NPORT-EX 2 fp0069783_nportex.htm

 

 

Stone Harbor Emerging Markets Debt Fund Statement of Investments
August 31, 2021 (Unaudited)

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
                      
SOVEREIGN DEBT OBLIGATIONS - 68.86%              
Angola - 1.92%                     
Republic of Angola:                     
   USD   6M US L + 7.50%  07/01/23   13,867,077   $ 13,901,744 (1)
   USD   6M US L + 4.50%  12/07/23   2,275,000    2,263,625 (1)
   USD   6.93%  02/19/27   6,089,286    5,739,152 
   USD   9.38%  05/08/48   5,991,000    6,371,998 (2)
                    28,276,519 
                      
Argentina - 2.81%                     
Republic of Argentina:                     
   USD   0.50%  07/09/30   91,094,980    35,549,816 (3)
   USD   1.13%  07/09/46   16,477,974    5,783,769 (3)
                    41,333,585 
                      
Armenia - 0.13%                     
Republic of Armenia  USD   3.60%  02/02/31   2,074,000    1,980,349 (4)
                      
Bahamas - 0.23%                     
Commonwealth of Bahamas:                     
   USD   6.00%  11/21/28   672,000    659,499 (2)
   USD   8.95%  10/15/32   2,459,000    2,687,583 (4)
                    3,347,082 
                      
Bahrain - 2.43%                     
Kingdom of Bahrain:                     
   USD   7.00%  10/12/28   2,521,000    2,785,705 (4)
   USD   6.75%  09/20/29   3,538,000    3,850,308 (4)
   USD   7.38%  05/14/30   4,915,000    5,481,134 (2)
   USD   5.63%  09/30/31   5,474,000    5,480,008 (4)
   USD   5.63%  09/30/31   1,091,000    1,092,197 (2)
   USD   5.45%  09/16/32   7,352,000    7,232,530 (4)
   USD   5.25%  01/25/33   9,492,000    9,171,645 (4)
   USD   6.00%  09/19/44   765,000    718,643 (2)
                    35,812,170 
                      
Belarus - 1.53%                     
Development Bank Belarus  USD   6.75%  05/02/24   5,984,000    5,595,040 (2)
Republic of Belarus:                     
   USD   5.88%  02/24/26   6,324,000    5,906,616 (2)
   USD   7.63%  06/29/27   275,000    269,087 (4)
   USD   7.63%  06/29/27   1,811,000    1,772,064 (2)
   USD   6.20%  02/28/30   420,000    368,130 (4)
   USD   6.20%  02/28/30   4,189,000    3,671,658 (2)
   USD   6.38%  02/24/31   1,100,000    964,150 (4)
   USD   6.38%  02/24/31   4,500,000    3,944,250 (2)
                    22,490,995 

 

 

   Currency  Rate   Maturity  Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Brazil - 2.35%                     
Fed Republic of Brazil:                     
   USD   6.00%  04/07/26   1,713,000   $2,000,249 
   USD   4.63%  01/13/28   1,147,000    1,239,924 
   USD   3.88%  06/12/30   16,107,000    16,206,259 
   USD   5.63%  02/21/47   2,414,000    2,580,657 
State of Minas Gerais:                     
   USD   5.33%  02/15/28   1,295,700    1,401,115 (4)
   USD   5.33%  02/15/28   10,365,600    11,208,919 (2)
                    34,637,123 
                      
Cameroon - 0.09%                     
Republic of Cameroon  EUR   5.95%  07/07/32   1,100,000    1,299,839 (4)
                      
Chile - 1.23%                     
Republic of Chile:                     
   USD   2.55%  07/27/33   3,442,000    3,516,863 
   USD   3.86%  06/21/47   5,289,000    6,005,607 
   USD   3.50%  01/25/50   7,991,000    8,579,018 
                    18,101,488 
                      
Colombia - 3.98%                     
Republic of Colombia:                     
   USD   8.13%  05/21/24   2,703,000    3,161,942 
   USD   3.00%  01/30/30   7,591,000    7,444,361 
   USD   3.13%  04/15/31   14,043,000    13,740,795 
   USD   3.25%  04/22/32   1,744,000    1,705,632 
   USD   7.38%  09/18/37   1,304,000    1,690,091 
   USD   6.13%  01/18/41   4,466,000    5,222,295 
   USD   4.13%  02/22/42   1,870,000    1,799,875 
   USD   5.00%  06/15/45   9,151,000    9,594,595 
   USD   5.20%  05/15/49   2,392,000    2,568,536 
   USD   3.88%  02/15/61   13,349,000    11,706,372 
                    58,634,494 
                      
Costa Rica - 0.76%                     
Costa Rica Government:                     
   USD   4.38%  04/30/25   1,800,000    1,869,453 (2)
   USD   5.63%  04/30/43   195,000    182,179 (4)
   USD   7.00%  04/04/44   2,835,000    2,942,099 (4)
   USD   7.16%  03/12/45   2,434,000    2,547,330 (4)
   USD   7.16%  03/12/45   3,432,000    3,591,798 (2)
                    11,132,859 
                      
Dominican Republic - 2.65%                     
Dominican Republic:                     
   USD   6.60%  01/28/24   1,632,000    1,803,360 (2)
   USD   5.88%  04/18/24   2,537,000    2,695,784 (4)
   USD   5.95%  01/25/27   2,152,000    2,445,210 (2)
   USD   4.50%  01/30/30   8,975,000    9,355,719 (4)
   USD   4.88%  09/23/32   2,045,000    2,148,641 (4)
   USD   4.88%  09/23/32   4,457,000    4,682,881 (2)
   USD   7.50%  04/30/44   1,510,000    1,857,364 (2)
   USD   6.50%  02/15/48   4,675,000    5,190,092 
   USD   6.40%  06/05/49   3,389,000    3,722,537 (2)

 

 

   Currency  Rate   Maturity  Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Dominican Republic (continued)                     
Dominican Republic: (continued)                     
   USD   5.88%  01/30/60   4,957,000   $ 5,070,689 (4)
                    38,972,277 
                      
Ecuador - 1.77%                     
Republic of Ecuador:                     
   USD   5.00%  07/31/30   7,220,738    6,489,638 (3)(4)
   USD   0.00%  07/31/30   5,211,766    2,964,192 (4)(5)
   USD   1.00%  07/31/35   15,065,323    10,903,527 (3)(4)
   USD   0.50%  07/31/40   8,850,000    5,686,125 (3)(4)
                    26,043,482 
                      
Egypt - 3.11%                     
Republic of Egypt:                     
   EUR   4.75%  04/11/25   3,571,000    4,390,215 (4)
   USD   5.88%  06/11/25   936,000    1,000,329 (4)
   USD   5.25%  10/06/25   1,451,000    1,530,805 (4)
   EUR   4.75%  04/16/26   2,252,000    2,754,420 (4)
   USD   7.60%  03/01/29   635,000    696,897 (2)
   EUR   6.38%  04/11/31   1,763,000    2,161,669 (4)
   USD   7.05%  01/15/32   1,753,000    1,819,605 (4)
   USD   7.63%  05/29/32   8,565,000    9,182,322 (4)
   USD   8.50%  01/31/47   3,169,000    3,334,160 (2)
   USD   7.90%  02/21/48   9,569,000    9,513,548 (4)
   USD   7.90%  02/21/48   2,099,000    2,086,836 (2)
   USD   8.70%  03/01/49   1,115,000    1,178,165 (4)
   USD   8.88%  05/29/50   2,639,000    2,840,112 (4)
   USD   8.15%  11/20/59   3,335,000    3,331,615 (4)
                    45,820,698 
                      
El Salvador - 1.33%                     
Republic of El Salvador:                     
   USD   5.88%  01/30/25   462,000    410,603 (4)
   USD   5.88%  01/30/25   987,000    877,196 (2)
   USD   6.38%  01/18/27   2,105,000    1,833,981 (4)
   USD   6.38%  01/18/27   3,032,000    2,641,630 (2)
   USD   8.25%  04/10/32   1,878,000    1,699,590 (4)
   USD   8.25%  04/10/32   5,254,000    4,754,870 (2)
   USD   7.65%  06/15/35   528,000    460,680 (4)
   USD   7.63%  02/01/41   2,912,000    2,473,380 (4)
   USD   7.63%  02/01/41   4,341,000    3,687,137 (2)
   USD   9.50%  07/15/52   720,000    676,350 (2)
                    19,515,417 
                      
Ethiopia - 0.08%                     
Republic of Ethiopia  USD   6.63%  12/11/24   1,319,000    1,178,675 (4)
                      
Gabon - 0.31%                     
Republic of Gabon:                     
   USD   6.38%  12/12/24   937,000    1,009,599 (2)
   USD   6.63%  02/06/31   3,521,000    3,588,383 (4)
                    4,597,982 

 

 

   Currency  Rate   Maturity  Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Georgia - 0.16%                     
Republic of Georgia  USD   2.75%  04/22/26   2,366,000   $ 2,422,192 (4)
                      
Ghana - 1.77%                     
Republic of Ghana:                     
   USD   8.13%  01/18/26   1,616,000    1,681,824 (4)
   USD   6.38%  02/11/27   1,308,000    1,282,854 (4)
   USD   7.88%  03/26/27   5,098,000    5,261,200 (4)
   USD   7.75%  04/07/29   2,403,000    2,427,030 (4)
   USD   7.63%  05/16/29   396,000    397,665 (4)
   USD   7.63%  05/16/29   1,268,000    1,273,332 (2)
   USD   8.63%  04/07/34   2,016,000    2,043,720 (2)
   USD   8.88%  05/07/42   2,973,000    2,964,824 (4)
   USD   8.63%  06/16/49   600,000    576,430 (2)
   USD   8.95%  03/26/51   2,200,000    2,165,064 (2)
   USD   8.75%  03/11/61   6,160,000    5,937,763 (4)
                    26,011,706 
                      
Guatemala - 0.39%                     
Republic of Guatemala:                     
   USD   4.38%  06/05/27   3,000,000    3,263,872 (2)
   USD   5.38%  04/24/32   2,181,000    2,524,508 (2)
                    5,788,380 
                      
Honduras - 0.20%                     
Honduras Government  USD   5.63%  06/24/30   2,825,000    3,008,865 (4)
                      
Indonesia - 1.30%                     
Republic of Indonesia:                     
   USD   2.85%  02/14/30   7,584,000    7,987,867 
   USD   8.50%  10/12/35   834,000    1,341,900 (2)
   USD   5.25%  01/17/42   1,380,000    1,746,173 (2)
   USD   6.75%  01/15/44   948,000    1,424,664 (2)
   USD   5.13%  01/15/45   670,000    846,436 (2)
   USD   5.25%  01/08/47   664,000    865,516 (4)
   USD   3.05%  03/12/51   4,988,000    4,978,647 
                    19,191,203 
                      
Iraq - 0.21%                     
Republic of Iraq  USD   5.80%  01/15/28   3,266,250    3,151,000 (2)
                      
Ivory Coast - 0.30%                     
Ivory Coast Government:                     
   EUR   5.25%  03/22/30   1,100,000    1,390,177 (2)
   EUR   6.88%  10/17/40   922,000    1,220,622 (2)
   EUR   6.63%  03/22/48   1,446,000    1,840,721 (4)
                    4,451,520 
                      
Jordan - 0.52%                     
Kingdom of Jordan:                     
   USD   5.85%  07/07/30   4,362,000    4,612,815 (4)
   USD   7.38%  10/10/47   531,000    572,639 (4)

 

 

   Currency  Rate   Maturity  Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Jordan (continued)                     
Kingdom of Jordan: (continued)                     
   USD   7.38%  10/10/47   2,325,000   $ 2,507,321 (2)
                    7,692,775 
                      
Kazakhstan - 0.14%                     
Republic of Kazakhstan  USD   4.88%  10/14/44   1,560,000    1,990,817 (4)
                      
Kenya - 0.94%                     
Republic of Kenya:                     
   USD   6.88%  06/24/24   3,675,000    4,054,637 (4)
   USD   7.00%  05/22/27   1,055,000    1,162,953 (4)
   USD   7.25%  02/28/28   1,510,000    1,700,513 (2)
   USD   8.00%  05/22/32   3,225,000    3,694,705 (2)
   USD   8.25%  02/28/48   2,861,000    3,247,764 (4)
                    13,860,572 
                      
Lebanon - 0.30%                     
Lebanese Republic:                     
   USD   8.25%  04/12/21   5,803,000    747,136 (2)(6)
   USD   6.00%  01/27/23   3,176,000    416,850 (6)
   USD   6.40%  05/26/23   1,400,000    181,864 (6)
   USD   6.65%  04/22/24   4,700,000    616,875 (6)
   USD   6.60%  11/27/26   4,525,000    593,906 (6)
   USD   6.65%  02/26/30   4,400,000    583,000 (6)
   USD   8.20%  05/17/33   9,575,000    1,226,079 (6)
                    4,365,710 
                      
Malaysia - 2.42%                     
1mdb Global Investments  USD   4.40%  03/09/23   35,300,000    35,653,000 (2)
                      
Mexico - 1.57%                     
United Mexican States:                     
   USD   4.75%  04/27/32   7,384,000    8,561,490 
   EUR   2.25%  08/12/36   1,839,000    2,174,112 
   USD   6.05%  01/11/40   3,354,000    4,289,774 
   USD   4.28%  08/14/41   1,549,000    1,662,036 
   USD   4.75%  03/08/44   2,446,000    2,757,431 
   USD   3.77%  05/24/61   3,840,000    3,670,829 
                    23,115,672 
                      
Morocco - 0.49%                     
Kingdom of Morocco  USD   3.00%  12/15/32   7,350,000    7,138,688 (2)
                      
Mozambique - 0.66%                     
Republic of Mozambique  USD   5.00%  09/15/31   11,237,000    9,740,119 (3)(4)
                      
Nigeria - 1.37%                     
Republic of Nigeria:                     
   USD   6.50%  11/28/27   2,019,000    2,135,840 (4)
   USD   7.88%  02/16/32   13,364,000    14,419,455 (4)
   USD   7.70%  02/23/38   1,880,000    1,931,164 (4)

 

 

   Currency  Rate   Maturity  Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Nigeria (continued)                     
Republic of Nigeria: (continued)                     
   USD   7.70%  02/23/38   1,681,000   $ 1,726,748 (2)
                    20,213,207 
                      
Oman - 2.39%                     
Oman Government:                     
   USD   4.88%  02/01/25   4,237,000    4,447,325 (4)
   USD   6.00%  08/01/29   2,546,000    2,732,908 (2)
   USD   6.25%  01/25/31   7,430,000    8,107,988 (4)
   USD   7.38%  10/28/32   9,001,000    10,452,411 (4)
   USD   6.50%  03/08/47   5,248,000    5,280,380 (4)
   USD   6.75%  01/17/48   1,730,000    1,773,466 (4)
   USD   6.75%  01/17/48   694,000    711,437 (2)
   USD   7.00%  01/25/51   1,599,000    1,670,955 (4)
                    35,176,870 
                      
Pakistan - 1.00%                     
Republic of Pakistan:                     
   USD   6.00%  04/08/26   3,765,000    3,802,650 (4)
   USD   6.88%  12/05/27   6,803,000    6,988,229 (2)
   USD   6.88%  12/05/27   1,443,000    1,482,289 (4)
   USD   7.88%  03/31/36   473,000    474,494 (2)
Third Pkstan International Sukuk Co., Ltd.  USD   5.50%  10/13/21   1,915,000    1,924,278 (2)
                    14,671,940 
                      
Panama - 2.67%                     
Panama Bonos Del  USD   3.36%  06/30/31   2,720,000    2,786,300 
Republic of Panama:                     
   USD   9.38%  04/01/29   1,488,000    2,215,260 
   USD   3.16%  01/23/30   909,000    964,297 
   USD   2.25%  09/29/32   9,364,000    9,152,210 
   USD   4.50%  04/16/50   6,242,000    7,161,384 
   USD   4.50%  04/01/56   10,038,000    11,478,478 
   USD   3.87%  07/23/60   5,384,000    5,582,198 
                    39,340,127 
                      
Papua New Guinea - 0.10%                     
Papua New Guinea Government  USD   8.38%  10/04/28   1,446,000    1,454,134 (4)
                      
Peru - 0.59%                     
Republic of Peru:                     
   USD   2.84%  06/20/30   1,190,000    1,230,020 
   USD   2.78%  01/23/31   3,107,000    3,183,890 
   USD   1.86%  12/01/32   4,599,000    4,336,041 
                    8,749,951 
                      
Philippines - 1.22%                     
Republic of Philippines:                     
   USD   3.00%  02/01/28   1,233,000    1,344,740 
   USD   1.95%  01/06/32   3,080,000    3,078,075 
   USD   5.00%  01/13/37   1,582,000    2,026,356 
   USD   3.70%  03/01/41   3,248,000    3,599,385 
   USD   2.95%  05/05/45   3,188,000    3,215,449 

 

 

   Currency  Rate   Maturity  Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Philippines (continued)                     
Republic of Philippines: (continued)                     
  USD   2.65%  12/10/45   4,829,000   $4,669,945 
                    17,933,950 
                      
Qatar - 2.49%                     
State of Qatar:                     
   USD   4.50%  04/23/28   1,300,000    1,535,726 (4)
   USD   4.00%  03/14/29   9,340,000    10,783,030 (2)
   USD   6.40%  01/20/40   2,822,000    4,191,538 (4)
   USD   5.10%  04/23/48   6,303,000    8,494,647 (4)
   USD   4.40%  04/16/50   7,598,000    9,454,761 (4)
   USD   4.40%  04/16/50   1,824,000    2,269,740 (2)
                    36,729,442 
                      
Romania - 1.34%                     
Republic of Romania:                     
   EUR   2.38%  04/19/27   1,343,000    1,744,864 (4)
   EUR   2.88%  03/11/29   1,012,000    1,330,048 
   EUR   3.62%  05/26/30   2,272,000    3,108,535 (4)
   EUR   3.38%  02/08/38   1,103,000    1,432,675 (4)
   EUR   4.13%  03/11/39   3,037,000    4,228,803 
   EUR   2.75%  04/14/41   1,929,000    2,252,041 (4)
   USD   6.13%  01/22/44   554,000    761,100 (2)
   EUR   4.63%  04/03/49   2,143,000    3,196,263 (2)
   EUR   4.63%  04/03/49   1,144,000    1,706,264 (4)
                    19,760,593 
                      
Russia - 2.27%                     
Russian Federation:                     
   USD   4.38%  03/21/29   10,200,000    11,679,000 (2)
   USD   5.10%  03/28/35   12,800,000    15,617,088 (2)
   USD   5.10%  03/28/35   2,000,000    2,440,170 (4)
   USD   5.25%  06/23/47   2,800,000    3,627,855 (2)
                    33,364,113 
                      
Saudi Arabia - 3.24%                     
Kingdom of Saudi Arabia:                     
   USD   4.38%  04/16/29   4,567,000    5,327,794 (4)
   USD   4.50%  04/17/30   5,642,000    6,711,737 (4)
   USD   3.25%  10/22/30   5,348,000    5,823,090 (4)
   USD   2.25%  02/02/33   8,380,000    8,270,012 (4)
   USD   4.50%  10/26/46   842,000    993,560 (4)
   USD   4.50%  10/26/46   6,987,000    8,244,660 (2)
   USD   4.63%  10/04/47   1,892,000    2,275,329 (4)
   USD   5.00%  04/17/49   2,923,000    3,715,864 (2)
   USD   5.25%  01/16/50   933,000    1,230,179 (4)
   USD   5.25%  01/16/50   3,916,000    5,163,324 (2)
                    47,755,549 
                      
Senegal - 0.39%                     
Republic of Senegal:                     
   EUR   4.75%  03/13/28   811,000    1,018,195 (4)
   EUR   5.38%  06/08/37   2,230,000    2,695,606 (4)

 

 

   Currency  Rate   Maturity  Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Senegal (continued)                     
Republic of Senegal: (continued)                     
   USD   6.75%  03/13/48   2,000,000   $ 2,087,145 (2)
                    5,800,946 
                      
South Africa - 0.49%                     
Republic of South Africa:                     
   USD   4.30%  10/12/28   3,200,000    3,311,840 
   USD   5.00%  10/12/46   1,208,000    1,133,497 
   USD   5.75%  09/30/49   2,758,000    2,782,339 
                    7,227,676 
                      
Sri Lanka - 1.06%                     
Republic of Sri Lanka:                     
   USD   5.88%  07/25/22   462,000    355,518 (4)
   USD   6.13%  06/03/25   758,000    509,950 (4)
   USD   6.85%  11/03/25   3,656,000    2,465,204 (2)
   USD   6.20%  05/11/27   3,145,000    2,051,326 (2)
   USD   6.75%  04/18/28   7,188,000    4,637,105 (4)
   USD   7.85%  03/14/29   3,222,000    2,073,534 (4)
   USD   7.55%  03/28/30   5,419,000    3,491,950 (2)
                    15,584,587 
                      
Trinidad & Tobago - 0.41%                     
Trinidad & Tobago:                     
   USD   4.38%  01/16/24   4,451,000    4,740,315 (2)
   USD   4.50%  08/04/26   502,000    538,711 (2)
   USD   4.50%  06/26/30   763,000    810,449 (2)
                    6,089,475 
                      
Tunisia - 0.93%                     
Banque  Centrale  de  Tunisie:                     
   EUR   5.63%  02/17/24   4,490,000    4,771,407 
   USD   5.75%  01/30/25   1,408,000    1,247,840 (4)
   EUR   6.38%  07/15/26   7,371,000    7,713,301 (4)
                    13,732,548 
                      
Turkey - 3.36%                     
Hazine Mustesarligi Varl  USD   5.80%  02/21/22   3,311,000    3,366,592 (4)
Republic of Turkey:                     
   USD   6.25%  09/26/22   693,000    722,886 
   USD   5.75%  03/22/24   7,723,000    8,055,321 
   USD   6.35%  08/10/24   1,687,000    1,788,578 
   USD   4.75%  01/26/26   4,368,000    4,368,000 
   USD   5.13%  02/17/28   2,753,000    2,734,844 
   USD   5.95%  01/15/31   2,768,000    2,785,300 
   USD   5.88%  06/26/31   7,855,000    7,845,181 
   USD   6.88%  03/17/36   10,855,000    11,270,177 
   USD   6.63%  02/17/45   1,606,000    1,580,368 
   USD   5.75%  05/11/47   5,554,000    4,947,281 
                    49,464,528 

 

 

   Currency  Rate   Maturity  Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Ukraine - 2.22%                     
Ukraine Government:                     
   USD   7.75%  09/01/24   2,510,000   $ 2,759,664 (4)
   USD   7.75%  09/01/25   8,473,000    9,379,611 (4)
   EUR   6.75%  06/20/26   2,260,000    2,949,078 (4)
   USD   7.75%  09/01/26   2,662,000    2,967,331 (4)
   USD   7.75%  09/01/26   1,251,000    1,394,490 (2)
   USD   7.75%  09/01/27   2,370,000    2,646,413 (2)
   USD   9.75%  11/01/28   2,644,000    3,210,431 (4)
   USD   9.75%  11/01/28   272,000    330,271 (2)
   USD   6.88%  05/21/29   4,035,000    4,273,065 (4)
   USD   7.25%  03/15/33   1,807,000    1,919,716 (4)
Ukreximbank Via Biz Finance PLC  USD   9.75%  01/22/25   787,500    855,422 (2)
                    32,685,492 
                      
United Arab Emirates - 0.82%                     
Abu Dhabi Govt Int'l  USD   4.13%  10/11/47   2,857,000    3,453,399 (4)
Fin Dept Govt Sharjah  USD   4.00%  07/28/50   9,418,000    8,605,697 (4)
                    12,059,096 
                      
Uruguay - 1.10%                     
Republic of Uruguay:                     
   USD   4.38%  10/27/27   7,071,705    8,213,856 
   USD   4.38%  01/23/31   2,118,000    2,503,370 
   USD   4.98%  04/20/55   4,117,000    5,435,963 
                    16,153,189 
                      
Uzbekistan - 0.29%                     
Republic of Uzbekistan  USD   3.90%  10/19/31   4,252,000    4,271,134 (4)
                      
                      
Venezuela - 0.19%                     
Republic of Venezuela:                     
   USD   7.75%  10/13/19   25,087,500    2,634,187 (6)
   USD   9.25%  05/07/28   927,000    98,494 (6)
                    2,732,681 
                      
Zambia - 0.84%                     
Republic of Zambia:                     
   USD   5.38%  09/20/22   1,390,000    1,061,613 (4)(6)
   USD   5.38%  09/20/22   10,131,000    7,737,551 (2)
   USD   8.97%  07/30/27   4,599,000    3,615,964 (4)
                    12,415,128 
                      
TOTAL SOVEREIGN DEBT OBLIGATIONS                   1,014,123,609 
(Cost $1,000,125,888)                     
                      
CORPORATE BONDS - 26.87%                     
Argentina - 0.09%                     
MSU Energy SA  USD   6.88%  02/01/25   733,000    583,749 (4)
Pampa Energia SA  USD   7.50%  01/24/27   859,000    789,206 (4)
                    1,372,955 

 

 

   Currency  Rate   Maturity  Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Bahrain - 0.24%                     
Oil and Gas Holding Co. BSCC  USD   7.63%  11/07/24   3,200,000   $ 3,556,640 (4)
                      
Brazil - 2.27%                     
Adecoagro SA  USD   6.00%  09/21/27   3,021,000    3,185,992 (4)
Banco do Brasil SA  USD   10Y US TI + 6.36%  Perpetual   1,400,000    1,574,650(1)(7)
CSN Inova Ventures  USD   6.75%  01/28/28   378,000    415,942 (4)
CSN Resources SA  USD   7.63%  04/17/26   1,249,000    1,334,556 (4)
Gol Finance SA  USD   7.00%  01/31/25   2,771,000    2,649,769 (4)
Guara Norte Sarl  USD   5.20%  06/15/34   417,473    429,225 (4)
Iochpe-Maxion Austria GmbH / Maxion Wheels de Mexico S de RL de CV  USD   5.00%  05/07/28   2,807,000    2,858,578 (4)
Klabin Austria GmbH  USD   3.20%  01/12/31   4,335,000    4,291,650 (4)
MC Brazil Downstream Trading SARL  USD   7.25%  06/30/31   2,540,000    2,638,552 (4)
Minerva Luxembourg SA  USD   4.38%  03/18/31   7,294,000    7,166,355 (4)
MV24 Capital BV  USD   6.75%  06/01/34   2,199,028    2,400,102 (4)
NBM US Holdings, Inc.  USD   7.00%  05/14/26   1,278,000    1,360,942 (4)
Simpar Europe SA  USD   5.20%  01/26/31   882,000    907,093 (4)
Usiminas International Sarl  USD   5.88%  07/18/26   2,093,000    2,247,898 (4)
                    33,461,304 
                      
British Virgin Islands - 0.18%                     
Wanda Properties Overseas, Ltd.  USD   6.88%  07/23/23   2,603,000    2,624,520 
                      
Chile - 0.74%                     
ATP Tower Holdings LLC / Andean Tower Partners Colombia SAS / Andean Telecom Par  USD   4.05%  04/27/26   1,235,000    1,258,792 (4)
Codelco, Inc.  USD   5.63%  10/18/43   1,497,000    2,021,586 (2)
Empresa Nacional del Petroleo  USD   5.25%  11/06/29   1,525,000    1,727,063 (2)
Geopark, Ltd.:                     
   USD   6.50%  09/21/24   700,000    720,125 (4)
   USD   5.50%  01/17/27   5,174,000    5,181,127 (4)
                    10,908,693 
                      
China - 1.04%                     
CNRC Capitale, Ltd.  USD   3.90%  Perpetual   691,000    701,864 (1)(7)
Country Garden Holdings Co., Ltd.  USD   4.80%  08/06/30   2,676,000    2,820,170 
ENN Clean Energy International Investment, Ltd.  USD   3.38%  05/12/26   3,190,000    3,246,878 (4)
Huarong Finance 2017 Co., Ltd.:                     
   USD   3M US L + 1.85%  04/27/22   800,000    780,000 (1)
   USD   3M US L + 1.325%  07/03/23   400,000    376,000 (1)
   USD   7.77% + 5Y US TI   Perpetual   1,791,000    1,732,792 (1)(7)
Huarong Finance 2019 Co., Ltd.  USD   4.50%  05/29/29   300,000    291,750 
Huarong Finance II Co., Ltd.  USD   3.63%  11/22/21   300,000    299,625 
Shimao Group Holdings, Ltd.  USD   5.60%  07/15/26   2,124,000    2,220,451 
Wanda Properties International Co., Ltd.  USD   7.25%  01/29/24   2,270,000    2,289,499 
Wanda Properties Overseas, Ltd.  USD   6.95%  12/05/22   579,000    587,715 
                    15,346,744 

 

 

   Currency  Rate   Maturity  Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Colombia - 0.59%                     
AI Candelaria Spain SLU  USD   7.50%  12/15/28   5,251,000   $ 5,848,301 (4)
Gran Tierra Energy International Holdings, Ltd.  USD   6.25%  02/15/25   1,940,000    1,714,480 (4)
Gran Tierra Energy, Inc.  USD   7.75%  05/23/27   1,270,000    1,111,250 (4)
                    8,674,031 
                      
Ghana - 0.50%                     
Tullow Oil PLC:                     
   USD   7.00%  03/01/25   3,796,000    3,236,090 (4)
   USD   10.25%  05/15/26   3,903,000    4,056,681 (4)
                    7,292,771 
                      
Hong Kong - 0.31%                     
CNAC HK Finbridge Co., Ltd.:                     
   USD   4.13%  07/19/27   300,000    328,148 
   USD   3.88%  06/19/29   3,095,000    3,364,512 
   USD   3.00%  09/22/30   800,000    811,400 
                    4,504,060 
                      
India - 0.08%                     
Network i2i, Ltd.  USD   5Y US TI + 4.28%  Perpetual   1,140,000    1,218,879 (1)(4)(7)
                      
Indonesia - 2.83%                     
Indonesia Asahan Aluminium Persero PT:                     
   USD   5.71%  11/15/23   2,367,000    2,604,203 (4)
   USD   4.75%  05/15/25   1,910,000    2,087,868 (4)
   USD   5.80%  05/15/50   3,580,000    4,299,258 (4)
Minejesa Capital BV:                     
   USD   4.63%  08/10/30   1,809,000    1,913,018 (4)
   USD   5.63%  08/10/37   1,392,000    1,518,035 (4)
Pertamina Persero PT:                     
   USD   6.00%  05/03/42   1,922,000    2,418,260 (2)
   USD   5.63%  05/20/43   2,573,000    3,129,643 (2)
   USD   6.45%  05/30/44   7,649,000    10,209,675 (2)
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara:                     
   USD   5.45%  05/21/28   795,000    938,839 (2)
   USD   5.25%  10/24/42   2,744,000    3,149,872 (2)
PT Bakrie & Brothers TBK  IDR   0.00%  12/22/22   6,750,674,000    – 
PT Pertamina Pertii  USD   2.30%  02/09/31   9,575,000    9,365,547 (4)
                    41,634,218 
                      
Ireland - 0.23%                     
C&W Senior Financing DAC  USD   7.50%  10/15/26   3,274,000    3,417,238 (4)
                      
                      
Israel - 0.36%                     
Leviathan Bond, Ltd.  USD   6.50%  06/30/27   4,811,000    5,320,786 (4)
                      
Jamaica - 0.33%                     
Digicel International Finance, Ltd./Digicel international Holdings, Ltd.:                     
   USD   8.75%  05/25/24   2,107,000    2,191,939 (4)

 

 

   Currency  Rate   Maturity  Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Jamaica (continued)                     
Digicel International Finance, Ltd./Digicel international Holdings, Ltd.: (continued)                     
   USD   8.75%  05/25/24   2,561,000   $ 2,659,592 (4)
                    4,851,531 
                      
Kazakhstan - 2.06%                     
KazMunayGas National Co. JSC:                     
   USD   4.75%  04/24/25   6,009,000    6,703,039 (4)
   USD   5.38%  04/24/30   4,000,000    4,803,420 (2)
   USD   3.50%  04/14/33   1,271,000    1,335,821 (2)
   USD   5.75%  04/19/47   6,752,000    8,456,880 (4)
   USD   6.38%  10/24/48   1,996,000    2,631,447 (4)
KazTransGas JSC  USD   4.38%  09/26/27   5,774,000    6,380,761 (4)
                    30,311,368 
                      
Macau - 0.14%                     
Studio City Finance, Ltd.:                     
   USD   6.00%  07/15/25   493,000    515,334 (4)
   USD   6.50%  01/15/28   1,419,000    1,489,950 (4)
                    2,005,284 
                      
Malaysia - 0.41%                     
1MDB Energy, Ltd.  USD   5.99%  05/11/22   3,000,000    3,088,125 
Petronas Capital, Ltd.  USD   4.55%  04/21/50   2,303,000    2,904,215 (4)
                    5,992,340 
                      
Mexico - 4.99%                     
Aerovias de Mexico SA de CV  USD   7.00%  02/05/25   1,442,000    1,226,602 (4)(6)
Axtel SAB Axtel de CV  USD   6.38%  11/14/24   1,922,000    2,000,624 (4)
Banco Mercantil del Norte SA/Grand Cayman:                     
   USD   6.75%  Perpetual   1,486,000    1,601,351 (1)(4)(7)
   USD   7.50%  Perpetual   2,615,000    2,976,288 (1)(4)(7)
Cometa Energia SA de CV  USD   6.38%  04/24/35   1,604,070    1,893,003 (4)
FEL Energy VI Sarl  USD   5.75%  12/01/40   400,831    427,486 (4)
Mexichem SAB de CV  USD   6.75%  09/19/42   2,605,000    3,503,829 (4)
Petroleos Mexicanos:                     
   USD   6.88%  08/04/26   5,550,000    6,061,655 
   USD   9.50%  09/15/27   1,062,000    1,239,885 
   USD   9.50%  09/15/27   1,896,000    2,222,409 
   USD   5.35%  02/12/28   5,646,000    5,617,770 
   USD   5.95%  01/28/31   7,494,000    7,377,094 
   USD   6.63%  06/15/35   6,012,000    5,855,417 
   USD   5.63%  01/23/46   653,000    533,827 
   USD   6.75%  09/21/47   6,041,000    5,329,672 
   USD   6.35%  02/12/48   2,410,000    2,039,222 
   USD   7.69%  01/23/50   264,000    252,719 
   USD   6.95%  01/28/60   2,116,000    1,858,800 
Poinsettia Finance, Ltd.  USD   6.63%  06/17/31   21,445,020    21,458,423 (2)
                    73,476,076 

 

 

   Currency  Rate   Maturity  Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Nigeria - 0.67%                     
Africa Finance Corp.  USD   2.88%  04/28/28   8,632,000   $ 8,761,480 (4)
IHS Netherlands Holdco BV  USD   8.00%  09/18/27   980,000    1,055,852 (4)
                    9,817,332 
                      
Panama - 0.17%                     
Aeropuerto Internacional de Tocumen SA  USD   4.00%  08/11/41   871,000    895,900 (4)
AES Panama Generation Holdings SRL  USD   4.38%  05/31/30   1,514,000    1,574,946 (4)
                    2,470,846 
                      
Peru - 1.66%                     
Kallpa Generacion SA:                     
   USD   4.88%  05/24/26   1,830,000    1,940,724 (4)
   USD   4.13%  08/16/27   1,022,000    1,058,084 (4)
Nexa Resources SA  USD   5.38%  05/04/27   1,233,000    1,303,898 (4)
Peru Payroll Deduction Finance Ltd.  USD   0.00%  11/01/29   2,155,385    1,759,441 (5)
Petroleos del Peru SA:                     
   USD   4.75%  06/19/32   2,020,000    2,106,415 (4)
   USD   4.75%  06/19/32   5,386,000    5,616,413 (2)
   USD   5.63%  06/19/47   2,277,000    2,378,099 (4)
   USD   5.63%  06/19/47   7,975,000    8,329,090 (2)
                    24,492,164 
                      
Qatar - 0.52%                     
Qatar Petroleum  USD   2.25%  07/12/31   7,627,000    7,703,270 (4)
                      
Russia - 0.47%                     
Gazprom PJSC Via Gaz Capital SA  USD   4.95%  02/06/28   2,633,000    2,952,251 (4)
Gazprom PJSC via Gaz Finance PLC  USD   5Y US TI + 4.264%  Perpetual   3,830,000    3,995,217 (1)(4)(7)
                    6,947,468 
                      
South Africa - 1.76%                     
Eskom Holdings SOC, Ltd.:                     
   USD   6.75%  08/06/23   4,103,000    4,291,738 (4)
   USD   7.13%  02/11/25   15,087,000    15,992,145 (4)
   USD   8.45%  08/10/28   1,920,000    2,192,640 (4)
   USD   6.35%  08/10/28   3,144,000    3,505,481 (2)
                    25,982,004 
                      
Turkey - 0.22%                     
Aydem Yenilenebilir Enerji AS  USD   7.75%  02/02/27   3,242,000    3,237,948 (4)
                      
                      
Ukraine - 0.26%                     
NAK Naftogaz Ukraine via Kondor Finance PLC  USD   7.63%  11/08/26   3,373,000    3,473,954 (4)
State Savings Bank of Ukraine Via SSB #1 PLC  USD   9.63%  03/20/25   280,000    305,620 (2)(3)
                    3,779,574 
                      
United Arab Emirates - 2.19%                     
Abu Dhabi Crude Oil Pipeline:                     
   USD   3.65%  11/02/29   1,236,000    1,388,955 (4)
   USD   4.60%  11/02/47   2,062,000    2,484,710 (4)

 

 

   Currency  Rate   Maturity  Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
United Arab Emirates (continued)                     
DAE Funding LLC  USD   3.38%  03/20/28   2,600,000   $ 2,700,750 (4)
DP World Crescent, Ltd.  USD   4.85%  09/26/28   2,275,000    2,613,975 (2)
DP World Salaam  USD   5Y US TI + 5.75%  Perpetual   11,136,000    12,176,520 (1)(7)
DP World, Ltd.  USD   6.85%  07/02/37   521,000    707,010(4)
DP World, Ltd./United Arab Emirates:                     
   USD   4.70%  09/30/49   437,000    488,780 (4)
   USD   4.70%  09/30/49   500,000    559,245 (2)
MDGH - GMTN BV:                     
   USD   4.50%  11/07/28   3,494,000    4,101,022 (2)
   USD   2.88%  05/21/30   3,680,000    3,911,527 
   USD   3.95%  05/21/50   990,000    1,149,672 
                    32,282,166 
                      
United States - 0.22%                     
SierraCol Energy Andina LLC  USD   6.00%  06/15/28   3,251,000    3,249,513 (4)
                      
Uzbekistan - 0.27%                     
Uzauto Motors AJ  USD   4.85%  05/04/26   4,034,000    4,028,958 (4)
                      
Venezuela - 0.24%                     
Petroleos de Venezuela SA:                     
   USD   6.00%  05/16/24   60,489,976    2,812,784 (2)(6)
   USD   6.00%  11/15/26   3,307,000    153,776 (2)(6)
   USD   5.38%  04/12/27   600,000    28,650 (6)
   USD   9.75%  05/17/35   11,517,000    547,057 (6)
                    3,542,267 
                      
Vietnam - 0.37%                     
Mong Duong Finance Holdings BV  USD   5.13%  05/07/29   5,385,000    5,410,713 (4)
                      
Zambia - 0.46%                     
First Quantum Minerals, Ltd.:                     
   USD   7.50%  04/01/25   1,167,000    1,214,045 (4)
   USD   6.88%  03/01/26   1,638,000    1,706,019 (4)
   USD   6.88%  10/15/27   3,628,000    3,922,775 (4)
                    6,842,839 
                      
TOTAL CORPORATE BONDS                   395,756,500 
(Cost $404,189,340)                     
                      
CREDIT LINKED NOTES - 0.52%                     
Iraq - 0.52%                     
Republic of Iraq (Counterparty: Bank of America - Merrill Lynch):                     
   JPY   2.99%  01/01/28   192,029,423    1,429,377 (1)(8)
   JPY   2.55%  01/01/28   421,018,593    3,143,815 (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   413,185,439   $ 3,083,445 (1)(8)
                    7,656,637 
                      
TOTAL CREDIT LINKED NOTES                   7,656,637 
(Cost $9,456,159)                     
                      
SHORT TERM INVESTMENTS - 2.06%                     
Money Market Fund - 2.06%                     
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield)  USD   0.03%  N/A   30,248,403    30,254,453 
                      
TOTAL SHORT TERM INVESTMENTS                   30,254,453 
(Cost $30,254,449)                     
                      
Total Investments - 98.31%                   1,447,791,199 
(Cost $1,444,025,836)                     
Other Assets In Excess of Liabilities - 1.69%                   24,951,067 (9)
                      
Net Assets - 100.00%                  $1,472,742,266 

 

* 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:
3M US L - 3 Month LIBOR as of August 31, 2021 was 0.12%
6M US L - 6 Month LIBOR as of August 31, 2021 was 0.15%
5Y US TI -  5 Year US Treasury Index as of August 31, 2021 was 0.77%
10Y US TI -  10 Year US Treasury Index as of August 31, 2021 was 1.30%

 

(1) Floating or variable rate security. The reference rate is described above. The rate in effect as of August 31, 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 August 31, 2021, the aggregate fair value of those securities was $348,523,830, which represents approximately 23.66% 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 August 31, 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 $624,045,924, which represents approximately 42.37% of net assets as of August 31, 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 August 31, 2021   Fund Delivering   U.S. $ Value at August 31, 2021    Unrealized Appreciation/ (Depreciation) 
J.P. Morgan Chase & Co.  09/30/21  USD   55,872,215   EUR   55,201,022   $671,193 
J.P. Morgan Chase & Co.  09/30/21  JPY   860,688   USD   857,902    2,786 
                      $673,979 
                         
J.P. Morgan Chase & Co.  09/30/21  EUR   3,806,364   USD   3,820,009   $(13,645)
J.P. Morgan Chase & Co.  09/30/21  USD   8,491,372   JPY   8,543,960    (52,588)
J.P. Morgan Chase & Co.  09/30/21  USD   4,332,153   EUR   4,375,394    (43,241)
                      $(109,474)

 

See Notes to Quarterly Statement of Investments

 

 

 

Stone Harbor High Yield Bond Fund Statement of Investments

August 31, 2021 (Unaudited)

 

 
 		  
 		  
Currency		  
 		  
Rate		  
 		  
Maturity Date		  
 		 Principal
Amount/Shares*		  
 		 Value
(Expressed in USD)		  
                
CORPORATE BONDS - 95.25%                     
Aerospace/Defense - 0.98%                     
TransDigm, Inc.  USD   6.25%  03/15/26   996,000   $ 1,047,045 (1)
                      
Airlines - 1.13%                     
Air Canada  USD   3.88%  08/15/26   157,000    157,982(1)
Delta Air Lines, Inc.  USD   7.38%  01/15/26   174,000    204,964 
United Airlines, Inc.:                     
   USD   4.38%  04/15/26   410,000    426,146(1)
   USD   4.63%  04/15/29   403,000    418,626(1)
                    1,207,718 
                      
Automotive - 4.72%                     
Clarios Global LP / Clarios US Finance Co.:                     
   USD   6.25%  05/15/26   149,000    157,195(1)
   USD   8.50%  05/15/27   539,000    576,056(1)
Ford Motor Co.  USD   8.50%  04/21/23   631,000    698,438 
Ford Motor Credit Co. LLC:                     
   USD   5.13%  06/16/25   632,000    694,410 
   USD   3.38%  11/13/25   418,000    433,153 
   USD   4.13%  08/17/27   688,000    737,134 
   USD   5.11%  05/03/29   1,282,000    1,450,384 
Goodyear Tire & Rubber Co.:                     
   USD   5.00%  07/15/29   132,000    139,788(1)
   USD   5.25%  07/15/31   132,000    141,389(1)
                    5,027,947 
                      
Building Products - 4.19%                     
Griffon Corp., Series WI  USD   5.75%  03/01/28   559,000    593,904 
LBM Acquisition LLC  USD   6.25%  01/15/29   1,052,000    1,059,364(1)
Park River Holdings, Inc.:                     
   USD   5.63%  02/01/29   705,000    671,146(1)
   USD   6.75%  08/01/29   361,000    359,675(1)
Specialty Building Products Holdings LLC / SBP Finance Corp.  USD   6.38%  09/30/26   872,000    918,870 (1)
White Cap Buyer LLC  USD   6.88%  10/15/28   816,000    869,040(1)
                    4,471,999 
                      
Chemicals - 2.25%                     
CF Industries, Inc.  USD   5.15%  03/15/34   164,000    205,314 
GCP Applied Technologies, Inc.  USD   5.50%  04/15/26   690,000    707,429(1)
Illuminate Buyer LLC / Illuminate Holdings IV, Inc.  USD   9.00%  07/01/28   1,120,000    1,239,000(1)
WR Grace Holdings LLC  USD   5.63%  08/15/29   242,000    252,588(1)
                    2,404,331 

 

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Consumer Products - 0.98%                                
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.:                                
    USD     5.00 %   12/31/26     262,000     $   261,080 (1)
    USD     7.00 %   12/31/27     811,000       789,926 (1)
                              1,051,006  
                                 
Containers/Packaging - 0.92%                                
Flex Acquisition Co., Inc.   USD     6.88 %   01/15/25     464,000       469,800 (1)
Graham Packaging Co., Inc.   USD     7.13 %   08/15/28     475,000       506,948 (1)
                              976,748  
                                 
Drillers/Services - 1.67%                                
Archrock Partners LP / Archrock Partners Finance Corp.   USD     6.25 %   04/01/28     902,000       920,040 (1)
ChampionX Corp.   USD     6.38 %   05/01/26     269,000       280,774  
Precision Drilling Corp.   USD     6.88 %   01/15/29     573,000       577,246 (1)
                              1,778,060  
                                 
Electric - 2.75%                                
Calpine Corp.   USD     4.50 %   02/15/28     859,000       885,844 (1)
Covanta Holding Corp.   USD     5.00 %   09/01/30     566,000       580,857  
NRG Energy, Inc.   USD     5.75 %   01/15/28     269,000       287,830  
Vistra Operations Co. LLC:                                
    USD     5.63 %   02/15/27     945,000       985,219 (1)
    USD     5.00 %   07/31/27     191,000       198,421 (1)
                              2,938,171  
                                 
Exploration & Production - 11.88%                                
Antero Resources Corp.:                                
    USD     7.63 %   02/01/29     785,000       864,489 (1)
    USD     5.38 %   03/01/30     198,000       201,769 (1)
Ascent Resources Utica Holdings LLC / ARU Finance Corp.   USD     5.88 %   06/30/29     711,000       682,539 (1)
Chesapeake Energy Corp.   USD     5.50 %   02/01/26     1,004,000       1,050,425 (1)
CNX Midstream Partners LP / CNX Midstream Finance Corp.   USD     6.50 %   03/15/26     560,000       576,128 (1)
CNX Resources Corp.:                                
    USD     7.25 %   03/14/27     465,000       493,488 (1)
    USD     6.00 %   01/15/29     214,000       223,188 (1)
CrownRock LP / CrownRock Finance, Inc.   USD     5.00 %   05/01/29     290,000       298,334 (1)
Hilcorp Energy I LP / Hilcorp Finance Co.:                                
    USD     5.75 %   10/01/25     773,000       783,231 (1)
    USD     6.25 %   11/01/28     424,000       438,840 (1)
    USD     5.75 %   02/01/29     100,000       101,625 (1)
Leviathan Bond, Ltd.:                                
    USD     6.13 %   06/30/25     235,000       256,655 (1)
    USD     6.50 %   06/30/27     126,000       139,352 (1)
    USD     6.75 %   06/30/30     176,000       198,263 (1)
Murphy Oil Corp.:                                
    USD     5.75 %   08/15/25     947,000       969,491  

 

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Exploration & Production (continued)                     
Murphy Oil Corp. (continued)                     
   USD   5.88%  12/01/27   361,000   $375,891 
Oasis Petroleum, Inc.  USD   6.38%  06/01/26   132,000    137,940(1)
Occidental Petroleum Corp.:                     
   USD   5.50%  12/01/25   137,000    152,932 
   USD   5.55%  03/15/26   144,000    160,740 
   USD   8.88%  07/15/30   1,838,000    2,524,759 
   USD   7.50%  05/01/31   327,000    428,311 
   USD   7.88%  09/15/31   167,000    222,080 
   USD   6.60%  03/15/46   208,000    263,427 
SM Energy Co.:                     
   USD   5.63%  06/01/25   481,000    483,150 
   USD   6.50%  07/15/28   631,000    634,865 
                    12,661,912 
                      
Financial/Lease - 5.22%                     
Acrisure LLC / Acrisure Finance, Inc.:                     
   USD   7.00%  11/15/25   1,024,000    1,044,480(1)
   USD   4.25%  02/15/29   535,000    530,329(1)
Alliant Holdings Intermediate LLC / Alliant Holdings Co.-Issuer:                     
   USD   4.25%  10/15/27   529,000    530,984(1)
   USD   6.75%  10/15/27   1,010,000    1,051,662(1)
HUB International, Ltd.  USD   7.00%  05/01/26   307,000    318,006(1)
OneMain Finance Corp.:                     
   USD   8.88%  06/01/25   125,000    137,244 
   USD   7.13%  03/15/26   1,169,000    1,367,730 
   USD   3.50%  01/15/27   580,000    587,836 
                    5,568,271 
                      
Food/Beverage/Tobacco - 2.54%                     
JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc.  USD   6.50%  04/15/29   1,132,000    1,283,405(1)
Pilgrim's Pride Corp.  USD   5.88%  09/30/27   299,000    319,488(1)
Post Holdings, Inc.  USD   4.63%  04/15/30   439,000    448,797(1)
Triton Water Holdings, Inc.  USD   6.25%  04/01/29   662,000    656,118(1)
                    2,707,808 
                      
Gaming - 4.96%                     
Caesars Entertainment, Inc.  USD   8.13%  07/01/27   610,000    674,995(1)
Churchill Downs, Inc.:                     
   USD   5.50%  04/01/27   560,000    582,400(1)
   USD   4.75%  01/15/28   365,000    382,173(1)
Everi Holdings, Inc.  USD   5.00%  07/15/29   79,000    80,955(1)
International Game Technology PLC:                     
   USD   6.25%  01/15/27   596,000    680,185(1)
   USD   5.25%  01/15/29   70,000    74,812(1)
MGM Growth Properties Operating Partnership LP / MGP Finance Co.-Issuer, Inc.  USD   5.75%  02/01/27   391,000    450,696 
Raptor Acquisition Corp. / Raptor Co.-Issuer LLC  USD   4.88%  11/01/26   205,000    207,932(1)

 

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Gaming (continued)                     
Scientific Games International, Inc.:                     
   USD   8.25%  03/15/26   766,000   $815,696(1)
   USD   7.25%  11/15/29   213,000    238,028(1)
Station Casinos LLC  USD   5.00%  10/01/25   137,000    138,713(1)
VICI Properties LP / VICI Note Co., Inc.  USD   4.13%  08/15/30   457,000    488,419(1)
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.  USD   5.13%  10/01/29   457,000    475,938(1)
                    5,290,942 
                      
Healthcare - 8.20%                     
AdaptHealth LLC:                     
   USD   4.63%  08/01/29   870,000    873,524(1)
   USD   5.13%  03/01/30   198,000    200,844(1)
Bausch Health Cos., Inc.:                     
   USD   6.13%  04/15/25   618,000    632,677(1)
   USD   7.00%  01/15/28   898,000    931,846(1)
   USD   6.25%  02/15/29   752,000    747,353(1)
   USD   5.25%  02/15/31   442,000    412,852(1)
Catalent Pharma Solutions, Inc.  USD   5.00%  07/15/27   202,000    211,857(1)
Encompass Health Corp.  USD   4.50%  02/01/28   401,000    420,549 
Endo Dac / Endo Finance LLC / Endo Finco, Inc.  USD   9.50%  07/31/27   823,000    809,725(1)
Endo Luxembourg Finance Co. I Sarl / Endo US, Inc.  USD   6.13%  04/01/29   177,000    175,457(1)
IQVIA, Inc.  USD   5.00%  05/15/27   333,000    348,378(1)
Legacy LifePoint Health LLC  USD   4.38%  02/15/27   563,000    562,296(1)
Organon & Co. / Organon Foreign Debt Co-Issuer BV:                     
   USD   4.13%  04/30/28   302,000    311,951(1)
   USD   5.13%  04/30/31   289,000    303,519(1)
Par Pharmaceutical, Inc.  USD   7.50%  04/01/27   113,000    114,554(1)
Syneos Health, Inc.  USD   3.63%  01/15/29   380,000    378,520(1)
Tenet Healthcare Corp.  USD   4.63%  07/15/24   458,000    464,870 
US Acute Care Solutions LLC:                     
   USD   6.38%  03/01/26   728,000    758,030(1)
   USD   6.38%  03/01/26   82,000    85,382(1)
                    8,744,184 
                      
Home Builders - 2.01%                     
KB Home  USD   4.80%  11/15/29   350,000    388,311 
Mattamy Group Corp.  USD   4.63%  03/01/30   794,000    814,941(1)
Tri Pointe Homes, Inc.  USD   5.70%  06/15/28   393,000    438,486 
Weekley Homes LLC / Weekley Finance Corp.  USD   4.88%  09/15/28   485,000    503,292(1)
                    2,145,030 
                      
Industrial Other - 3.84%                     
Hillenbrand, Inc.  USD   5.75%  06/15/25   403,000    426,676 
Madison IAQ LLC:                     
   USD   4.13%  06/30/28   273,000    274,917(1)
   USD   5.88%  06/30/29   784,000    803,600(1)
Park-Ohio Industries, Inc.  USD   6.63%  04/15/27   515,000    511,627 
United Rentals North America, Inc.  USD   3.75%  01/15/32   858,000    877,429 

 

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Industrial Other (continued)                     
Madison IAQ LLC (continued)                     
WESCO Distribution, Inc.  USD   7.25%  06/15/28   1,077,000   $1,199,175(1)
                    4,093,424 
                      
Leisure - 4.09%                     
Boyne USA, Inc.  USD   4.75%  05/15/29   151,000    156,096(1)
Carnival Corp.:                     
   USD   7.63%  03/01/26   871,000    927,179(1)
   USD   5.75%  03/01/27   93,000    95,201(1)
NCL Corp., Ltd.:                     
   USD   3.63%  12/15/24   420,000    397,425(1)
   USD   5.88%  03/15/26   412,000    413,545(1)
NCL Finance, Ltd.  USD   6.13%  03/15/28   858,000    863,590(1)
Royal Caribbean Cruises, Ltd.:                     
   USD   9.13%  06/15/23   683,000    745,324(1)
   USD   5.50%  08/31/26   511,000    518,665(1)
   USD   5.50%  04/01/28   241,000    243,086(1)
                    4,360,111 
                      
Lodging - 0.15%                     
Marriott Ownership Resorts, Inc.  USD   4.50%  06/15/29   154,000    155,717(1)
                      
Media Cable - 7.63%                     
Altice France Holding SA  USD   6.00%  02/15/28   569,000    564,804(1)
Altice France SA:                     
   USD   5.13%  01/15/29   102,000    102,872(1)
   USD   5.13%  07/15/29   945,000    956,595(1)
CCO Holdings LLC / CCO Holdings Capital Corp.:                     
   USD   5.38%  06/01/29   836,000    914,375(1)
   USD   4.50%  08/15/30   642,000    671,647(1)
CSC Holdings LLC:                     
   USD   7.50%  04/01/28   2,362,000    2,589,343(1)
   USD   5.00%  11/15/31   263,000    262,045(1)
DISH DBS Corp.:                     
   USD   7.75%  07/01/26   122,000    139,897 
   USD   7.38%  07/01/28   493,000    531,147 
   USD   5.13%  06/01/29   626,000    623,653(1)
Midcontinent Communications / Midcontinent Finance Corp.  USD   5.38%  08/15/27   210,000    219,152(1)
Radiate Holdco LLC / Radiate Finance, Inc.  USD   4.50%  09/15/26   335,000    349,231(1)
Telenet Finance Luxembourg Notes Sarl  USD   5.50%  03/01/28   200,000    210,900(1)
                    8,135,661 
                      
Media Other - 5.67%                     
Clear Channel Outdoor Holdings, Inc.  USD   7.50%  06/01/29   501,000    519,161(1)
Netflix, Inc.:                     
   USD   4.88%  04/15/28   986,000    1,153,650 
   USD   4.88%  06/15/30   86,000    103,048(1)
Nexstar Media, Inc.  USD   4.75%  11/01/28   150,000    156,155(1)

 

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Media Other (continued)                     
Sirius XM Radio, Inc.:                     
   USD   3.13%  09/01/26   322,000   $328,504(1)
   USD   5.00%  08/01/27   360,000    378,000(1)
   USD   3.88%  09/01/31   572,000    570,453(1)
TEGNA, Inc.  USD   4.63%  03/15/28   425,000    441,596 
Terrier Media Buyer, Inc.  USD   8.88%  12/15/27   1,077,000    1,148,351(1)
Univision Communications, Inc.:                     
   USD   6.63%  06/01/27   1,022,000    1,107,899(1)
   USD   4.50%  05/01/29   132,000    134,066(1)
                    6,040,883 
                      
Midstream - 6.69%                     
Antero Midstream Partners LP / Antero Midstream Finance Corp.:                     
   USD   5.75%  03/01/27   465,000    479,540(1)
   USD   5.75%  01/15/28   557,000    580,684(1)
DCP Midstream Operating LP  USD   5.13%  05/15/29   648,000    720,158 
DT Midstream, Inc.  USD   4.38%  06/15/31   759,000    784,616(1)
EQM Midstream Partners LP  USD   6.50%  07/01/27   766,000    855,090(1)
Genesis Energy LP / Genesis Energy Finance Corp.:                     
   USD   8.00%  01/15/27   572,000    568,728 
   USD   7.75%  02/01/28   1,061,000    1,041,478 
Hess Midstream Operations LP  USD   4.25%  02/15/30   161,000    163,246(1)
Holly Energy Partners LP / Holly Energy Finance Corp.  USD   5.00%  02/01/28   622,000    635,404(1)
Targa Resources Partners LP / Targa Resources Partners Finance Corp.  USD   6.50%  07/15/27   1,203,000    1,304,016 
                    7,132,960 
                      
Paper/Forest Products - 0.59%                     
Mercer International, Inc.  USD   5.13%  02/01/29   620,000    625,537 
                      
Restaurants - 0.65%                     
1011778 BC ULC / New Red Finance, Inc.  USD   3.88%  01/15/28   684,000    693,405(1)
                      
Retail Food/Drug - 1.04%                     
Albertsons Cos. Inc / Safeway, Inc. / New Albertsons LP / Albertsons LLC:                     
   USD   4.63%  01/15/27   283,000    299,980(1)
   USD   5.88%  02/15/28   65,000    69,794(1)
   USD   4.88%  02/15/30   533,000    582,302(1)
Ingles Markets, Inc.  USD   4.00%  06/15/31   154,000    157,982(1)
                    1,110,058 
                      
Retail Non Food/Drug - 1.57%                     
Ambience Merger Sub, Inc.  USD   4.88%  07/15/28   824,000    829,834(1)
LCM Investments Holdings II LLC  USD   4.88%  05/01/29   98,000    100,818(1)
PetSmart, Inc. / PetSmart Finance Corp.:                     
   USD   4.75%  02/15/28   196,000    204,330(1)

 

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Retail Non Food/Drug (continued)                     
PetSmart, Inc. / PetSmart Finance Corp. (continued)                     
   USD   7.75%  02/15/29   486,000   $534,600(1)
                    1,669,582 
                      
Satellite - 1.64%                     
Hughes Satellite Systems Corp.  USD   6.63%  08/01/26   850,000    966,968 
Intelsat Jackson Holdings SA  USD   5.50%  08/01/23   464,000    241,860(2)
Viasat, Inc.  USD   5.63%  04/15/27   521,000    541,189(1)
                    1,750,017 
                      
Services Other - 4.12%                     
ADT Security Corp.  USD   4.13%  08/01/29   1,063,000    1,062,979(1)
GFL Environmental, Inc.:                     
   USD   4.75%  06/15/29   341,000    350,804(1)
   USD   4.38%  08/15/29   449,000    452,048(1)
Prime Security Services Borrower LLC / Prime Finance, Inc.  USD   6.25%  01/15/28   1,533,000    1,590,488(1)
WW International, Inc.  USD   4.50%  04/15/29   946,000    936,540(1)
                    4,392,859 
                      
Technology - 1.95%                     
Avaya, Inc.  USD   6.13%  09/15/28   501,000    529,181(1)
Fair Isaac Corp.  USD   4.00%  06/15/28   221,000    229,011(1)
Plantronics, Inc.  USD   4.75%  03/01/29   1,177,000    1,128,367(1)
Rackspace Technology Global, Inc.  USD   3.50%  02/15/28   196,000    188,409(1)
                    2,074,968 
                      
Wirelines - 1.22%                     
Consolidated Communications, Inc.  USD   6.50%  10/01/28   1,188,000    1,300,860(1)
                      
TOTAL CORPORATE BONDS                   101,557,214 
(Cost $98,774,473)                     
                      
BANK LOANS - 1.56%(3)                     
Consumer Products - 0.32%                     
Revlon Consumer Products Corporation - Initial B Term Loan  USD   3M US L + 3.50%  09/07/23   567,344    336,293 
                      
Containers/Packaging - 0.13%                     
Flex Acquisition Co., Inc. (aka Novolex) - Specified Refinancing Term Loan  USD   3M US L + 3.50%  03/02/28   134,561    133,912 
                      
Healthcare - 0.53%                     
Envision Healthcare Corporation - Initial Term Loan  USD   1M US L + 3.75%  10/10/25   284,311    251,514 
LifePoint Health, Inc. - Term B Loan  USD   1M US L + 3.75%  11/16/25   317,115    315,257 
                    566,771 
                      
Industrial Other - 0.58%                     
Filtration Group Corporation - Initial Dollar Term Loan  USD   1M US L + 3.00%  03/29/25   254,874    253,193 

 

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Industrial Other (continued)                     
Gates Global LLC - Initial B-3 Dollar Term Loan  USD   1M US L + 2.50%  03/31/27   257,265   $256,461 
Oregon Tool, Inc. - New Refinancing Term Loan  USD   1M US L + 3.75%  04/12/23   111,304    111,501 
                    621,155 
                      
TOTAL BANK LOANS                   1,658,131 
(Cost $1,853,221)                     
                      
COMMON/PREFERRED STOCKS - 0.00%(4)                     
Exploration & Production - 0.00%(4)                     
Alta Mesa Escrow  USD   N/A   N/A   400,000    40(5)(6)
                      
Transport Other - 0.00%(4)                     
Euronav NV  USD   N/A   N/A   31    254(6)
                      
TOTAL COMMON/PREFERRED STOCKS                   294 
(Cost $40)                     
                      
SHORT TERM INVESTMENTS - 1.42%                     
Money Market Fund - 1.42%                     
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield)  USD   0.03%  N/A   1,512,379    1,512,681 
                      
TOTAL SHORT TERM INVESTMENTS                   1,512,681 
(Cost $1,512,394)                     
                      
Total Investments - 98.23%                   104,728,320 
(Cost $102,140,128)                     
Other Assets in Excess of Liabilities - 1.77%                   1,891,519 
                      
Net Assets - 100.00%                  $106,619,839 

 

*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 August 31, 2021 was 0.08%

3M US L - 3 Month LIBOR as of August 31, 2021 was 0.12% 

 

 

(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 $75,367,917, which represents approximately 70.69% of net assets as of August 31, 2021.
(2)Security is in default and therefore is non-income producing.
(3)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.
(4)Amount represents less than 0.005% of net assets.
(5)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.
(6)Non-income producing security.

 

See Notes to Quarterly Statement of Investments 

 

 

 

Stone Harbor Local Markets Fund Statement of Investments

August 31, 2021 (Unaudited)

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
SOVEREIGN DEBT OBLIGATIONS - 85.97%              
Brazil - 4.83%                     
Brazil Letras do Tesouro Nacional:                     
   BRL   0.00%  01/01/22   11,550,000   $2,187,627(1)
   BRL   0.00%  01/01/24   9,990,000    1,572,167(1)
   BRL   10.00%  01/01/31   7,490,000    1,410,862 
Nota Do Tesouro Nacional:                     
   BRL   0.00%  07/01/22   1,190,000    215,962(1)
   BRL   10.00%  01/01/23   8,370,000    1,646,684 
   BRL   10.00%  01/01/29   2,880,000    552,589 
                    7,585,891 
                      
Chile - 1.42%                     
Republic of Chile:                     
   CLP   4.50%  03/01/26   1,085,000,000    1,433,637 
   CLP   4.70%  09/01/30   620,000,000    801,354(2)
                    2,234,991 
                      
China - 11.59%                     
China Government Bond:                     
   CNY   3.19%  04/11/24   24,470,000    3,851,475 
   CNY   1.99%  04/09/25   26,510,000    4,005,279 
   CNY   3.13%  11/21/29   66,050,000    10,360,025 
                    18,216,779 
                      
Colombia - 6.62%                     
Bogota Distrio Capital  COP   9.75%  07/26/28   10,114,000,000    2,885,455(3)
Titulos De Tesoreria:                     
   COP   10.00%  07/24/24   6,917,000,000    2,084,221 
   COP   7.50%  08/26/26   1,208,000,000    340,532 
   COP   5.75%  11/03/27   2,465,000,000    634,125 
   COP   6.00%  04/28/28   2,195,000,000    564,554 
   COP   7.75%  09/18/30   9,296,000,000    2,606,094 
   COP   7.00%  06/30/32   4,137,000,000    1,078,716 
   COP   7.25%  10/18/34   801,000,000    209,532 
                    10,403,229 
                      
Czech Republic - 3.56%                     
Czech Republic Government:                     
   CZK   2.40%  09/17/25   3,970,000    189,392 
   CZK   1.00%  06/26/26   36,500,000    1,639,867 
   CZK   0.25%  02/10/27   42,980,000    1,842,155 
   CZK   4.20%  12/04/36   32,050,000    1,929,036 
                    5,600,450 
                      
Egypt - 0.99%                     
Egypt Treasury Bill  EGP   0.00%  09/28/21   5,000,000    315,554(1)

 

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Egypt (continued)                     
Republic of Egypt  EGP   13.77%  01/05/24   19,491,000   $1,235,202 
                    1,550,756 
                      
Indonesia - 11.66%                     
Republic of Indonesia:                     
   IDR   7.00%  05/15/22   10,090,000,000    726,551 
   IDR   11.00%  09/15/25   58,400,000,000    4,985,241 
   IDR   8.38%  09/15/26   31,031,000,000    2,483,568 
   IDR   6.50%  02/15/31   2,700,000,000    195,744 
   IDR   8.25%  06/15/32   14,010,000,000    1,119,818 
   IDR   6.63%  05/15/33   68,500,000,000    4,862,839 
   IDR   8.38%  03/15/34   33,690,000,000    2,728,270 
   IDR   7.50%  05/15/38   16,480,000,000    1,227,695 
                    18,329,726 
                      
Malaysia - 4.40%                     
Malaysia Government:                     
   MYR   3.91%  07/15/26   6,370,000    1,616,635 
   MYR   3.50%  05/31/27   3,800,000    941,544 
   MYR   3.90%  11/16/27   1,580,000    400,226 
   MYR   3.73%  06/15/28   1,110,000    278,101 
   MYR   3.89%  08/15/29   10,020,000    2,524,886 
   MYR   4.50%  04/15/30   2,530,000    663,691 
   MYR   2.63%  04/15/31   2,160,000    495,574 
                    6,920,657 
                      
Mexico - 6.20%                     
Mexican Bonos:                     
   MXN   6.75%  03/09/23   11,087,000    562,548 
   MXN   8.00%  12/07/23   16,760,000    874,217 
   MXN   8.00%  09/05/24   6,210,000    325,386 
   MXN   5.75%  03/05/26   27,850,000    1,347,243 
   MXN   7.75%  11/23/34   11,096,000    579,672 
   MXN   10.00%  11/20/36   24,916,000    1,546,666 
   MXN   8.50%  11/18/38   52,770,000    2,875,842 
   MXN   7.75%  11/13/42   32,160,000    1,634,551 
                    9,746,125 
                      
Peru - 1.49%                     
Republic of Peru:                     
   PEN   6.15%  08/12/32   4,230,000    1,023,064 
   PEN   5.40%  08/12/34   5,046,000    1,100,684 
   PEN   5.35%  08/12/40   1,050,000    214,861 
                    2,338,609 
                      
Poland - 5.75%                     
Kfw  PLN   1.70%  01/17/22   6,000,000    1,575,502 
Republic of Poland:                     
   PLN   4.00%  10/25/23   18,930,000    5,323,323 
   PLN   2.75%  04/25/28   7,550,000    2,144,175 
                    9,043,000 

 

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Romania - 3.04%                     
Romania Government Bond:                     
   RON   5.00%  02/12/29   14,155,000   $3,675,185 
   RON   3.65%  09/24/31   4,700,000    1,110,625 
                    4,785,810 
                      
                      
Russia - 8.69%                     
Russian Federation:                     
   RUB   7.60%  07/20/22   196,990,000    2,715,434 
   RUB   7.40%  12/07/22   144,130,000    1,987,172 
   RUB   7.95%  10/07/26   34,270,000    492,287 
   RUB   7.05%  01/19/28   17,630,000    244,347 
   RUB   8.50%  09/17/31   201,530,000    3,069,192 
   RUB   7.70%  03/23/33   301,100,000    4,340,914 
   RUB   7.70%  03/16/39   56,000,000    808,643 
                    13,657,989 
                      
Serbia - 0.60%                     
Serbia Treasury Bonds  RSD   4.50%  08/20/32   85,700,000    949,383 
                      
                      
South Africa - 9.11%                     
Republic of South Africa:                     
   ZAR   10.50%  12/21/26   36,480,000    2,859,100 
   ZAR   8.88%  02/28/35   14,000,000    886,063 
   ZAR   6.25%  03/31/36   170,190,000    8,404,922 
   ZAR   8.50%  01/31/37   24,077,000    1,438,793 
   ZAR   6.50%  02/28/41   15,780,000    739,413 
                    14,328,291 
                      
Thailand - 3.41%                     
Thailand Government:                     
   THB   2.88%  12/17/28   25,250,000    875,698 
   THB   3.78%  06/25/32   41,620,000    1,552,696 
   THB   1.59%  12/17/35   85,370,000    2,533,415 
   THB   4.68%  06/29/44   8,950,000    391,180 
                    5,352,989 
                      
Turkey - 1.99%                     
Republic of Turkey:                     
   TRY   11.00%  03/02/22   2,900,000    337,424 
   TRY   7.10%  03/08/23   7,690,000    799,098 
   TRY   9.00%  07/24/24   6,100,000    598,887 
   TRY   10.60%  02/11/26   4,090,000    396,877 
   TRY   11.00%  02/24/27   5,610,000    534,591 
   TRY   10.50%  08/11/27   4,900,000    453,977 
                    3,120,854 
                      
Uruguay - 0.62%                     
Republic of Uruguay:                     
   UYU   9.88%  06/20/22   28,360,000    682,200(3)

 

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Uruguay (continued)                     
Republic of Uruguay: (continued)                     
   UYU   8.50%  03/15/28   12,100,000   $   296,863 (2)
                    979,063 
                      
TOTAL SOVEREIGN DEBT OBLIGATIONS                   135,144,592 
(Cost $137,904,650)                     
                      
CORPORATE BONDS - 6.24%                     
Brazil - 1.91%                     
Swiss Insured Brazil Power Finance Sarl  BRL   9.85%  07/16/32   15,255,719    3,000,608(2)
                      
Kazakhstan - 0.17%                     
Development Bank of Kazakhstan JSC  KZT   8.95%  05/04/23   116,250,000    270,504(2)
                      
Mexico - 4.16%                     
America Movil SAB de CV  MXN   6.45%  12/05/22   90,680,000    4,531,957 
Petroleos Mexicanos  MXN   7.47%  11/12/26   45,370,000    2,012,932 
                    6,544,889 
                      
TOTAL CORPORATE BONDS                   9,816,001 
(Cost $11,744,394)                     
                      
SHORT TERM INVESTMENTS - 3.48%                     
Money Market Fund - 3.48%                     
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield)  USD   0.03%  N/A   5,467,685    5,468,779 
                      
TOTAL SHORT TERM INVESTMENTS                   5,468,779 
(Cost $5,468,788)                     
                      
Total Investments - 95.69%                   150,429,372 
(Cost $155,117,832)                     
Other Assets In Excess of Liabilities - 4.31%                   6,778,284 
                      
Net Assets - 100.00%                  $157,207,656 

 

 

*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
RSD - Serbian Dinar
RUB - Russian Ruble
THB - Thai Baht
TRY - Turkish Lira
USD - United States Dollar
UYU - Uruguayan Peso
ZAR - South African Rand

 

 

(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 $4,369,329, which represents approximately 2.78% of net assets as of August 31, 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 August 31, 2021, the aggregate fair value of those securities was $3,567,655, which represents approximately 2.27% of net assets.

 

 

 

OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS

 

Counterparty  Settlement
Date		  Fund
Receiving		  U.S. $ Value
at August 31, 2021		  Fund
Delivering		  U.S. $ Value
at August 31, 2021		  Unrealized
Appreciation/
(Depreciation)
                   
Citigroup Global Markets  09/02/21  BRL   808,966   USD   798,969   $9,997 
Citigroup Global Markets  09/14/21  USD   2,223,080   RON   2,218,032    5,048 
Citigroup Global Markets  10/04/21  BRL   805,330   USD   794,432    10,898 
Citigroup Global Markets  10/06/21  CZK   160,027   USD   157,992    2,035 
Citigroup Global Markets  10/06/21  USD   160,316   CZK   160,027    289 
Citigroup Global Markets  10/22/21  COP   253,012   USD   252,732    280 
Citigroup Global Markets  10/29/21  CLP   174,058   USD   173,522    536 
Citigroup Global Markets  10/29/21  USD   110,097   CLP   108,126    1,971 
Goldman Sachs & Co.  09/02/21  BRL   1,145,111   USD   1,137,085    8,026 
Goldman Sachs & Co.  09/30/21  RUB   799,803   USD   787,863    11,940 
Goldman Sachs & Co.  10/04/21  BRL   1,139,964   USD   1,124,514    15,450 
Goldman Sachs & Co.  10/06/21  CZK   2,438,708   USD   2,407,971    30,737 
Goldman Sachs & Co.  10/06/21  HUF   1,566,202   USD   1,510,568    55,634 
Goldman Sachs & Co.  10/06/21  PLN   1,925,299   USD   1,899,177    26,122 
J.P. Morgan Chase & Co.  09/14/21  USD   953,123   RON   951,422    1,701 
J.P. Morgan Chase & Co.  10/06/21  HUF   1,563,957   USD   1,506,755    57,202 
J.P. Morgan Chase & Co.  10/06/21  PLN   1,247,300   USD   1,229,300    18,000 
                      $255,866 
                         
Citigroup Global Markets  10/29/21  CLP   1,032,015   USD   1,050,675   $(18,660)
Citigroup Global Markets  09/29/21  THB   631,273   USD   639,303    (8,030)
Citigroup Global Markets  09/29/21  USD   61,404   THB   63,596    (2,192)
Citigroup Global Markets  10/22/21  USD   600,908   CNH   604,609    (3,701)
Citigroup Global Markets  10/22/21  USD   1,001,875   COP   1,029,421    (27,546)
Citigroup Global Markets  09/02/21  USD   797,826   BRL   808,966    (11,140)
Goldman Sachs & Co.  09/29/21  THB   2,730,292   USD   2,749,116    (18,824)
Goldman Sachs & Co.  10/29/21  USD   242,019   MXN   244,712    (2,693)
Goldman Sachs & Co.  10/18/21  USD   2,012,409   ZAR   2,031,261    (18,852)
Goldman Sachs & Co.  09/02/21  USD   1,129,297   BRL   1,145,111    (15,814)
HSBC  10/22/21  USD   2,096,144   CNH   2,109,060    (12,916)
J.P. Morgan Chase & Co.  10/04/21  BRL   1,743,028   USD   1,760,636    (17,608)
J.P. Morgan Chase & Co.  10/06/21  PLN   2,114,952   USD   2,120,599    (5,647)
J.P. Morgan Chase & Co.  09/29/21  THB   575,092   USD   582,407    (7,315)
J.P. Morgan Chase & Co.  10/29/21  USD   559,349   MXN   565,552    (6,203)
J.P. Morgan Chase & Co.  10/22/21  USD   1,062,815   COP   1,092,803    (29,988)
                      $(207,129)

 

See Notes to Quarterly Statement of Investments 

 

 

 

Stone Harbor Emerging Markets Corporate Debt Fund Statement of Investments

August 31, 2021 (Unaudited)

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
                
CORPORATE BONDS - 96.37%                     
Argentina - 2.19%                     
MSU Energy SA  USD   6.88%  02/01/25   48,000   $38,227(1)
Pampa Energia SA  USD   7.50%  01/24/27   35,000    32,156(1)
YPF SA:                     
   USD   8.50%  07/28/25   16,000    13,706(1)
   USD   6.95%  07/21/27   87,000    65,263(2)
                    149,352 
                      
Brazil - 8.58%                     
Adecoagro SA  USD   6.00%  09/21/27   27,000    28,475(1)
Banco do Brasil SA  USD   9.00%  Perpetual   6,000    6,748(1)(3)(4)
CSN Inova Ventures  USD   6.75%  01/28/28   20,000    22,007(1)
Gol Finance SA  USD   7.00%  01/31/25   66,000    63,112(1)
Guara Norte Sarl  USD   5.20%  06/15/34   20,628    21,209(1)
Iochpe-Maxion Austria GmbH / Maxion Wheels de Mexico S de RL de CV  USD   5.00%  05/07/28   23,000    23,423(1)
Itau Unibanco Holding SA  USD   6.13%  Perpetual   32,000    32,657(1)(3)(4)
Klabin Austria GmbH:                     
   USD   3.20%  01/12/31   30,000    29,700(1)
   USD   7.00%  04/03/49   23,000    29,170(1)
MC Brazil Downstream Trading SARL  USD   7.25%  06/30/31   51,000    52,979(1)
Minerva Luxembourg SA  USD   4.38%  03/18/31   33,000    32,423(1)
MV24 Capital BV  USD   6.75%  06/01/34   21,477    23,440(1)
Petrobras Global Finance BV:                     
   USD   5.75%  02/01/29   28,000    32,043 
   USD   6.90%  03/19/49   51,000    60,512 
Simpar Europe SA  USD   5.20%  01/26/31   45,000    46,280(1)
Usiminas International Sarl  USD   5.88%  07/18/26   76,000    81,625(1)
                    585,803 
                      
Chile - 2.72%                     
ATP Tower Holdings LLC / Andean Tower Partners Colombia SAS / Andean Telecom Par  USD   4.05%  04/27/26   18,000    18,347(1)
Celulosa Arauco y Constitucion SA  USD   5.50%  04/30/49   29,000    35,005(1)
Cencosud SA  USD   4.38%  07/17/27   14,000    15,368(1)
Empresa Nacional de Telecomunicaciones SA  USD   4.88%  10/30/24   11,000    11,782(1)
Geopark, Ltd.  USD   5.50%  01/17/27   60,000    60,083(1)
Inversiones CMPC SA  USD   3.00%  04/06/31   28,000    28,455(1)
VTR Comunicaciones SpA  USD   5.13%  01/15/28   16,000    16,755(1)
                    185,795 
                      
China - 6.89%                     
Bank of China, Ltd.  USD   5.00%  11/13/24   46,000    51,259(2)
ENN Clean Energy International Investment, Ltd.  USD   3.38%  05/12/26   131,000    133,336(1)
Golden Eagle Retail Group, Ltd.  USD   4.63%  05/21/23   44,000    44,902(2)
Tencent Holdings, Ltd.:                     
   USD   2.39%  06/03/30   14,000    14,001(1)
   USD   3.24%  06/03/50   14,000    13,799(1)

 

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
China (continued)                     
Wanda Properties International Co., Ltd.  USD   7.25%  01/29/24   200,000   $201,718 
Yingde Gases Investment, Ltd.  USD   6.25%  01/19/23   11,000    11,323(2)
                    470,338 
                      
Colombia - 3.67%                     
AI Candelaria Spain SLU:                     
   USD   7.50%  12/15/28   32,000    35,640(1)
   USD   7.50%  12/15/28   20,000    22,275(2)
Ecopetrol SA:                     
   USD   5.38%  06/26/26   29,000    31,987 
   USD   7.38%  09/18/43   33,000    40,524 
Gran Tierra Energy International Holdings, Ltd.  USD   6.25%  02/15/25   103,000    91,026(1)
Millicom International Cellular SA  USD   5.13%  01/15/28   27,900    29,142(1)
                    250,594 
                      
Ghana - 1.92%                     
Tullow Oil PLC:                     
   USD   7.00%  03/01/25   98,000    83,545(1)
   USD   10.25%  05/15/26   46,000    47,811(1)
                    131,356 
                      
Guatemala - 1.51%                     
Energuate Trust  USD   5.88%  05/03/27   38,000    39,766(1)
Investment Energy Resources, Ltd.  USD   6.25%  04/26/29   58,000    63,437(1)
                    103,203 
                      
Hong Kong - 3.00%                     
ESR Cayman, Ltd.  USD   7.88%  04/04/22   200,000    204,975 
                      
India - 4.81%                     
Bharti Airtel, Ltd.:                     
   USD   4.38%  06/10/25   15,000    16,314(2)
   USD   3.25%  06/03/31   33,000    33,478(1)
Greenko Dutch BV  USD   3.85%  03/29/26   24,000    24,546(1)
Network i2i, Ltd.  USD   5Y US TI + 4.28%  Perpetual   173,000    184,970(1)(3)(4)
Vedanta Resources Finance II PLC:                     
   USD   13.88%  01/21/24   19,000    20,953(1)
   USD   8.95%  03/11/25   21,000    21,354(1)
Vedanta Resources, Ltd.  USD   6.38%  07/30/22   27,000    27,078(1)
                    328,693 

 

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Indonesia - 3.44%                     
Indika Energy Capital IV Pte, Ltd.  USD   8.25%  10/22/25   12,000   $12,654(1)
Indonesia Asahan Aluminium Persero PT  USD   5.45%  05/15/30   60,000    70,075(1)
Minejesa Capital BV  USD   4.63%  08/10/30   125,000    132,187(1)
PT Bumi Resources TBK (Eterna Capital Pte, Ltd.)  USD   7.50% PIK   12/11/22   9,635    6,956(5)
Star Energy Geothermal Darajat II / Star Energy Geothermal Salak  USD   4.85%  10/14/38   12,000    13,319(1)
                    235,191 
                      
Israel - 4.91%                     
Altice Financing SA  USD   5.00%  01/15/28   94,000    94,277(1)
Leviathan Bond, Ltd.  USD   6.75%  06/30/30   74,000    83,361(1)
Teva Pharmaceutical Finance Netherlands III BV  USD   3.15%  10/01/26   164,000    157,997 
                    335,635 
                      
Jamaica - 0.42%                     
Digicel Group Holdings, Ltd.  USD   8% Cash and 2% PIK or 10.00% PIK   04/01/24   14,527    14,434(5)
Digicel, Ltd.  USD   6.75%  03/01/23   15,000    14,250(2)
                    28,684 
                      
Macau - 3.50%                     
Melco Resorts Finance, Ltd.:                     
   USD   5.63%  07/17/27   87,000    90,394 
   USD   5.75%  07/21/28   32,000    33,426(1)
Sands China, Ltd.  USD   5.40%  08/08/28   18,000    20,828 
Studio City Finance, Ltd.:                     
   USD   6.00%  07/15/25   79,000    82,579(1)
   USD   6.50%  01/15/28   11,000    11,550(1)
                    238,777 
                      
Malaysia - 3.11%                     
Gohl Capital, Ltd.  USD   4.25%  01/24/27   200,000    212,351 
                      
                      
Mexico - 7.71%                     
Aerovias de Mexico SA de CV  USD   7.00%  02/05/25   69,000    58,693(1)(6)
America Movil SAB de CV  USD   3.63%  04/22/29   13,000    14,313 
Axtel SAB Axtel de CV  USD   6.38%  11/14/24   77,000    80,150(1)
Banco Mercantil del Norte SA/Grand Cayman:                     
   USD   6.75%  Perpetual   63,000    67,890(1)(3)(4)
   USD   7.50%  Perpetual   43,000    48,941(1)(3)(4)
BBVA Bancomer SA  USD   6.75%  09/30/22   11,000    11,648(1)
Cemex SAB de CV  USD   5Y US TI + 4.534%  Perpetual   33,000    34,576(1)(3)(4)
Cometa Energia SA de CV  USD   6.38%  04/24/35   51,184    60,404(1)
FEL Energy VI Sarl  USD   5.75%  12/01/40   10,941    11,668(1)
Mexico Generadora De Energia  USD   5.50%  12/06/32   24,903    28,624(1)
Petroleos Mexicanos  USD   7.69%  01/23/50   48,000    45,949 
Sixsigma Networks Mexico SA de CV  USD   7.50%  05/02/25   35,000    34,205(1)
Southern Copper Corp.  USD   6.75%  04/16/40   21,000    29,925 
                    526,986 

 

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Nigeria - 2.63%                     
Access Bank PLC  USD   10.50%  10/19/21   22,000   $22,356(1)
Africa Finance Corp.  USD   2.88%  04/28/28   32,000    32,480(1)
IHS Netherlands Holdco BV  USD   8.00%  09/18/27   93,000    100,198(1)
United Bank for Africa PLC  USD   7.75%  06/08/22   24,000    24,893(1)
                    179,927 
                      
Oman - 0.44%                     
Oryx Funding, Ltd.  USD   5.80%  02/03/31   28,000    29,750(1)
                      
Panama - 0.83%                     
C&W Senior Financing DAC  USD   7.50%  10/15/26   54,000    56,362(1)
                      
Peru - 3.87%                     
Banco BBVA Peru SA  USD   5Y US TI + 2.75%   09/22/29   13,000    13,754(2)(3)
Banco de Credito del Peru  USD   5Y US TI + 3.00%  07/01/30   28,000    28,000(1)(3)
Inkia Energy, Ltd.  USD   5.88%  11/09/27   92,000    94,524(1)
Kallpa Generacion SA:                     
   USD   4.88%  05/24/26   22,000    23,331(1)
   USD   4.13%  08/16/27   53,000    54,871(1)
Nexa Resources SA  USD   6.50%  01/18/28   45,000    50,027(1)
                    264,507 
                      
Russia - 4.02%                     
Gazprom PJSC Via Gaz Capital SA  USD   4.95%  02/06/28   118,000    132,308(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    32,592(1)(3)(4)
                    274,466 
                      
Saudi Arabia - 3.09%                     
Acwa Power Management And Investments One, Ltd.  USD   5.95%  12/15/39   102,890    122,439(1)
Saudi Arabian Oil Co.:                     
   USD   3.50%  04/16/29   40,000    43,623(1)
   USD   3.25%  11/24/50   46,000    45,195(1)
                    211,257 
                      
South Africa - 3.18%                     
AngloGold Ashanti Holdings PLC  USD   3.75%  10/01/30   52,000    54,600 
Eskom Holdings SOC, Ltd.  USD   6.75%  08/06/23   109,000    114,014(1)
Liquid Telecommunications Financing PLC  USD   5.50%  09/04/26   30,000    31,162(1)
Prosus NV  USD   3.83%  02/08/51   19,000    17,320(1)
                    217,096 
                      
South Korea - 1.93%                     
Shinhan Bank Co., Ltd.  USD   3.88%  03/24/26   60,000    66,052(2)
Woori Bank  USD   4.75%  04/30/24   60,000    65,620(2)
                    131,672 

 

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Tanzania - 0.93%
HTA Group, Ltd.  USD   7.00%  12/18/25   60,000   $63,820(1)
                      
                      
Thailand - 2.40%                     
Bangkok Bank PCL  USD   5Y US TI + 1.90%  09/25/34   50,000    51,812(1)(3)
PTT Treasury Center Co., Ltd.  USD   4.50%  10/25/42   60,000    68,615(1)
Thaioil Treasury Center Co., Ltd.  USD   4.88%  01/23/43   40,000    43,356(2)
                    163,783 
                      
Turkey - 3.79%                     
Akbank Turk AS:                     
   USD   5.13%  03/31/25   15,000    15,251(1)
   USD   6.80%  04/27/28   35,000    35,713(1)(3)
Aydem Yenilenebilir Enerji AS  USD   7.75%  02/02/27   62,000    61,923(1)
Turk Telekomunikasyon AS  USD   6.88%  02/28/25   37,000    40,776(1)
Turkiye Garanti Bankasi AS  USD   6.13%  05/24/27   60,000    60,703(1)(3)
Ulker Biskuvi Sanayi AS  USD   6.95%  10/30/25   41,000    44,298(1)
                    258,664 
                      
Ukraine - 3.59%                     
Metinvest BV:                     
   USD   7.75%  04/23/23   60,000    64,125(1)
   USD   7.75%  10/17/29   77,000    86,457(1)
VF Ukraine PAT via VFU Funding PLC  USD   6.20%  02/11/25   91,000    94,754(1)
                    245,336 
                      
United Arab Emirates - 3.69%                     
DP World, Ltd./United Arab Emirates  USD   4.70%  09/30/49   149,000    166,655(1)
Galaxy Pipeline Assets Bidco, Ltd.  USD   1.75%  09/30/27   84,000    85,470(1)
                    252,125 
                      
United States - 0.50%                     
SierraCol Energy Andina LLC  USD   6.00%  06/15/28   34,000    33,984(1)
                      
Vietnam - 1.53%                     
Mong Duong Finance Holdings BV  USD   5.13%  05/07/29   104,000    104,497(1)
                      
Zambia - 1.57%                     
First Quantum Minerals, Ltd.:                     
   USD   6.50%  03/01/24   39,000    39,834(1)
   USD   7.50%  04/01/25   65,000    67,620(1)
                    107,454 
                      
TOTAL CORPORATE BONDS                   6,582,433 
(Cost $6,246,221)                     

 

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
SHORT TERM INVESTMENTS - 3.46%                     
Money Market Fund - 3.46%                     
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield)  USD   0.03%  N/A   236,356   $236,403 
                      
TOTAL SHORT TERM INVESTMENTS                   236,403 
(Cost $236,407)                     
                      
Total Investments - 99.83%                   6,818,836 
(Cost $6,482,628)                     
Other Assets In Excess of Liabilities - 0.17%                   11,740 
                      
Net Assets - 100.00%                  $6,830,576 

 

 

*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

TI – Treasury Index

 

Reference Rates:

5Y US TI -  5 Year US Treasury Index as of August 31, 2021 was 0.77% 

 

(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 $4,948,559, which represents approximately 72.45% of net assets as of August 31, 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 August 31, 2021, the aggregate fair value of those securities was $414,368, which represents approximately 6.07% of net assets.
(3)Floating or variable rate security. The reference rate is described above. The rate in effect as of August 31, 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 Strategic Income Fund Statement of Investments

August 31, 2021 (Unaudited)

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
                
OPEN-END FUNDS - 62.83%                     
Stone Harbor Emerging Markets Corporate Debt Fund  USD   N/A   N/A   175,392   $1,632,895(1)
Stone Harbor Emerging Markets Debt Fund  USD   N/A   N/A   725,037    7,206,864(1)
Stone Harbor High Yield Bond Fund  USD   N/A   N/A   1,079,992    8,877,538(1)
Stone Harbor Local Markets Fund  USD   N/A   N/A   255,938    2,300,880(1)
                    20,018,177 
                      
TOTAL OPEN-END FUNDS                   20,018,177 
(Cost $19,914,638)                     
                      
ASSET BACKED/COMMERCIAL MORTGAGE BACKED SECURITIES - 2.15%                     
Aqua Finance Trust, Series 2019-A  USD   3.14%  09/15/25   32,808    33,643(2)
BB-UBS Trust, Series 2012-TFT  USD   2.89%  06/05/30   20,898    20,939(2)
BX Commercial Mortgage Trust, Series 2019-IMC  USD   1M US L + 1.30%  04/15/34   100,000    99,894(2)(3)
CLNY Trust, Series 2019-IKPR  USD   1M US L + 1.13%  11/15/38   50,000    50,127(2)(3)
Fannie Mae Pool, Series 2013-  USD   3.00%  07/01/27   38,379    40,656(4)
Freddie Mac Whole Loan Securities Trust:                     
Series 2015-SC02  USD   3.00%  09/25/45   15,298    15,402(4)
Series 2016-SC01  USD   3.50%  07/25/46   25,509    25,984(4)
Invitation Homes Trust, Series 2017-SFR2  USD   1M US L + 0.85%  12/17/36   14,937    14,971(2)(3)
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9  USD   5.34%  05/15/47   52,508    46,572 
MBRT, Series 2019-MBR  USD   1M US L + 0.85%  11/25/21   75,000    75,092(2)(3)
MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV  USD   4.43%  10/15/22   100,000    79,911(2)(3)
New Residential Advance Receivables Trust Advance Receivables Backed, Series 2020-T1  USD   1.43%  08/15/23   50,000    50,154(2)
Towd Point Mortgage Trust, Series 2016-5  USD   2.50%  10/25/56   12,049    12,239(2)(3)
Verus Securitization Trust 2021-3, Series 2021-3  USD   1.05%  06/25/66   118,852    119,112(2)(3)
                    684,696 
                      
TOTAL ASSET BACKED/COMMERCIAL MORTGAGE BACKED SECURITIES                   684,696 
(Cost $681,869)                     
                      
CORPORATE BONDS - 15.02%                     
Aerospace/Defense - 0.40%                     
Boeing Co.  USD   3.60%  05/01/34   25,000    26,514 
General Dynamics Corp.  USD   2.85%  06/01/41   50,000    52,283 
Raytheon Technologies Corp.  USD   1.90%  09/01/31   50,000    49,446 
                    128,243 
                      
Automotive - 0.42%                     
Ford Motor Credit Co. LLC  USD   4.27%  01/09/27   50,000    53,572 
General Motors Financial Co., Inc.  USD   4.35%  01/17/27   50,000    56,302 
Hyundai Capital America  USD   1.30%  01/08/26   25,000    24,746(2)
                    134,620 

 

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Banking - 3.47%                     
Bank of America Corp.  USD   3M US L + 0.99%  02/13/31   100,000   $102,897(3)
Citigroup, Inc.:                     
   USD   4.40%  06/10/25   50,000    55,648 
   USD   4.45%  09/29/27   75,000    85,950 
Credit Suisse Group AG  USD   3M US L + 1.24%  06/12/24   50,000    52,987(2)(3)
Deutsche Bank AG:                     
   USD   3.70%  05/30/24   50,000    53,478 
   USD   1D US SOFR + 1.87%  11/24/26   50,000    51,106(3)
Goldman Sachs Group, Inc.  USD   1D US SOFR + 0.61%  02/12/26   50,000    49,733(3)
HSBC Holdings PLC:                     
   USD   1D US SOFR + 1.54%  04/18/26   25,000    25,319(3)
   USD   1D US SOFR + 1.29%  05/24/27   25,000    25,098(3)
Intesa Sanpaolo SpA  USD   4.00%  09/23/29   75,000    82,886(2)
JPMorgan Chase & Co.  USD   3.63%  12/01/27   50,000    55,051 
Mizuho Financial Group, Inc.  USD   1D US SOFR + 1.53%  09/08/31   75,000    73,800(3)
Morgan Stanley  USD   1D US SOFR + 1.02%  04/28/32   50,000    48,905(3)
Societe Generale SA  USD   1Y US TI + 1.10%  12/14/26   75,000    74,631(2)(3)
Standard Chartered PLC:                     
   USD   3M US L + 1.21%  01/30/26   25,000    26,132(2)(3)
   USD   5Y US TI + 2.30%  02/18/36   25,000    25,144(2)(3)
   USD   5.70%  03/26/44   25,000    33,001(2)
State Street Corp.  USD   2.20%  03/03/31   50,000    51,068 
Sumitomo Mitsui Financial Group, Inc.  USD   2.14%  09/23/30   25,000    24,549 
Synchrony Financial  USD   3.70%  08/04/26   50,000    54,827 
Wells Fargo & Co.  USD   1D US SOFR + 1.26%  02/11/31   50,000    51,952(3)
                    1,104,162 
                      
Building Products - 0.19%                     
Vulcan Materials Co.  USD   4.50%  06/15/47   50,000    61,790 
                      
Chemicals - 0.35%                     
Huntsman International LLC  USD   2.95%  06/15/31   50,000    51,802 
Nutrien, Ltd.  USD   3.95%  05/13/50   50,000    58,866 
                    110,668 
                      
Commercial Services - 0.16%                     
Equifax, Inc.  USD   2.35%  09/15/31   50,000    50,377 
                      
Construction Machinery - 0.16%                     
CNH Industrial Capital LLC  USD   1.45%  07/15/26   50,000    50,016 

 

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Diversified Manufacturing - 0.17%                     
Carrier Global Corp.  USD   3.58%  04/05/50   50,000   $54,514 
                      
Electric - 1.02%                     
Appalachian Power Co.  USD   3.70%  05/01/50   50,000    55,948 
Duke Energy Corp.  USD   3.50%  06/15/51   50,000    52,886 
Electricite de France SA  USD   4.50%  09/21/28   50,000    58,179(2)
Entergy Texas, Inc.  USD   3.55%  09/30/49   50,000    55,181 
NextEra Energy Capital Holdings, Inc.  USD   2.25%  06/01/30   50,000    50,986 
Vistra Operations Co. LLC  USD   3.55%  07/15/24   50,000    52,907(2)
                    326,087 
                      
Environmental Services - 0.16%                     
Waste Management, Inc.  USD   2.95%  06/01/41   50,000    51,961 
                      
Exploration & Production - 0.33%                     
BP Capital Markets PLC  USD   5Y US TI + 4.04%  Perpetual   50,000    53,375(3)(5)
TotalEnergies Capital International SA  USD   3.13%  05/29/50   50,000    51,819 
                    105,194 
                      
Food and Beverage - 0.15%                     
Conagra Brands, Inc.  USD   1.38%  11/01/27   50,000    49,070 
                      
Gaming - 0.16%                     
Las Vegas Sands Corp.  USD   3.20%  08/08/24   50,000    51,970 
                      
Gas Distributors - 0.18%                     
Sempra Energy  USD   4.00%  02/01/48   50,000    56,659 
                      
Gas Pipelines - 0.72%                     
CenterPoint Energy, Inc.  USD   4.25%  11/01/28   50,000    57,603 
Kinder Morgan Energy Partners LP  USD   5.50%  03/01/44   50,000    63,678 
Sabine Pass Liquefaction LLC  USD   5.00%  03/15/27   50,000    57,876 
Williams Cos., Inc.  USD   2.60%  03/15/31   50,000    51,053 
                    230,210 
                      
Healthcare - 0.37%                     
CVS Health Corp.:                     
   USD   4.30%  03/25/28   10,000    11,525 
   USD   4.78%  03/25/38   25,000    31,148 
Laboratory Corp. of America Holdings  USD   1.55%  06/01/26   75,000    75,816 
                    118,489 

 

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Healthcare-Services - 0.32%
HCA, Inc.  USD   3.50%  07/15/51   50,000   $51,155 
Universal Health Services, Inc.  USD   1.65%  09/01/26   50,000    50,060(2)
                    101,215 
                      
Industrial Other - 0.17%                     
Flowserve Corp.  USD   3.50%  10/01/30   50,000    52,772 
                      
Lodging - 0.25%                     
Marriott International, Inc.:                     
   USD   5.75%  05/01/25   25,000    28,734 
   USD   2.85%  04/15/31   50,000    51,051 
                    79,785 
                      
Media Cable - 0.29%                     
Charter Communications Operating LLC / Charter Communications Operating Capital  USD   6.48%  10/23/45   25,000    34,932 
Comcast Corp.  USD   3.97%  11/01/47   50,000    58,896 
                    93,828 
                      
Media Other - 0.09%                     
Interpublic Group of Cos., Inc.  USD   4.65%  10/01/28   25,000    29,477 
                      
Metals/Mining/Steel - 0.18%                     
Anglo American Capital PLC  USD   4.00%  09/11/27   50,000    55,890(2)
                      
Non Captive Finance - 0.17%                     
Air Lease Corp.  USD   3.63%  12/01/27   50,000    54,208 
                      
Oil&Gas - 0.16%                     
Valero Energy Corp.  USD   2.15%  09/15/27   50,000    50,899 
                      
Pharmaceuticals - 0.33%                     
AbbVie, Inc.  USD   3.20%  11/21/29   50,000    54,690 
Pfizer, Inc.  USD   1.75%  08/18/31   50,000    49,790 
                    104,480 
                      
Pipelines - 0.35%                     
Boardwalk Pipelines LP  USD   4.80%  05/03/29   50,000    57,868 
Eastern Gas Transmission & Storage, Inc.  USD   3.00%  11/15/29   50,000    53,247(2)
                    111,115 
                      
Property & Casualty Insurance - 0.16%                     
Kemper Corp.  USD   2.40%  09/30/30   50,000    50,402 

 

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Refining - 0.15%                     
Phillips 66  USD   2.15%  12/15/30   50,000   $49,307 
                      
REITS - 0.82%                     
Boston Properties LP  USD   2.55%  04/01/32   50,000    50,693 
CubeSmart LP  USD   3.00%  02/15/30   50,000    52,975 
Office Properties Income Trust  USD   2.40%  02/01/27   50,000    50,039 
SITE Centers Corp.:                     
   USD   4.25%  02/01/26   15,000    16,358 
   USD   4.70%  06/01/27   35,000    39,422 
WEA Finance LLC  USD   2.88%  01/15/27   50,000    52,106(2)
                    261,593 
                      
Restaurants - 0.20%                     
McDonald's Corp.  USD   4.45%  03/01/47   50,000    62,504 
                      
Retail Non Food/Drug - 0.15%                     
O'Reilly Automotive, Inc.  USD   1.75%  03/15/31   50,000    48,551 
                      
Semiconductors - 0.16%                     
Intel Corp.  USD   1.60%  08/12/28   50,000    50,323 
                      
Services Other - 0.33%                     
Expedia Group, Inc.  USD   3.25%  02/15/30   50,000    51,885 
Western Union Co.  USD   2.85%  01/10/25   50,000    52,709 
                    104,594 
                      
Software - 0.16%                     
salesforce.com, Inc.  USD   2.70%  07/15/41   50,000    51,059 
                      
Technology - 0.98%                     
Automatic Data Processing, Inc.  USD   1.70%  05/15/28   50,000    50,911 
Broadcom, Inc.  USD   5.00%  04/15/30   50,000    59,276 
Electronic Arts, Inc.  USD   2.95%  02/15/51   50,000    49,750 
Fidelity National Information Services, Inc.  USD   1.15%  03/01/26   50,000    49,776 
Tencent Holdings, Ltd.  USD   3.60%  01/19/28   50,000    54,182(2)
TSMC Global, Ltd.  USD   1.00%  09/28/27   50,000    48,516(2)
                    312,411 
                      
Telecommunications - 0.23%                     
Verizon Communications, Inc.  USD   3.00%  11/20/60   75,000    72,310 
                      
Transportation Non Air/Rail - 0.19%                     
FedEx Corp.  USD   4.40%  01/15/47   50,000    60,776 

 

 

   Currency  Rate   Maturity Date  Principal Amount/Shares*   Value
(Expressed in USD)		 
Wireless - 0.37%                     
T-Mobile USA, Inc.:                     
   USD   3.88%  04/15/30   25,000   $28,042 
   USD   4.50%  04/15/50   25,000    30,010 
Vodafone Group PLC  USD   4.25%  09/17/50   50,000    58,995 
                    117,047 
                      
Wirelines - 0.40%                     
AT&T, Inc.:                     
   USD   2.25%  02/01/32   75,000    74,585 
   USD   3.65%  09/15/59   50,000    51,545(2)
                    126,130 
                      
TOTAL CORPORATE BONDS                   4,784,706 
(Cost $4,663,003)                     
                      
U.S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES - 8.15%                     
FNMA TBA  USD   2.50%  09/15/21   2,500,000    2,596,680(4)
                      
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES                   2,596,680 
(Cost $2,599,219)                     
                      
U.S. TREASURY BONDS/NOTES - 5.83%                     
U.S. Treasury Bonds:                     
   USD   2.75%  02/15/28   50,000    55,494 
   USD   2.50%  02/15/46   225,000    251,341 
U.S. Treasury Notes:                     
   USD   2.00%  11/15/21   625,000    627,494 
   USD   2.13%  05/15/25   325,000    343,662 
   USD   2.00%  08/15/25   550,000    580,121 
                    1,858,112 
                      
TOTAL U.S. TREASURY BONDS/NOTES                   1,858,112 
(Cost $1,837,809)                     
                      
SHORT TERM INVESTMENTS - 5.18%                     
Money Market Fund - 5.18%                     
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield)  USD   0.03%  N/A   1,650,308    1,650,638 
                      
TOTAL SHORT TERM INVESTMENTS                   1,650,638 
(Cost $1,650,686)                     
                      
Total Investments - 99.16%                   31,593,009 
(Cost $31,347,224)                     
Other Assets In Excess of Liabilities - 0.84%                   266,285(6)
                      
Net Assets - 100.00%                  $31,859,294 

 

 

Investment Abbreviations:

LIBOR - London Interbank Offered Rate

SOFR - Secured Overnight Financing Rate

TI – Treasury Index

 

Reference Rates:

1M US L - 1 Month LIBOR as of August 31, 2021 was 0.08%

3M US L - 3 Month LIBOR as of August 31, 2021 was 0.12%

1D US SOFR - 1 Day SOFR as of August 31, 2021 was 0.01%

1Y US TI -  1 Year US Treasury Bill as of August 31, 2021 was 0.05%

5Y US TI -  5 Year US Treasury Index as of August 31, 2021 was 0.77%

 

 

*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
USD - United States Dollar

 

(1)Affiliated with the Fund, as each is a series of Stone Harbor Investment Funds and has the same investment adviser.
(2)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 $1,352,241, which represents approximately 4.24% of net assets as of August 31, 2021.
(3)Floating or variable rate security. The reference rate is described above. The rate in effect as of August 31, 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)Investment purchased on a delayed delivery basis.
(5)Security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.
(6)Includes cash which is being held as collateral for forward foreign currency contracts, futures contracts and credit default swap contracts.

 

 

OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS

 

Counterparty  Settlement
Date		  Fund
Receiving		  U.S. $ Value
at August 31, 2021		  Fund
Delivering		  U.S. $ Value
at August 31, 2021		  Unrealized
Appreciation/
(Depreciation)
                   
Citigroup Global Markets  09/30/21  USD   83,784   GBP   82,360   $1,424 
J.P. Morgan Chase & Co.  09/10/21  EUR   543,228   USD   542,505    723 
J.P. Morgan Chase & Co.  09/10/21  JPY   70,002   USD   69,911    91 
J.P. Morgan Chase & Co.  09/16/21  JPY   318,994   USD   317,580    1,414 
J.P. Morgan Chase & Co.  09/30/21  USD   106,045   EUR   104,558    1,487 
                      $5,139 
                         
Citigroup Global Markets  09/16/21  AUD   146,323   USD   146,923   $(600)
Goldman Sachs & Co.  09/10/21  JPY   157,988   USD   159,491    (1,503)
J.P. Morgan Chase & Co.  09/10/21  AUD   153,633   USD   155,399    (1,766)
J.P. Morgan Chase & Co.  09/10/21  EUR   82,665   USD   83,253    (588)
                      $(4,457)

 

FUTURES CONTRACTS

 

Description  Position  Contracts  Currency  Expiration Date  Notional Amount***  Value and Unrealized Appreciation/(Depreciation)
US 10 Yr T-Note Future  Short  (83)  USD  12/21/21  $(11,076,609)  $10,709 
                    $10,709 
                       
Euro-Bund Future  Short  (6)  EUR  9/08/21   (1,052,700)  $(28,615)
US Ultra Bond Future  Long  1  USD  12/21/21   197,281    (1,316)
                    $(29,931)

 

*** 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 August 31, 2021  Notional Amount***(2)  Value  Upfront Premiums Received/(Paid)  Unrealized Depreciation
Markit CDX EM S35 5Y ICE(3)  Intercontinental Exchange   1.000%  USD  06/20/2026   1.520%   6,050,000   $144,033   $(196,738)  $(52,705)
Markit CDX IG S36 5Y ICE(4)  Intercontinental Exchange   1.000%  USD  06/20/2026   0.462%   1,875,000    (47,546)   42,634    (4,912)
                           $96,487   $(154,104)  $(57,617)

 

CREDIT DEFAULT SWAP CONTRACTS ON CREDIT INDICES ISSUE - SELL PROTECTION (CENTRALLY CLEARED)(5)

 

Reference Obligations  Clearing House  Fixed Deal
Pay Rate		  Currency  Maturity Date  Implied Credit Spread at August 31, 2021  Notional Amount***(2)  Value  Upfront Premiums Received/(Paid)  Unrealized Appreciation
Markit CDX HY S36 ICE(6)  Intercontinental Exchange   5.000%  USD  06/20/2026   2.757%   1,150,000   $112,818   $(111,838)  $980 
                           $112,818   $(111,838)  $980 

 

 

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)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.
(3)Based on an index of 14 sovereign issues domiciled in Latin America, Eastern Europe, the Middle East and North Africa, and Asia.
(4)Based on an index of 125 North American, equally weighted investment grade issuers that trade in the CDS market.
(5)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.
(6)Based on an index of 100 North American, non-investment grade entities that trade in the CDS market.

 

See Notes to Quarterly Statement of Investments

 

 

Stone Harbor Emerging Markets Debt Allocation Fund Statement of Investments

August 31, 2021 (Unaudited)

 

   Currency  Rate   Shares*   Value
(Expressed in USD)		 
                
OPEN-END FUNDS - 100.14%                  
Stone Harbor Emerging Markets Debt Fund  USD   N/A    925,186   $9,196,347(1)
Stone Harbor Local Markets Fund  USD   N/A    1,098,750    9,877,764(1)(2)
                 19,074,111 
                   
TOTAL OPEN-END FUNDS                19,074,111 
(Cost $16,045,141)                  
                   
SHORT TERM INVESTMENTS - 0.06%                  
Money Market Fund - 0.06%                  
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield)  USD   0.03%   12,512    12,515 
                   
TOTAL SHORT TERM INVESTMENTS                12,515 
(Cost $12,515)                  
                   
Total Investments - 100.20%                19,086,626 
(Cost $16,057,656)                  
Liabilities in Excess of  Other Assets - (0.20)%                (39,013)
                   
Net Assets - 100.00%               $19,047,613 

 

*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
CZK - Czech Republic Koruna
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.
(2)Non-income producing security.

 

 

OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS

 

Counterparty  Settlement
Date		  Fund
Receiving		  U.S. $ Value
at August 31, 2021		  Fund
Delivering		  U.S. $ Value
at August 31, 2021		  Unrealized
Appreciation/
(Depreciation)
Citigroup Global Markets  09/30/21  RUB   93,344   USD   91,926   $1,418 
Citigroup Global Markets  10/06/21  CZK   90,163   USD   89,016    1,147 
J.P. Morgan Chase & Co.  09/02/21  BRL   95,150   USD   94,448    702 
J.P. Morgan Chase & Co.  10/04/21  BRL   94,722   USD   93,430    1,292 
J.P. Morgan Chase & Co.  10/08/21  COP   87,948   USD   85,571    2,377 
                      $6,936 
                         
J.P. Morgan Chase & Co.  10/15/21  USD   56,114   EUR   56,725   $(611)
J.P. Morgan Chase & Co.  09/02/21  USD   93,830   BRL   95,150   $(1,320)
                      $(1,931)

 

See Notes to Quarterly Statement of Investments

 

 

Stone Harbor Investment Funds Notes to Quarterly Statements of Investments

August 31, 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 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 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 August 31, 2021:

 

 

Investments in Securities at Value*  Level 1  Level 2  Level 3  Total
Stone Harbor Emerging Markets Debt Fund
Sovereign Debt Obligations  $–   $1,014,123,609   $–   $1,014,123,609 
Corporate Bonds   –    395,756,500    –    395,756,500 
Credit Linked Notes   –    –    7,656,637    7,656,637 
Short Term Investments   30,254,453    –    –    30,254,453 
Total  $30,254,453   $1,409,880,109   $7,656,637   $1,447,791,199 
                     
Other Financial Instruments**                    
Assets
Forward Foreign Currency Contracts  $–   $673,979   $–   $673,979 
Liabilities
Forward Foreign Currency Contracts   –    (109,474)   –    (109,474)
Total  $–   $564,505   $–   $564,505 

 

 

Investments in Securities at Value*  Level 1  Level 2  Level 3  Total
Stone Harbor High Yield Bond Fund
Corporate Bonds                    
Exploration & Production  $–   $12,661,912   $–   $12,661,912 
Other   –    88,895,302    –    88,895,302 
Bank Loans   –    1,658,131    –    1,658,131 
Common/Preferred Stocks   254    –    40    294 
Short Term Investments   1,512,681    –    –    1,512,681 
Total  $1,512,935   $103,215,345   $40   $104,728,320 

 

 

Investments in Securities at Value*  Level 1  Level 2  Level 3  Total
Stone Harbor Local Markets Fund
Sovereign Debt Obligations  $–   $135,144,592   $–   $135,144,592 
Corporate Bonds   –    9,816,001    –    9,816,001 
Short Term Investments   5,468,779    –    –    5,468,779 
Total  $5,468,779   $144,960,593   $–   $150,429,372 
                     
Other Financial Instruments**                    
Assets
Forward Foreign Currency Contracts  $–   $255,866   $–   $255,866 
Liabilities
Forward Foreign Currency Contracts   –    (207,129)   –    (207,129)
Total  $–   $48,737   $–   $48,737 

 

 

 

Investments in Securities at Value*  Level 1  Level 2  Level 3  Total
Stone Harbor Emerging Markets Corporate Debt Fund
Corporate Bonds  $–   $6,582,433   $–   $6,582,433 
Short Term Investments   236,403    –    –    236,403 
Total  $236,403   $6,582,433   $–   $6,818,836 

 

 

Investments in Securities at Value*  Level 1  Level 2  Level 3  Total
Stone Harbor Strategic Income Fund
Open-End Funds  $20,018,177   $–   $–   $20,018,177 
Asset Backed/Commercial Mortgage Backed Securities   –    684,696    –    684,696 
Corporate Bonds   –    4,784,706    –    4,784,706 
U.S. Government Agency Mortgage Backed Securities   –    2,596,680    –    2,596,680 
U.S. Treasury Bonds/Notes   –    1,858,112    –    1,858,112 
Short Term Investments   1,650,638    –    –    1,650,638 
Total  $21,668,815   $9,924,194   $–   $31,593,009 

 

Other Financial Instruments**   Level 1    Level 2    Level 3    Total 
Assets
Forward Foreign Currency Contracts  $–   $5,139   $–   $5,139 
Future Contracts   10,709    –    –    10,709 
Credit Default Swap Contracts   –    980    –    980 
Liabilities
Forward Foreign Currency Contracts   –    (4,457)   –    (4,457)
Credit Default Swap Contracts   –    (57,617)   –    (57,617)
Future Contracts   (29,933)   –    –    (29,933)
Total  $(19,224)  $(55,955)  $–   $(75,179)

 

 

Investments in Securities at Value*  Level 1  Level 2  Level 3  Total
Stone Harbor Emerging Markets Debt Allocation Fund
Open-End Funds  $19,074,111   $–   $–   $19,074,111 
Short Term Investments   12,515    –    –    12,515 
Total  $19,086,626   $–   $–   $19,086,626 

 

Other Financial Instruments**   Level 1    Level 2    Level 3    Total 
Assets
Forward Foreign Currency Contracts  $–   $6,936   $–   $6,936 
Liabilities
Forward Foreign Currency Contracts   –    (1,931)   –    (1,931)
Total  $–   $5,005   $–   $5,005 

 

*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, 2021  Accrued Discount/premium  Return of Capital  Realized Gain/(Loss) 

Change in

Unrealized Appreciation/

Depreciation

  Purchases  Sales Proceeds  Transfer into Level 3  Transfer Out of Level 3  Balance as of August 31, 2021  Net change in unrealized
appreciation/(depreciation) attributable to Level 3 investments held at August 31, 2021
Credit Linked Notes  $8,326,868   $43,132   $-   $(5,862)  $10,020   $-   $(717,521)  $-   $-   $7,656,637   $10,020 
   $8,326,868   $43,132   $-   $(5,862)  $10,020   $-   $(717,521)  $-   $-   $7,656,637   $10,020 

 

Stone Harbor High Yield Bond Fund

 

Asset Type  Balance as of May 31, 2021  Accrued Discount/premium  Return of Capital  Realized Gain/(Loss) 

Change in

Unrealized Appreciation/

Depreciation

  Purchases  Sales Proceeds  Transfer into Level 3  Transfer Out of Level 3  Balance as of August 31, 2021  Net change in unrealized
appreciation/(depreciation) attributable to Level 3 investments held at August 31, 2021
Corporate Bonds  $40   $3,775   $-   $(423,604)  $419,829   $-   $(40)  $-   $-   $-   $- 
Common/Preferred Stocks   -    -    -    -    -    40    -    -    -    40    - 
   $40   $3,775   $-   $(423,604)  $419,828   $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 August 31, 2021, the 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 29, 2022.

 

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 ongoing effects of the outbreak in developing or emerging market countries with less established health care systems and supply chains may be greater due to slower COVID-19 vaccine distribution and potential new outbreaks of the disease. The COVID-19 pandemic has resulted in, and may continue to result in, travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand, and increased market uncertainty. This could prolong or reignite 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 Funds’ ability to maintain operational standards (such as with respect to satisfying redemption requests), disrupt the operations of the Funds’ service providers, adversely affect the value and liquidity of the Funds’ investments, and negatively impact the Funds’ performance and your investment in the Funds.

 

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, 2021, 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 August 31, 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 August 31, 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 August 31, 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 August 31, 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 August 31, 2021, were as follows:

 

Stone Harbor Strategic Income Fund

 

Security Name  Market Value as of May 31, 2021  Purchases  Sales  Change in Unrealized Gain/(Loss)  Realized Gain/Loss  Share Balance as of August 31, 2021  Dividends
Stone Harbor Emerging Markets Corporate Debt Fund  $1,599,911   $22,485   $-   $10,499   $-    175,392   $22,485 
Stone Harbor Emerging Markets Debt Fund   7,041,069    78,871    -    86,924    -    725,037    78,871 
Stone Harbor High Yield Bond Fund   8,694,885    96,135    -    86,518    -    1,079,992    96,135 
Stone Harbor Local Markets Fund   2,311,117    -    -    (10,237)   -    255,938    - 
   $19,646,982             $173,704   $-    2,236,359   $197,491 

 

Stone Harbor Emerging Markets Debt Allocation Fund

 

Security Name  Market Value as of May 31, 2021  Purchases  Sales  Change in Unrealized Gain/(Loss)  Realized Gain/Loss  Share Balance as of August 31, 2021  Dividends
Stone Harbor Emerging Markets Debt Fund  $8,871,942   $238,504   $(24,038)  $110,089   $(150)   925,186   $100,795 
Stone Harbor Local Markets Fund   9,794,152    154,048    (26,892)   (42,897)   (647)   1,098,750    - 
   $18,666,094             $67,192   $(797)   2,023,936   $100,795