181(1)
US Concrete, Inc.:                     
   USD   6.38%  06/01/24   112,000    114,758 
   USD   5.13%  03/01/29   555,000    572,691(1)
White Cap Buyer LLC  USD   6.88%  10/15/28   662,000    705,245(1)
                    4,927,804 

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		  
Maturity Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Chemicals - 2.15%                  
Axalta Coating Systems LLC  USD   3.38%  02/15/29   487,000   $473,303(1)
CF Industries, Inc.  USD   5.15%  03/15/34   164,000    198,618 
GCP Applied Technologies, Inc.  USD   5.50%  04/15/26   690,000    712,466(1)
Illuminate Buyer LLC / Illuminate Holdings IV, Inc.  USD   9.00%  07/01/28   416,000    463,320(1)
INEOS Quattro Finance 2 PLC  USD   3.38%  01/15/26   196,000    195,755(1)
                    2,043,462 
                      
Computers - 0.73%                     
Crowdstrike Holdings, Inc.  USD   3.00%  02/15/29   235,000    235,294 
Seagate HDD Cayman  USD   3.13%  07/15/29   480,000    460,913(1)
                    696,207 
                      
Containers/Packaging - 1.45%                     
Flex Acquisition Co., Inc.  USD   6.88%  01/15/25   509,000    516,895(1)
Graham Packaging Co., Inc.  USD   7.13%  08/15/28   258,000    279,392(1)
Intelligent Packaging, Ltd. Finco, Inc. / Intelligent Packaging Ltd Co.-Issuer LLC  USD   6.00%  09/15/28   558,000    582,761(1)
                    1,379,048 
                      
Diversified Finan Serv - 0.44%                     
Nationstar Mortgage Holdings, Inc.  USD   5.13%  12/15/30   248,000    253,305(1)
OneMain Finance Corp.  USD   4.00%  09/15/30   170,000    165,233 
                    418,538 
                      
Drillers/Services - 1.01%                     
Archrock Partners LP / Archrock Partners Finance Corp.  USD   6.25%  04/01/28   579,000    604,331(1)
ChampionX Corp.  USD   6.38%  05/01/26   335,000    352,943 
                    957,274 
                      
Electric - 2.31%                     
Calpine Corp.  USD   4.50%  02/15/28   575,000    591,675(1)
Covanta Holding Corp.:                     
   USD   5.88%  07/01/25   282,000    292,252 
   USD   5.00%  09/01/30   566,000    587,932 
NRG Energy, Inc.  USD   5.75%  01/15/28   269,000    286,317 
Vistra Operations Co. LLC:                     
   USD   5.63%  02/15/27   224,000    234,407(1)
   USD   5.00%  07/31/27   191,000    200,025(1)
                    2,192,608 
                      
Environmental Services - 0.62%                     
GFL Environmental, Inc.:                     
   USD   5.13%  12/15/26   5,000    5,282(1)
   USD   8.50%  05/01/27   525,000    578,484(1)
                    583,766 
                      
Exploration & Production - 8.49%                     
Alta Mesa Holdings LP / Alta Mesa Finance Services Corp.  USD   7.88%  12/15/24   400,000    40(2)(3)

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		  
Maturity Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Exploration & Production (continued)                  
Antero Resources Corp.  USD   5.00%  03/01/25   534,000   $531,864 
CNX Resources Corp.:                     
   USD   7.25%  03/14/27   373,000    399,576(1)
   USD   6.00%  01/15/29   214,000    224,299(1)
Hilcorp Energy I LP / Hilcorp Finance Co.  USD   5.75%  10/01/25   773,000    789,345(1)
Leviathan Bond, Ltd.:                     
   USD   6.13%  06/30/25   235,000    258,510(1)
   USD   6.50%  06/30/27   126,000    139,230(1)
   USD   6.75%  06/30/30   176,000    193,820(1)
Murphy Oil Corp.:                     
   USD   5.75%  08/15/25   697,000    691,846 
   USD   5.88%  12/01/27   293,000    288,880 
Occidental Petroleum Corp.:                     
   USD   5.55%  03/15/26   222,000    237,300 
   USD   8.88%  07/15/30   1,486,000    1,901,530 
   USD   7.50%  05/01/31   202,000    237,855 
   USD   7.88%  09/15/31   167,000    198,313 
   USD   6.60%  03/15/46   208,000    233,932 
QEP Resources, Inc.  USD   5.25%  05/01/23   429,000    455,705 
SM Energy Co.  USD   6.13%  11/15/22   465,000    460,059 
WPX Energy, Inc.:                     
   USD   5.88%  06/15/28   52,000    56,948 
   USD   4.50%  01/15/30   717,000    763,103 
                    8,062,155 
                      
Financial Other - 1.17%                     
OneMain Finance Corp.:                     
   USD   8.88%  06/01/25   125,000    137,556 
   USD   7.13%  03/15/26   845,000    977,036 
                    1,114,592 
                      
Food and Beverage - 3.32%                     
Chobani LLC / Chobani Finance Corp., Inc.:                     
   USD   7.50%  04/15/25   458,000    475,466(1)
   USD   4.63%  11/15/28   292,000    302,220(1)
JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc.  USD   6.50%  04/15/29   1,006,000    1,133,631(1)
Pilgrim's Pride Corp.:                     
   USD   5.88%  09/30/27   299,000    321,156(1)
   USD   5.75%  03/15/25   214,000    218,505(1)
Post Holdings, Inc.  USD   4.63%  04/15/30   439,000    446,134(1)
Primo Water Holdings, Inc.  USD   5.50%  04/01/25   250,000    257,527(1)
                    3,154,639 
                      
Forest Products&Paper - 0.41%                     
Mercer International, Inc.  USD   5.13%  02/01/29   386,000    391,863(1)

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		  
Maturity Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Gaming - 4.21%                  
Boyd Gaming Corp.:                  
   USD   8.63%  06/01/25   211,000   $232,364(1)
   USD   6.00%  08/15/26   150,000    155,719 
Churchill Downs, Inc.  USD   5.50%  04/01/27   560,000    584,766(1)
International Game Technology PLC:                     
   USD   6.25%  01/15/27   596,000    676,087(1)
   USD   5.25%  01/15/29   70,000    74,225(1)
Jacobs Entertainment, Inc.  USD   7.88%  02/01/24   223,000    232,945(1)
MGM Growth Properties Operating Partnership LP / MGP Finance Co.-Issuer, Inc.  USD   5.75%  02/01/27   391,000    442,442 
Scientific Games International, Inc.:                     
   USD   8.25%  03/15/26   468,000    496,892(1)
   USD   7.25%  11/15/29   452,000    492,314(1)
Station Casinos LLC  USD   5.00%  10/01/25   137,000    138,381(1)
VICI Properties LP / VICI Note Co., Inc.  USD   4.13%  08/15/30   457,000    475,851(1)
                    4,001,986 
                      
Gas Pipelines - 5.61%                     
Antero Midstream Partners LP / Antero Midstream Finance Corp.:                     
   USD   5.38%  09/15/24   334,000    337,340 
   USD   5.75%  03/01/27   465,000    467,616(1)
   USD   5.75%  01/15/28   363,000    366,630(1)
DCP Midstream Operating LP  USD   5.13%  05/15/29   608,000    645,337 
EQM Midstream Partners LP  USD   6.50%  07/01/27   766,000    822,780(1)
Genesis Energy LP / Genesis Energy Finance Corp.  USD   7.75%  02/01/28   763,000    754,576 
Holly Energy Partners LP / Holly Energy Finance Corp.  USD   5.00%  02/01/28   533,000    537,976(1)
Targa Resources Partners LP / Targa Resources Partners Finance Corp.  USD   6.50%  07/15/27   1,291,000    1,391,259 
                    5,323,514 
                      
Healthcare - 6.99%                     
Bausch Health Cos., Inc.:                     
   USD   6.13%  04/15/25   670,000    686,723(1)
   USD   7.00%  01/15/28   828,000    896,981(1)
   USD   5.25%  02/15/31   442,000    448,354(1)
Centene Corp.:                     
   USD   4.25%  12/15/27   278,000    289,815 
   USD   3.38%  02/15/30   571,000    587,710 
Encompass Health Corp.  USD   4.50%  02/01/28   401,000    417,561 
HCA, Inc.:                     
   USD   5.38%  09/01/26   236,000    269,799 
   USD   5.63%  09/01/28   620,000    721,850 
   USD   3.50%  09/01/30   221,000    230,211 
IQVIA, Inc.  USD   5.00%  05/15/27   333,000    349,056(1)
Legacy LifePoint Health LLC  USD   4.38%  02/15/27   365,000    363,752(1)
Lifepoint Health, Inc.  USD   5.38%  01/15/29   582,000    585,637(1)
Tenet Healthcare Corp.  USD   4.63%  07/15/24   778,000    790,448 
                    6,637,897 

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		  
Maturity Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Healthcare-Services - 0.40%                  
US Acute Care Solutions LLC  USD   6.38%  03/01/26   372,000   $380,835(1)
                      
Home Builders - 1.90%                     
KB Home  USD   4.80%  11/15/29   275,000    296,141 
Mattamy Group Corp.  USD   4.63%  03/01/30   603,000    627,403(1)
Tri Pointe Homes, Inc.  USD   5.70%  06/15/28   393,000    438,195 
Weekley Homes LLC / Weekley Finance Corp.  USD   4.88%  09/15/28   419,000    438,903(1)
                    1,800,642 
                      
Household Products/Wares - 0.55%                     
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.:                     
   USD   5.00%  12/31/26   152,000    156,704(1)
   USD   7.00%  12/31/27   366,000    362,706(1)
                    519,410 
                      
Industrial Other - 2.04%                     
Hillenbrand, Inc.  USD   5.75%  06/15/25   403,000    431,965 
Mueller Water Products, Inc.  USD   5.50%  06/15/26   180,000    186,334(1)
Park-Ohio Industries, Inc.  USD   6.63%  04/15/27   384,000    391,542 
WESCO Distribution, Inc.  USD   7.25%  06/15/28   830,000    923,504(1)
                    1,933,345 
                      
Insurance - 0.15%                     
Acrisure LLC / Acrisure Finance, Inc.  USD   4.25%  02/15/29   147,000    144,642(1)
                      
Leisure - 1.67%                     
NCL Corp., Ltd.:                     
   USD   3.63%  12/15/24   420,000    393,361(1)
   USD   5.88%  03/15/26   183,000    184,222(1)
Royal Caribbean Cruises, Ltd.:                     
   USD   5.25%  11/15/22   192,000    195,990 
   USD   9.13%  06/15/23   741,000    814,174(1)
                    1,587,747 
                      
Life - 0.72%                     
Acrisure LLC / Acrisure Finance, Inc.  USD   7.00%  11/15/25   666,000    683,899(1)
                      
Lodging - 0.83%                     
Hilton Domestic Operating Co., Inc.  USD   4.88%  01/15/30   684,000    738,306 
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp.  USD   4.88%  04/01/27   51,000    53,136 
                    791,442 
                      
Media Cable - 6.50%                     
Altice France Holding SA  USD   6.00%  02/15/28   569,000    557,964(1)
CCO Holdings LLC / CCO Holdings Capital Corp.:                     
   USD   5.38%  06/01/29   836,000    901,927(1)
   USD   4.50%  08/15/30   642,000    665,597(1)
CSC Holdings LLC  USD   7.50%  04/01/28   1,854,000    2,044,675(1)

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		  
Maturity Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Media Cable (continued)                  
DISH DBS Corp.:                  
   USD   7.75%  07/01/26   649,000   $715,045 
   USD   7.38%  07/01/28   493,000    517,342 
Midcontinent Communications / Midcontinent Finance Corp.  USD   5.38%  08/15/27   210,000    222,298(1)
Radiate Holdco LLC / Radiate Finance, Inc.  USD   4.50%  09/15/26   335,000    340,025(1)
Telenet Finance Luxembourg Notes Sarl  USD   5.50%  03/01/28   200,000    212,300(1)
                    6,177,173 
                      
Media Other - 4.93%                     
Netflix, Inc.:                     
   USD   4.88%  04/15/28   925,000    1,054,574 
   USD   4.88%  06/15/30   281,000    323,501(1)
Nexstar Broadcasting, Inc.  USD   4.75%  11/01/28   150,000    153,469(1)
Sirius XM Radio, Inc.:                     
   USD   5.00%  08/01/27   360,000    375,385(1)
   USD   4.13%  07/01/30   868,000    877,765(1)
TEGNA, Inc.  USD   4.63%  03/15/28   704,000    722,040(1)
Terrier Media Buyer, Inc.  USD   8.88%  12/15/27   459,000    492,564(1)
Univision Communications, Inc.  USD   6.63%  06/01/27   650,000    678,844(1)
                    4,678,142 
                      
Metals/Mining/Steel - 0.49%                     
Kaiser Aluminum Corp.  USD   4.63%  03/01/28   441,000    461,118(1)
                      
Mining - 0.94%                     
Hudbay Minerals, Inc.:                     
   USD   4.50%  04/01/26   287,000    291,127(1)
   USD   6.13%  04/01/29   558,000    602,757(1)
                    893,884 
                      
Non Captive Finance - 1.00%                     
Ally Financial, Inc.  USD   8.00%  11/01/31   486,000    696,475 
CIT Group, Inc.  USD   6.13%  03/09/28   200,000    248,212 
                    944,687 
                      
Oil&Gas - 0.47%                     
Antero Resources Corp.  USD   7.63%  02/01/29   187,000    199,739(1)
Hilcorp Energy I LP / Hilcorp Finance Co.  USD   5.75%  02/01/29   100,000    102,063(1)
Occidental Petroleum Corp.  USD   5.50%  12/01/25   137,000    145,308 
                    447,110 
                      
Pharmaceuticals - 2.86%                     
AdaptHealth LLC  USD   4.63%  08/01/29   455,000    456,292(1)
Catalent Pharma Solutions, Inc.  USD   5.00%  07/15/27   202,000    212,946(1)
Charles River Laboratories International, Inc.  USD   5.50%  04/01/26   380,000    396,863(1)
Endo Dac / Endo Finance LLC / Endo Finco, Inc.:                     
   USD   9.50%  07/31/27   539,000    608,059(1)
   USD   6.00%  06/30/28   314,000    276,006(1)
Jaguar Holding Co. II / PPD Development LP  USD   5.00%  06/15/28   373,000    395,846(1)

 

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		  
Maturity Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Pharmaceuticals (continued)                  
Endo Dac / Endo Finance LLC / Endo Finco, Inc. (continued)                  
Syneos Health, Inc.  USD   3.63%  01/15/29   380,000   $373,113(1)
                    2,719,125 
                      
Pipelines - 1.10%                     
EQM Midstream Partners LP  USD   4.50%  01/15/29   555,000    539,044(1)
Genesis Energy LP / Genesis Energy Finance Corp.:                     
   USD   5.63%  06/15/24   313,000    307,327 
   USD   6.25%  05/15/26   57,000    54,114 
   USD   8.00%  01/15/27   140,000    142,363 
                    1,042,848 
                      
Property & Casualty Insurance - 1.24%                     
Alliant Holdings Intermediate LLC / Alliant Holdings Co.-Issuer:                     
   USD   4.25%  10/15/27   221,000    221,414(1)
   USD   6.75%  10/15/27   607,000    631,171(1)
HUB International, Ltd.  USD   7.00%  05/01/26   307,000    320,215(1)
                    1,172,800 
                      
Restaurants - 0.90%                     
1011778 BC ULC / New Red Finance, Inc.:                     
   USD   4.38%  01/15/28   401,000    407,693(1)
   USD   4.00%  10/15/30   460,000    449,167(1)
                    856,860 
                      
Retail - 1.77%                     
LBM Acquisition LLC  USD   6.25%  01/15/29   541,000    549,229(1)
Park River Holdings, Inc.  USD   5.63%  02/01/29   562,000    551,645(1)
PetSmart, Inc. / PetSmart Finance Corp.:                     
   USD   4.75%  02/15/28   196,000    202,940(1)
   USD   7.75%  02/15/29   352,000    377,960(1)
                    1,681,774 
                      
Retail Food/Drug - 1.02%                     
Albertsons Cos. Inc / Safeway, Inc. / New Albertsons LP / Albertsons LLC:                     
   USD   4.63%  01/15/27   283,000    293,263(1)
   USD   5.88%  02/15/28   65,000    69,335(1)
   USD   3.50%  03/15/29   113,000    108,706(1)
   USD   4.88%  02/15/30   483,000    500,494(1)
                    971,798 
                      
Satellite - 1.67%                     
Hughes Satellite Systems Corp.  USD   6.63%  08/01/26   668,000    747,425 
Intelsat Jackson Holdings SA  USD   5.50%  08/01/23   464,000    295,800(3)

 

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		  
Maturity Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Satellite (continued)                  
Viasat, Inc.  USD   5.63%  04/15/27   521,000   $546,725(1)
                    1,589,950 
                      
Services Other - 2.60%                     
Expedia Group, Inc.  USD   6.25%  05/01/25   719,000    842,532 
Prime Security Services Borrower LLC / Prime Finance, Inc.:                     
   USD   5.75%  04/15/26   342,000    368,932(1)
   USD   6.25%  01/15/28   891,000    924,270(1)
WW International, Inc.  USD   8.63%  12/01/25   317,000    331,441(1)
                    2,467,175 
                      
Software - 0.20%                     
Rackspace Technology Global, Inc.  USD   3.50%  02/15/28   196,000    192,693(1)
                      
Technology - 1.35%                     
Avaya, Inc.  USD   6.13%  09/15/28   246,000    265,219(1)
Fair Isaac Corp.  USD   4.00%  06/15/28   221,000    229,083(1)
ON Semiconductor Corp.  USD   3.88%  09/01/28   750,000    784,687 
                    1,278,989 
                      
Telecommunications - 0.42%                     
Level 3 Financing, Inc.  USD   3.75%  07/15/29   195,000    194,756(1)
Plantronics, Inc.  USD   4.75%  03/01/29   205,000    205,000(1)
                    399,756 
                      
Textile/Apparel - 0.31%                     
Levi Strauss & Co.  USD   5.00%  05/01/25   288,000    295,020 
                      
Wireless - 2.33%                     
Sprint Corp.:                     
   USD   7.63%  02/15/25   1,089,000    1,297,271 
   USD   8.75%  03/15/32   615,000    915,735 
                    2,213,006 
                      
Wirelines - 1.83%                     
Consolidated Communications, Inc.  USD   6.50%  10/01/28   644,000    690,851(1)
Lumen Technologies, Inc.  USD   4.00%  02/15/27   176,000    180,148(1)
Telecom Italia Capital SA  USD   6.00%  09/30/34   753,000    867,908 
                    1,738,907 
                      
TOTAL CORPORATE BONDS                   91,409,759 
(Cost $88,536,437)                     
                      
BANK LOANS - 2.06%(4)                     
Automotive - 0.37%                     
Navistar, Inc. - Tranche B Term Loan  USD   1M US L + 3.50%  11/06/24   351,404    352,282 

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		  
Maturity Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Consumer Products - 0.30%               
Revlon Consumer Products Corporation - Initial B Term Loan  USD   3M US L + 3.50%  09/07/23   570,322   $280,408 
                      
Diversified Manufacturing - 0.12%                     
Blount International, Inc. - New Refinancing Term Loan  USD   1M US L + 3.75%  04/12/23   111,876    112,086 
                      
Healthcare - 0.59%                     
Envision Healthcare Corporation - Initial Term Loan  USD   1M US L + 3.75%  10/10/25   285,769    246,680 
LifePoint Health, Inc. - Term B Loan  USD   1M US L + 3.75%  11/16/25   317,115    317,800 
                    564,480 
                      
Industrial Other - 0.27%                     
Filtration Group Corporation - Initial Dollar Term Loan  USD   1M US L + 3.00%  03/29/25   256,244    255,163 
                      
Miscellaneous Manufacture - 0.27%                     
Gates Global LLC  USD   1M US L + 2.75%  03/31/27   258,557    258,881 
                      
Packaging & Containers - 0.14%                     
Flex Acquisition Co., Inc.  USD   3M US L + 3.00%  02/24/28   134,898    134,505 
                      
TOTAL BANK LOANS                   1,957,805 
(Cost $2,196,631)                     
                      
COMMON/PREFERRED STOCKS - 0.39%                     
Transportation Non Air/Rail - 0.00%(5)                     
Euronav NV  USD           31    274 
                      
Exploration & Production - 0.39%                     
Oasis Petroleum, Inc.  USD           6,442    366,292 
                      
TOTAL COMMON/PREFERRED STOCKS                   366,566 
(Cost $188,449)                     
                      
SHORT TERM INVESTMENTS - 0.33%                     
Money Market Fund - 0.33%                     
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield)  USD   0.08%  N/A   312,678    312,772 
                      
TOTAL SHORT TERM INVESTMENTS                   312,772 
(Cost $312,468)                     
                      
Total Investments - 99.03%                   94,046,902 
(Cost $91,233,985)                     
Other Assets in Excess of Liabilities - 0.97%                   922,143 
                      
Net Assets - 100.00%                  $94,969,045 

  

 

*The principal amount/shares of each security is stated in the currency in which the security is denominated. 

 

Currency Abbreviations:
USD - United States Dollar

 

Investment Abbreviations:
LIBOR - London Interbank Offered Rate
 
Reference Rates:
1M US L - 1 Month LIBOR as of February 28, 2021 was 0.12%
3M US L - 3 Month LIBOR as of February 28, 2021 was 0.19%

 

(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 fair value of Rule 144A securities amounts to $57,154,334, which represents approximately 60.18% of net assets as of February 28, 2021.
(2) The level 3 assets were valued using significant unobservable inputs as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs.
(3) Security is in default and therefore is non-income producing.
(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) Amount represents less than 0.005% of net assets.

 

See Notes to Quarterly Statement of Investments

  

 

Stone Harbor Local Markets Fund Statement of Investments
      February 28, 2021 (Unaudited)

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		 Maturity
Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
                   
SOVEREIGN DEBT OBLIGATIONS - 85.13%
Brazil - 4.71%
Brazil Letras do Tesouro Nacional:
   BRL   0.00%  01/01/22   8,360,000   $1,445,682(1)
   BRL   0.00%  01/01/24   7,900,000    1,164,370(1)
   BRL   10.00%  01/01/31   8,810,000    1,722,459 
Nota Do Tesouro Nacional:                     
   BRL   10.00%  01/01/23   15,625,000    2,985,955 
   BRL   10.00%  01/01/29   2,880,000    564,031 
                    7,882,497 
                      
Chile - 1.88%                     
Republic of Chile:                     
   CLP   4.50%  03/01/26   1,230,000,000    1,922,677 
   CLP   4.70%  09/01/30   770,000,000    1,217,614(2)
                    3,140,291 
                      
China - 11.70%                     
China Government Bond:                     
   CNY   3.19%  04/11/24   26,370,000    4,113,934 
   CNY   1.99%  04/09/25   31,000,000    4,597,490 
   CNY   3.13%  11/21/29   71,130,000    10,857,717 
                    19,569,141 
                      
Colombia - 6.62%                     
Bogota Distrio Capital  COP   9.75%  07/26/28   10,114,000,000    3,275,021(3)
Titulos De Tesoreria:                     
   COP   10.00%  07/24/24   6,687,000,000    2,198,697 
   COP   7.50%  08/26/26   1,208,000,000    374,426 
   COP   5.75%  11/03/27   2,636,800,000    743,531 
   COP   6.00%  04/28/28   1,948,000,000    554,248 
   COP   7.75%  09/18/30   9,296,000,000    2,874,853 
   COP   7.00%  06/30/32   3,620,000,000    1,044,797 
                    11,065,573 
                      
Czech Republic - 2.17%                     
Czech Republic Government:                     
   CZK   2.40%  09/17/25   10,150,000    493,444 
   CZK   0.25%  02/10/27   42,980,000    1,857,647 
   CZK   4.20%  12/04/36   20,650,000    1,276,151 
                    3,627,242 
                      
Egypt - 1.04%                     
Egypt Treasury Bill:                     
   EGP   0.00%  06/15/21   13,250,000    813,706(1)
   EGP   0.00%  09/28/21   15,675,000    929,123(1)
                    1,742,829 

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		 Maturity
Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Indonesia - 10.99%
Republic of Indonesia:
   IDR   7.00%  05/15/22   7,880,000,000   $572,185 
   IDR   11.00%  09/15/25   58,400,000,000    4,963,033 
   IDR   8.38%  09/15/26   33,331,000,000    2,612,069 
   IDR   9.00%  03/15/29   5,860,000,000    473,862 
   IDR   8.25%  06/15/32   14,010,000,000    1,068,387 
   IDR   6.63%  05/15/33   68,500,000,000    4,706,804 
   IDR   8.38%  03/15/34   36,690,000,000    2,809,887 
   IDR   7.50%  05/15/38   16,480,000,000    1,169,019 
                    18,375,246 
                      
Malaysia - 3.99%                     
Malaysia Government:                     
   MYR   3.91%  07/15/26   6,660,000    1,758,997 
   MYR   3.50%  05/31/27   3,800,000    978,752 
   MYR   3.90%  11/16/27   1,580,000    416,323 
   MYR   3.73%  06/15/28   1,280,000    334,587 
   MYR   3.89%  08/15/29   9,500,000    2,482,088 
   MYR   4.50%  04/15/30   2,530,000    691,648 
                    6,662,395 
                      
Mexico - 7.27%                     
Mexican Bonos:                     
   MXN   6.75%  03/09/23   22,947,000    1,150,483 
   MXN   8.00%  12/07/23   17,640,000    922,483 
   MXN   5.75%  03/05/26   35,790,000    1,758,568 
   MXN   7.50%  06/03/27   20,399,000    1,078,496 
   MXN   7.75%  05/29/31   8,470,000    451,731 
   MXN   7.75%  11/23/34   8,176,000    430,983 
   MXN   10.00%  11/20/36   24,916,000    1,556,803 
   MXN   8.50%  11/18/38   49,730,000    2,750,306 
   MXN   7.75%  11/13/42   40,150,000    2,059,760 
                    12,159,613 
                      
Peru - 2.18%                     
Republic of Peru:                     
   PEN   6.15%  08/12/32   6,100,000    1,905,934 
   PEN   5.40%  08/12/34   6,096,000    1,738,617 
                    3,644,551 
                      
Poland - 4.78%                     
Kreditanstalt fuer Wiederaufbau  PLN   1.70%  01/17/22   3,000,000    811,393 
Republic of Poland:                     
   PLN   2.50%  01/25/23   4,920,000    1,373,084 
   PLN   3.25%  07/25/25   1,310,000    388,596 
   PLN   2.75%  04/25/28   13,670,000    4,019,764 
   PLN   2.75%  10/25/29   4,770,000    1,404,830 
                    7,997,667 
                      
Romania - 3.14%                     
Romania Government Bond:                     
   RON   5.00%  02/12/29   13,670,000    3,771,873 

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		 Maturity
Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Romania (continued)
Romania Government Bond: (continued)
   RON   3.65%  09/24/31   6,000,000   $1,469,364 
                    5,241,237 
                      
Russia - 8.47%                     
Russian Federation:                     
   RUB   7.60%  04/14/21   229,000,000    3,086,045 
   RUB   7.40%  12/07/22   144,130,000    2,012,413 
   RUB   7.95%  10/07/26   3,200,000    46,183 
   RUB   8.50%  09/17/31   279,030,000    4,229,340 
   RUB   7.70%  03/23/33   278,500,000    3,978,455 
   RUB   7.70%  03/16/39   56,000,000    802,911 
                    14,155,347 
                      
South Africa - 9.74%                     
Republic of South Africa:                     
   ZAR   10.50%  12/21/26   75,340,000    5,709,627 
   ZAR   6.25%  03/31/36   202,500,000    9,303,206 
   ZAR   8.50%  01/31/37   22,977,000    1,277,212 
                    16,290,045 
                      
Thailand - 2.70%                     
Thailand Government:                     
   THB   2.88%  12/17/28   32,320,000    1,178,176 
   THB   3.78%  06/25/32   41,890,000    1,650,718 
   THB   1.59%  12/17/35   15,550,000    482,026 
   THB   4.68%  06/29/44   25,470,000    1,196,594 
                    4,507,514 
                      
Turkey - 3.16%                     
Republic of Turkey:                     
   TRY   9.50%  01/12/22   4,910,000    630,712 
   TRY   11.00%  03/02/22   10,170,000    1,317,680 
   TRY   12.20%  01/18/23   250,000    32,602 
   TRY   7.10%  03/08/23   7,690,000    907,051 
   TRY   9.00%  07/24/24   5,540,000    654,581 
   TRY   10.60%  02/11/26   3,840,000    466,120 
   TRY   11.00%  02/24/27   5,610,000    683,239 
   TRY   10.50%  08/11/27   4,900,000    585,222 
                    5,277,207 
                      
Uruguay - 0.59%                     
Republic of Uruguay:                     
   UYU   9.88%  06/20/22   28,360,000    686,695(3)
   UYU   8.50%  03/15/28   12,100,000    299,552(2)
                    986,247 
                      
TOTAL SOVEREIGN DEBT OBLIGATIONS                   142,324,642 
(Cost $143,720,530)                

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		 Maturity
Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
CORPORATE BONDS - 6.42%
Brazil - 1.87%
Swiss Insured Brazil Power Finance Sarl  BRL   9.85%  07/16/32   15,845,741   $3,126,570(2)
                      
Kazakhstan - 0.17%                     
Development Bank of Kazakhstan JSC  KZT   8.95%  05/04/23   116,250,000    277,833(2)
                      
Mexico - 4.38%                     
America Movil SAB de CV  MXN   6.45%  12/05/22   90,680,000    4,428,539 
Petroleos Mexicanos:                     
   MXN   7.47%  11/12/26   45,370,000    1,906,026 
   USD   7.69%  01/23/50   1,036,000    989,276 
                    7,323,841 
                      
TOTAL CORPORATE BONDS                   10,728,244 
(Cost $12,635,195)                     
                      
SHORT TERM INVESTMENTS - 0.15%                     
Money Market Fund - 0.15%                     
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield)  USD   0.08%  N/A   255,399    255,475 
                      
TOTAL SHORT TERM INVESTMENTS                   255,475 
(Cost $255,450)                     
                      
Total Investments - 91.70%                   153,308,361 
(Cost $156,611,175)                     
Other Assets In Excess of Liabilities - 8.30%                   13,881,409 
                      
Net Assets - 100.00%                  $167,189,770 

 

*The principal amount/shares of each security is stated in the currency in which the security is denominated. 

 

Currency Abbreviations:
BRL - Brazilian Real
CLP - Chilean Peso
CNH - Chinese Yuan Offshore
CNY - Chinese Yuan
COP - Columbian Peso
CZK - Czech Republic Koruna
EGP - Egyptian Pound
HUF - Hungarian Forint
IDR - Indonesian Rupiah
KZT - Kazakhstan Tenge
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

  

 

(1) Issued with a zero coupon.  Income is recognized through the accretion of discount.
(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 fair value of Rule 144A securities amounts to $4,921,569, which represents approximately 2.94% of net assets as of February 28, 2021.
(3) 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 February 28, 2021, the aggregate fair value of those securities was $3,961,716, which represents approximately 2.37% of net assets.

  

 

OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS        
Counterparty  Settlement
Date		  Fund
Receiving		  U.S. $ Value
at February 28, 2021		   Fund
Delivering		  U.S. $ Value
at February 28, 2021		   Unrealized
Appreciation/
(Depreciation)		 
                      
Citigroup Global Markets  03/02/21  USD   2,429,151   BRL   2,349,309   $79,842 
Citigroup Global Markets  03/08/21  USD   469,412   IDR   461,292    8,120 
Citigroup Global Markets  03/19/21  USD   1,159,750   COP   1,112,613    47,137 
Citigroup Global Markets  03/29/21  USD   809,681   MXN   779,841    29,840 
Citigroup Global Markets  04/29/21  CLP   1,272,807   USD   1,269,177    3,630 
Citigroup Global Markets  04/29/21  USD   69,137   CNH   69,087    50 
Goldman Sachs International  03/02/21  USD   949,325   BRL   915,920    33,405 
Goldman Sachs International  03/08/21  USD   199,343   IDR   197,685    1,658 
Goldman Sachs International  03/19/21  USD   339,874   PEN   336,549    3,325 
Goldman Sachs International  03/22/21  RUB   230,210   USD   225,597    4,613 
Goldman Sachs International  03/29/21  USD   566,121   MXN   545,319    20,802 
Goldman Sachs International  04/08/21  PLN   1,976,084   USD   1,975,489    595 
Goldman Sachs International  04/16/21  USD   4,417,391   ZAR   4,390,687    26,704 
J.P. Morgan Chase & Co.  03/08/21  USD   728,996   IDR   717,512    11,484 
J.P. Morgan Chase & Co.  03/19/21  USD   1,113,646   COP   1,066,559    47,087 
J.P. Morgan Chase & Co.  03/19/21  USD   1,472,774   PEN   1,465,931    6,843 
J.P. Morgan Chase & Co.  03/29/21  USD   566,182   MXN   545,450    20,732 
J.P. Morgan Chase & Co.  04/08/21  PLN   848,077   USD   846,686    1,391 
                      $347,258 
                         
Citigroup Global Markets  03/02/21  BRL   2,349,309   USD   2,418,283   $(68,974)
Citigroup Global Markets  04/05/21  BRL   2,346,247   USD   2,426,555    (80,308)
Citigroup Global Markets  03/05/21  COP   1,154,285   USD   1,164,222    (9,937)
Citigroup Global Markets  04/08/21  CZK   407,910   USD   409,348    (1,438)
Citigroup Global Markets  04/08/21  HUF   153,132   USD   155,188    (2,056)
Citigroup Global Markets  04/01/21  THB   43,402   USD   43,571    (169)
Citigroup Global Markets  04/29/21  USD   683,020   CNH   683,966    (946)
Goldman Sachs International  03/02/21  BRL   915,920   USD   954,355    (38,435)
Goldman Sachs International  04/05/21  BRL   3,302,949   USD   3,351,113    (48,164)
Goldman Sachs International  04/08/21  CZK   2,280,186   USD   2,290,069    (9,883)
Goldman Sachs International  04/08/21  HUF   1,571,525   USD   1,593,089    (21,564)
Goldman Sachs International  03/22/21  RUB   902,713   USD   908,441    (5,728)
Goldman Sachs International  04/01/21  THB   1,092,795   USD   1,096,506    (3,711)
Goldman Sachs International  03/22/21  USD   241,893   RUB   247,610    (5,717)
Goldman Sachs International  04/08/21  USD   226,588   PLN   226,901    (313)
HSBC  04/29/21  USD   2,747,587   CNH   2,750,397    (2,810)
J.P Morgan Chase & Co  04/08/21  PLN   6,860,427   USD   6,887,126    (26,699)
J.P. Morgan Chase & Co.  04/08/21  HUF   1,734,235   USD   1,755,261    (21,026)
J.P. Morgan Chase & Co.  04/01/21  THB   1,663,404   USD   1,668,886    (5,482)
                      $(353,360)

 

See Notes to Quarterly Statement of Investments

  

 

Stone Harbor Emerging Markets Corporate Debt Fund Statement of Investments
      February 28, 2021 (Unaudited)

 

 
 		  
 		  
Currency		  
 		  
Rate		    
 		 Maturity
Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
                    
CORPORATE BONDS - 93.01%                     
Argentina - 2.15%                     
MSU Energy SA  USD  6.88 %  02/01/25   48,000   $32,880(1)
Pampa Energia SA  USD  7.50 %  01/24/27   35,000    29,783(1)
YPF SA:                     
   USD  8.50 %  07/28/25   16,000    11,610(1)
   USD  6.95 %  07/21/27   87,000    55,571(2)
                    129,844 
                      
Brazil - 8.52%                     
Adecoagro SA  USD  6.00 %  09/21/27   27,000    28,552(1)
Banco do Brasil SA  USD  9.00 %  Perpetual   6,000    6,549(1)(3)(4)
CSN Resources SA  USD  7.63 %  04/17/26   20,000    21,656(1)
Gol Finance SA  USD  7.00 %  01/31/25   91,000    81,886(1)
Guara Norte Sarl  USD  5.20 %  06/15/34   21,000    21,440(1)
Itau Unibanco Holding SA  USD  6.13 %  Perpetual   32,000    32,240(1)(3)(4)
Klabin Austria GmbH:                   
   USD  3.20 %  01/12/31   30,000    29,715(1)
   USD  7.00 %  04/03/49   23,000    28,794(1)
MV24 Capital BV  USD  6.75 %  06/01/34   21,765    23,665(1)
NBM US Holdings, Inc.  USD  7.00 %  05/14/26   21,000    22,661(1)
Petrobras Global Finance BV:                     
   USD  5.75 %  02/01/29   28,000    31,300 
   USD  6.90 %  03/19/49   51,000    57,121 
Simpar Europe SA  USD  5.20 %  01/26/31   45,000    45,675(1)
Usiminas International Sarl  USD  5.88 %  07/18/26   76,000    82,175(1)
                    513,429 
                      
Chile - 2.03%                     
Celulosa Arauco y Constitucion SA  USD  5.50 %  04/30/49   42,000    49,087(1)
Empresa Nacional de Telecomunicaciones SA  USD  4.88 %  10/30/24   11,000    11,913(1)
Geopark, Ltd.  USD  5.50 %  01/17/27   60,000    61,313(1)
                    122,313 
                      
China - 9.13%                     
Bank of China, Ltd.  USD  5.00 %  11/13/24   46,000    51,937(2)
China SCE Group Holdings, Ltd.  USD  7.38 %  04/09/24   200,000    209,156 
Golden Eagle Retail Group, Ltd.  USD  4.63 %  05/21/23   44,000    45,210(2)
Tencent Holdings, Ltd.:                     
   USD  2.39 %  06/03/30   14,000    13,829(1)
   USD  3.24 %  06/03/50   14,000    13,469(1)
Wanda Properties International Co., Ltd.  USD  7.25 %  01/29/24   200,000    205,656 
Yingde Gases Investment, Ltd.  USD  6.25 %  01/19/23   11,000    11,354(2)
                    550,611 
                      
Colombia - 4.63%                     
AI Candelaria Spain SLU:                     
   USD  7.50 %  12/15/28   32,000    36,560(1)

  

 

 
 		  
 		  
Currency		  
 		  
Rate		    
 		 Maturity
Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Colombia (continued)
AI Candelaria Spain SLU: (continued)                   
   USD  7.50 %  12/15/28   20,000   $22,850(2)
Ecopetrol SA:                     
   USD  5.38 %  06/26/26   29,000    32,621 
   USD  7.38 %  09/18/43   33,000    41,131 
Gran Tierra Energy International Holdings, Ltd.  USD  6.25 %  02/15/25   140,000    116,200(1)
Millicom International Cellular SA  USD  5.13 %  01/15/28   27,900    29,716(1)
                    279,078 
                      
Ghana - 0.71%                     
Tullow Oil PLC  USD  7.00 %  03/01/25   53,000    42,665(1)
                      
Guatemala - 0.67%                     
Energuate Trust  USD  5.88 %  05/03/27   38,000    40,488(1)
                      
Hong Kong - 3.44%                     
ESR Cayman, Ltd.  USD  7.88 %  04/04/22   200,000    207,187 
                      
India - 3.91%                     
Bharti Airtel, Ltd.:                     
   USD  4.38 %  06/10/25   15,000    16,263(2)
   USD  3.25 %  06/03/31   33,000    32,548(1)
Greenko Dutch BV  USD  5.25 %  07/24/24   43,000    44,451(1)
Network i2i, Ltd.  USD  5Y US TI + 4.28 %  Perpetual   73,000    77,471(1)(3)(4)
Vedanta Resources Finance II PLC:                     
   USD  13.88 %  01/21/24   24,000    26,542(1)
   USD  8.95 %  03/11/25   22,000    22,083(1)
Vedanta Resources, Ltd.  USD  6.38 %  07/30/22   17,000    16,448(1)
                    235,806 
                      
Indonesia - 3.21%                     
Cikarang Listrindo Tbk PT  USD  4.95 %  09/14/26   27,000    28,004(2)
Indika Energy Capital IV Pte, Ltd.  USD  8.25 %  10/22/25   12,000    13,013(1)
Minejesa Capital BV  USD  4.63 %  08/10/30   125,000    131,719(1)
PT Bumi Resources TBK (Eterna Capital Pte, Ltd.)  USD  6.50% Cash + 1.00% PIK    12/11/22   10,000    7,636(5)
Star Energy Geothermal Darajat II / Star Energy Geothermal Salak  USD  4.85 %  10/14/38   12,000    13,369(1)
                    193,741 
                      
Israel - 5.47%                     
Altice Financing SA  USD  5.00 %  01/15/28   94,000    94,363(1)
Leviathan Bond, Ltd.  USD  6.75 %  06/30/30   74,000    81,492(1)
Teva Pharmaceutical Finance Netherlands III BV  USD  3.15 %  10/01/26   164,000    153,793 
                    329,648 

  

 

 
 		  
 		  
Currency		  
 		  
Rate		    
 		 Maturity
Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Jamaica - 0.46%
Digicel Group 0.5, Ltd.  USD  8% Cash and 2% PIK or 10.00% PIK    04/01/24   13,836   $13,715(5)
Digicel, Ltd.  USD  6.75 %  03/01/23   15,000    13,800(2)
                    27,515 
                      
Macau - 1.65%                     
Melco Resorts Finance, Ltd.:                     
   USD  5.63 %  07/17/27   27,000    28,519(2)
   USD  5.75 %  07/21/28   32,000    34,315(1)
Sands China, Ltd.  USD  5.40 %  08/08/28   18,000    20,818 
Studio City Finance, Ltd.:                     
   USD  6.00 %  07/15/25   4,000    4,237(1)
   USD  6.50 %  01/15/28   11,000    11,866(1)
                    99,755 
                      
Mexico - 8.44%                     
Aerovias de Mexico SA de CV  USD  7.00 %  02/05/25   135,000    65,138(1)(6)
America Movil SAB de CV  USD  3.63 %  04/22/29   25,000    27,539 
Axtel SAB Axtel de CV  USD  6.38 %  11/14/24   77,000    80,850(1)
Banco Mercantil del Norte SA/Grand Cayman:                     
   USD  6.75 %  Perpetual   63,000    67,233(1)(3)(4)
   USD  7.50 %  Perpetual   43,000    48,160(1)(3)(4)
BBVA Bancomer SA  USD  6.75 %  09/30/22   11,000    11,908(1)
Cometa Energia SA de CV  USD  6.38 %  04/24/35   52,472    60,679(1)
FEL Energy VI Sarl  USD  5.75 %  12/01/40   11,000    11,611(1)
Mexico Generadora De Energia  USD  5.50 %  12/06/32   25,655    29,463(1)
Petroleos Mexicanos  USD  7.69 %  01/23/50   48,000    45,835 
Sixsigma Networks Mexico SA de CV  USD  7.50 %  05/02/25   35,000    30,980(1)
Southern Copper Corp.  USD  6.75 %  04/16/40   21,000    29,544 
                    508,940 
                      
Nigeria - 2.47%                     
Access Bank PLC  USD  10.50 %  10/19/21   22,000    23,052(1)
IHS Netherlands Holdco BV  USD  8.00 %  09/18/27   93,000    100,701(1)
United Bank for Africa PLC  USD  7.75 %  06/08/22   24,000    25,069(1)
                    148,822 
                      
Oman - 0.48%                     
Oryx Funding, Ltd.  USD  5.80 %  02/03/31   28,000    29,190(1)
                      
Panama - 0.95%                     
C&W Senior Financing DAC  USD  7.50 %  10/15/26   54,000    57,307(1)
                      
Peru - 4.24%                     
Banco BBVA Peru SA  USD  5Y US TI + 2.75 %  09/22/29   13,000    14,221(2)(3)
Banco de Credito del Peru  USD  5Y US TI + 3.00 %  07/01/30   28,000    28,679(1)(3)
Inkia Energy, Ltd.  USD  5.88 %  11/09/27   92,000    97,937(1)
Kallpa Generacion SA:                     
   USD  4.88 %  05/24/26   4,000    4,414(1)
   USD  4.13 %  08/16/27   53,000    57,378(1)

  

 

 
 		  
 		  
Currency		  
 		  
Rate		    
 		 Maturity
Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Peru (continued)
Nexa Resources SA  USD  6.50 %  01/18/28   45,000   $52,821(1)
                    255,450 
                      
Russia - 4.57%                     
Gazprom PJSC Via Gaz Capital SA  USD  4.95 %  02/06/28   118,000    133,246(1)
Lukoil Securities BV  USD  3.88 %  05/06/30   103,000    109,566(1)
VTB Bank PJSC Via VTB Eurasia DAC  USD  9.50 %  Perpetual   30,000    32,648(1)(3)(4)
                    275,460 
                      
Saudi Arabia - 3.45%                     
Acwa Power Management And Investments One, Ltd.  USD  5.95 %  12/15/39   103,000    121,926(1)
Saudi Arabian Oil Co.:                   
   USD  3.50 %  04/16/29   40,000    43,650(1)
   USD  3.25 %  11/24/50   46,000    42,424(1)
                    208,000 
                      
South Africa - 3.15%                     
AngloGold Ashanti Holdings PLC  USD  3.75 %  10/01/30   52,000    54,512 
Eskom Holdings SOC, Ltd.  USD  6.75 %  08/06/23   99,000    103,962(1)
Liquid Telecommunications Financing PLC  USD  5.50 %  09/04/26   14,000    14,315(1)
Prosus NV  USD  3.83 %  02/08/51   19,000    17,100(1)
                    189,889 
                      
Tanzania - 1.07%                     
HTA Group, Ltd.  USD  7.00 %  12/18/25   60,000    64,350(1)
                      
Thailand - 2.71%                     
Bangkok Bank PCL  USD  5Y US TI + 1.90 %  09/25/34   50,000    51,820(1)(3)
PTT Treasury Center Co., Ltd.  USD  4.50 %  10/25/42   60,000    67,500(1)
Thaioil Treasury Center Co., Ltd.  USD  4.88 %  01/23/43   40,000    43,844(2)
                    163,164 
                      
Turkey - 4.13%                     
Akbank Turk AS:                     
   USD  5.13 %  03/31/25   15,000    15,380(1)
   USD  6.80 %  04/27/28   35,000    35,355(1)(3)
Turk Telekomunikasyon AS  USD  6.88 %  02/28/25   37,000    41,186(1)
Turkiye Garanti Bankasi AS:                     
   USD  5.88 %  03/16/23   33,000    34,671(1)
   USD  6.13 %  05/24/27   69,000    69,172(1)(3)
Ulker Biskuvi Sanayi AS  USD  6.95 %  10/30/25   49,000    53,402(1)
                    249,166 
                      
Ukraine - 3.78%                     
Metinvest BV:                     
   USD  7.75 %  04/23/23   60,000    64,425(1)
   USD  7.75 %  10/17/29   63,000    68,513(1)

  

 

 
 		  
 		  
Currency		  
 		  
Rate		    
 		 Maturity
Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Ukraine (continued)                     
VF Ukraine PAT via VFU Funding PLC  USD  6.20 %  02/11/25   91,000   $95,195(1)
                    228,133 
                      
United Arab Emirates - 4.04%                     
DP World PLC  USD  4.70 %  09/30/49   149,000    159,174(1)
Galaxy Pipeline Assets Bidco, Ltd.  USD  1.75 %  09/30/27   84,000    84,420(1)
                    243,594 
                      
Vietnam - 1.76%                     
Mong Duong Finance Holdings BV  USD  5.13 %  05/07/29   104,000    106,340(1)
                      
Zambia - 1.79%                     
First Quantum Minerals, Ltd.:                     
   USD  6.50 %  03/01/24   39,000    40,054(1)
   USD  7.50 %  04/01/25   65,000    67,641(1)
                    107,695 
                      
TOTAL CORPORATE BONDS                   5,607,580 
(Cost $5,370,677)                     
                      
SHORT TERM INVESTMENTS - 6.46%                     
Money Market Fund - 6.46%                     
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield)  USD  0.08 %  N/A   389,287    389,404 
                      
TOTAL SHORT TERM INVESTMENTS                   389,404 
(Cost $389,394)                     
                      
Total Investments - 99.47%                   5,996,984 
(Cost $5,760,071)                     
Other Assets In Excess of Liabilities - 0.53%                   32,033 
                      
Net Assets - 100.00%                  $6,029,017 

 

*The principal amount/shares of each security is stated in the currency in which the security is denominated.

 

Currency Abbreviations:
USD - United States Dollar

  

Investment Abbreviations:
PIK - Payment in-kind
 
Reference Rates:
5Y US TI -  5 Year US Treasury Index as of February 28, 2021 was 0.75%

  

 

(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 fair value of Rule 144A securities amounts to $4,138,443, which represents approximately 68.64% of net assets as of February 28, 2021.
(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 February 28, 2021, the aggregate fair value of those securities was $331,573, which represents approximately 5.50% of net assets.
(3) Floating or variable rate security. The reference rate is described above. The rate in effect as of February 28, 2021 is based on the reference rate plus the displayed spread as of the security's last reset date. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.
(4) Security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.
(5) Payment-in-kind securities.
(6) Security is in default and therefore is non-income producing.

 

See Notes to Quarterly Statement of Investments

  

 

Stone Harbor Investment Grade Fund Statement of Investments
      February 28, 2021 (Unaudited)

 

 
 		  
 		  
Currency		  
 		  
Rate		    
 		  
Maturity Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
                    
ASSET BACKED/COMMERCIAL MORTGAGE BACKED SECURITIES - 7.36%       
Aqua Finance Trust 2019-A, Series 2019-A  USD  3.14 %  09/15/25   43,759   $44,979(1)
BB-UBS Trust, Series 2012-TFT  USD  2.89 %  06/05/20   50,000    49,590(1)
BX Commercial Mortgage Trust, Series 2019-IMC  USD  1M US L + 1.30 %  04/15/21   100,000    99,666(1)(2)
Citigroup Commercial Mortgage Trust, Series 2019-SST2  USD  1M US L + 0.92 %  02/15/22   50,000    50,113(1)(2)
CLNY Trust 2019-IKPR, Series 2019-IKPR  USD  1M US L + 1.13 %  11/15/21   50,000    50,014(1)(2)
Fannie Mae Pool, Series 2013-  USD  3.00 %  07/01/27   47,204    50,311(3)
Freddie Mac Whole Loan Securities Trust:                     
Series 2015-SC02  USD  3.00 %  09/25/45   22,220    22,437(3)
Series 2016-SC01  USD  3.50 %  07/25/46   37,320    37,890(3)
Invitation Homes 2017-SFR2 Trust, Series 2017-SFR2  USD  1M US L + 0.85 %  12/17/36   44,873    45,061(1)(2)
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9  USD  5.34 %  05/15/47   110,504    83,132 
MBRT 2019-MBR, Series 2019-MBR  USD  1M US L + 0.85 %  11/25/21   75,000    75,129(1)(2)
MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV  USD  4.28 %  10/15/22   125,000    88,949(1)(2)
New Residential Advance Receivables Trust Advance Receivables Backed 2020-T1, Series 2020-T1  USD  1.43 %  08/15/23   25,000    25,122(1)
RBSSP Resecuritization Trust, Series 2012-6  USD  1M US L + 0.34 %  11/26/35   2,214    2,217(1)(2)
Towd Point Mortgage Trust, Series 2016-5  USD  2.50 %  10/25/56   16,557    16,893(1)(2)
VOLT LXXXIV LLC, Series 2019-NP10  USD  3.43 %  11/25/22   37,089    37,267(1)(4)
                      
TOTAL ASSET BACKED/COMMERCIAL MORTGAGE BACKED SECURITIES     778,770 
(Cost $783,555)                     
                      
U.S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES - 21.88%       
FNMA TBA:                     
   USD  2.50 %  03/11/21   375,000    388,799(3)
   USD  3.00 %  03/11/21   625,000    654,150(3)
   USD  3.50 %  03/11/21   575,000    609,718(3)
   USD  4.00 %  03/11/21   325,000    349,223(3)
   USD  2.50 %  03/16/21   200,000    209,135(3)
   USD  3.00 %  03/16/21   100,000    105,586(3)
                      
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES     2,316,611 
(Cost $2,329,263)                     
                      
CORPORATE BONDS - 45.43%                     
Aerospace/Defense - 0.24%                     
Boeing Co.  USD  3.60 %  05/01/34   25,000    25,731 
                      
Automotive - 1.51%                     
Ford Motor Credit Co. LLC  USD  4.27 %  01/09/27   50,000    52,969 

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		  
Maturity Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Automotive (continued)                   
General Motors Financial Co., Inc.  USD  4.35 %  01/17/27   50,000   $56,388 
Hyundai Capital America:                     
   USD  3.25 %  09/20/22   25,000    25,965(1)
   USD  1.30 %  01/08/26   25,000    24,763(1)
                    160,085 
                      
Banking - 12.42%                     
Bank of America Corp.  USD  3M US L + 0.99 %  02/13/31   100,000    102,521(2)
Capital One Financial Corp.  USD  3.75 %  03/09/27   50,000    56,197 
Citigroup, Inc.  USD  4.40 %  06/10/25   125,000    140,451 
Credit Suisse Group AG  USD  3M US L + 1.24 %  06/12/24   50,000    53,974(1)(2)
Deutsche Bank AG:                     
   USD  3.70 %  05/30/24   50,000    53,855 
   USD  1D US SOFR + 1.87 %  11/24/26   75,000    75,884(2)
Goldman Sachs Group, Inc.  USD  1D US SOFR + 0.609 %  02/12/26   50,000    49,628(2)
HSBC Holdings PLC:                     
   USD  3.95 %  05/18/24   25,000    26,871(2)
   USD  1D US SOFR + 1.29 %  05/24/27   25,000    25,009(2)
Intesa Sanpaolo SpA, Series XR  USD  4.00 %  09/23/29   75,000    82,900(1)
JPMorgan Chase & Co.  USD  3.63 %  12/01/27   50,000    55,606 
Mizuho Financial Group, Inc.  USD  3M US L + 1.27 %  09/08/31   75,000    73,366(2)
Morgan Stanley  USD  1D US SOFR + 1.02 %  04/28/32   75,000    72,908(2)
Societe Generale SA  USD  2.63 %  10/16/24   75,000    79,016(1)
Standard Chartered PLC:                     
   USD  3M US L + 1.21 %  01/30/26   50,000    52,610(1)(2)
   USD  5.70 %  03/26/44   25,000    32,223(1)
State Street Corp.  USD  2.20 %  03/03/31   100,000    99,706 
Sumitomo Mitsui Financial Group, Inc.  USD  2.14 %  09/23/30   25,000    24,445 
Synchrony Financial  USD  3.70 %  08/04/26   50,000    54,572 
UBS Group AG  USD  3.49 %  05/23/23   50,000    51,857(1)
Wells Fargo & Co.  USD  3M US L + 1.00 %  02/11/31   50,000    51,799(2)
                    1,315,398 
                      
Building Products - 0.57%                     
Vulcan Materials Co.  USD  4.50 %  06/15/47   50,000    59,942 
                      
Chemicals - 1.07%                     
Huntsman International LLC  USD  4.50 %  05/01/29   50,000    56,669 
Nutrien, Ltd.  USD  3.95 %  05/13/50   50,000    56,648 
                    113,317 
                      
Consumer Products - 0.23%                     
Kimberly-Clark Corp.  USD  1.05 %  09/15/27   25,000    24,638 
                      
Diversified Manufacturing - 0.49%                     
Carrier Global Corp.  USD  3.58 %  04/05/50   50,000    51,591 

  

 

 
 		  
 		  
Currency		  
 		  
Rate		    
 		  
Maturity Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Electric - 4.15%                   
Appalachian Power Co., Series Z  USD  3.70 %  05/01/50   50,000   $54,043 
Electricite de France SA  USD  4.50 %  09/21/28   50,000    58,495(1)
Enel Finance International NV  USD  4.63 %  09/14/25   50,000    57,229(1)
Entergy Texas, Inc.  USD  3.55 %  09/30/49   50,000    53,011 
Exelon Generation Co. LLC  USD  5.60 %  06/15/42   50,000    56,150 
FirstEnergy Corp., Series C  USD  5.35 %  07/15/47   25,000    29,794 
NextEra Energy Capital Holdings, Inc.:                     
   USD  2.75 %  05/01/25   25,000    26,697 
   USD  2.25 %  06/01/30   50,000    50,518 
Vistra Operations Co. LLC  USD  3.55 %  07/15/24   50,000    53,799(1)
                    439,736 
                      
Environmental Services - 0.43%                     
Waste Management, Inc.  USD  2.50 %  11/15/50   50,000    45,025 
                      
Exploration & Production - 1.93%                     
BP Capital Markets PLC  USD  5Y US TI + 4.036 %  Perpetual   50,000    52,838(2)(5)
Chevron Corp.  USD  3.08 %  05/11/50   50,000    50,013 
Diamondback Energy, Inc.  USD  2.88 %  12/01/24   50,000    52,989 
Total Capital International SA  USD  3.13 %  05/29/50   50,000    49,005 
                    204,845 
                      
Food - 0.46%                     
Conagra Brands, Inc.  USD  1.38 %  11/01/27   50,000    48,975 
                      
Gaming - 0.50%                     
Las Vegas Sands Corp.  USD  3.20 %  08/08/24   50,000    52,526 
                      
Gas Distributors - 1.08%                     
Cheniere Corpus Christi Holdings LLC  USD  5.13 %  06/30/27   50,000    58,430 
Sempra Energy  USD  4.00 %  02/01/48   50,000    55,356 
                    113,786 
                      
Gas Pipelines - 2.94%                     
Boardwalk Pipelines LP  USD  5.95 %  06/01/26   50,000    59,261 
CenterPoint Energy, Inc.  USD  4.25 %  11/01/28   50,000    57,808 
Kinder Morgan Energy Partners LP  USD  5.50 %  03/01/44   50,000    60,440 
Sabine Pass Liquefaction LLC  USD  5.00 %  03/15/27   50,000    58,175 
Williams Cos., Inc.  USD  2.60 %  03/15/31   75,000    75,192 
                    310,876 
                      
Healthcare - 0.88%                     
CVS Health Corp.  USD  4.78 %  03/25/38   25,000    30,507 
HCA, Inc.  USD  5.25 %  06/15/49   50,000    62,804 
                    93,311 
                      
Industrial Other - 0.50%                     
Flowserve Corp.  USD  3.50 %  10/01/30   50,000    53,005 

  

 

 
 		  
 		  
Currency		  
 		  
Rate		    
 		  
Maturity Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Lodging - 0.27%                   
Marriott International, Inc., Series EE  USD  5.75 %  05/01/25   25,000   $28,883 
                      
Media Cable - 0.86%                     
Charter Communications Operating LLC / Charter Communications Operating Capital  USD  6.48 %  10/23/45   25,000    33,582 
Comcast Corp.  USD  3.97 %  11/01/47   50,000    57,183 
                    90,765 
                      
Media Other - 0.28%                     
Interpublic Group of Cos., Inc.  USD  4.65 %  10/01/28   25,000    29,525 
                      
Metals/Mining/Steel - 0.54%                     
Anglo American Capital PLC  USD  4.00 %  09/11/27   50,000    56,771(1)
                      
Non Captive Finance - 0.51%                     
Air Lease Corp.  USD  3.63 %  12/01/27   50,000    53,510 
                      
Pharmaceuticals - 0.51%                     
AbbVie, Inc.  USD  3.20 %  11/21/29   50,000    54,096 
                      
Property & Casualty Insurance - 0.47%                     
Kemper Corp.  USD  2.40 %  09/30/30   50,000    49,579 
                      
Refining - 1.53%                     
ConocoPhillips  USD  3.75 %  10/01/27   50,000    56,433(1)
Marathon Petroleum Corp.:                     
   USD  5.13 %  12/15/26   25,000    29,650 
   USD  3.80 %  04/01/28   25,000    27,556 
Phillips 66  USD  2.15 %  12/15/30   50,000    48,766 
                    162,405 
                      
REITS - 2.23%                     
American Homes 4 Rent LP  USD  4.25 %  02/15/28   50,000    56,215 
CubeSmart LP  USD  2.00 %  02/15/31   50,000    48,248 
Prologis LP  USD  2.13 %  04/15/27   25,000    26,021 
SITE Centers Corp.:                     
   USD  4.25 %  02/01/26   15,000    16,100 
   USD  4.70 %  06/01/27   35,000    38,747 
WEA Finance LLC  USD  2.88 %  01/15/27   50,000    50,825(1)
                    236,156 
                      
Restaurants - 0.57%                     
McDonald's Corp.  USD  4.45 %  03/01/47   50,000    60,270 
                      
Retail Non Food/Drug - 0.45%                     
O'Reilly Automotive, Inc.  USD  1.75 %  03/15/31   50,000    47,901 

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		  
Maturity Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
Services Other - 1.59%                   
Amazon.com, Inc.  USD  2.70 %  06/03/60   25,000   $23,148 
Expedia Group, Inc.  USD  3.25 %  02/15/30   50,000    51,323 
Verisk Analytics, Inc.  USD  3.63 %  05/15/50   50,000    51,746 
Visa, Inc.  USD  2.00 %  08/15/50   50,000    42,605 
                    168,822 
                      
Technology - 3.13%                     
Broadcom, Inc.  USD  5.00 %  04/15/30   50,000    58,181 
Electronic Arts, Inc.  USD  2.95 %  02/15/51   50,000    48,028 
Fidelity National Information Services, Inc.  USD  1.15 %  03/01/26   75,000    74,745 
Tencent Holdings, Ltd.  USD  3.60 %  01/19/28   50,000    54,444(1)
TSMC Global, Ltd.:                     
   USD  1.00 %  09/28/27   50,000    48,779(1)
   USD  1.38 %  09/28/30   50,000    47,631(1)
                    331,808 
                      
Transportation Non Air/Rail - 0.54%                     
FedEx Corp.  USD  4.40 %  01/15/47   50,000    57,081 
                      
Wireless - 1.53%                     
American Tower Corp.  USD  1.30 %  09/15/25   50,000    50,322 
T-Mobile USA, Inc.:                     
   USD  3.88 %  04/15/30   25,000    27,517(1)
   USD  4.50 %  04/15/50   25,000    27,815(1)
Vodafone Group PLC  USD  4.25 %  09/17/50   50,000    56,223 
                    161,877 
                      
Wirelines - 1.02%                     
AT&T, Inc.  USD  2.25 %  02/01/32   50,000    48,053 
Verizon Communications, Inc.  USD  4.50 %  08/10/33   50,000    59,690 
                    107,743 
                      
TOTAL CORPORATE BONDS                   4,809,979 
(Cost $4,564,284)                     
                      
U.S. TREASURY BONDS/NOTES - 17.58%                     
U.S. Treasury Bonds:                     
   USD  2.75 %  02/15/28   50,000    55,551 
   USD  2.50 %  02/15/46   225,000    242,209 
U.S. Treasury Notes:                   
   USD  2.00 %  11/15/21   625,000    633,614 
   USD  2.13 %  05/15/25   325,000    346,519 
   USD  2.00 %  08/15/25   550,000    584,031 
                      
TOTAL U.S. TREASURY BONDS/NOTES                   1,861,924 
(Cost $1,775,406)                     

  

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
 		  
Maturity Date		  
 		 Principal
Amount/Shares*		  
 		  
 		 Value
(Expressed in USD)		  
 
SHORT TERM INVESTMENTS - 7.69%                
Money Market Fund - 7.69%                   
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield)  USD  0.08 %  N/A   814,114   $814,359 
                      
TOTAL SHORT TERM INVESTMENTS                   814,359 
(Cost $814,294)                     
                      
Total Investments - 99.94%                   10,581,643 
(Cost $10,266,802)                     
Other Assets in Excess of Liabilities - 0.06%                   6,779 
                      
Net Assets - 100.00%                  $10,588,422 

 

*The principal amount/shares of each security is stated in the currency in which the security is denominated.

 

Currency Abbreviations:

USD - United States Dollar

 

Investment Abbreviations:
SOFR - Secured Overnight Financing Rate
LIBOR - London Interbank Offered Rate
 
Reference Rates:
1D US SOFR - 1 Day SOFR as of February 28, 2021 was 0.01%
1M US L - 1 Month LIBOR as of February 28, 2021 was 0.12%
3M US L - 3 Month LIBOR as of February 28, 2021 was 0.19%
5Y US TI -  5 Year US Treasury Index as of February 28, 2021 was 0.75%
 

 

(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 fair value of Rule 144A securities amounts to $1,528,046, which represents approximately 14.43% of net assets as of February 28, 2021.
(2) Floating or variable rate security. The reference rate is described above. The rate in effect as of February 28, 2021 is based on the reference rate plus the displayed spread as of the security's last reset date. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.
(3) Investment purchased on a delayed delivery basis.
(4) Step bond.  Coupon changes periodically based upon a predetermined schedule.  Interest rate disclosed is that which is in effect as of February 28, 2021.
(5) Security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.

 

See Notes to Quarterly Statement of Investments

  

 

Stone Harbor Strategic Income Fund Statement of Investments
      February 28, 2021 (Unaudited)
       

 

   Currency  Rate  Shares*  

Value

(Expressed in USD)

 
               
OPEN-END FUNDS - 95.63%                
Stone Harbor Emerging Markets Corporate Debt Fund  USD  N/A   171,278   $1,575,754(1)
Stone Harbor Emerging Markets Debt Fund  USD  N/A   709,698    6,898,262(1)
Stone Harbor High Yield Bond Fund  USD  N/A   1,056,373    8,598,880(1)
Stone Harbor Investment Grade Fund  USD  N/A   999,913    10,579,076(1)
Stone Harbor Local Markets Fund  USD  N/A   255,916    2,275,093(1)
               29,927,065 
                 
TOTAL OPEN-END FUNDS              29,927,065 
(Cost $29,713,053)                
                 
SHORT TERM INVESTMENTS - 2.36%                
Money Market Fund - 2.36%                
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield)  USD  0.08%   736,712    736,933 
                 
TOTAL SHORT TERM INVESTMENTS              736,933 
(Cost $736,908)                
                 
Total Investments - 97.99%              30,663,998 
(Cost $30,449,961)                
Other Assets In Excess of Liabilities - 2.01%              630,467 
                 
Net Assets - 100.00%             $31,294,465 

 

*The shares of each security is stated in the currency in which the security is denominated.

 

Currency Abbreviations:
AUD - Australian Dollar
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.

 

  

 

OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS

 

Counterparty  Settlement Date  Fund Receiving  U.S. $ Value at February 28, 2021   Fund Delivering  U.S. $ Value at February 28, 2021   Unrealized Appreciation/
(Depreciation)		 
                      
Citigroup Global Markets  3/25/2021  JPY   310,817   AUD   307,813   $3,004 
Citigroup Global Markets  3/22/2021  USD   85,552   EUR   85,107    445 
Citigroup Global Markets  3/12/2021  GBP   525   USD   519    6 
Goldman Sachs International  3/12/2021  USD   162,877   GBP   160,227    2,650 
Goldman Sachs International  3/19/2021  USD   312,482   AUD   307,804    4,678 
J.P. Morgan Chase & Co.  3/12/2021  GBP   159,702   USD   157,866    1,836 
J.P. Morgan Chase & Co.  3/12/2021  EUR   156,888   JPY   154,958    1,930 
J.P. Morgan Chase & Co.  3/2/2021  USD   88,737   MXN   86,612    2,125 
                      $16,674 
                         
 Citigroup Global Markets  3/22/2021  USD   127,766   GBP   133,348   $(5,582)
Citigroup Global Markets  3/11/2021  JPY   101,890   USD   103,789    (1,899)
Citigroup Global Markets  3/2/2021  USD   86,612   MXN   89,331    (2,719)
Goldman Sachs International  3/25/2021  MXN   596,227   USD   607,670    (11,443)
Goldman Sachs International  3/19/2021  AUD   307,803   USD   311,693    (3,890)
Goldman Sachs International  3/11/2021  JPY   180,418   USD   183,746    (3,328)
J.P. Morgan Chase & Co.  3/25/2021  EUR   615,723   USD   619,369    (3,646)
                      $(32,507)

 

FUTURES CONTRACTS

 

Description  Position  Contracts   Currency  Expiration Date  Notional Amount***   Value and Unrealized Appreciation/(Depreciation) 
EURO BUND Futures  Short   (6)  EUR  3/08/21  $(1,040,400)  $31,570 
US 10 Yr Note Futures  Short   (84)  USD  6/21/21   (11,148,375)   144,072 
                      $175,642 
                         
US Ultra T-Bond Futures  Long   2   USD  6/21/21   378,125   $(383)
                      $(383)

 

***The notional amount of each security is stated in the currency in which the security is denominated.
  

 

CREDIT DEFAULT SWAP CONTRACTS ON CREDIT INDICES ISSUE - BUY PROTECTION (CENTRALLY CLEARED)(1)

 

Reference Obligations  Clearing House  Fixed Deal
Pay Rate		   Currency  Maturity Date  Implied Credit Spread at February 28, 2021(2)   Notional Amount***(3)   Value   Upfront Premiums Received/(Paid)   Unrealized Appreciation 
Markit CDX IG S35 5Y ICE(4)  Intercontinental Exchange   1.000%  USD  12/20/2025   0.559%   1,225,000   $(25,394)  $30,818   $5,424 
                           $(25,394)  $30,818   $5,424 

 

Reference Obligations  Clearing House  Fixed Deal
Pay Rate		   Currency  Maturity Date  Implied Credit Spread at February 28, 2021(2)   Notional Amount***(3)   Value   Upfront Premiums Received/(Paid)   Unrealized Depreciation 
Markit CDS EM S34 5Y ICE(5)  Intercontinental Exchange   1.000%  USD  12/20/2025   1.921%   5,175,000   $215,808   $(299,175)  $(83,367)
                           $215,808   $(299,175)  $(83,367)

 

Credit default swaps pay quarterly.

 

***The notional amount of each security is stated in the currency in which the security is denominated.

 

 

(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 are 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 125 North American, equally weighted investment grade issuers that trade in the CDS market.
(5) Based on an index of 14 sovereign issues domiciled in Latin America, Eastern Europe, the Middle East and North Africa, and Asia.

 

See Notes to Quarterly Statement of Investments
 

  

 

Stone Harbor Emerging Markets Debt Allocation Fund Statement of Investments
      February 28, 2021 (Unaudited)

 

   Currency  Rate  Shares*  

Value

(Expressed in USD)

 
               
OPEN-END FUNDS - 99.44%                
Stone Harbor Emerging Markets Debt Fund  USD  N/A   1,147,519   $11,153,880(1)
Stone Harbor Local Markets Fund  USD  N/A   1,401,544    12,459,723(1)
               23,613,603 
                 
TOTAL OPEN-END FUNDS              23,613,603 
(Cost $20,416,659)                
                 
SHORT TERM INVESTMENTS - 0.19%                
Money Market Fund - 0.19%                
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield)  USD  0.08%   46,663    46,677 
                 
TOTAL SHORT TERM INVESTMENTS              46,677 
(Cost $46,673)                
                 
Total Investments - 99.63%              23,660,280 
(Cost $20,463,332)                
Other Assets In Excess of Liabilities - 0.37%              87,084 
                 
Net Assets - 100.00%             $23,747,364 

 

*The shares of each security is stated in the currency in which the security is denominated.

 

Currency Abbreviations:
BRL - Brazilian Real
EUR - Euro
COP - Colombian Peso
PLN - Polish Zloty
RUB - Russian Ruble
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.

 

OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS

 

Counterparty  Settlement
Date		  Fund
Receiving		  U.S. $ Value
at February 28, 2021		   Fund
Delivering		  U.S. $ Value
at February 28, 2021		   Unrealized
Appreciation/
(Depreciation)		 
                      
Citigroup Global Markets  04/08/21  PLN   121,993   USD   121,915   $78 
J.P. Morgan Chase & Co.  03/02/21  USD   165,097   BRL   159,702    5,395 
J.P. Morgan Chase & Co.  03/31/21  USD   145,973   EUR   145,189    784 
                      $6,257 
                         
Citigroup Global Markets  03/22/21  RUB   121,382   USD   122,142   $(760)
J.P. Morgan Chase & Co.  03/02/21  BRL   159,702   USD   166,485    (6,783)
J.P. Morgan Chase & Co.  04/05/21  BRL   117,259   USD   121,496    (4,237)
J.P. Morgan Chase & Co.  03/19/21  COP   118,420   USD   119,819    (1,399)
                      $(13,179)

 

See Notes to Quarterly Statement of Investments

  

 

Stone Harbor Investment Funds Notes to Quarterly Statements of Investments
  February 28, 2021 (Unaudited)

 

1. ORGANIZATION

 

Stone Harbor Investment Funds, which consists of 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, and Stone Harbor Emerging Markets Debt Allocation Fund (each, a “Fund” and together, the “Funds”) is a Massachusetts business trust (the “Trust”), organized on February 20, 2007 and registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Shares of each Fund are currently divided into two classes, designated Institutional Class Shares and Distributor Class Shares. As of the date of this report, Distributor Class shares were not offered for sale in each Fund. The Trust’s Declaration of Trust permits the Trustees to create additional funds and share classes. The Trust also includes the Stone Harbor Emerging Markets Debt Blend Fund which had not commenced operations as of the reporting period.

 

The Emerging Markets Debt Fund’s investment objective is to maximize total return. The Fund normally will invest at least 80% of its net assets (plus any borrowings made for investment purposes) in Emerging Markets Fixed Income Securities. “Emerging Markets Fixed Income Securities” include fixed income securities and derivative instruments (including, but not limited to, spot and currency contracts, futures, options and swaps) that economically are tied to countries with emerging securities markets or whose performance is linked to those countries’ markets, economies or ability to repay loans. Emerging Markets Fixed Income Securities may be denominated in non-U.S. currencies or the U.S. dollar. A security or instrument is economically tied to an emerging market country if it is principally traded on the country’s securities markets or the issuer is organized or principally operates in the country, derives a majority of its income from its operations within the country or has a majority of its assets within the country. Emerging Markets Fixed Income Securities also include derivatives and other instruments used to hedge or gain exposure to emerging securities markets (for example, futures or other derivatives whose return is based on specific emerging markets securities or indices).

 

The High Yield Bond Fund’s investment objective is to maximize total return. The Fund will normally invest at least 80% of its net assets (plus any borrowings made for investment purposes) in High Yield Debt Securities. “High Yield Debt Securities” include fixed income securities and derivative instruments (including, but not limited to, spot and currency contracts, futures, options and swaps) rated below investment grade (or, if unrated, of comparable quality as determined by Stone Harbor Investment Partners LP (the “Adviser” or “Stone Harbor”). These types of securities and instruments are commonly referred to as “high yield” securities or “junk bonds,” and may include, among other things, bonds, debentures, notes, equipment trust certificates, commercial paper, commercial loans, preferred stock and other obligations of U.S. and non-U.S. issuers. High Yield Debt Securities also include securities or other instruments whose return is based on the return of high yield securities, including derivative instruments and instruments created to hedge or gain exposure to the high yield markets.

 

The Local Markets Fund’s investment objective is to maximize total return. The Fund normally will invest at least 80% of its net assets (plus any borrowings made for investment purposes) in Emerging Markets Investments. “Emerging Markets Investments” include fixed income securities and derivative instruments (including, but not limited to, spot and currency contracts, futures, options and swaps) that economically are tied to an emerging market country, which are denominated in the predominant currency of the local market of an emerging market country (an “Emerging Markets Currency”) or whose performance is linked to those countries’ currencies, markets, economies or ability to repay loans. Although under normal circumstances a significant portion of the Fund’s investments will be denominated in Emerging Markets Currencies, Emerging Markets Investments may be denominated in non-Emerging Markets Currencies, including the U.S. dollar. A security or instrument is economically tied to an emerging market country if it is principally traded on the country’s securities markets or the issuer is organized or principally operates in the country, derives a majority of its income from its operations within the country or has a majority of its assets within the country. Emerging Markets Investments also include Emerging Markets Currencies and derivatives and other instruments used to hedge or gain exposure to emerging securities markets or Emerging Markets Currencies (for example, futures or other derivatives whose return is based on specific emerging markets securities, emerging markets indices or Emerging Markets Currencies).

 

The Emerging Markets Corporate Debt Fund’s investment objective is to maximize total return. The Fund normally will invest at least 80% of its net assets (plus any borrowings made for investment purposes) in Emerging Markets Corporate Debt Investments. “Emerging Markets Corporate Debt Investments” are debt instruments, including loans, issued by corporations or other business organizations that are economically tied to an emerging market country. A corporation or other business organization is economically tied to an emerging market country if it issues securities that are principally traded on the country’s securities markets or if it is organized or principally operates in the country, derives a majority of its income from its operations within the country or has a majority of its assets within the country. Emerging Markets Corporate Debt Investments also include derivative instruments used for hedging purposes or to otherwise gain or reduce long or short exposure to Emerging Markets Corporate Debt Investments.

 

The Investment Grade Fund’s investment objective is to maximize total return. The Fund invests in various types of fixed income securities and under normal market conditions will invest at least 80% of its net assets (plus any borrowings made for investment purposes) in Investment Grade Debt Securities. “Investment Grade Debt Securities” include fixed income securities that are rated investment grade by any of Moody’s Investors Services, Inc., Standard & Poor’s Rating Services, Fitch Ratings Limited, DBRS or other qualified rating agencies or, if unrated, are determined by the Adviser to be of comparable quality, and derivative instruments related to those securities.

  

 

The Strategic Income Fund’s investment objective is to maximize total return. The Fund is intended to provide broad exposure to global credit markets. The Fund, either directly or through investment in the underlying funds (defined below), may invest in a broad variety of fixed income and other income producing securities and instruments (including derivatives), and will not be limited in terms of type of instrument, geography, credit rating or duration. The Fund may invest all or a significant portion of its assets in Stone Harbor Investment Grade Fund, Stone Harbor High Yield Bond Fund, Stone Harbor Emerging Markets Debt Fund, Stone Harbor Local Markets Fund and Stone Harbor Emerging Markets Corporate Debt Fund and other funds sponsored or advised by the Adviser (together, the “underlying funds”). The Fund is not required to invest in the underlying funds, and from time to time may not be invested in any underlying fund. In addition to investing in the underlying funds, the Fund may invest directly in fixed income securities and in other instruments and transactions.

 

The Emerging Markets Debt Allocation Fund’s investment objective is to maximize total return. The Fund will normally invest, either directly or through investment in the underlying funds (defined below), at least 80% of its net assets (plus any borrowings made for investment purposes) in Emerging Markets Investments. Emerging Markets Investments include fixed income securities and derivative instruments (including, but not limited to, spot and currency contracts, futures, options and swaps), that economically are tied to an emerging market country or whose performance is linked to those countries’ currencies, markets, economies or ability to repay loans. The Fund may invest all or a significant portion of its assets in Stone Harbor Emerging Markets Debt Fund and Stone Harbor Local Markets Fund (together, the “underlying funds”). The Fund is not required to invest in the underlying funds, and from time to time may not be invested in any underlying fund. In addition to investing in the underlying funds, the Fund may invest directly in fixed income securities and in other instruments and transactions.

 

The Emerging Markets Debt Fund and Local Markets Fund are each classified as “non-diversified” under the 1940 Act. As a result, these Funds can invest a greater portion of the respective Funds’ assets in obligations of a single issuer than a “diversified” fund. These Funds may therefore be more susceptible than a diversified fund to being adversely affected by any single corporate, economic, political or regulatory occurrence. The High Yield Bond Fund, Emerging Markets Corporate Debt Fund, Investment Grade Fund, Strategic Income Fund, and the Emerging Markets Debt Allocation Fund. The Emerging Markets Corporate Debt Fund was previously classified as a non-diversified investment company for purposes of the 1940 Act. As a result of ongoing operations, the Emerging Markets Corporate Debt Fund is now classified as a diversified company.

 

2. SIGNIFICANT ACCOUNTING POLICIES and risk disclosures

 

The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. Each Fund is considered an investment company for financial reporting purposes under generally accepted accounting principles in the United States of America (“GAAP”). The policies are in conformity with GAAP. The preparation of the financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

 

Investment Valuation: Sovereign debt obligations, corporate bonds, convertible corporate bonds, and U.S. Treasury bonds, are generally valued at the mean between the closing bid and asked prices provided by an independent pricing service. The pricing services generally use market models that consider trade data, yields, spreads, quotations from dealers and active market makers, credit worthiness, market information on comparable securities, and other relevant security specific information. Asset backed/commercial mortgage backed securities are generally valued at the mean between the closing bid and asked prices provided by an independent pricing service. The pricing services generally use models that consider trade data, prepayment and default projections, benchmark yield and spread data and estimated cash flows of each tranche of the issuer. Bank loans are primarily valued by a loan pricing provider using a composite loan price at the mean of the bid and ask prices from one or more brokers of dealers. Credit Linked securities are generally valued using quotations from broker through which the Fund executed the transaction. The broker’s quotation considers cash flows, default and recovery rates, and other security specific information. Equity securities for which market quotations are available are generally valued at the last sale price or official closing price on the primary market or exchange on which they trade. If on a given day, a closing price is not available on the exchange, the equity security is valued at the mean between the closing bid and asked prices, as such prices are provided by a pricing service. Publicly traded foreign government debt securities are typically traded internationally in the over the counter (“OTC”) market, and are valued at the mean between the bid and asked prices as of the close of business of that market. When prices are not readily available, or are determined not to reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Funds calculate their net asset value, the Funds may value these investments at fair value as determined in accordance with the procedures approved by the Funds’ Board of Trustees (the “Board”). Short term obligations with maturities of 60 days or less are valued at amortized cost, which approximates market value. Open end funds and money market mutual funds are valued at their net asset value. Futures contracts are ordinarily valued at the settlement price established by the securities or commodities exchange on which they are traded, except that S&P 500 futures contracts are priced at the last transaction price before 4:00 p.m. Eastern time (generally at approximately 3:59 p.m. Eastern time) on the commodities exchange on which they are traded. OTC traded options are priced by Markit and exchange traded options are valued by the securities or commodities exchange on which they are traded. OTC traded credit default swaps are valued by the independent pricing source using a mid price that is calculated based on data an independent pricing source receives from dealers. OTC traded foreign currency options are valued by an independent pricing source using mid foreign exchange rates against USD for all currencies at 4:00 p.m. Eastern Standard Time (“EST”). Derivatives which are cleared by an exchange are priced by using the last price on such exchange. Foreign currency positions including forward currency contracts are priced at the mean between the closing bid and asked prices at 4:00 p.m. EST.

  

 

A three-tier hierarchy has been established to measure fair value based on the extent of use of “observable inputs” as compared to “unobservable inputs” for disclosure purposes and requires additional disclosures about these valuations measurements. Inputs refer broadly to the assumptions that market participants would use in pricing a security. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the security developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the security developed based on the best information available in the circumstances.

 

The three-tier hierarchy is summarized as follows:

 

Level 1— Unadjusted quoted prices in active markets for identical assets or liabilities that a Fund has the ability to access.

 

Level 2— Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curve, rates, and similar data.

 

Level 3— Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best
information available.

 

The following is a summary of each Fund’s investments and financial instruments based on the three-tier hierarchy as of February 28, 2021:

 

 
Investments in Securities at Value*  Level 1   Level 2   Level 3   Total 
Stone Harbor Emerging Markets Debt Fund
Sovereign Debt Obligations  $–   $912,897,164   $–   $912,897,164 
Corporate Bonds                    
Indonesia   –    40,467,419    –    40,467,419 
Other   –    303,899,259    –    303,899,259 
Credit Linked Notes                    
Iraq   –    –    8,188,466    8,188,466 
Short Term Investments   33,139,864    –    –    33,139,864 
Total  $33,139,864   $1,257,263,842   $8,188,466   $1,298,592,172 

 

Other Financial Instruments**                
Assets
Forward Foreign Currency Contracts  $–   $718,132   $–   $718,132 
Liabilities
Forward Foreign Currency Contracts   –    (435,467)   –    (435,467)
Credit Default Swap Contracts   –    (169,650)   –    (169,650)
Total  $–   $113,015   $–   $113,015 

 

Investments in Securities at Value*  Level 1   Level 2   Level 3   Total 
Stone Harbor High Yield Bond Fund
Corporate Bonds                    
Exploration & Production  $–   $8,062,115   $40   $8,062,155 
Other   –    83,347,604    –    83,347,604 
Bank Loans   –    1,957,805    –    1,957,805 
Common/Preferred Stocks   366,566    –    –    366,566 
Short Term Investments   312,772    –    –    312,772 
Total  $679,338   $93,367,524   $40   $94,046,902 

  

 

Investments in Securities at Value*  Level 1   Level 2   Level 3   Total 
Stone Harbor Local Markets Fund
Sovereign Debt Obligations  $–   $142,324,642   $–   $142,324,642 
Corporate Bonds   –    10,728,244    –    10,728,244 
Short Term Investments   255,475    –    –    255,475 
Total  $255,475   $153,052,886   $–   $153,308,361 

 

Other Financial Instruments**                
Assets
Forward Foreign Currency Contracts  $–   $347,258   $–   $347,258 
Liabilities
Forward Foreign Currency Contracts   –    (353,360)   –    (353,360)
Total  $–   $(6,102)  $–   $(6,102)

 

Investments in Securities at Value*  Level 1   Level 2   Level 3   Total 
Stone Harbor Emerging Markets Corporate Debt Fund
Corporate Bonds  $–   $5,607,580   $–   $5,607,580 
Short Term Investments   389,404    –    –    389,404 
Total  $389,404   $5,607,580   $–   $5,996,984 

 

Investments in Securities at Value*  Level 1   Level 2   Level 3   Total 
Stone Harbor Investment Grade Fund
Asset Backed/Commercial Mortgage Backed Securities  $–   $778,770   $–   $778,770 
U.S. Government Agency Mortgage Backed Securities   –    2,316,611    –    2,316,611 
Corporate Bonds   –    4,809,979    –    4,809,979 
U.S. Treasury Bonds/Notes   –    1,861,924    –    1,861,924 
Short Term Investments   814,359    –    –    814,359 
Total  $814,359   $9,767,284   $–   $10,581,643 

 

Investments in Securities at Value*  Level 1   Level 2   Level 3   Total 
Stone Harbor Strategic Income Fund
Open-End Funds  $29,927,065   $–   $–   $29,927,065 
Short Term Investments   736,933    –    –    736,933 
Total  $30,663,998   $–   $–   $30,663,998 

 

Other Financial Instruments**  Level 1   Level 2   Level 3   Total 
Assets
Forward Foreign Currency Contracts  $–   $16,674   $–   $16,674 
Credit Default Swap Contracts   –    5,424    –    5,424 
Future Contracts   175,642    –    –    175,642 
Liabilities
Forward Foreign Currency Contracts   –    (32,507)   –    (32,507)
Credit Default Swap Contracts   –    (83,367)   –    (83,367)
Future Contracts   (383)   –    –    (383)
Total  $175,259   $(93,776)  $–   $81,483 

 

Investments in Securities at Value*  Level 1   Level 2   Level 3   Total 
Stone Harbor Emerging Markets Debt Allocation Fund
Open-End Funds  $23,613,603   $–   $–   $23,613,603 
Short Term Investments   46,677    –    –    46,677 
Total  $23,660,280   $–   $–   $23,660,280 

  

 

Other Financial Instruments**  Level 1   Level 2   Level 3   Total 
Assets
Forward Foreign Currency Contracts  $–   $6,257   $–   $6,257 
Liabilities
Forward Foreign Currency Contracts   –    (13,179)   –    (13,179)
Total  $–   $(6,922)  $–   $(6,922)

 

*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.

 

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:

 

Stone Harbor Emerging Markets Debt Fund

 

Asset Type  Balance as of May 31, 2020   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 February 28,2021   Net change in unrealized appreciation/(depreciation) attributable to Level 3 investments held at February 28, 2021 
Corporate Bonds  $47   $–   $–   $–   $(47)  $–   $–   $–   $–   $–   $(47)
Credit Linked Notes   8,784,692    144,193    –    73,482    694,595    –    (1,508,496)   –    –    8,188,466    694,595 
   $8,784,739   $144,193   $–   $73,482   $694,548   $–   $(1,508,496)  $–   $–   $8,188,466   $694,548 

 

Stone Harbor High Yield Bond Fund

 

Asset Type  Balance as of May 31, 2020   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 February 28, 2021   Net change in unrealized
appreciation/(depreciation) attributable to Level 3 investments held at February 28, 2021		 
Corporate Bonds  $40   $–   $–   $–   $–   $–   $–   $–   $–   $40   $– 
   $40   $–   $–   $–   $–   $–   $–   $–   $–   $40   $– 

 

 

All level 3 investments have values determined utilizing third party pricing information without adjustment.

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

In the event a Board approved independent pricing service is unable to provide an evaluated price for a security or the Adviser believes the price provided is not reliable, securities of the Funds may be valued at fair value as described above. In these instances the Adviser may seek to find an alternative independent source, such as a broker/dealer to provide a price quote, or by using evaluated pricing models similar to the techniques and models used by the independent pricing service. These fair value measurement techniques may utilize unobservable inputs (Level 3).

 

On at least a quarterly basis, the Adviser presents the factors considered in determining the fair value measurements and presents that information to the Board which meets at least quarterly.

 

Security Transactions and Investment Income: Security transactions are accounted for on a trade date basis. Interest income, adjusted for amortization of premium and accretion of discount, is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Foreign dividend income is recorded on the ex-dividend date or as soon as practical after the Funds determine the existence of a dividend declaration after exercising reasonable due diligence. Dividend income received from underlying affiliated funds is generally reinvested back into the underlying fund. If applicable, any foreign capital gains taxes are accrued, net of unrealized gains, and are payable upon the sale of such investments. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults on an expected interest payment, the Funds’ policy is to generally halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default.

 

Foreign Currency Translation: The books and records of the Funds are maintained in U.S. dollars. Investment valuations and other assets and liabilities initially expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates. Prevailing foreign exchange rates may generally be obtained at the close of the NYSE (normally, 4:00 p.m. EST). The portion of realized and unrealized gains or losses on investments due to fluctuations in foreign currency exchange rates is not separately disclosed and is included in realized and unrealized gains or losses on investments, when applicable.

 

Foreign Securities: The Funds may directly purchase securities of foreign issuers. Investing in securities of foreign issuers involves special risks not typically associated with investing in securities of U.S. issuers. The risks include possible revaluation of currencies, the ability to repatriate funds, less complete financial information about companies and possible future adverse political and economic developments. Moreover, securities of many foreign issuers and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. issuers.

  

 

Credit Linked Notes: The Funds may invest in credit linked notes to obtain economic exposure to high yield, emerging markets or other securities. Investments in a credit linked note typically provide the holder with a return based on the return of an underlying reference instrument, such as an emerging market bond. Like an investment in a bond, investments in credit-linked securities represent the right to receive periodic income payments (in the form of distributions) and payment of principal at the end of the term of the security. In addition to the risks associated with the underlying reference instrument, an investment in a credit linked note is also subject to liquidity risk, market risk, interest rate risk and the risk that the counterparty will be unwilling or unable to meet its obligations under the note.

 

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the U.S. Securities and Exchange Commission (“SEC”) require that a Fund either deliver collateral or segregate assets in connection with certain investments (e.g., foreign currency exchange contracts, securities with extended settlement periods, and swaps) or certain borrowings (e.g., reverse repurchase agreements), the Fund will segregate collateral or designate on its books and records cash or other liquid securities having a value at least equal to the amount that is required to be physically segregated for the benefit of the counterparty. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party has requirements to deliver/deposit cash or securities as collateral for certain investments. Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as “Deposits with brokers” or “Payable due to brokers”, respectively. Securities collateral pledged for the same purpose is noted on the Statements of Investments.

 

Line of Credit: On May 5, 2017, the Trust entered into a credit agreement (“Credit Agreement”) with State Street Bank and Trust Company (the “Bank”) in which the Funds may borrow through a revolving line of credit. Borrowings under the Credit Agreement are secured by investments held in the Funds. For the period ended February 28, 2021, the Stone Harbor Local Markets Fund, when using the line of credit, borrowed an average amount of $2,400,000 at an average interest rate of 1.38%. The remaining Funds did not borrow under the Credit Agreement. Credit Agreement provides for an aggregate commitment amount of $50,000,000 with an annual commitment fee of 0.35% allocated on a pro-rata basis between the Funds based on their net assets, with the exception of the Stone Harbor Emerging Debt Allocation Fund and the Strategic Income Fund. The Credit Agreement will expire on April 30, 2021.

 

Loan Participations and Assignments: The Funds may invest in loans arranged through private negotiation between one or more financial institutions. The Funds’ investment in any such loan may be in the form of a participation in or an assignment of the loan. In connection with purchasing participations, the Funds generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loan, nor any rights of set-off against the borrower and the Funds may not benefit directly from any collateral supporting the loan in which they have purchased the participation.

 

While some loans are collateralized and senior to an issuer’s other debt securities, other loans may be unsecured and/or subordinated to other securities. Some senior loans, such as bank loans, may be illiquid and generally tend to be less liquid than many other debt securities.

 

The Funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Funds’ Statements of Investments.

 

The Funds assume the credit risk of the borrower, the lender that is selling the participation and any other persons interpositioned between the Funds and the borrower. In the event of the insolvency of the lender selling the participation, the Funds may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower. Loans may not be considered “securities”, and purchasers, such as the Funds, therefore may not be entitled to rely on the anti-fraud protections of the federal securities laws.

 

Inflation-Indexed Bonds: Certain Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Statements of Operations, even though investors do not receive their principal until maturity.

 

Mortgage-Related and Other Asset-Backed Securities: Certain Funds may invest in mortgage-related and other asset-backed securities. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, stripped mortgage-backed securities, asset-backed securities, collateralized debt obligations and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. Mortgage-related and other asset-backed securities are interests in pools of loans or other receivables. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. Asset-backed securities are created from many types of assets, including auto loans, credit card receivables, home equity loans, and student loans. These securities provide a monthly payment which consists of both interest and principal payments. Interest payments may be determined by fixed or adjustable rates. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may have the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase. The timely payment of principal and interest of certain mortgage-related securities is guaranteed with the full faith and credit of the U.S. Government. Pools created and guaranteed by non-governmental issuers, including government sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that the private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements.

  

 

U.S. Government Agencies or Government-Sponsored Enterprises: Certain Funds may invest in securities of U.S. Government agencies or government-sponsored enterprises. U.S. Government securities are obligations of and, in certain cases, guaranteed by, the U.S. Government, its agencies or instrumentalities. Some U.S. Government securities, such as Treasury bills, notes and bonds, and securities guaranteed by the Government National Mortgage Association (“GNMA” or “Ginnie Mae”), are supported by the full faith and credit of the U.S. Government; others, such as those of the Federal Home Loan Banks, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the “U.S. Treasury”); others, such as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the U.S. Government to purchase the agency’s obligations. U.S. Government securities may include zero coupon securities, which do not distribute interest on a current basis and tend to be subject to greater risk than interest-paying securities of similar maturities.

 

Government-related guarantors (i.e., not backed by the full faith and credit of the U.S. Government) include FNMA and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). FNMA is a government-sponsored corporation. FNMA purchases conventional (i.e., not insured or guaranteed by any government agency) residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the U.S. Government. FHLMC issues Participation Certificates (“PCs”), which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the U.S. Government.

 

Forward Commitments: Certain Funds may contract to purchase securities for a fixed price at a transaction date beyond the customary settlement period (i.e., “when-issued,” “delayed-delivery,” “forward commitment,” or “To Be Announced (“TBA”) transactions”) consistent with a Fund’s ability to manage its investment portfolio and meet redemption requests. These transactions involve a commitment by a Fund to purchase securities for a predetermined price or yield with payment and delivery taking place more than three days in the future or after a period longer than the customary settlement period for that type of security. No interest will be earned by a Fund on such purchases until the securities are delivered; however, the market value may change prior to delivery. A Fund will not engage in these transactions for investment leverage.

 

When-issued securities involve the risk that the yield obtained in the transaction will be less than that available in the market when delivery takes place. Securities purchased on a when-issued basis are recorded as an asset and are subject to changes in value based upon changes in the value of the security or general level of interest rates. In when-issued and delayed-delivery transactions, a Fund relies on the seller to complete the transaction; the seller’s failure to do so may cause a Fund to miss an advantageous price or yield.

 

The Funds may enter into TBA commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. The Funds generally enter into TBA commitments with the intent to take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. Regulatory developments may limit the ability of a Fund to engage in TBA transactions to the extent desired.

 

Unsettled TBA sale (purchase) commitments are valued at the current market value of the underlying securities. The contract is adjusted to market value daily, and the change in market value is recorded by the Fund as an unrealized gain or loss. Outstanding TBA commitments and related deliverables are reflected on the Statement of Assets and Liabilities in Payable for investments purchased and Receivable for investments sold, respectively. If the TBA sale (purchase) commitment is closed through the acquisition of an offsetting purchase (sale) commitment, the Fund realizes a gain or loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.

 

Emerging Market Risk: Emerging market countries often experience instability in their political and economic structures. Government actions could have a great effect on the economic conditions in these countries, which can affect the value and liquidity of the assets of a Fund. Specific risks that could decrease a Fund’s return include seizure of a company’s assets, restrictions imposed on payments as a result of blockages on foreign currency exchanges, expropriation, confiscatory taxation and unanticipated social or political occurrences. In addition, the ability of an emerging market government to make timely payments on its debt obligations will depend on the extent of its reserves, interest rate fluctuations and access to international credit and investments. A country with non-diversified exports or that relies on specific imports will be subject to a greater extent to fluctuations in the pricing of those commodities. Failure to generate adequate earnings from foreign trade would make it difficult for an emerging market country to service foreign debt. Disruptions resulting from social and political factors may cause the securities markets of emerging market countries to close. If this were to occur, the liquidity and value of a Fund’s assets invested in corporate debt obligations of emerging market companies would decline. Foreign investment in debt securities of emerging market countries may be restricted or controlled to varying degrees. These restrictions can limit or preclude foreign investment in debt securities of certain emerging market countries. In addition, certain emerging market countries may also restrict investment opportunities in issuers in industries deemed important to national interests.

  

 

Interest Rate Risk: Changes in interest rates will affect the value of the Fund's investments. In general, as interest rates rise, bond prices fall, and as interest rates fall, bond prices rise. Interest rate risk is generally greater for funds that invest a significant portion of their assets in high yield securities. However, funds that generally invest a significant portion of their assets in higher-rated fixed income securities are also subject to this risk. The Fund also faces increased interest rate risk if it invests in fixed income securities paying no current interest (such as zero coupon securities and principal-only securities), interest-only securities and fixed income securities paying non-cash interest in the form of other securities. Many financial instruments use or may use a floating rate based on LIBOR, which is the offered rate for short-term Eurodollar deposits between major international banks. The administrator of LIBOR announced an intention to delay the phase out of a majority of the U.S. dollar LIBOR publications until mid-2023, with the remainder of LIBOR publications to end at the end of 2021. At this time, there remains uncertainty regarding the future utilization of LIBOR and the nature of any replacement rate. The transition process away from LIBOR may lead to increased volatility and illiquidity in markets that currently rely on LIBOR to determine interest rates, and the eventual use of an alternative reference rate may adversely affect the Fund's performance. In addition, the usefulness of LIBOR may deteriorate in the period leading up to its discontinuation, which could adversely affect the liquidity or market value of securities that use LIBOR.

 

Liquidity Risk: Liquidity risk exists when particular investments are difficult to purchase or sell at the time that a Fund would like or at the price that the Fund believes such investments are currently worth. Certain of the Funds’ investments may be illiquid. Illiquid securities may become harder to value, especially in changing markets. A Fund’s investments in illiquid securities may reduce the returns of the Fund because it may be unable to sell the illiquid securities at an advantageous time or price or possibly require the Fund to dispose of other investments at unfavorable times or prices in order to satisfy its obligations, which could prevent the Fund from taking advantage of other investment opportunities. Additionally, the market for certain investments may become illiquid under adverse market or economic conditions independent of any specific adverse changes in the conditions of a particular issuer. Derivatives, securities that involve substantial interest rate or credit risk and bank loans tend to involve greater liquidity risk. In addition, liquidity risk tends to increase to the extent a Fund invests in securities whose sale may be restricted by law or by contract, such as Rule 144A and Regulation S securities.

 

Foreign Investment Risk: The securities markets of many foreign countries are relatively small, with a limited number of companies representing a small number of industries. Additionally, issuers of foreign (non-U.S.) securities are usually not subject to the same degree of regulation as U.S. issuers. Reporting, accounting, auditing and custody standards of foreign countries differ, in some cases significantly, from U.S. standards. Global economies and financial markets are becoming increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. Also, nationalization, expropriation or confiscatory taxation, currency blockage, political changes or diplomatic developments could adversely affect a Fund’s investments in a foreign country. In the event of nationalization, expropriation or other confiscation, a Fund could lose its entire investment in foreign (non-U.S.) securities. Adverse conditions in a certain region can adversely affect securities of other countries whose economies appear to be unrelated. Foreign (non-U.S.) securities may also be less liquid and more difficult to value than securities of U.S. issuers.

 

Credit and Market Risk: The Funds invest in high yield and emerging market instruments that are subject to certain credit and market risks. The yields of high yield and emerging market debt obligations reflect, among other things, perceived credit and market risks. The Funds’ investment in securities rated below investment grade typically involves risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading. The consequences of political, social, economic or diplomatic changes may have disruptive effects on the market prices of investments held by the Funds. The Funds’ investment in non-U.S. dollar denominated securities may also result in foreign currency losses caused by devaluations and exchange rate fluctuations. Investments in derivatives are also subject to credit and market risks.

 

CORONAVIRUS (COVID 19) PANDEMIC: An outbreak of respiratory disease caused by a novel coronavirus designated as COVID-19 has resulted in, among other things, extreme volatility in the financial markets and severe losses, reduced liquidity of many instruments, significant travel restrictions, significant disruptions to business operations, supply chains and customer activity, lower consumer demand for goods and services, service and event cancellations, reductions and other changes, strained healthcare systems, as well as general concern and uncertainty. The impact of the COVID-19 outbreak has negatively affected the global economy, the economies of individual countries, and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways. Pandemics may also exacerbate other pre-existing political, social, economic, market and financial risks. The effects of the outbreak in developing or emerging market countries may be greater due to less established health care systems and supply chains. The COVID-19 pandemic and its effects may be short term or may result in a sustained economic downturn or a global recession, ongoing market volatility and/or decreased liquidity in the financial markets, exchange trading suspensions and closures, higher default rates, domestic and foreign political and social instability and damage to diplomatic and international trade relations. The foregoing could impair the Fund's ability to maintain operational standards, disrupt the operations of the Fund's service providers, adversely affect the value and liquidity of the Fund's investments, and negatively impact the Fund's performance and your investment in the Fund.

  

 

Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with income tax regulations, are recorded on the ex-date. Income distributions, if any are generally declared and paid on a quarterly basis, except for any distributions paid by the Local Markets Fund and the Emerging Markets Debt Allocation Fund, which are declared and paid annually. Capital gain distributions, if any, are declared and paid at least annually. A portion of the Fund’s distributions made for a taxable year may be recharacterized as a return of capital to shareholders. This may occur, for example, if the Fund’s distributions exceed its “earnings and profits” for the taxable year or because certain foreign currency losses may reduce the Fund’s income. This recharacterization may be retroactive. A return of capital will generally not be taxable, but will reduce a shareholder’s basis in his or her Fund shares and therefore result in a higher gain or lower loss when the shareholder sells the shares.

 

Expenses: Direct expenses are charged to each Fund; expenses of the Trust are generally allocated to the Funds based on each Fund’s relative net assets.

 

Federal and Other Taxes: No provision for income taxes is included in the accompanying financial statements, as the Funds intend to distribute to shareholders all taxable investment income and realized gains and otherwise comply with Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies.

 

The Funds evaluate tax positions taken (or expected to be taken) in the course of preparing the Funds’ tax provisions to determine whether these positions meet a “more-likely-than-not” standard that, based on the technical merits, have a more than fifty percent likelihood of being sustained by a taxing authority upon examination. A tax position that meets the “more-likely-than-not” recognition threshold is measured to determine the amount of benefit to recognize in the financial statements.

 

As of and during the period ended August 31, 2020, the Funds did not have a liability for any unrecognized tax benefits. The Funds file U.S. federal, state, and local tax returns as required. The Funds’ tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations which is generally three years after the filing of the tax return for federal purposes and four years for most state returns. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.

 

3. DERIVATIVE INSTRUMENTS

 

Risk Exposure and the Use of Derivative Instruments: The Funds’ investment objectives allow the Funds to enter in various types of derivatives contracts. In doing so, the Funds employ strategies in differing combinations to permit them to increase, decrease, or change the level or types of exposure to market factors. Central to those strategies are features inherent to derivatives that may make them more attractive for this purpose than equity or debt securities; they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Funds to pursue their objectives more quickly and efficiently than if they were to make direct purchases or sales of securities capable of affecting a similar response to market factors.

 

The Funds’ use of derivatives can result in losses due to unanticipated changes in the risk factors described in Note 2 and the overall market. In instances where the Funds are using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Funds, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions.

 

Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows each Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Funds’ performance.

 

Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Funds. Typically, the associated risks are not the risks that the Funds are attempting to increase or decrease exposure to, per their investment objectives, but are the additional risks from investing in derivatives.

 

Examples of these associated risks are liquidity risk, which is the risk that the Funds will not be able to sell or close out the derivative in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Funds. Associated risks can be different for each type of derivative and are discussed by each derivative type below in the notes that follow.

 

Derivatives are also subject to the risk of possible regulatory changes, which could adversely affect the availability and performance of derivative securities, make them more costly and limit or restrict their use by the Fund, which could prevent the Fund from implementing its investment strategies and adversely affect returns. The SEC has issued a proposed rule under the 1940 Act providing for the regulation of registered investment companies’ use of derivatives and certain related instruments. The ultimate impact, if any, of possible regulation remains unclear, but the proposed rule, if adopted, could, among other things, restrict the Funds’ ability to engage in derivatives transactions and/or increase the costs of such derivatives transactions such that the Funds may be unable to implement their investment strategy.

  

 

Forward Foreign Currency Contracts: Certain Funds engaged in currency transactions with counterparties during the period ended February 28, 2021, to hedge the value of portfolio securities denominated in particular currencies against fluctuations in relative value, to gain or reduce exposure to certain currencies, or to generate income or gains. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The contract is marked-to-market daily and the change in value is recorded by the Funds as an unrealized gain or loss. When a forward foreign currency contract is extinguished, through delivery, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished..

 

Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. The Funds bear the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.

 

Futures Contracts: Certain Funds invested in futures contracts during the period ended February 28, 2021, in accordance with their investment objectives. A futures contract provides for the future sale by one party and purchase by another party of a specified quantity of the security or other financial instrument at a specified price and time. A futures contract on an index is an agreement pursuant to which two parties agree to take or make delivery of an amount of cash equal to the difference between the value of the index at the close of the last trading day of the contract and the price at which the index contract was originally written. Futures contract transactions may result in losses in excess of the amount invested in the futures contract. There can be no guarantee that there will be a correlation between price movements in the hedging vehicle and in the portfolio securities being hedged. An incorrect correlation could result in a loss on both the hedged securities in a Fund and the hedging vehicle so that the portfolio return might have been greater had hedging not been attempted. There can be no assurance that a liquid market will exist at a time when a Fund seeks to close out a futures contract or a futures option position. Lack of a liquid market for any reason may prevent a Fund from liquidating an unfavorable position, and the Fund would remain obligated to meet margin requirements until the position is closed. In addition, a Fund could be exposed to risk if the counterparties to the contracts are unable to meet the terms of their contracts. With exchange-traded futures contracts, there is minimal counterparty credit risk to the Funds since futures contracts are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default.

 

When a purchase or sale of a futures contract is made by a Fund, the Fund is required to deposit with its broker a specified amount of liquid assets (“initial margin”). The margin required for a futures contract is set by the exchange on which the contract is traded and may be modified during the term of the contract. The margin is reported on the Statement of Assets and Liabilities as “Deposit with brokers for futures contracts”. The initial margin is in the nature of a performance bond or good faith deposit on the futures contract that is returned to a Fund upon termination of the contract, assuming all contractual obligations have been satisfied. Each day a Fund may pay or receive cash, called “variation margin,” equal to the daily change in value of the futures contract. Such payments or receipts are recorded for financial statement purposes as unrealized gains or losses by a Fund. Variation margin does not represent a borrowing or loan by a Fund but is instead a settlement between a Fund and the broker of the amount one would owe the other if the futures contract expired. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

 

Swap Agreements: Certain Funds invested in swap agreements during the period ended February 28, 2021. Swap agreements are bilaterally negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, or market-linked returns at specified, future intervals. Swap agreements are privately negotiated in the over the counter market (“OTC swaps”) or may be executed in a multilateral or other trade facility platform, such as a registered exchange (“centrally cleared swaps”). In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund’s counterparty on the swap agreement becomes the CCP. The Fund may enter into credit default swaps, interest rate swaps, total return swaps on individual securities or groups or indices of securities for hedging, investment or leverage purposes. In connection with these agreements, securities or cash may be identified as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency.

 

Swaps are marked-to-market daily and changes in value, including the accrual of periodic amounts of interest, are recorded daily. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“variation margin”) and also reflected in the change in unrealized appreciation/(depreciation) on credit default swap contracts in the Statement of Operations. Each day the Fund may pay or receive cash, equal to the variation margin of the centrally cleared swap. Changes in value for OTC swaps are reflected in the unrealized appreciation/(depreciation) of the position until a periodic payment is made by either party.

 

Swap payments received or paid at the beginning of the measurement period represent premiums paid or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, interest rates, and other relevant factors). Generally, the basis of the swap is the unamortized premium received or paid. Periodic payments received or made by the Fund are recorded as realized gains or losses, respectively. Any upfront fees paid are recorded as assets and any upfront fees received are recorded as liabilities. For centrally cleared swaps, these amounts are included in the deposits with brokers for swap contracts while OTC swaps are displayed as a swap premium paid/received. When the swap is terminated, the Fund will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract, if any.

  

 

Credit Default Swap Contracts: Certain Funds entered into credit default swap contracts during the period ended February 28, 2021, for hedging purposes to gain market exposure or to add leverage to its portfolio. When used for hedging purposes, a Fund is the buyer of a credit default swap contract. In that case, the Fund is entitled to receive the par (or other agreed upon) value of a referenced debt obligation, index or other investment from the counterparty to the contract in the event of a default by a third party, such as a U.S. or foreign issuer, on the referenced debt obligation. In return, the Fund would pay to the counterparty a periodic stream of payments over the term of the contract provided that no event of default has occurred. If no event of default occurs, the Fund has spent the stream of payments and received no benefit from the contract. When the Fund is the seller of a credit default swap contract, the Fund receives the stream of payments but is obligated to pay upon default of the referenced debt obligation. As the seller, the Fund effectively adds leverage to its portfolio because, in addition to its total assets, the Fund is subject to investment exposure on the notional amount of the swap.

 

In addition to the risks applicable to derivatives generally, credit default swaps involve special risks because they may be difficult to value, are highly susceptible to liquidity and credit risk and generally pay a return to the counterparty only in the event of an actual default by the issuer of the underlying obligation, as opposed to a credit downgrade or other indication of financial difficulty.

 

Purchased Options: When the Funds purchase an option, an amount equal to the premium paid by the Funds are recorded as an investment and is subsequently adjusted to the current value of the option purchased. If an option expires on the stipulated expiration date or if the Funds enter into a closing sale transaction, a gain or loss is realized. If a call option is exercised, the cost of the security acquired is increased by the premium paid for the call. If a put option is exercised, a gain or loss is realized from the sale of the underlying security, and the proceeds from such sale are decreased by the premium originally paid. Purchased options are non-income producing securities.

 

4. Affiliated Companies

 

Funds may invest in certain securities that are considered securities issued by affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated person, including an affiliated company, is one in which a Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The purchases, sales, dividend income, capital gains, return of capital distributions received, shares and value of investments in affiliated companies for the period ended February 28, 2021, were as follows:

 

Stone Harbor Strategic Income Fund

 

Security Name  Market Value as of May 31, 2020   Purchases   Sales   Change in Unrealized Gain (Loss)   Realized Gain/Loss   Market Value as of February 28, 2021   Share Balance as of February 28, 2021   Dividends 
Stone Harbor Emerging Markets Corporate Debt Fund  $1,563,414   $65,463   $(238,934)  $194,721   $(8,910)  $1,575,754    171,278   $65,463 
Stone Harbor Emerging Markets Debt Fund   6,934,246    254,761    (891,799)   682,287    (81,233)   6,898,262    709,698    254,761 
Stone Harbor High Yield Bond Fund   9,443,594    322,613    (1,891,422)   1,056,739    (332,644)   8,598,880    1,056,373    322,613 
Stone Harbor Investment Grade Fund   11,077,448    485,705    (790,010)   (239,313)   45,246    10,579,076    999,913    485,705 
Stone Harbor Local Markets Fund   779,440    1,539,842    (51,383)   7,682    (488)   2,275,093    255,916    – 
   $29,798,142             $1,702,116   $(378,029)  $29,927,065        $1,128,542 

 

Stone Harbor Emerging Markets Debt Allocation Fund

 

Security Name  Market Value as of May 31, 2020   Purchases   Sales   Change in Unrealized Gain (Loss)   Realized Gain/Loss   Market Value as of February 28, 2021   Share Balance as of February 28, 2021   Dividends 
Stone Harbor Emerging Markets Debt Fund  $18,093,041   $2,173,231   $(10,860,453)  $1,454,677   $293,384   $11,153,880    1,147,519   $515,182 
Stone Harbor Local Markets Fund   13,041,468    5,332,821    (7,060,444)   508,466    637,412    12,459,723    1,401,544    – 
   $31,134,509             $1,963,143   $930,796   $23,613,603        $515,182 

 

The Emerging Markets Debt Fund and the Local Markets Fund engaged in cross trades with an affiliate during the period ended February 28, 2021 pursuant to Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds to which the Adviser serves as the investment adviser. The Board of Trustees previously adopted procedures that apply to transactions between the Portfolios pursuant to Rule 17a-7. At its regularly scheduled meetings, the Trustees review such transactions as of the most current calendar quarter for compliance with the requirements set forth by Rule 17a-7 and the Funds’ procedures. The procedures require that the transactions be a purchase or sale for no consideration other than cash payment against prompt delivery of a security for which market quotations are readily available, and be consistent with the investment policies of the funds involved. For the period ended February 28, 2021, the Emerging Markets Debt Fund purchased securities from another fund for which the Adviser is the investment Adviser in the amount of $192,405 and the Local Markets Fund sold securities to another fund for which the Adviser is the investment Adviser in the amount of $1,608,976, resulting in a gain of $70,878.