0001752724-22-098138.txt : 20220429 0001752724-22-098138.hdr.sgml : 20220429 20220429133657 ACCESSION NUMBER: 0001752724-22-098138 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20220228 FILED AS OF DATE: 20220429 PERIOD START: 20220531 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Stone Harbor Investment Funds CENTRAL INDEX KEY: 0001391673 IRS NUMBER: 000000000 FISCAL YEAR END: 0531 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-22037 FILM NUMBER: 22873153 BUSINESS ADDRESS: STREET 1: ONE INTERNATIONAL PLACE STREET 2: C/O ROPES & GRAY LLP CITY: BOSTON STATE: MA ZIP: 02110 BUSINESS PHONE: 617-951-7000 MAIL ADDRESS: STREET 1: ONE INTERNATIONAL PLACE STREET 2: C/O ROPES & GRAY LLP CITY: BOSTON STATE: MA ZIP: 02110 0001391673 S000017756 Stone Harbor High Yield Bond Fund C000049026 Institutional Class SHHYX NPORT-P 1 primary_doc.xml NPORT-P false 0001391673 XXXXXXXX S000017756 C000049026 STONE HARBOR INVESTMENT FUNDS 811-22037 0001391673 549300EY9IUTDUOYNM60 1290 BROADWAY SUITE 1000 DENVER 80203 3036232577 Stone Harbor High Yield Bond Fund S000017756 K88U32LTIDHPVVF0Z194 2022-05-31 2022-02-28 N 107497432.86 1931905.16 105565527.70 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 USD N Asbury Automotive Group 549300JH4DTA7U42GL91 Asbury Automotive Group, Inc. 043436AW4 86000.00000000 PA USD 84009.53000000 0.079580457589 Long DBT CORP US Y 2 2029-11-15 Fixed 4.62500000 N N N N N N Amwins Group Inc 549300SJE7MUB8NMRG61 AmWINS Group, Inc. 031921AB5 258000.00000000 PA USD 246068.79000000 0.233095779807 Long DBT CORP US Y 2 2029-06-30 Fixed 4.87500000 N N N N N N Cco Hldgs Llc/cap Corp N/A CCO Holdings LLC / CCO Holdings Capital Corp. 1248EPCE1 642000.00000000 PA USD 619382.34000000 0.586727839565 Long DBT CORP US Y 2 2030-08-15 Fixed 4.50000000 N N N N N N Antero Midstream Part/fi 529900HFO1BDEIT4QU11 Antero Midstream Partners LP / Antero Midstream Finance Corp. 03690AAD8 465000.00000000 PA USD 474262.80000000 0.449259157163 Long DBT CORP US Y 2 2027-03-01 Fixed 5.75000000 N N N N N N Calpine Corp 43R4VPJBXTU2O15HEF41 Calpine Corp. 131347CM6 1027000.00000000 PA USD 1003907.91000000 0.950980809618 Long DBT CORP US Y 2 2028-02-15 Fixed 4.50000000 N N N N N N Ford Motor Credit Co Llc UDSQCVRUX5BONN0VY111 Ford Motor Credit Co. 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Inc / Safeway, Inc. / New Albertsons LP / Albertsons LLC 013092AE1 533000.00000000 PA USD 535230.61000000 0.507012678912 Long DBT CORP US Y 2 2030-02-15 Fixed 4.87500000 N N N N N N United Rentals North Am NGIZXNT70J2LYT3FBI09 United Rentals North America, Inc. 911365BP8 858000.00000000 PA USD 818501.97000000 0.775349669378 Long DBT CORP US N 2 2032-01-15 Fixed 3.75000000 N N N N N N At Home Group Inc 549300LGPR0P05O30I24 At Home Group, Inc. 04650YAA8 1040000.00000000 PA USD 965286.40000000 0.914395466996 Long DBT CORP US Y 2 2028-07-15 Fixed 4.87500000 N N N N N N Sonic Automotive Inc 549300NTLRGJ2JCBZU03 Sonic Automotive, Inc. 83545GBD3 172000.00000000 PA USD 163545.34000000 0.154923054488 Long DBT CORP US Y 2 2029-11-15 Fixed 4.62500000 N N N N N N Graham Packaging/gpc Cap N/A Graham Packaging Co., Inc. 384701AA6 775000.00000000 PA USD 746712.50000000 0.707345017136 Long DBT CORP US Y 2 2028-08-15 Fixed 7.12500000 N N N N N N Raptor Acq/raptor Co-iss 549300T1YPGZ35J6JU13 Raptor Acquisition Corp. / Raptor Co.-Issuer LLC 75383KAA2 205000.00000000 PA USD 198276.00000000 0.187822676890 Long DBT CORP US Y 2 2026-11-01 Fixed 4.87500000 N N N N N N Bausch Health Cos Inc B3BS7ACMDUWISF18KY76 Bausch Health Cos., Inc. 071734AP2 690000.00000000 PA USD 696586.05000000 0.659861287275 Long DBT CORP CA Y 2 2027-02-01 Fixed 6.12500000 N N N N N N Sinclair Television Grou 549300CQGEN0CH65UD62 Sinclair Television Group, Inc. 829259BA7 575000.00000000 PA USD 515533.50000000 0.488354021650 Long DBT CORP US Y 2 2030-12-01 Fixed 4.12500000 N N N N N N Fair Isaac Corp RI6HET5SJUEY30V1PS26 Fair Isaac Corp. 303250AF1 221000.00000000 PA USD 217216.48000000 0.205764594496 Long DBT CORP US Y 2 2028-06-15 Fixed 4.00000000 N N N N N N Targa Resources Partners 6OQWTZ1SPC04IFT4T704 Targa Resources Partners LP / Targa Resources Partners Finance Corp. 87612BBQ4 1517000.00000000 PA USD 1608020.00000000 1.523243463121 Long DBT CORP US N 2 2030-03-01 Fixed 5.50000000 N N N N N N Altice France Holding Sa 5299000JVHXKJPOE6H40 Altice France Holding SA 02156TAA2 569000.00000000 PA USD 504981.81000000 0.478358628050 Long DBT CORP LU Y 2 2028-02-15 Fixed 6.00000000 N N N N N N Wynn Resorts Finance Llc N/A Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. 983133AA7 775000.00000000 PA USD 746863.63000000 0.707488179401 Long DBT CORP US Y 2 2029-10-01 Fixed 5.12500000 N N N N N N Cnx Resources Corp 549300JK3KH8PWM3B226 CNX Resources Corp. 12653CAJ7 214000.00000000 PA USD 218879.20000000 0.207339654117 Long DBT CORP US Y 2 2029-01-15 Fixed 6.00000000 N N N N N N White Cap Buyer Llc N/A White Cap Buyer LLC 96350RAA2 816000.00000000 PA USD 812923.68000000 0.770065472803 Long DBT CORP US Y 2 2028-10-15 Fixed 6.87500000 N N N N N N Royal Caribbean Cruises K2NEH8QNVW44JIWK7Z55 Royal Caribbean Cruises, Ltd. 780153BC5 683000.00000000 PA USD 715019.04000000 0.677322470297 Long DBT CORP LR Y 2 2023-06-15 Fixed 9.12500000 N N N N N N Cnx Midstream Part Lp N/A CNX Midstream Partners LP 12654AAA9 43000.00000000 PA USD 41625.72000000 0.039431167452 Long DBT CORP US Y 2 2030-04-15 Fixed 4.75000000 N N N N N N Scientific Games Interna RLTHESQ0RNFQJWPBJN60 Scientific Games International, Inc. 80874YBA7 766000.00000000 PA USD 800875.98000000 0.758652940452 Long DBT CORP US Y 2 2026-03-15 Fixed 8.25000000 N N N N N N Sm Energy Co 84BUTVXV5ODI6BXNMH43 SM Energy Co. 78454LAW0 631000.00000000 PA USD 647541.67000000 0.613402579524 Long DBT CORP US N 2 2028-07-15 Fixed 6.50000000 N N N N N N Univision Communications 549300YQDE2JSGTL8V47 Univision Communications, Inc. 914906AU6 833000.00000000 PA USD 867277.95000000 0.821554127465 Long DBT CORP US Y 2 2027-06-01 Fixed 6.62500000 N N N N N N Illuminate Buyer/hldg N/A Illuminate Buyer LLC / Illuminate Holdings IV, Inc. 45232TAA9 1166000.00000000 PA USD 1234747.36000000 1.169650156544 Long DBT CORP US Y 2 2028-07-01 Fixed 9.00000000 N N N N N N Clarios Global Lp/us Fin 549300474L1ZLXZY2P98 Clarios Global LP / Clarios US Finance Co. 69867DAC2 789000.00000000 PA USD 823321.50000000 0.779915108594 Long DBT CORP US Y 2 2027-05-15 Fixed 8.50000000 N N N N N N Occidental Petroleum Cor IM7X0T3ECJW4C1T7ON55 Occidental Petroleum Corp. 674599DD4 327000.00000000 PA USD 397012.34000000 0.376081424163 Long DBT CORP US N 2 2031-05-01 Fixed 7.50000000 N N N N N N Kb Home 549300LGUCWQURMWLG09 KB Home 48666KAY5 350000.00000000 PA USD 350393.75000000 0.331920616165 Long DBT CORP US N 2 2029-11-15 Fixed 4.80000000 N N N N N N Ford Motor Credit Co Llc UDSQCVRUX5BONN0VY111 Ford Motor Credit Co. LLC 345397ZR7 1935000.00000000 PA USD 2043060.08000000 1.935347764097 Long DBT CORP US N 2 2029-05-03 Fixed 5.11300000 N N N N N N 2022-03-30 STONE HARBOR INVESTMENT FUNDS Peter Wilby Peter Wilby President and Chief Executive Officer/Principal Executive Officer XXXX NPORT-EX 2 fp0075667_nportex.htm

 

Stone Harbor Emerging Markets Debt Fund Statement of Investments
 

February 28, 2022 (Unaudited)

       

                  
   Currency   Rate   Maturity
Date		   Principal
Amount/Shares*		   Value
(Expressed in USD)		 
SOVEREIGN DEBT OBLIGATIONS - 66.11%
Angola - 2.29%
Republic of Angola:
    USD    6M US L + 7.50%   07/01/23    12,486,923   $12,799,096(1)
    USD    6M US L + 4.50%   12/07/23    1,780,000    1,766,650(1)
    USD    6.93%   02/19/27    5,414,286    5,143,572 
                        19,709,318 
                          
Argentina - 3.33%
Republic of Argentina:
    USD    0.50%   07/09/30    70,552,980    22,682,783(2)
    USD    1.13%   07/09/35    10,497,000    3,138,603(2)
    USD    2.50%   07/09/41    5,243,000    1,790,485(2)
    USD    1.13%   07/09/46    3,267,974    986,928(2)
                        28,598,799 
                          
Bahrain - 1.78%
Kingdom of Bahrain:
    USD    7.00%   01/26/26    6,642,000    7,153,733(3)
    USD    7.38%   05/14/30    3,115,000    3,310,466(4)
    USD    5.63%   09/30/31    519,000    490,837(3)
    USD    5.63%   09/30/31    1,091,000    1,031,797(4)
    USD    5.25%   01/25/33    2,951,000    2,626,390(3)
    USD    6.00%   09/19/44    765,000    645,782(4)
                        15,259,005 
                          
Belarus - 0.57%
Development Bank Belarus   USD    6.75%   05/02/24    6,434,000    1,930,200(4)
Republic of Belarus:
    USD    6.88%   02/28/23    5,249,000    1,574,700(3)
    USD    6.20%   02/28/30    411,000    123,300(3)
    USD    6.38%   02/24/31    1,075,000    322,500(3)
    USD    6.38%   02/24/31    3,206,000    961,800(4)
                        4,912,500 
                          
Brazil - 2.45%
Fed Republic of Brazil:
    USD    4.63%   01/13/28    1,339,000    1,360,457 
    USD    4.50%   05/30/29    524,000    517,071 
    USD    3.88%   06/12/30    1,225,000    1,143,792 
    USD    3.75%   09/12/31    783,000    709,007 
    USD    5.00%   01/27/45    1,987,000    1,758,808 
    USD    5.63%   02/21/47    2,360,000    2,231,799 
    USD    4.75%   01/14/50    3,978,000    3,315,534 
State of Minas Gerais:
    USD    5.33%   02/15/28    1,085,400    1,098,984(3)

 

 

   Currency   Rate   Maturity
Date		   Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Brazil (continued)
State of Minas Gerais: (continued)
    USD    5.33%   02/15/28    8,764,800   $8,874,491(4)
                        21,009,943 
                          
Chile - 1.69%
Republic of Chile:
    USD    2.55%   07/27/33    6,384,000    5,809,440 
    USD    3.86%   06/21/47    1,229,000    1,197,184 
    USD    3.50%   01/25/50    2,562,000    2,330,635 
    USD    3.25%   09/21/71    6,405,000    5,152,823 
                        14,490,082 
                          
Colombia - 3.06%
Republic of Colombia:
    USD    3.00%   01/30/30    2,579,000    2,221,880 
    USD    3.25%   04/22/32    1,288,000    1,079,988 
    USD    7.38%   09/18/37    1,275,000    1,417,440 
    USD    6.13%   01/18/41    1,455,000    1,410,466 
    USD    4.13%   02/22/42    1,828,000    1,429,039 
    USD    5.00%   06/15/45    9,666,000    8,040,686 
    USD    5.20%   05/15/49    10,426,000    8,805,643 
    USD    3.88%   02/15/61    2,593,000    1,865,414 
                        26,270,556 
                          
Costa Rica - 0.02%
Costa Rica Government   USD    5.63%   04/30/43    191,000    161,013(3)
                          
Dominican Republic - 3.52%
Dominican Republic:
    USD    4.50%   01/30/30    2,195,000    2,034,578(3)
    USD    4.88%   09/23/32    1,999,000    1,824,307(3)
    USD    4.88%   09/23/32    10,145,000    9,258,428(4)
    USD    6.00%   02/22/33    8,495,000    8,368,892(3)
    USD    7.45%   04/30/44    1,476,000    1,552,859(4)
    USD    6.40%   06/05/49    3,313,000    3,072,841(4)
    USD    5.88%   01/30/60    4,845,000    4,100,651(3)
                        30,212,556 
                          
Ecuador - 2.27%
Republic of Ecuador:
    USD    5.00%   07/31/30    2,024,179    1,790,138(2)(3)
    USD    0.00%   07/31/30    5,093,766    3,018,260(3)(5)
    USD    1.00%   07/31/35    9,621,323    6,829,046(2)(3)
    USD    0.50%   07/31/40    10,684,000    6,697,880(2)(3)
    USD    0.50%   07/31/40    1,800,000    1,128,434(2)(4)
                        19,463,758 
                          
Egypt - 3.08%
Republic of Egypt:
    EUR    4.75%   04/11/25    1,134,000    1,219,051(3)
    EUR    4.75%   04/16/26    2,252,000    2,253,616(3)
    EUR    6.38%   04/11/31    4,551,000    4,069,498(3)
    USD    7.63%   05/29/32    5,663,000    4,756,920(3)

 

 

   Currency   Rate   Maturity
Date		   Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Egypt (continued)
Republic of Egypt: (continued)
    USD    7.30%   09/30/33    2,405,000   $1,975,106(3)
    USD    8.50%   01/31/47    3,169,000    2,455,975(4)
    USD    8.70%   03/01/49    1,090,000    858,375(3)
    USD    8.88%   05/29/50    9,924,000    7,864,770(3)
    USD    8.15%   11/20/59    1,303,000    983,765(3)
                        26,437,076 
                          
El Salvador - 0.92%
Republic of El Salvador:
    USD    5.88%   01/30/25    452,000    275,849(3)
    USD    6.38%   01/18/27    2,058,000    1,142,406(3)
    USD    6.38%   01/18/27    2,964,000    1,645,331(4)
    USD    8.63%   02/28/29    965,000    537,913(4)
    USD    7.65%   06/15/35    516,000    273,130(3)
    USD    7.63%   02/01/41    2,846,000    1,456,611(3)
    USD    7.63%   02/01/41    4,243,000    2,171,610(4)
    USD    9.50%   07/15/52    704,000    384,613(4)
                        7,887,463 
                          
Ethiopia - 0.11%
Republic of Ethiopia   USD    6.63%   12/11/24    1,289,000    971,010(3)
                          
Gabon - 0.50%
Republic of Gabon:
    USD    6.63%   02/06/31    1,260,000    1,153,946(3)
    USD    6.63%   02/06/31    846,000    774,792(4)
    USD    7.00%   11/24/31    2,622,000    2,386,020(3)
                        4,314,758 
                          
Georgia - 0.24%
Republic of Georgia   USD    2.75%   04/22/26    2,313,000    2,104,830(3)
                          
Ghana - 1.45%
Republic of Ghana:
    USD    6.38%   02/11/27    1,279,000    888,905(3)
    USD    7.63%   05/16/29    387,000    264,127(3)
    USD    7.63%   05/16/29    1,268,000    865,410(4)
    USD    8.13%   03/26/32    608,000    411,920(3)
    USD    8.88%   05/07/42    3,884,000    2,553,730(3)
    USD    8.63%   06/16/49    600,000    393,000(4)
    USD    8.95%   03/26/51    2,509,000    1,649,668(3)
    USD    8.95%   03/26/51    2,200,000    1,446,500(4)
    USD    8.75%   03/11/61    6,021,000    3,943,755(3)
                        12,417,015 
                          
Guatemala - 0.58%
Republic of Guatemala:
    USD    4.38%   06/05/27    1,271,000    1,281,346(4)
    USD    5.38%   04/24/32    263,000    271,785(4)
    USD    3.70%   10/07/33    1,187,000    1,076,312(3)

 

 

   Currency   Rate   Maturity
Date		  Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Guatemala (continued)
Republic of Guatemala: (continued)
    USD    4.65%  10/07/41   2,556,000   $2,341,887(3)
                      4,971,330 
                        
Hungary - 0.86%
Hungary   USD    2.13%  09/22/31   8,193,000    7,413,026(3)
                        
Indonesia - 0.58%
Republic of Indonesia:
    USD    6.75%  01/15/44   927,000    1,252,609(4)
    USD    5.13%  01/15/45   655,000    735,237(4)
    USD    5.25%  01/08/47   649,000    747,972(3)
    USD    3.20%  09/23/61   2,643,000    2,236,639 
                      4,972,457 
                        
Ivory Coast - 0.27%
Ivory Coast Government:
    EUR    6.88%  10/17/40   922,000    946,214(4)
    EUR    6.63%  03/22/48   1,446,000    1,392,310(3)
                      2,338,524 
                        
Jordan - 0.57%
Kingdom of Jordan:
    USD    7.38%  10/10/47   519,000    473,119(3)
    USD    7.38%  10/10/47   4,825,000    4,398,458(4)
                      4,871,577 
                        
Kazakhstan - 0.18%
Republic of Kazakhstan   USD    4.88%  10/14/44   1,525,000    1,547,875(3)
                        
                        
Kenya - 0.70%
Republic of Kenya:
    USD    6.88%  06/24/24   1,609,000    1,673,360(3)
    USD    7.00%  05/22/27   2,031,000    1,959,915(3)
    USD    7.25%  02/28/28   1,510,000    1,442,050(4)
    USD    8.00%  05/22/32   1,000,000    942,500(4)
                      6,017,825 
                        
Lebanon - 1.87%
Lebanese Republic:
    USD    6.38%  03/09/20   1,089,000    133,402 
    USD    5.80%  04/14/20   25,440,000    3,116,400(6)
    USD    6.15%  06/19/20   14,492,000    1,775,270(6)
    USD    8.25%  04/12/21   34,424,000    4,346,030(4)(6)
    USD    6.25%  05/27/22   6,726,000    815,528(6)
    USD    6.10%  10/04/22   13,537,000    1,675,204(6)
    USD    6.00%  01/27/23   3,105,000    380,362(6)
    USD    6.40%  05/26/23   1,368,000    167,580(6)
    USD    6.65%  04/22/24   4,594,000    562,765(6)
    USD    6.60%  11/27/26   4,423,000    541,817(6)
    USD    6.85%  03/23/27   2,417,000    296,083(6)
    USD    6.85%  05/25/29   5,626,000    675,120(6)

 

 

   Currency   Rate   Maturity
Date		   Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Lebanon (continued)
Lebanese Republic: (continued)
    USD    6.65%   02/26/30    4,301,000   $526,873(6)
    USD    8.20%   05/17/33    9,360,000    1,053,000(6)
                        16,065,434 
                          
Malaysia - 2.51%
1mdb Global Investments   USD    4.40%   03/09/23    22,100,000    21,558,550(4)
                          
Mexico - 2.54%
United Mexican States:
    EUR    2.25%   08/12/36    1,839,000    1,773,305 
    USD    6.05%   01/11/40    299,000    341,458 
    USD    4.28%   08/14/41    1,514,000    1,420,889 
    USD    4.75%   03/08/44    2,391,000    2,362,308 
    USD    5.00%   04/27/51    3,461,000    3,516,376 
    USD    3.77%   05/24/61    7,916,000    6,400,086 
    USD    3.75%   04/19/71    7,592,000    5,993,884 
                        21,808,306 
                          
Mozambique - 0.40%
Republic of Mozambique   USD    5.00%   09/15/31    3,973,000    3,437,678(2)(3)
                          
Nigeria - 2.86%
Republic of Nigeria:
    USD    6.50%   11/28/27    1,974,000    1,885,170(3)
    USD    6.13%   09/28/28    1,886,000    1,749,029(4)
    USD    7.88%   02/16/32    5,713,000    5,277,384(3)
    USD    7.70%   02/23/38    1,838,000    1,562,300(3)
    USD    7.70%   02/23/38    3,676,000    3,124,600(4)
    USD    7.63%   11/28/47    1,603,000    1,302,437(3)
    USD    8.25%   09/28/51    11,238,000    9,692,775(3)
                        24,593,695 
                          
Oman - 2.04%
Oman Government:
    USD    4.88%   02/01/25    3,060,000    3,113,550(3)
    USD    6.00%   08/01/29    2,546,000    2,612,833(4)
    USD    7.38%   10/28/32    6,338,000    7,058,947(3)
    USD    6.50%   03/08/47    972,000    907,605(3)
    USD    6.75%   01/17/48    1,691,000    1,623,360(3)
    USD    6.75%   01/17/48    694,000    666,240(4)
    USD    7.00%   01/25/51    1,563,000    1,545,416(3)
                        17,527,951 
                          
Pakistan - 1.05%
Republic of Pakistan:
    USD    6.00%   04/08/26    1,130,000    1,036,775(3)
    USD    6.88%   12/05/27    4,303,000    4,000,693(4)
    USD    6.88%   12/05/27    1,411,000    1,311,870(3)
    USD    7.88%   03/31/36    462,000    385,512(4)

 

 

   Currency   Rate   Maturity
Date		   Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Pakistan (continued)
Republic of Pakistan: (continued)
    USD    8.88%   04/08/51    2,788,000   $2,307,070(4)
                        9,041,920 
                          
Panama - 3.17%
Panama Bonos Del   USD    3.36%   06/30/31    2,659,000    2,572,583 
Republic of Panama:
    USD    3.16%   01/23/30    889,000    874,560 
    USD    2.25%   09/29/32    8,705,000    7,714,023 
    USD    4.50%   04/01/56    12,007,000    11,547,702 
    USD    3.87%   07/23/60    5,263,000    4,520,391 
                        27,229,259 
                          
Papua New Guinea - 0.15%
Papua New Guinea Government   USD    8.38%   10/04/28    1,413,000    1,292,895(3)
                          
Peru - 0.42%
Republic of Peru:
    USD    3.00%   01/15/34    1,483,000    1,371,033 
    USD    3.60%   01/15/72    2,640,000    2,209,680 
                        3,580,713 
                          
Philippines - 1.13%
Republic of Philippines:
    USD    5.00%   01/13/37    1,546,000    1,748,913 
    USD    3.70%   03/01/41    3,175,000    3,044,031 
    USD    2.95%   05/05/45    3,116,000    2,675,865 
    USD    2.65%   12/10/45    2,720,000    2,227,000 
                        9,695,809 
                          
Qatar - 2.99%
State of Qatar:
    USD    3.75%   04/16/30    653,000    705,648(3)
    USD    6.40%   01/20/40    2,759,000    3,831,561(3)
    USD    5.10%   04/23/48    13,949,000    17,558,304(3)
    USD    4.40%   04/16/50    1,286,000    1,493,368(3)
    USD    4.40%   04/16/50    1,824,000    2,118,120(4)
                        25,707,001 
                          
Romania - 1.73%
Republic of Romania:
    EUR    2.88%   03/11/29    989,000    1,077,037 
    EUR    2.00%   04/14/33    883,000    766,063(3)
    EUR    3.75%   02/07/34    2,672,000    2,748,817(3)
    EUR    3.38%   02/08/38    3,062,000    2,935,450(3)
    EUR    4.13%   03/11/39    951,000    975,674 
    EUR    2.75%   04/14/41    2,235,000    1,854,439(3)
    EUR    2.88%   04/13/42    1,969,000    1,639,251(3)
    USD    6.13%   01/22/44    542,000    621,945(4)

 

 

   Currency   Rate   Maturity
Date		   Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Romania (continued)
Republic of Romania: (continued)
    EUR    4.63%   04/03/49    2,095,000   $2,216,891(4)
                        14,835,567 
                          
Russia - 1.01%
Russia   USD    12.75%   06/24/28    600,000    210,000(4)
Russian Federation:
    USD    4.38%   03/21/29    9,600,000    3,360,000(4)
    USD    5.10%   03/28/35    7,900,000    2,765,000(4)
    USD    5.10%   03/28/35    2,000,000    700,000(3)
    USD    5.25%   06/23/47    4,600,000    1,610,000(4)
                        8,645,000 
                          
Saudi Arabia - 3.63%
Kingdom of Saudi Arabia:
    USD    4.38%   04/16/29    1,532,000    1,700,520(3)
    USD    4.50%   04/17/30    5,515,000    6,197,481(3)
    USD    3.25%   10/22/30    5,901,000    6,100,159(3)
    USD    2.25%   02/02/33    2,756,000    2,606,143(3)
    USD    4.50%   10/26/46    2,094,000    2,279,842(3)
    USD    4.50%   10/26/46    3,538,000    3,851,998(4)
    USD    5.00%   04/17/49    6,492,000    7,571,295(4)
    USD    5.25%   01/16/50    716,000    868,150(4)
                        31,175,588 
                          
Senegal - 0.34%
Republic of Senegal:
    EUR    5.38%   06/08/37    2,230,000    2,069,075(3)
    USD    6.75%   03/13/48    985,000    835,442(4)
                        2,904,517 
                          
South Africa - 0.33%
Republic of South Africa:
    USD    5.65%   09/27/47    598,000    513,978 
    USD    5.75%   09/30/49    2,696,000    2,330,153 
                        2,844,131 
                          
Sri Lanka - 0.45%
Republic of Sri Lanka:
    USD    6.20%   05/11/27    3,074,000    1,390,985(4)
    USD    6.75%   04/18/28    5,626,000    2,523,599(3)
                        3,914,584 
                          
Trinidad & Tobago - 0.25%
Trinidad & Tobago:
    USD    4.38%   01/16/24    1,417,000    1,445,701(4)
    USD    4.50%   06/26/30    746,000    730,120(4)
                        2,175,821 
                          
Tunisia - 1.24%
Banque Centrale de Tunisie:
    EUR    5.63%   02/17/24    2,406,000    2,144,698 

 

 

   Currency   Rate   Maturity
Date		   Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Tunisia (continued)                    
Banque Centrale de Tunisie: (continued)                         
    USD    5.75%   01/30/25    618,000   $455,775(3)
    USD    5.75%   01/30/25    600,000    442,500(4)
    EUR    6.38%   07/15/26    9,018,000    7,583,589(3)
                        10,626,562 
                          
Turkey - 1.69%                         
Republic of Turkey:                         
    USD    6.25%   09/26/22    677,000    685,462 
    USD    5.75%   03/22/24    5,549,000    5,495,882 
    USD    6.35%   08/10/24    1,649,000    1,639,469 
    USD    5.13%   02/17/28    2,691,000    2,351,665 
    USD    5.88%   06/26/31    2,598,000    2,209,976 
    USD    6.63%   02/17/45    1,570,000    1,260,290 
    USD    5.75%   05/11/47    1,254,000    905,100 
                        14,547,844 
                          
Ukraine - 0.88%                         
Ukraine Government:                         
    USD    7.75%   09/01/24    1,072,000    385,920(3)
    USD    7.75%   09/01/25    3,739,000    1,346,040(3)
    USD    7.75%   09/01/26    5,229,000    1,830,150(3)
    USD    7.75%   09/01/26    734,000    256,900(4)
    USD    7.75%   09/01/27    5,908,000    2,066,353(4)
    USD    9.75%   11/01/28    2,585,000    904,750(3)
    USD    9.75%   11/01/28    272,000    95,200(4)
    USD    6.88%   05/21/29    1,198,000    407,320(3)
    USD    7.25%   03/15/33    755,000    264,250(3)
                        7,556,883 
                          
United Arab Emirates - 1.38%                         
Abu Dhabi Govt Int'l:                         
    USD    4.13%   10/11/47    806,000    898,690(3)
    USD    3.88%   04/16/50    1,041,000    1,117,774(3)
Fin Dept Govt Sharjah:                         
    USD    3.63%   03/10/33    2,739,000    2,612,321(3)
    USD    4.00%   07/28/50    8,657,000    7,198,663(3)
                        11,827,448 
                          
Venezuela - 0.19%                         
Republic of Venezuela:                         
    USD    7.75%   10/13/19    25,087,500    1,567,969(6)
    USD    9.25%   05/07/28    927,000    55,620(6)
                        1,623,589 
                          
Zambia - 0.84%                         
Republic of Zambia:                         
    USD    5.38%   09/20/22    1,359,000    971,685(3)(6)

 

 

   Currency   Rate   Maturity
Date		   Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Zambia (continued)
Republic of Zambia: (continued)
    USD    5.38%   09/20/22    8,729,000   $6,241,235(4)(6)
                        7,212,920 
                          
TOTAL SOVEREIGN DEBT OBLIGATIONS                       567,781,961 
(Cost $675,069,126)                         
                          
CORPORATE BONDS - 30.51%
Argentina - 0.15%
MSU Energy SA   USD    6.88%   02/01/25    717,000    566,437(3)
Pampa Energia SA   USD    7.50%   01/24/27    840,000    730,244(3)
                        1,296,681 
                          
Bahrain - 0.38%
Oil and Gas Holding Co. BSCC   USD    7.63%   11/07/24    3,128,000    3,280,490(3)
                          
Brazil - 0.57%
Gol Finance SA:                         
    USD    7.00%   01/31/25    1,083,000    974,700(3)
    USD    8.00%   06/30/26    1,312,000    1,260,340(3)
Guara Norte Sarl   USD    5.20%   06/15/34    347,353    319,565(3)
Minerva Luxembourg SA   USD    4.38%   03/18/31    293,000    266,988(3)
MV24 Capital BV   USD    6.75%   06/01/34    1,416,917    1,380,608(3)
Simpar Europe SA   USD    5.20%   01/26/31    862,000    727,784(3)
                        4,929,985 
                          
Chile - 0.31%
ATP Tower Holdings LLC / Andean Tower Partners Colombia SAS / Andean Telecom Par   USD    4.05%   04/27/26    1,207,000    1,123,207(3)
Empresa Nacional del Petroleo   USD    5.25%   11/06/29    1,491,000    1,554,517(4)
                        2,677,724 
                          
China - 2.22%
CNAC HK Finbridge Co., Ltd.:                         
    USD    4.13%   07/19/27    2,993,000    3,129,930 
    USD    5.13%   03/14/28    1,293,000    1,417,852 
    USD    3.88%   06/19/29    4,171,000    4,270,979 
    USD    3.00%   09/22/30    3,903,000    3,729,316 
CNRC Capitale, Ltd.   USD    3.90%   Perpetual    691,000    694,455(1)(7)
ENN Clean Energy International Investment, Ltd.   USD    3.38%   05/12/26    195,000    190,612(3)
Sinopec Group Overseas Development 2018, Ltd.   USD    2.30%   01/08/31    628,000    589,447(4)
Wanda Properties International Co., Ltd.   USD    7.25%   01/29/24    2,270,000    2,071,375 
Wanda Properties Overseas, Ltd.:                         
    USD    6.95%   12/05/22    579,000    538,470 

 

 

   Currency   Rate   Maturity
Date		   Principal
Amount/Shares*		   Value
(Expressed in USD)		 
China (continued)
Wanda Properties Overseas, Ltd.: (continued)                         
    USD    6.88%   07/23/23    2,603,000   $2,401,267 
                        19,033,703 
                          
Colombia - 1.15%
AI Candelaria Spain SLU   USD    7.50%   12/15/28    1,375,000    1,382,741(3)
Geopark, Ltd.   USD    5.50%   01/17/27    2,815,000    2,691,844(3)
Gran Tierra Energy International Holdings, Ltd.   USD    6.25%   02/15/25    1,896,000    1,737,210(3)
Gran Tierra Energy, Inc.   USD    7.75%   05/23/27    1,241,000    1,135,515(3)
SierraCol Energy Andina LLC   USD    6.00%   06/15/28    3,178,000    2,901,149(3)
                        9,848,459 
                          
Ghana - 0.53%
Tullow Oil PLC   USD    7.00%   03/01/25    5,759,000    4,535,212(3)
                          
Guatemala - 0.21%
CT Trust   USD    5.13%   02/03/32    1,836,000    1,845,180(3)
                          
India - 0.11%
Network i2i, Ltd.   USD    5Y US TI + 4.28%    Perpetual    908,000    915,768(1)(3)(7)
                          
Indonesia - 3.71%
Indonesia Asahan Aluminium Persero PT:                         
    USD    4.75%   05/15/25    1,867,000    1,911,341(3)
    USD    6.76%   11/15/48    2,096,000    2,361,956(3)
    USD    5.80%   05/15/50    3,499,000    3,550,794(3)
Minejesa Capital BV:                         
    USD    4.63%   08/10/30    1,600,000    1,564,000(3)
    USD    5.63%   08/10/37    1,057,000    1,000,678(3)
Pertamina Persero PT:                         
    USD    6.00%   05/03/42    1,879,000    2,087,029(4)
    USD    5.63%   05/20/43    2,515,000    2,684,096(4)
    USD    6.45%   05/30/44    7,477,000    8,815,944(4)
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara:                         
    USD    5.45%   05/21/28    777,000    847,226(4)
    USD    5.25%   10/24/42    2,682,000    2,670,266(4)
PT Bakrie & Brothers TBK   IDR    0.00%   12/22/22    6,750,674,000    –(8)
PT Pertamina Pertii   USD    2.30%   02/09/31    4,886,000    4,354,647(3)
                        31,847,977 
                          
Jamaica - 0.54%
Digicel International Finance, Ltd./Digicel international Holdings, Ltd.:                         
    USD    8.75%   05/25/24    2,059,000    2,080,506(3)
    USD    8.75%   05/25/24    2,503,000    2,527,980(3)
                        4,608,486 
                          
Kazakhstan - 2.81%
KazMunayGas National Co. JSC:                         
    USD    4.75%   04/24/25    2,374,000    2,456,746(3)

 

 

   Currency   Rate   Maturity
Date		   Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Kazakhstan (continued)
KazMunayGas National Co. JSC: (continued)                         
    USD    5.38%   04/24/30    6,536,000   $6,907,735(4)
    USD    3.50%   04/14/33    1,147,000    1,043,770(4)
    USD    5.75%   04/19/47    2,614,000    2,718,560(3)
    USD    6.38%   10/24/48    4,868,000    5,327,417(3)
KazTransGas JSC   USD    4.38%   09/26/27    5,644,000    5,668,594(3)
                        24,122,822 
                          
Macau - 0.17%
Studio City Finance, Ltd.:                         
    USD    6.00%   07/15/25    296,000    274,937(3)
    USD    6.50%   01/15/28    1,387,000    1,220,560(3)
                        1,495,497 
                          
Malaysia - 0.65%
1MDB Energy, Ltd.   USD    5.99%   05/11/22    3,000,000    3,009,000 
Petronas Capital, Ltd.   USD    4.55%   04/21/50    2,251,000    2,550,225(3)
                        5,559,225 
                          
Mexico - 6.14%
Aerovias de Mexico SA de CV   USD    7.00%   02/05/25    1,410,000    1,402,950(3)(6)
Banco Mercantil del Norte SA/Grand Cayman:                         
    USD    6.75%   Perpetual    753,000    745,758(1)(3)(7)
    USD    7.50%   Perpetual    2,556,000    2,506,158(1)(3)(7)
Comision Federal de Electricidad   USD    4.69%   05/15/29    3,697,000    3,713,174(3)
Petroleos Mexicanos:                         
    USD    6.63%   06/15/35    8,510,000    7,699,422 
    USD    6.50%   06/02/41    7,233,000    6,057,638 
    USD    7.69%   01/23/50    8,115,000    7,283,213 
Poinsettia Finance, Ltd.   USD    6.63%   06/17/31    23,428,974    23,313,000(4)
                        52,721,313 
                          
Nigeria - 0.74%
Africa Finance Corp.   USD    2.88%   04/28/28    5,636,000    5,361,245(3)
IHS Netherlands Holdco BV   USD    8.00%   09/18/27    958,000    979,555(3)
                        6,340,800 
                          
Panama - 0.17%
AES Panama Generation Holdings SRL   USD    4.38%   05/31/30    1,480,000    1,434,823(3)
                          
Peru - 2.46%
Kallpa Generacion SA:                         
    USD    4.88%   05/24/26    1,789,000    1,836,333(3)
    USD    4.13%   08/16/27    999,000    993,223(3)
Nexa Resources SA   USD    5.38%   05/04/27    1,205,000    1,222,472(3)
Peru Payroll Deduction Finance Ltd.   USD    0.00%   11/01/29    1,997,952    1,708,749(5)
Petroleos del Peru SA:                         
    USD    4.75%   06/19/32    1,975,000    1,901,925(3)
    USD    4.75%   06/19/32    2,265,000    2,181,195(4)
    USD    5.63%   06/19/47    2,226,000    1,964,111(3)

 

 

   Currency   Rate   Maturity
Date		   Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Peru (continued)
Petroleos del Peru SA: (continued)                         
    USD    5.63%   06/19/47    10,607,000   $9,359,087(4)
                        21,167,095 
                          
Russia - 0.15%
Gazprom PJSC Via Gaz Capital SA   USD    4.95%   02/06/28    316,000    110,600(3)
Gazprom PJSC via Gaz Finance PLC   USD    5Y US TI + 4.264%    Perpetual    3,830,000    1,149,000(1)(3)(7)
                        1,259,600 
                          
South Africa - 2.26%
Eskom Holdings SOC, Ltd.:                         
    USD    6.75%   08/06/23    652,000    651,185(3)
    USD    7.13%   02/11/25    12,987,000    12,774,695(3)
    USD    8.45%   08/10/28    2,779,000    2,777,576(3)
    USD    6.35%   08/10/28    3,144,000    3,208,845(4)
                        19,412,301 
                          
Turkey - 0.29%
Aydem Yenilenebilir Enerji AS   USD    7.75%   02/02/27    3,019,000    2,455,655(3)
                          
Ukraine - 0.30%
NAK Naftogaz Ukraine via Kondor Finance PLC   USD    7.63%   11/08/26    3,297,000    1,153,950(3)
NPC Ukrenergo   USD    6.88%   11/09/26    3,633,000    1,271,550(3)
State Savings Bank of Ukraine Via SSB #1 PLC   USD    9.63%   03/20/25    245,000    134,750(2)(4)
                        2,560,250 
                          
United Arab Emirates - 2.61%
Abu Dhabi Crude Oil Pipeline:                         
    USD    3.65%   11/02/29    1,208,000    1,269,910(3)
    USD    4.60%   11/02/47    2,016,000    2,214,490(3)
DAE Funding LLC   USD    3.38%   03/20/28    2,541,000    2,447,364(3)
DP World Crescent, Ltd.   USD    4.85%   09/26/28    2,275,000    2,482,594(4)
DP World Salaam   USD    5Y US TI + 5.75%    Perpetual    10,885,000    11,422,447(1)(7)
DP World, Ltd.   USD    6.85%   07/02/37    511,000    628,474(3)
DP World, Ltd./United Arab Emirates:                         
    USD    4.70%   09/30/49    427,000    428,725(3)
    USD    4.70%   09/30/49    500,000    502,020(4)
MDGH GMTN RSC, Ltd.   USD    3.95%   05/21/50    990,000    1,053,112 
                        22,449,136 
                          
Uzbekistan - 0.43%
Uzauto Motors AJ   USD    4.85%   05/04/26    3,943,000    3,726,135(3)
                          
Venezuela - 0.35%
Petroleos de Venezuela SA:                         
    USD    6.00%   05/16/24    60,489,976    2,419,599(4)(6)
    USD    6.00%   11/15/26    3,307,000    124,013(4)(6)
    USD    5.38%   04/12/27    600,000    24,000(6)

 

 

   Currency   Rate   Maturity
Date		   Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Venezuela (continued)
Petroleos de Venezuela SA: (continued)                         
    USD    9.75%   05/17/35    11,517,000   $460,680(4)(6)
                        3,028,292 
                          
Vietnam - 0.53%
Mong Duong Finance Holdings BV   USD    5.13%   05/07/29    5,106,000    4,519,001(3)
                          
Zambia - 0.57%
First Quantum Minerals, Ltd.:                         
    USD    7.50%   04/01/25    1,141,000    1,165,959(3)
    USD    6.88%   10/15/27    3,546,000    3,766,278(3)
                        4,932,237 
                          
TOTAL CORPORATE BONDS                       262,003,847 
(Cost $304,934,797)                         
                          
CREDIT LINKED NOTES - 0.82%
Iraq - 0.82%
Republic of Iraq (Counterparty: Bank of America - Merrill Lynch):                         
    JPY    2.99%   01/01/28    177,226,140    1,308,019(1(8)
    JPY    2.55%   01/01/28    388,632,134    2,877,768(1(8)
    JPY    3.05%   01/01/28    381,373,025    2,822,024(1(8)
                        7,007,811 
                          
TOTAL CREDIT LINKED NOTES                       7,007,811 
(Cost $8,808,150)                         
                          
OPEN-END FUNDS - 0.54%
Stone Harbor Emerging Markets Corporate Debt Fund   USD    N/A    N/A    554,494    4,607,846(9)
                          
TOTAL OPEN-END FUNDS                       4,607,846 
(Cost $5,103,833)                         
                          
SHORT TERM INVESTMENTS - 0.33%                         
Money Market Fund - 0.33%                         
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield)   USD    0.06%   N/A    2,874,851    2,874,851 
                          
TOTAL SHORT TERM INVESTMENTS                       2,874,851 
(Cost $2,874,851)                         
                          
Total Investments - 98.31%                       844,276,316 
(Cost $996,790,757)                         
Other Assets In Excess of Liabilities - 1.69%                       14,491,713(10)
                          
Net Assets - 100.00%                      $858,768,029 

 

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

 

 

Currency Abbreviations:

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

 

Investment Abbreviations: 

LIBOR - London Interbank Offered Rate

 

Reference Rates: 

6M US L - 6 Month LIBOR as of February 28, 2022 was 0.80% 

5Y US TI -  5 Year US Treasury Index as of February 28, 2022 was 1.71%

 

(1) Floating or variable rate security. The reference rate is described above. The rate in effect as of February 28, 2022 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) Step bond.  Coupon changes periodically based upon a predetermined schedule.  Interest rate disclosed is that which is in effect as of February 28, 2022.
(3) 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 $369,139,611, which represents approximately 42.98% of net assets as of February 28, 2022.
(4) Securities were originally issued pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration.  Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration.  As of February 28, 2022, the aggregate fair value of those securities was $204,546,646, which represents approximately 23.82% of net assets.
(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) Affiliated with the Fund, as each is a series of Stone Harbor Investment Funds and has the same investment adviser.
(10) Includes cash which is being held as collateral for forward foreign currency contracts.

 

OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS

 

Counterparty  Settlement
Date		   Fund
Receiving		    U.S. $ Value
at February
28, 2022		    Fund
Delivering		    U.S. $ Value
at February
28, 2022		    Unrealized
Appreciation/
(Depreciation)		 
J.P. Morgan Chase & Co.  04/28/22   EUR    883,270    USD    878,766   $4,504 
J.P. Morgan Chase & Co.  04/28/22   USD    44,592,890    EUR    44,312,341    280,549 
J.P. Morgan Chase & Co.  04/28/22   USD    6,985,217    JPY    6,920,724    64,493 
                          $349,546 
                             
J.P. Morgan Chase & Co.  04/28/22   EUR    5,678,740    USD    5,722,168   $(43,428)
J.P. Morgan Chase & Co.  04/28/22   USD    386,897    EUR    389,322    (2,425)
                          $(45,853)

 

See Notes to Quarterly Statement of Investments

 

 

Stone Harbor High Yield Bond Fund Statement of Investments
  February 28, 2022 (Unaudited)

 

  Currency  Rate   Maturity
Date		  Principal
Amount/Shares*		   Value
(Expressed in USD)		 
CORPORATE BONDS - 97.10%                     
Aerospace/Defense - 0.14%                     
TransDigm, Inc.  USD   4.63%  01/15/29   160,000   $151,189 
                      
Airlines - 1.69%                     
Air Canada  USD   3.88%  08/15/26   157,000    152,664(1)
United Airlines, Inc.:                     
   USD   4.38%  04/15/26   1,235,000    1,233,394(1)
   USD   4.63%  04/15/29   403,000    393,852(1)
                    1,779,910 
Automotive - 4.39%                     
Clarios Global LP / Clarios US Finance Co.  USD   8.50%  05/15/27   789,000    823,321(1)
Ford Motor Credit Co. LLC:                     
   USD   5.13%  06/16/25   632,000    661,773 
   USD   3.38%  11/13/25   418,000    412,207 
   USD   4.13%  08/17/27   688,000    694,089 
   USD   5.11%  05/03/29   1,935,000    2,043,060 
                    4,634,450 
Building Products - 4.55%                     
Griffon Corp., Series WI  USD   5.75%  03/01/28   800,000    797,784 
LBM Acquisition LLC  USD   6.25%  01/15/29   1,218,000    1,130,700(1)
Park River Holdings, Inc.:                     
   USD   5.63%  02/01/29   705,000    609,201(1)
   USD   6.75%  08/01/29   361,000    332,257(1)
Specialty Building Products Holdings LLC / SBP Finance Corp.  USD   6.38%  09/30/26   1,111,000    1,120,804(1)
White Cap Buyer LLC  USD   6.88%  10/15/28   816,000    812,924(1)
                    4,803,670 
Chemicals - 1.46%                     
Diamond BC BV  USD   4.63%  10/01/29   85,000    77,464(1)
Illuminate Buyer LLC / Illuminate Holdings IV, Inc.  USD   9.00%  07/01/28   1,166,000    1,234,748(1)
WR Grace Holdings LLC  USD   5.63%  08/15/29   242,000    232,320(1)
                    1,544,532 
Consumer Products - 1.40%                     
Kronos Acquisition Holdings, Inc. / KIK Custom                     
Products, Inc.:                     
   USD   5.00%  12/31/26   296,000    267,478(1)
   USD   7.00%  12/31/27   843,000    714,695(1)

 

 

  Currency  Rate   Maturity
Date		  Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Consumer Products (continued)                     
SWF Escrow Issuer Corp.  USD   6.50%  10/01/29   548,000   $492,208(1)
                    1,474,381 
Containers/Packaging - 0.71%                     
Graham Packaging Co., Inc.  USD   7.13%  08/15/28   775,000    746,713(1)
                      
Drillers/Services - 1.80%                     
Archrock Partners LP / Archrock Partners Finance Corp.  USD   6.25%  04/01/28   1,021,000    1,022,184(1)
ChampionX Corp.  USD   6.38%  05/01/26   112,000    115,229 
Precision Drilling Corp.  USD   6.88%  01/15/29   760,000    763,842(1)
                    1,901,255 
Electric - 3.60%                     
Calpine Corp.  USD   4.50%  02/15/28   1,027,000    1,003,908(1)
Covanta Holding Corp.:                     
   USD   4.88%  12/01/29   129,000    123,599(1)
   USD   5.00%  09/01/30   852,000    819,795 
NRG Energy, Inc.  USD   5.75%  01/15/28   269,000    275,386 
Vistra Energy Corp. (TCEH Corp.) Escrow Bond  USD   %   12/31/49   4,540,167    0(2)
Vistra Operations Co. LLC:                     
   USD   5.63%  02/15/27   945,000    968,786(1)
   USD   5.00%  07/31/27   599,000    604,145(1)
                    3,795,619 
Exploration & Production - 11.30%                     
Antero Resources Corp.:                     
   USD   7.63%  02/01/29   757,000    820,410(1)
   USD   5.38%  03/01/30   198,000    202,067(1)
Ascent Resources Utica Holdings LLC / ARU Finance Corp.  USD   5.88%  06/30/29   1,062,000    1,011,555(1)
Chesapeake Energy Corp.:                     
   USD   5.50%  02/01/26   1,004,000    1,032,960(1)
   USD   5.88%  02/01/29   113,000    117,105(1)
CNX Resources Corp.:                     
   USD   7.25%  03/14/27   465,000    491,784(1)
   USD   6.00%  01/15/29   214,000    218,879(1)
CrownRock LP / CrownRock Finance, Inc.  USD   5.00%  05/01/29   290,000    295,500(1)
Hilcorp Energy I LP / Hilcorp Finance Co.:                     
   USD   6.25%  11/01/28   1,213,000    1,238,679(1)
   USD   5.75%  02/01/29   100,000    100,675(1)
Murphy Oil Corp.:                     
   USD   5.75%  08/15/25   947,000    965,931 
   USD   5.88%  12/01/27   492,000    501,857 
Oasis Petroleum, Inc.  USD   6.38%  06/01/26   132,000    134,457(1)
Occidental Petroleum Corp.:                     
   USD   5.50%  12/01/25   137,000    147,403 
   USD   5.55%  03/15/26   144,000    154,939 

 

 

  Currency  Rate   Maturity
Date		  Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Exploration & Production (continued)                     
Occidental Petroleum Corp. (continued)                     
   USD   8.88%  07/15/30   1,943,000   $2,515,418 
   USD   7.50%  05/01/31   327,000    397,012 
   USD   7.88%  09/15/31   167,000    206,814 
   USD   6.60%  03/15/46   208,000    248,891 
SM Energy Co.:                     
   USD   5.63%  06/01/25   481,000    479,237 
   USD   6.50%  07/15/28   631,000    647,542 
                    11,929,115 
Financial/Lease - 6.56%                     
Acrisure LLC / Acrisure Finance, Inc.:                     
   USD   7.00%  11/15/25   1,065,000    1,061,986(1)
   USD   4.25%  02/15/29   828,000    779,330(1)
Alliant Holdings Intermediate LLC / Alliant Holdings Co.-Issuer:                     
   USD   4.25%  10/15/27   529,000    511,175(1)
   USD   6.75%  10/15/27   1,010,000    988,416(1)
   USD   5.88%  11/01/29   445,000    420,659(1)
AmWINS Group, Inc.  USD   4.88%  06/30/29   258,000    246,069(1)
Nationstar Mortgage Holdings, Inc.  USD   5.75%  11/15/31   612,000    592,817(1)
OneMain Finance Corp.:                     
   USD   7.13%  03/15/26   904,000    981,052 
   USD   3.50%  01/15/27   580,000    549,527 
   USD   6.63%  01/15/28   274,000    293,224 
Ryan Specialty Group LLC  USD   4.38%  02/01/30   173,000    166,651(1)
Starwood Property Trust, Inc.:                     
   USD   3.75%  12/31/24   173,000    169,519(1)
   USD   4.38%  01/15/27   173,000    168,192(1)
                    6,928,617 
Food/Beverage/Tobacco - 1.42%                     
Lamb Weston Holdings, Inc.  USD   4.13%  01/31/30   361,000    349,913(1)
Triton Water Holdings, Inc.  USD   6.25%  04/01/29   1,251,000    1,154,911(1)
                    1,504,824 
Gaming - 4.25%                     
Churchill Downs, Inc.  USD   4.75%  01/15/28   365,000    358,968(1)
Everi Holdings, Inc.  USD   5.00%  07/15/29   79,000    77,569(1)
International Game Technology PLC  USD   5.25%  01/15/29   553,000    564,779(1)
MGM Growth Properties Operating Partnership LP / MGP Finance Co.-Issuer, Inc.  USD   5.75%  02/01/27   282,000    305,876 
Penn National Gaming, Inc.  USD   4.13%  07/01/29   550,000    509,344(1)
Raptor Acquisition Corp. / Raptor Co.-Issuer LLC  USD   4.88%  11/01/26   205,000    198,276(1)
Scientific Games International, Inc.:                     
   USD   8.25%  03/15/26   766,000    800,876(1)
   USD   7.25%  11/15/29   441,000    469,003(1)
VICI Properties LP / VICI Note Co., Inc.  USD   4.13%  08/15/30   457,000    454,265(1)

 

 

  Currency  Rate   Maturity
Date		  Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Gaming (continued)                     
Scientific Games International, Inc. (continued)                     
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.  USD   5.13%  10/01/29   775,000   $746,864(1)
                    4,485,820 
Healthcare - 9.08%                     
AdaptHealth LLC:                     
   USD   4.63%  08/01/29   896,000    809,357(1)
   USD   5.13%  03/01/30   198,000    182,908(1)
Avantor Funding, Inc.  USD   3.88%  11/01/29   516,000    497,344(1)
Bausch Health Cos., Inc.:                     
   USD   6.13%  02/01/27   690,000    696,586(1)
   USD   7.00%  01/15/28   944,000    865,176(1)
   USD   6.25%  02/15/29   752,000    642,452(1)
   USD   5.25%  02/15/31   585,000    466,032(1)
Catalent Pharma Solutions, Inc.  USD   3.50%  04/01/30   171,000    159,409(1)
CHS/Community Health Systems, Inc.  USD   5.25%  05/15/30   346,000    335,682(1)
Encompass Health Corp.:                     
   USD   4.50%  02/01/28   401,000    390,895 
   USD   4.63%  04/01/31   114,000    107,745 
Endo Dac / Endo Finance LLC / Endo Finco, Inc.  USD   9.50%  07/31/27   865,000    844,781(1)
Endo Luxembourg Finance Co. I Sarl / Endo US, Inc.  USD   6.13%  04/01/29   177,000    166,636(1)
Legacy LifePoint Health LLC  USD   4.38%  02/15/27   518,000    491,481(1)
Mozart Debt Merger Sub, Inc.:                     
   USD   3.88%  04/01/29   343,000    325,953(1)
   USD   5.25%  10/01/29   790,000    755,556(1)
Organon & Co. / Organon Foreign Debt Co-Issuer BV:                     
   USD   4.13%  04/30/28   302,000    297,561(1)
   USD   5.13%  04/30/31   289,000    288,936(1)
Par Pharmaceutical, Inc.  USD   7.50%  04/01/27   113,000    113,316(1)
US Acute Care Solutions LLC  USD   6.38%  03/01/26   1,160,000    1,143,760(1)
                    9,581,566 
Home Builders - 1.74%                     
Ashton Woods USA LLC / Ashton Woods Finance Co.  USD   4.63%  04/01/30   86,000    81,161(1)
KB Home  USD   4.80%  11/15/29   350,000    350,394 
Mattamy Group Corp.  USD   4.63%  03/01/30   794,000    747,809(1)
Tri Pointe Homes, Inc.  USD   5.70%  06/15/28   195,000    196,804 
Weekley Homes LLC / Weekley Finance Corp.  USD   4.88%  09/15/28   485,000    462,156(1)
                    1,838,324 
Industrial Other - 3.35%                     
ASP Unifrax Holdings, Inc.  USD   5.25%  09/30/28   171,000    164,020(1)
Madison IAQ LLC:                     
   USD   4.13%  06/30/28   273,000    258,613(1)
   USD   5.88%  06/30/29   870,000    790,634(1)
Park-Ohio Industries, Inc.  USD   6.63%  04/15/27   395,000    346,040 
United Rentals North America, Inc.  USD   3.75%  01/15/32   858,000    818,502 

 

 

  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   $1,157,656(1)
                    3,535,465 
Leisure - 4.30%                     
Carnival Corp.:                     
   USD   7.63%  03/01/26   871,000    896,254(1)
   USD   5.75%  03/01/27   93,000    90,703(1)
   USD   6.00%  05/01/29   304,000    295,593(1)
NCL Corp., Ltd.:                     
   USD   3.63%  12/15/24   420,000    394,281(1)
   USD   5.88%  03/15/26   412,000    396,962(1)
   USD   7.75%  02/15/29   173,000    178,656(1)
NCL Finance, Ltd.  USD   6.13%  03/15/28   858,000    828,978(1)
Royal Caribbean Cruises, Ltd.:                     
   USD   9.13%  06/15/23   683,000    715,019(1)
   USD   5.50%  08/31/26   511,000    509,217(1)
   USD   5.50%  04/01/28   241,000    236,492(1)
                    4,542,155 
Lodging - 0.14%                     
Marriott Ownership Resorts, Inc.  USD   4.50%  06/15/29   154,000    146,107(1)
Media Cable - 7.86%                     
Altice France Holding SA  USD   6.00%  02/15/28   569,000    504,982(1)
Altice France SA:                     
   USD   5.13%  01/15/29   102,000    92,680(1)
   USD   5.13%  07/15/29   1,072,000    971,484(1)
CCO Holdings LLC / CCO Holdings Capital Corp.:                     
   USD   5.38%  06/01/29   836,000    850,496(1)
   USD   4.50%  08/15/30   642,000    619,383(1)
CSC Holdings LLC:                     
   USD   7.50%  04/01/28   2,117,000    2,116,513(1)
   USD   5.75%  01/15/30   897,000    794,760(1)
DISH DBS Corp.:                     
   USD   7.75%  07/01/26   122,000    123,689 
   USD   5.25%  12/01/26   617,000    606,010(1)
   USD   7.38%  07/01/28   493,000    467,709 
   USD   5.75%  12/01/28   444,000    425,407(1)
Series WI  USD   5.13%  06/01/29   626,000    529,308 
Telenet Finance Luxembourg Notes Sarl  USD   5.50%  03/01/28   200,000    200,000(1)
                    8,302,421 
Media Other - 4.43%                     
Gray Escrow II, Inc.  USD   5.38%  11/15/31   666,000    642,057(1)
Netflix, Inc.  USD   4.88%  04/15/28   986,000    1,057,865 
Sinclair Television Group, Inc.  USD   4.13%  12/01/30   575,000    515,533(1)
Sirius XM Radio, Inc.  USD   3.13%  09/01/26   322,000    307,948(1)
Terrier Media Buyer, Inc.  USD   8.88%  12/15/27   1,253,000    1,285,741(1)

 

 

  Currency  Rate   Maturity
Date		  Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Media Other (continued)                     
Univision Communications, Inc.  USD   6.63%  06/01/27   833,000   $867,278(1)
                    4,676,422 
Midstream - 6.39%                     
Antero Midstream Partners LP / Antero Midstream Finance Corp.:                     
   USD   7.88%  05/15/26   232,000    249,696(1)
   USD   5.75%  03/01/27   465,000    474,263(1)
   USD   5.75%  01/15/28   557,000    566,073(1)
CNX Midstream Partners LP  USD   4.75%  04/15/30   43,000    41,626(1)
DCP Midstream Operating LP  USD   5.13%  05/15/29   648,000    683,131 
DT Midstream, Inc.  USD   4.38%  06/15/31   759,000    742,678(1)
Genesis Energy LP / Genesis Energy Finance Corp.:                     
   USD   8.00%  01/15/27   572,000    579,150 
   USD   7.75%  02/01/28   1,061,000    1,049,250 
Hess Midstream Operations LP  USD   4.25%  02/15/30   161,000    155,679(1)
Holly Energy Partners LP / Holly Energy Finance Corp.  USD   5.00%  02/01/28   622,000    595,008(1)
Targa Resources Partners LP / Targa Resources                     
Partners Finance Corp.  USD   5.50%  03/01/30   1,517,000    1,608,020 
                    6,744,574 
Paper/Forest Products - 0.74%                     
Mercer International, Inc.  USD   5.13%  02/01/29   793,000    776,638 
                      
Refining - 0.70%                     
Parkland Corp.  USD   4.63%  05/01/30   258,000    244,533(1)
Sunoco LP / Sunoco Finance Corp.  USD   4.50%  04/30/30   515,000    492,811(1)
                    737,344 
Restaurants - 0.63%                     
1011778 BC ULC / New Red Finance, Inc.  USD   3.88%  01/15/28   684,000    666,284(1)
                      
Retail - 1.86%                     
Asbury Automotive Group, Inc.  USD   4.63%  11/15/29   86,000    84,010(1)
At Home Group, Inc.  USD   4.88%  07/15/28   1,040,000    965,287(1)
Michaels Cos., Inc.:                     
   USD   5.25%  05/01/28   172,000    161,099(1)
   USD   7.88%  05/01/29   670,000    587,499(1)
Sonic Automotive, Inc.  USD   4.63%  11/15/29   172,000    163,545(1)
                    1,961,440 
Retail Food/Drug - 0.84%                     
Albertsons Cos. Inc / Safeway, Inc. / New Albertsons LP / Albertsons LLC:                     
   USD   4.63%  01/15/27   283,000    284,593(1)
   USD   5.88%  02/15/28   65,000    67,283(1)

 

 

  Currency  Rate   Maturity
Date		  Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Retail Food/Drug (continued)                     
Albertsons Cos. Inc / Safeway, Inc. / New Albertsons LP / Albertsons LLC (continued)                     
   USD   4.88%  02/15/30   533,000   $535,231(1)
                    887,107 
Retail Non Food/Drug - 1.46%                     
LCM Investments Holdings II LLC  USD   4.88%  05/01/29   547,000    521,945(1)
PetSmart, Inc. / PetSmart Finance Corp.:                     
   USD   4.75%  02/15/28   246,000    245,736(1)
   USD   7.75%  02/15/29   735,000    773,415(1)
                    1,541,096 
Satellite - 1.49%                     
Hughes Satellite Systems Corp.  USD   6.63%  08/01/26   1,011,000    1,054,271 
Intelsat Escrow Shares  USD   %   12/31/49   464,000    –(2)
Viasat, Inc.  USD   5.63%  04/15/27   521,000    521,057(1)
                    1,575,328 
Services Other - 3.39%                     
ADT Security Corp.  USD   4.13%  08/01/29   1,063,000    1,004,062(1)
GFL Environmental, Inc.:                     
   USD   4.00%  08/01/28   312,000    290,160(1)
   USD   4.75%  06/15/29   341,000    322,439(1)
   USD   4.38%  08/15/29   449,000    417,267(1)
                      
Prime Security Services Borrower LLC / Prime Finance, Inc.  USD   6.25%  01/15/28   1,533,000    1,481,177(1)
WW International, Inc.  USD   4.50%  04/15/29   77,000    64,794(1)
                    3,579,899 
Technology - 2.11%                     
Avaya, Inc.  USD   6.13%  09/15/28   501,000    483,104(1)
Ciena Corp.  USD   4.00%  01/31/30   86,000    84,810(1)
Fair Isaac Corp.  USD   4.00%  06/15/28   221,000    217,216(1)
Plantronics, Inc.  USD   4.75%  03/01/29   1,177,000    1,043,099(1)
Rackspace Technology Global, Inc.  USD   3.50%  02/15/28   436,000    396,141(1)
                    2,224,370 
Transport Other - 0.38%                     
Hertz Corp.  USD   5.00%  12/01/29   430,000    401,648(1)
                      
Wireless - 1.82%                     
Frontier Communications Holdings LLC  USD   6.00%  01/15/30   172,000    160,561(1)
Sprint Capital Corp.  USD   6.88%  11/15/28   1,252,000    1,488,735 

 

 

  Currency  Rate   Maturity
Date		  Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Wireless (continued)                     
Sprint Corp.  USD   8.75%  03/15/32   196,000   $272,236 
                    1,921,532 
Wirelines - 1.12%                     
Consolidated Communications, Inc.  USD   6.50%  10/01/28   1,188,000    1,185,030(1)
                      
TOTAL CORPORATE BONDS                   102,504,845 
(Cost $105,674,840)                     
                      
BANK LOANS - 0.50%(3)                     
                      
Consumer Products - 0.30%                     
Revlon Consumer Products Corporation - Initial B Term Loan  USD   3M US L + 3.50%  09/07/23   564,366    321,218(4)
                      
Healthcare - 0.20%                     
Envision Healthcare Corporation - Initial Term Loan  USD   1M US L + 3.75%  10/10/25   282,853    207,809(4)
                      
TOTAL BANK LOANS                   529,027 
(Cost $794,163)                     
                      
COMMON/PREFERRED STOCKS - 0.14%                     
Exploration & Production - 0.00%(5)                     
Alta Mesa Escrow  USD   N/A   N/A   400,000    40(2)(6)
                      
Satellite - 0.14%                     
Intelsat CVR Series A  USD   N/A   N/A   454    - (2)(6)
Intelsat CVR Series B  USD   N/A   N/A   454    - (2)(6)
Intelsat New Common  USD   N/A   N/A   4,338    143,154(6)
                      
TOTAL COMMON/PREFERRED STOCKS                   143,194 
(Cost $156,750)                     
                      
Total Investments - 97.74%                   103,177,066 
(Cost $106,625,753)                     
Other Assets in Excess of Liabilities - 2.26%                   2,388,968 
                      
Net Assets - 100.00%                  $105,566,034 

 

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

 

Currency Abbreviations:

USD - United States Dollar

 

Investment Abbreviations:

LIBOR - London Interbank Offered Rate

 

Reference Rates:

1M US L - 1 Month LIBOR as of February 28, 2022 was 0.46%

3M US L - 3 Month LIBOR as of February 28, 2022 was 0.97%

 

 

(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 $76,239,229, which represents approximately 72.22% of net assets as of February 28, 2022.
(2)The level 3 assets were valued using significant unobservable inputs as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs.
(3)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)Floating or variable rate security. The reference rate is described above. The rate in effect as of February 28, 2022 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.
(5)Amount represents less than 0.005% of net assets.
(6)Non-income producing security.

 

See Notes to Quarterly Statement of Investments

 

 

Stone Harbor Local Markets Fund Statement of Investments
 

February 28, 2022 (Unaudited)

 

   Currency   Rate   Maturity
Date		  Principal
Amount/Shares*		   Value
(Expressed in USD)		 
SOVEREIGN DEBT OBLIGATIONS - 81.94%                       
Brazil - 6.97%                       
Brazil Letras do Tesouro Nacional  BRL    10.00%  01/01/31   3,910,000   $698,392 
Nota Do Tesouro Nacional:                       
    BRL    0.00%  07/01/22   12,490,000    2,335,016(1)
    BRL    10.00%  01/01/27   15,150,000    2,812,272 
    BRL    10.00%  01/01/29   750,000    135,839 
                      5,981,519 
                        
Chile - 2.13%                       
Republic of Chile:                       
    CLP    4.50%  03/01/26   480,000,000    566,905 
    CLP    5.00%  10/01/28   335,000,000    400,780(2)
    CLP    4.70%  09/01/30   360,000,000    419,720(2)
    CLP    5.00%  03/01/35   380,000,000    441,863 
                      1,829,268 
                        
China - 8.08%                       
China Government Bond:                       
    CNY    3.13%  11/21/29   40,470,000    6,550,038 
    CNY    2.89%  11/18/31   2,390,000    382,056 
                      6,932,094 
                        
Colombia - 6.36%                       
Bogota Distrio Capital   COP    9.75%  07/26/28
   8,491,000,000    2,104,483(3)
Titulos De Tesoreria:                       
    COP    10.00%  07/24/24   3,250,000,000    851,302 
    COP    7.50%  08/26/26   1,848,000,000    442,294 
    COP    5.75%  11/03/27   715,000,000    154,718 
    COP    7.75%  09/18/30   3,390,000,000    779,725 
    COP    7.00%  06/30/32   4,137,000,000    879,371 
    COP    7.25%  10/18/34   1,165,000,000    245,995 
                      5,457,888 
                        
Czech Republic - 4.20%                       
Czech Republic Government:                       
    CZK    2.40%  09/17/25   19,380,000    832,557 
    CZK    1.00%  06/26/26   30,500,000    1,232,929 
    CZK    0.25%  02/10/27   4,480,000    172,993 
    CZK    4.20%  12/04/36   27,110,000    1,365,207 
                      3,603,686 
                        

Egypt - 1.95%

                       
Republic of Egypt:                       
    EGP    13.77%  01/05/24   12,220,000    775,195 
    EGP    14.48%  04/06/26   7,190,000    458,634 

 

 

 

 

   Currency   Rate   Maturity
Date		  Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Egypt (continued)                       
Republic of Egypt: (continued)                       
    EGP    16.10%  05/07/29   6,510,000   $435,608 
                      1,669,437 
                        
Indonesia - 11.42%                       
Republic of Indonesia:                       
    IDR    8.38%  03/15/24   7,139,000,000    537,152 
    IDR    8.13%  05/15/24   4,440,000,000    334,074 
    IDR    11.00%  09/15/25   43,587,000,000    3,625,424 
    IDR    8.38%  09/15/26   3,201,000,000    249,316 
    IDR    6.63%  05/15/33   48,339,000,000    3,364,585 
    IDR    8.38%  03/15/34   14,660,000,000    1,151,514 
    IDR    7.50%  05/15/38   7,388,000,000    539,946 
                      9,802,011 
                        
Malaysia - 7.88%                       
Malaysia Government:                       
    MYR    4.06%  09/30/24   1,440,000    353,441 
    MYR    3.91%  07/15/26   3,250,000    794,599 
    MYR    3.90%  11/30/26   4,060,000    992,831 
    MYR    3.50%  05/31/27   5,514,000    1,318,580 
    MYR    3.90%  11/16/27   1,580,000    385,357 
    MYR    3.73%  06/15/28   1,650,000    396,338 
    MYR    3.89%  08/15/29   5,230,000    1,262,811 
    MYR    2.63%  04/15/31   4,960,000    1,083,320 
    MYR    3.58%  07/15/32   740,000    174,843 
                      6,762,120 
                        
Mexico - 5.01%                       
Mexican Bonos:                       
    MXN    8.50%  05/31/29   1,400,000    70,759 
    MXN    7.75%  11/23/34   4,686,000    224,534 
    MXN    10.00%  11/20/36   24,916,000    1,419,601 
    MXN    8.50%  11/18/38   19,870,000    1,005,967 
    MXN    7.75%  11/13/42   33,750,000    1,576,294 
                      4,297,155 
                        
Peru - 1.80%                       
Republic of Peru:                       
    PEN    6.15%  08/12/32   2,400,000    627,693 
    PEN    5.40%  08/12/34   2,400,000    568,139 
    PEN    5.35%  08/12/40   1,560,000    344,266 
                      1,540,098 
                        
Poland - 5.70%                       
Kfw   PLN    0.63%  07/25/25   6,000,000    1,275,336 
Republic of Poland:                       
    PLN    2.50%  01/25/23   300,000    70,837 
    PLN    4.00%  10/25/23   5,710,000    1,361,124 

 

 

 

   Currency   Rate   Maturity
Date		  Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Poland (continued)                       
Republic of Poland: (continued)                       
    PLN    1.25%  10/25/30   11,440,000   $2,180,631 
                      4,887,928 
                        
Romania - 2.00%                       
Romania Government Bond:                       
    RON    5.00%  02/12/29   6,230,000    1,348,619 
    RON    3.65%  09/24/31   1,955,000    369,905 
                      1,718,524 
                        
Russia - 2.08%                       
Russian Federation:                       
    RUB    7.60%  07/20/22   126,870,000    352,425 
    RUB    7.40%  12/07/22   108,340,000    300,951 
    RUB    7.05%  01/19/28   21,730,000    60,362 
    RUB    8.50%  09/17/31   135,730,000    377,037 
    RUB    7.70%  03/23/33   193,400,000    537,235 
    RUB    7.70%  03/16/39   56,000,000    155,559 
                      1,783,569 
                        
Serbia - 0.70%                       
Serbia Treasury Bonds   RSD    4.50%  08/20/32   61,000,000    602,873 
                        
South Africa - 9.91%                       
Republic of South Africa:                       
    ZAR    10.50%  12/21/26   24,430,000    1,750,981 
    ZAR    6.25%  03/31/36   91,750,000    4,194,632 
    ZAR    8.50%  01/31/37   26,677,000    1,476,719 
    ZAR    6.50%  02/28/41   24,780,000    1,075,866 
                      8,498,198 
                        
Thailand - 4.02%                       
Thailand Government:                       
    THB    2.88%  12/17/28   26,040,000    854,147 
    THB    2.00%  12/17/31   4,120,000    124,678 
    THB    3.78%  06/25/32   26,870,000    935,615 
    THB    1.59%  12/17/35   43,570,000    1,185,329 
    THB    4.68%  06/29/44   8,950,000    349,756 
                      3,449,525 
                        

Turkey - 1.09%

                       
Republic of Turkey:                       
    TRY    7.10%  03/08/23   5,740,000    363,928 
    TRY    9.00%  07/24/24   1,840,000    99,510 
    TRY    11.00%  02/24/27   5,610,000    256,174 
    TRY    10.50%  08/11/27   4,900,000    215,256 
                      934,868 
                        
Uruguay - 0.64%                       
Republic of Uruguay:                       
    UYU    9.88%  06/20/22   18,550,000    439,295(3)

 

 

 

 

   Currency   Rate   Maturity
Date		  Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Uruguay (continued)                       
Republic of Uruguay: (continued)                       
    UYU    8.50%  03/15/28   4,680,000   $112,105(2)
                      551,400 
                        
TOTAL SOVEREIGN DEBT OBLIGATIONS                     70,302,161 
(Cost $83,006,950)                       
                        
CORPORATE BONDS - 8.31%                       
Brazil - 3.21%                       
Swiss Insured Brazil Power Finance Sarl   BRL    9.85%  07/16/32   14,933,227    2,753,402(2)
                        
Kazakhstan - 0.14%                       
Development Bank of Kazakhstan JSC   KZT    8.95%  05/04/23   66,250,000    117,673(2)
                        
Mexico - 4.96%                       
America Movil SAB de CV   MXN    6.45%  12/05/22   55,370,000    2,674,689 
Petroleos Mexicanos   MXN    7.47%  11/12/26   36,210,000    1,581,679 
                      4,256,368 
                        
TOTAL CORPORATE BONDS                     7,127,443 
(Cost $9,312,090)                       
                        
SHORT TERM INVESTMENTS - 2.05%                       
Money Market Fund - 2.05%                       
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield)   USD    0.06%  N/A   1,762,611    1,762,611 
                        
TOTAL SHORT TERM INVESTMENTS                     1,762,611 
(Cost $1,762,763)                       
                        
Total Investments - 92.30%                     79,192,215 
(Cost $94,081,803)                       
                        
Other Assets In Excess of Liabilities - 7.70%                     6,605,004 
                        
Net Assets - 100.00%                    $85,797,219 

 

*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 $3,803,680, which represents approximately 4.43% of net assets as of February 28, 2022.

(3) 

Securities were originally issued pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. As of February 28, 2022, the aggregate fair value of those securities was $2,543,778, which represents approximately 2.96% of net assets.

 

 

OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS

 

Counterparty  Settlement
Date		  Fund
Receiving		   U.S. $ Value
at February
28, 2022		   Fund
Delivering		   U.S. $ Value
at February
28, 2022		   Unrealized
Appreciation/
(Depreciation)		 
Citigroup Global Markets  03/17/22   USD    472,421    COP    471,824   $597 
Citigroup Global Markets  03/21/22   USD    461,622    RUB    359,326    102,296 
Citigroup Global Markets  05/10/22   USD    1,768,501    PLN    1,682,433    86,068 
Citigroup Global Markets  05/11/22   THB    586,375    USD    585,798    577 
Citigroup Global Markets  05/20/22   USD    721,938    RON    708,167    13,771 
Goldman Sachs & Co.  03/17/22   ZAR    224,574    USD    223,569    1,005 
Goldman Sachs & Co.  05/10/22   USD    90,104    CZK    88,468    1,636 
Goldman Sachs & Co.  05/10/22   USD    54,156    HUF    53,133    1,023 
Goldman Sachs & Co.  05/11/22   THB    2,705,728    USD    2,702,984    2,744 
J.P. Morgan Chase & Co.  03/17/22   USD    808,294    COP    806,658    1,636 
J.P. Morgan Chase & Co.  03/21/22   USD    1,112,157    RUB    810,858    301,299 
J.P. Morgan Chase & Co.  05/10/22   USD    505,007    HUF    478,942    26,065 
J.P. Morgan Chase & Co.  05/10/22   USD    193,246    PLN    187,201    6,045 
J.P. Morgan Chase & Co.  05/11/22   THB    567,487    USD    566,565    922 
J.P. Morgan Chase & Co.  05/11/22   USD    136,986    THB    134,693    2,293 
                          $547,977 
Citigroup Global Markets  05/10/22   PLN    1,747,278    USD    1,847,298   $(100,020)
Citigroup Global Markets  04/14/22   USD    164,652    CNH    166,626    (1,974)
Citigroup Global Markets  04/14/22   USD    136,289    CNY    137,593    (1,304)
Goldman Sachs & Co.  05/10/22   CZK    1,876,703    USD    1,978,693    (101,990)
Goldman Sachs & Co.  05/10/22   HUF    1,318,480    USD    1,393,565    (75,085)
Goldman Sachs & Co.  03/17/22   USD    1,219,082    ZAR    1,289,335    (70,253)
Goldman Sachs & Co.  03/11/22   USD    267,625    MXN    280,795    (13,170)
Goldman Sachs & Co.  03/17/22   ZAR    90,868    USD    91,954    (1,086)
HSBC  04/14/22   CNY    261,458    USD    261,501    (43)
HSBC  04/14/22   USD    2,658,435    CNH    2,690,424    (31,989)
J.P. Morgan Chase & Co.  03/11/22   CNY    3,999,542    USD    4,002,472    (2,930)
J.P. Morgan Chase & Co.  03/17/22   COP    171,227    USD    172,633    (1,406)
J.P. Morgan Chase & Co.  05/10/22   HUF    848,171    USD    898,320    (50,149)
J.P. Morgan Chase & Co.  03/11/22   MXN    1,275,681    USD    1,281,249    (5,568)
J.P. Morgan Chase & Co.  05/10/22   PLN    1,451,157    USD    1,534,434    (83,277)
J.P. Morgan Chase & Co.  05/11/22   THB    1,004,077    USD    1,023,241    (19,164)
J.P. Morgan Chase & Co.  03/11/22   USD    238,107    MXN    249,875    (11,768)
J.P. Morgan Chase & Co.  03/17/22   USD    97,965    COP    98,897    (932)
J.P. Morgan Chase & Co.  04/14/22   USD    488,381    CNY    489,149    (768)
                          $(572,876)

 

See Notes to Quarterly Statement of Investments

 

 

Stone Harbor Emerging Markets Corporate Debt Fund Statement of Investments
 

February 28, 2022 (Unaudited)

 

   Currency   Rate   Maturity
Date		   Principal
Amount/Shares*		   Value
(Expressed in USD)		 
CORPORATE BONDS - 94.65%
Argentina - 2.08%
MSU Energy SA   USD    6.88%  02/01/25    48,000   $37,920(1)
Pampa Energia SA   USD    7.50%  01/24/27    35,000    30,427(1)
YPF SA:                        
    USD    8.50%  07/28/25    16,000    12,790(1)
    USD    6.95%  07/21/27    87,000    59,378(2)
                       140,515 
                         
                         
Brazil - 7.84%
Adecoagro SA   USD    6.00%  09/21/27    8,000    8,030(1)
Banco do Brasil SA   USD    9.00%  Perpetual    31,000    32,767(1)(3)(4)
BRF GmbH   USD    4.35%  09/29/26    32,000    31,614(1)
Gol Finance SA:                        
    USD    7.00%  01/31/25    66,000    59,400(1)
    USD    8.00%  06/30/26    33,000    31,701(1)
Guara Norte Sarl   USD    5.20%  06/15/34    10,555    9,710(1)
Iochpe-Maxion Austria GmbH / Maxion Wheels de Mexico S de RL de CV   USD    5.00%  05/07/28    23,000    21,472(1)
Itau Unibanco Holding SA   USD    6.13%  Perpetual    19,000    18,806(1)(3)(4)
Klabin Austria GmbH:                        
    USD    3.20%  01/12/31    30,000    25,785(1)
    USD    7.00%  04/03/49    23,000    23,805(1)
MC Brazil Downstream Trading SARL   USD    7.25%  06/30/31    48,000    44,400(1)
Minerva Luxembourg SA   USD    4.38%  03/18/31    23,000    20,958(1)
MV24 Capital BV   USD    6.75%  06/01/34    4,515    4,400(1)
Petrobras Global Finance BV:                        
    USD    5.75%  02/01/29    28,000    29,170 
    USD    6.90%  03/19/49    51,000    50,733 
Simpar Europe SA   USD    5.20%  01/26/31    45,000    37,993(1)
Usiminas International Sarl   USD    5.88%  07/18/26    76,000    78,113(1)
                       528,857 
                         
                         
Chile - 1.71%
ATP Tower Holdings LLC / Andean Tower Partners Colombia SAS / Andean Telecom Par   USD    4.05%  04/27/26    18,000    16,750(1)
Celulosa Arauco y Constitucion SA   USD    5.50%  04/30/49    29,000    30,118(1)
Cencosud SA   USD    4.38%  07/17/27    14,000    14,311(1)
Inversiones CMPC SA   USD    3.00%  04/06/31    42,000    38,462(1)
VTR Comunicaciones SpA   USD    5.13%  01/15/28    16,000    15,790(1)
                       115,431 
                         
                         
China - 6.34%
Bank of China, Ltd.   USD    5.00%  11/13/24    46,000    49,128(2)
ENN Clean Energy International Investment, Ltd.   USD    3.38%  05/12/26    131,000    128,052(1)
Golden Eagle Retail Group, Ltd.   USD    4.63%  05/21/23    44,000    43,410(2)
Tencent Holdings, Ltd.:                        
    USD    2.39%  06/03/30    14,000    13,071(1)
    USD    3.24%  06/03/50    14,000    11,536(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   $182,500 
                       427,697 
                         
                         
Colombia - 5.29%
AI Candelaria Spain SLU:                        
    USD    7.50%  12/15/28    32,000    32,180(1)
    USD    7.50%  12/15/28    20,000    19,900(2)
Bancolombia SA   USD    4.88%  10/18/27    32,000    31,650(3)
Ecopetrol SA:                        
    USD    5.38%  06/26/26    29,000    29,723 
    USD    7.38%  09/18/43    33,000    32,802 
Geopark, Ltd.   USD    5.50%  01/17/27    60,000    57,375(1)
Gran Tierra Energy International Holdings, Ltd.   USD    6.25%  02/15/25    103,000    94,374(1)
Millicom International Cellular SA   USD    5.13%  01/15/28    27,900    27,372(1)
SierraCol Energy Andina LLC   USD    6.00%  06/15/28    34,000    31,038(1)
                       356,414 
                         
                         
Ghana - 1.81%
Tullow Oil PLC:                        
    USD    7.00%  03/01/25    98,000    77,175(1)
    USD    10.25%  05/15/26    46,000    44,850(1)
                       122,025 
                         
                         
Guatemala - 2.02%
CT Trust   USD    5.13%  02/03/32    38,000    38,190(1)
Energuate Trust   USD    5.88%  05/03/27    38,000    37,869(1)
Investment Energy Resources, Ltd.   USD    6.25%  04/26/29    58,000    60,030(1)
                       136,089 
                         
                         
Hong Kong - 3.78%
CK Hutchison International 17 II, Ltd.   USD    3.25%  09/29/27    50,000    51,874(2)
ESR Cayman, Ltd.   USD    7.88%  04/04/22    200,000    203,000 
                       254,874 
                         
                         
India - 5.31%
Bharti Airtel, Ltd.:                        
    USD    4.38%  06/10/25    15,000    15,590(2)
    USD    3.25%  06/03/31    33,000    31,275(1)
Greenko Dutch BV   USD    3.85%  03/29/26    72,890    71,068(1)
Network i2i, Ltd.   USD    5Y US TI + 4.28%  Perpetual    173,000    174,480(1)(3)(4)
Vedanta Resources Finance II PLC:                        
    USD    13.88%  01/21/24    19,000    19,380(1)
    USD    8.95%  03/11/25    21,000    19,687(1)
Vedanta Resources, Ltd.   USD    6.38%  07/30/22    27,000    26,525(1)
                       358,005 

 

 

   Currency   Rate   Maturity
Date		   Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Indonesia - 3.76%
Indika Energy Capital IV Pte, Ltd.   USD    8.25%  10/22/25    12,000   $11,820(1)
Indonesia Asahan Aluminium Persero PT   USD    5.45%  05/15/30    60,000    63,534(1)
Minejesa Capital BV   USD    4.63%  08/10/30    165,000    161,287(1)
PT Bumi Resources TBK (Eterna Capital Pte, Ltd.)   USD    7.50% PIK   12/11/22    5,529    4,351(5)
Star Energy Geothermal Darajat II / Star Energy Geothermal Salak   USD    4.85%  10/14/38    12,000    12,184(1)
                       253,176 
                         
                         
Israel - 4.56%
Altice Financing SA   USD    5.00%  01/15/28    94,000    84,982(1)
Leviathan Bond, Ltd.   USD    6.75%  06/30/30    74,000    74,601(1)
Teva Pharmaceutical Finance Netherlands III BV   USD    3.15%  10/01/26    164,000    148,010 
                       307,593 
                         
                         
Jamaica - 0.67%
Digicel Group Holdings, Ltd.   USD    8% Cash and 2% PIK or 10.00% PIK   04/01/24    14,672    14,679(5)
Digicel International Finance, Ltd./Digicel international Holdings, Ltd.   USD    8.75%  05/25/24    16,000    16,167(1)
Digicel, Ltd.   USD    6.75%  03/01/23    15,000    14,222(2)
                       45,068 
                         
                         
Macau - 4.45%
Melco Resorts Finance, Ltd.:                        
    USD    5.63%  07/17/27    87,000    81,327(2)
    USD    5.75%  07/21/28    32,000    28,938(1)
Sands China, Ltd.   USD    3.80%  01/08/26    19,000    18,079 
Studio City Co., Ltd.   USD    7.00%  02/15/27    69,000    68,348(1)
Studio City Finance, Ltd.:                        
    USD    6.00%  07/15/25    79,000    73,378(1)
    USD    5.00%  01/15/29    38,000    29,632(1)
                       299,702 
                         
                         
Malaysia - 3.59%
Gohl Capital, Ltd.   USD    4.25%  01/24/27    200,000    196,464 
Resorts World Las Vegas LLC / RWLV Capital, Inc.   USD    4.63%  04/06/31    50,000    45,878(2)
                       242,342 
                         
                         
Mexico - 6.60%
Aerovias de Mexico SA de CV   USD    7.00%  02/05/25    69,000    68,655(1)(6)
America Movil SAB de CV   USD    3.63%  04/22/29    13,000    13,464 
Banco Mercantil del Norte SA/Grand Cayman:                        
    USD    6.75%  Perpetual    63,000    62,394(1)(3)(4)
    USD    7.50%  Perpetual    43,000    42,162(1)(3)(4)
Cemex SAB de CV   USD    5Y US TI + 4.534%  Perpetual    33,000    31,680(1)(3)(4)
Cometa Energia SA de CV   USD    6.38%  04/24/35    50,344    51,634(1)
FEL Energy VI Sarl   USD    5.75%  12/01/40    10,613    10,029(1)
Mexico Generadora De Energia   USD    5.50%  12/06/32    24,152    24,273(1)
Petroleos Mexicanos:                        
    USD    6.63%  06/15/35    33,000    29,857 
    USD    7.69%  01/23/50    48,000    43,080 

 

 

   Currency   Rate   Maturity
Date		   Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Mexico (continued)
Sixsigma Networks Mexico SA de CV   USD    7.50%  05/02/25    42,000   $40,244(1)
Southern Copper Corp.   USD    6.75%  04/16/40    21,000    27,285 
                       444,757 
                         
                         
Nigeria - 3.11%
Access Bank PLC   USD    6.13%  09/21/26    34,000    32,682(1)
Africa Finance Corp.   USD    2.88%  04/28/28    32,000    30,440(1)
IHS Holding, Ltd.   USD    6.25%  11/29/28    53,000    51,808(1)
IHS Netherlands Holdco BV   USD    8.00%  09/18/27    93,000    95,093(1)
                       210,023 
                         
                         
Oman - 0.42%
Oryx Funding, Ltd.   USD    5.80%  02/03/31    28,000    28,455(1)
                         
                         
Peru - 3.74%
Banco BBVA Peru SA   USD    5Y US TI + 2.75%  09/22/29    13,000    13,380(2)(3)
Banco de Credito del Peru   USD    5Y US TI + 3.00%  07/01/30    28,000    26,590(1)(3)
Inkia Energy, Ltd.   USD    5.88%  11/09/27    92,000    90,001(1)
Kallpa Generacion SA:                        
    USD    4.88%  05/24/26    22,000    22,582(1)
    USD    4.13%  08/16/27    53,000    52,694(1)
Nexa Resources SA   USD    6.50%  01/18/28    45,000    47,058(1)
                       252,305 
                         
                         
Russia - 1.36%
Gazprom PJSC Via Gaz Capital SA   USD    4.95%  02/06/28    118,000    41,300(1)
Lukoil Securities BV   USD    3.88%  05/06/30    103,000    41,200 
VTB Bank PJSC Via VTB Eurasia DAC   USD    9.50%  Perpetual    30,000    9,000(1)(3)(4)
                       91,500 
                         
                         
Saudi Arabia - 2.88%
Acwa Power Management And Investments One, Ltd.   USD    5.95%  12/15/39    102,804    111,784(1)
Saudi Arabian Oil Co.:                        
    USD    3.50%  04/16/29    40,000    41,215(1)
    USD    3.25%  11/24/50    46,000    41,113(1)
                       194,112 
                         
                         
Senegal - 0.68%
Endeavour Mining PLC   USD    5.00%  10/14/26    49,000    45,893(1)
                         
                         
Singapore - 2.98%
BOC Aviation, Ltd.   USD    3M US L + 1.30%  05/21/25    200,000    200,914(3)

 

 

   Currency   Rate   Maturity
Date		   Principal
Amount/Shares*		   Value
(Expressed in USD)		 
South Africa - 2.99%
AngloGold Ashanti Holdings PLC   USD    3.75%  10/01/30    52,000   $49,205 
Eskom Holdings SOC, Ltd.   USD    6.75%  08/06/23    109,000    108,864(1)
Liquid Telecommunications Financing PLC   USD    5.50%  09/04/26    30,000    29,175(1)
Prosus NV   USD    3.83%  02/08/51    19,000    14,262(1)
                       201,506 
                         
                         
South Korea - 2.57%
LG Chem, Ltd.   USD    1.38%  07/07/26    50,000    47,723(2)
Shinhan Bank Co., Ltd.   USD    3.88%  03/24/26    60,000    62,662(2)
Woori Bank   USD    4.75%  04/30/24    60,000    63,017(2)
                       173,402 
                         
                         
Tanzania - 0.90%
HTA Group, Ltd.   USD    7.00%  12/18/25    60,000    60,846(1)
                         
                         
Thailand - 2.26%
Bangkok Bank PCL   USD    5Y US TI + 1.90%  09/25/34    50,000    48,916(1)(3)
PTT Treasury Center Co., Ltd.   USD    4.50%  10/25/42    60,000    63,784(1)
Thaioil Treasury Center Co., Ltd.   USD    4.88%  01/23/43    40,000    39,599(2)
                       152,299 
                         
                         
Turkey - 3.45%
Akbank Turk AS:                        
    USD    5.13%  03/31/25    15,000    14,212(1)
    USD    6.80%  04/27/28    35,000    34,125(1)(3)
Aydem Yenilenebilir Enerji AS   USD    7.75%  02/02/27    62,000    50,431(1)
Turk Telekomunikasyon AS   USD    6.88%  02/28/25    37,000    36,716(1)
Turkiye Garanti Bankasi AS   USD    6.13%  05/24/27    60,000    59,636(1)(3)
Ulker Biskuvi Sanayi AS   USD    6.95%  10/30/25    41,000    37,707(1)
                       232,827 
                         
                         
Ukraine - 1.15%
Metinvest BV:                        
    USD    7.75%  04/23/23    60,000    18,000(1)
    USD    7.75%  10/17/29    77,000    23,100(1)
VF Ukraine PAT via VFU Funding PLC   USD    6.20%  02/11/25    91,000    36,400(1)
                       77,500 
                         
                         
United Arab Emirates - 3.41%
DP World, Ltd./United Arab Emirates   USD    4.70%  09/30/49    149,000    149,602(1)
Galaxy Pipeline Assets Bidco, Ltd.   USD    1.75%  09/30/27    82,207    80,266(1)
                       229,868 
                         
                         
Vietnam - 1.37%
Mong Duong Finance Holdings BV   USD    5.13%  05/07/29    104,000    92,044(1)

 

 

   Currency   Rate   Maturity
Date		   Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Zambia - 1.57%
First Quantum Minerals, Ltd.:                        
    USD    6.50%  03/01/24    39,000   $39,512(1)
    USD    7.50%  04/01/25    65,000    66,422(1)
                       105,934 
                         
                         
TOTAL CORPORATE BONDS                      6,381,973 
(Cost $6,854,653)                        
                         
SHORT TERM INVESTMENTS - 2.57%                        
Money Market Fund - 2.57%                        
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield)   USD    0.06%  N/A    172,973    172,973 
                         
TOTAL SHORT TERM INVESTMENTS                      172,973 
(Cost $172,995)                        
                         
Total Investments - 97.22%                      6,554,946 
(Cost $7,027,648)                        
Other Assets In Excess of Liabilities - 2.78%                      187,676 
                         
Net Assets - 100.00%                     $6,742,622 

 

* 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
PIK - Payment in-kind
TI – Treasury Index
 
Reference Rates:
3M US L - 3 Month LIBOR as of February 28, 2022 was 0.50%
5Y US TI -  5 Year US Treasury Index as of February 28, 2022 was 1.71%
 
(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 $4,428,719, which represents approximately 65.68% of net assets as of February 28, 2022.
(2) Securities were originally issued pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration.  Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration.  As of February 28, 2022, the aggregate fair value of those securities was $607,088, which represents approximately 9.00% of net assets.
(3) Floating or variable rate security. The reference rate is described above. The rate in effect as of February 28, 2022 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

 

February 28, 2022 (Unaudited)

 

   Currency   Rate   Maturity
Date		  Principal
Amount/Shares*		   Value
(Expressed in USD)		 
ASSET BACKED/COMMERCIAL MORTGAGE BACKED SECURITIES - 1.88%                   
Aqua Finance Trust, Series 2019-A   USD    3.14%  07/16/40   23,155   $23,306(1)
BB-UBS Trust, Series 2012-TFT   USD    2.89%  06/05/30   20,898    20,881(1)
BX Commercial Mortgage Trust, Series 2019-IMC   USD    1M US L + 1.30%  04/15/34   100,000    98,597(1)(2)
CLNY Trust, Series 2019-IKPR   USD    1M US L + 1.13%  11/15/38   50,000    49,520(1)(2)
Fannie Mae Pool, Series 2013-   USD    3.00%  07/01/27   29,912    30,745(3)
Freddie Mac Whole Loan Securities Trust, Series 2016-SC01   USD    3.50%  07/25/46   17,232    17,403(3)
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9   USD    5.34%  05/15/47   49,467    46,580 
JP Morgan Chase Commercial Mortgage Securities Trust 2014-DSTY, Series 2014-DSTY   USD    3.43%  06/10/27   60,000    33,900(1)
MBRT, Series 2019-MBR   USD    1M US L + 1.10%  11/15/36   75,000    74,342(1)(2)
New Residential Advance Receivables Trust Advance Receivables Backed, Series 2020-T1   USD    1.43%  08/15/23   50,000    49,455(1)
Starwood Retail Property Trust 2014-STAR, Series 2014-STAR   USD    1M US L + 1.47%  11/15/27   44,317    29,692(1)(2)
Towd Point Mortgage Trust, Series 2016-5   USD    2.50%  10/25/56   7,173    7,208(1)(2)
Verus Securitization Trust 2021-3, Series 2021-3   USD    1.05%  06/25/66   91,951    89,746(1)(2)
                        
TOTAL ASSET BACKED/COMMERCIAL MORTGAGE BACKED SECURITIES                     571,375 
(Cost $572,647)                       
                        
CORPORATE BONDS - 16.04%                       
Aerospace/Defense - 0.39%                       
Boeing Co.   USD    3.60%  05/01/34   25,000    24,261 
General Dynamics Corp.   USD    2.85%  06/01/41   50,000    47,136 
Raytheon Technologies Corp.   USD    1.90%  09/01/31   50,000    45,584 
                      116,981 
                        
Automotive - 0.41%                       
General Motors Financial Co., Inc.   USD    5.25%  03/01/26   50,000    54,460 
Hyundai Capital America:                       
    USD    1.00%  09/17/24   50,000    48,117(1)

 

 

   Currency   Rate   Maturity
Date		  Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Automotive (continued)
Hyundai Capital America: (continued)                       
    USD    2.10%  09/15/28   25,000   $23,276(1)
                      125,853 
                        
Chemicals - 0.33%
Huntsman International LLC   USD    2.95%  06/15/31   50,000    47,828 
Nutrien, Ltd.   USD    3.95%  05/13/50   50,000    52,143 
                      99,971 
                        
Electric - 0.65%
Appalachian Power Co.   USD    3.70%  05/01/50   50,000    48,321 
Duke Energy Corp.   USD    3.50%  06/15/51   50,000    46,000 
Electricite de France SA   USD    4.50%  09/21/28   50,000    53,086(1)
Vistra Operations Co. LLC   USD    3.55%  07/15/24   50,000    50,680(1)
                      198,087 
                        
Exploration & Production - 0.32%
BP Capital Markets PLC   USD    5Y US TI + 4.04%  Perpetual   50,000    50,125(2)(4)
Continental Resources, Inc.   USD    2.27%  11/15/26   50,000    47,722(1)
                      97,847 
                        
Financial/Lease - 6.77%
Air Lease Corp.:                       
    USD    3.63%  12/01/27   50,000    50,691 
    USD    2.88%  01/15/32   50,000    46,824 
Bank of America Corp.:                       
    USD    3M US L + 0.99%  02/13/31   100,000    95,316(2)
    USD    5Y US TI + 1.20%  09/21/36   50,000    45,434(2)
Barclays PLC   USD    1Y US TI + 1.05%  11/24/27   75,000    72,391(2)
Boston Properties LP   USD    2.45%  10/01/33   50,000    45,475 
Capital One Financial Corp.   USD    1D US SOFR + 1.265%  11/02/32   50,000    46,715(2)
Citigroup, Inc.:                       
    USD    4.40%  06/10/25   50,000    52,491 
    USD    4.45%  09/29/27   75,000    80,188 
Credit Suisse Group AG   USD    3M US L + 1.24%  06/12/24   50,000    51,263(1)(2)
CubeSmart LP   USD    3.00%  02/15/30   50,000    49,608 
Deutsche Bank AG:                       
    USD    1D US SOFR + 1.131%  04/01/25   50,000    48,827(2)
    USD    1D US SOFR + 1.87%  11/24/26   50,000    48,164(2)
DNB Bank ASA   USD    1Y US TI + 0.68%  03/30/28   100,000    94,233(1)(2)
Goldman Sachs Group, Inc.:                       
    USD    1D US SOFR + 0.61%  02/12/26   25,000    23,890(2)
    USD    1D US SOFR + 1.114%  02/24/28   50,000    49,310(2)
HSBC Holdings PLC:                       
    USD    1D US SOFR + 1.54%  04/18/26   25,000    24,111(2)

 

 

   Currency   Rate   Maturity
Date		  Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Financial/Lease (continued)
HSBC Holdings PLC: (continued)                       
    USD    1D US SOFR + 1.29%  05/24/27   25,000   $23,585(2)
Intesa Sanpaolo SpA   USD    4.00%  09/23/29   75,000    75,564(1)
JPMorgan Chase & Co.:                       
    USD    1D US SOFR + 0.915%  02/24/26   50,000    50,104(2)
    USD    3.63%  12/01/27   50,000    52,105 
Kemper Corp.   USD    2.40%  09/30/30   50,000    45,821 
Mizuho Financial Group, Inc.   USD    2.56%  09/13/31   75,000    68,667 
Morgan Stanley   USD    1D US SOFR + 1.36%  09/16/36   100,000    90,877(2)
Nomura Holdings, Inc.   USD    2.71%  01/22/29   100,000    96,912 
Office Properties Income Trust   USD    2.40%  02/01/27   50,000    46,315 
Societe Generale SA   USD    1Y US TI + 1.10%  12/14/26   75,000    70,141(1)(2)
Standard Chartered PLC:                       
    USD    3M US L + 1.21%  01/30/26   25,000    24,872(1)(2)
    USD    5Y US TI + 2.30%  02/18/36   25,000    23,103(1)(2)
    USD    5.70%  03/26/44   25,000    28,120(1)
Sumitomo Mitsui Financial Group, Inc.   USD    2.14%  09/23/30   25,000    22,811 
Synchrony Financial:                       
    USD    3.70%  08/04/26   50,000    51,112 
    USD    2.88%  10/28/31   50,000    46,480 

 

 

   Currency   Rate   Maturity
Date		  Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Financial/Lease (continued)
UBS Group AG   USD    1Y US TI + 1.10%  02/11/43   100,000   $93,075(1)(2)
US Bancorp   USD    5Y US TI + 0.95%  11/03/36   75,000    70,237(2)
WEA Finance LLC   USD    2.88%  01/15/27   50,000    49,561(1)
Wells Fargo & Co.   USD    1D US SOFR + 1.50%  03/02/33   100,000    101,362(2)
                      2,055,755 
                        
Food/Beverage/Tobacco - 0.47%
Conagra Brands, Inc.   USD    1.38%  11/01/27   50,000    45,940 
PepsiCo, Inc.   USD    1.95%  10/21/31   50,000    47,452 
Sysco Corp.   USD    2.40%  02/15/30   50,000    47,840 
                      141,232 
                        
Healthcare - 0.94%
AbbVie, Inc.   USD    3.20%  11/21/29   50,000    50,700 
Baxter International, Inc.   USD    2.27%  12/01/28   50,000    48,239(1)
HCA, Inc.   USD    3.50%  07/15/51   50,000    44,538 
Merck & Co., Inc.   USD    2.15%  12/10/31   50,000    47,809 
Pfizer, Inc.   USD    1.75%  08/18/31   50,000    46,357 
Universal Health Services, Inc.   USD    1.65%  09/01/26   50,000    47,508(1)
                      285,151 
                        
Home Builders - 0.15%
MDC Holdings, Inc.   USD    2.50%  01/15/31   50,000    45,430 
                        
Industrial Other - 0.56%
Carrier Global Corp.   USD    3.58%  04/05/50   75,000    71,474 
CNH Industrial Capital LLC   USD    1.88%  01/15/26   50,000    48,740 
Flowserve Corp.   USD    3.50%  10/01/30   50,000    49,698 
                      169,912 
                        
Lodging - 0.16%
Marriott International, Inc.   USD    2.85%  04/15/31   50,000    47,702 
                        
Media Cable - 0.27%
Charter Communications Operating LLC / Charter Communications Operating Capital   USD    6.48%  10/23/45   25,000    29,925 
Comcast Corp.   USD    3.97%  11/01/47   50,000    50,940 
                      80,865 
                        
Metals/Mining/Steel - 0.30%
Glencore Funding LLC   USD    2.63%  09/23/31   50,000    45,977(1)
Rio Tinto Finance USA, Ltd.   USD    2.75%  11/02/51   50,000    44,035 
                      90,012 
                        
Midstream - 0.86%
Boardwalk Pipelines LP   USD    4.80%  05/03/29   50,000    53,568 
Enbridge, Inc.   USD    2.50%  02/14/25   50,000    50,207 
Kinder Morgan Energy Partners LP   USD    5.50%  03/01/44   50,000    56,304 

 

 

   Currency   Rate   Maturity
Date		  Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Midstream (continued)
Sabine Pass Liquefaction LLC   USD    4.20%  03/15/28   50,000   $52,631 
Williams Cos., Inc.   USD    2.60%  03/15/31   50,000    47,270 
                      259,980 
                        
Refining - 0.15%
Phillips 66   USD    2.15%  12/15/30   50,000    46,198 
                        
Restaurants - 0.18%
McDonald's Corp.   USD    4.45%  03/01/47   50,000    54,927 
                        
Retail Non Food/Drug - 0.30%
O'Reilly Automotive, Inc.   USD    1.75%  03/15/31   50,000    44,921 
Tapestry, Inc.   USD    3.05%  03/15/32   50,000    47,614 
                      92,535 
                        
Services Other - 0.64%
Equifax, Inc.   USD    2.35%  09/15/31   50,000    45,977 
Expedia Group, Inc.   USD    3.25%  02/15/30   50,000    49,379 
Waste Management, Inc.   USD    2.95%  06/01/41   50,000    46,960 
Western Union Co.   USD    2.85%  01/10/25   50,000    50,665 
                      192,981 
                        
Technology - 0.93%
Broadcom, Inc.   USD    3.19%  11/15/36   50,000    46,484(1)
Electronic Arts, Inc.   USD    2.95%  02/15/51   50,000    43,129 
salesforce.com, Inc.   USD    2.70%  07/15/41   50,000    45,716 
Tencent Holdings, Ltd.   USD    3.60%  01/19/28   50,000    51,011(1)
TSMC Global, Ltd.   USD    1.00%  09/28/27   50,000    45,885(1)
Tyco Electronics Group SA   USD    2.50%  02/04/32   50,000    48,607 
                      280,832 
                        
Transportation Other - 0.17%
FedEx Corp.   USD    4.40%  01/15/47   50,000    52,925 
                        
Wireless - 0.25%
T-Mobile USA, Inc.   USD    3.88%  04/15/30   25,000    25,879 
Vodafone Group PLC   USD    4.25%  09/17/50   50,000    51,303 
                      77,182 
                        
Wirelines - 0.84%
AT&T, Inc.:                       
    USD    2.25%  02/01/32   75,000    69,282 
    USD    3.65%  09/15/59   50,000    45,435 

 

 

   Currency   Rate   Maturity
Date		  Principal
Amount/Shares*		   Value
(Expressed in USD)		 
Wirelines (continued)
TELUS Corp.   USD    3.40%  05/13/32   75,000   $75,939 
Verizon Communications, Inc.   USD    2.99%  10/30/56   75,000    64,091 
                      254,747 
                        
TOTAL CORPORATE BONDS                     4,867,105 
(Cost $5,124,203)                       
                        
OPEN-END FUNDS - 60.68%
Stone Harbor Emerging Markets Corporate Debt Fund   USD    N/A   N/A   179,141    1,488,663(5)
Stone Harbor Emerging Markets Debt Fund   USD    N/A   N/A   745,506    6,232,434(5)
Stone Harbor High Yield Bond Fund   USD    N/A   N/A   1,192,514    9,277,761(5)
Stone Harbor Local Markets Fund   USD    N/A   N/A   177,552    1,416,864(5)(6)
                      18,415,722 
                        
TOTAL OPEN-END FUNDS                     18,415,722 
(Cost $20,299,565)                       
                        
U.S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES - 8.13%                       
FNMA TBA   USD    2.50%  12/15/51   2,500,000    2,466,699(3)
                        
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES                     2,466,699 
(Cost $2,466,016)                       
                        
U.S. TREASURY BONDS/NOTES - 4.56%
U.S. Treasury Bonds:                       
    USD    2.75%  02/15/28   50,000    52,705 
    USD    1.25%  08/15/31   225,000    213,698 
    USD    2.50%  02/15/46   225,000    233,077 
U.S. Treasury Notes:                       
    USD    2.13%  05/15/25   325,000    329,596 
    USD    2.00%  08/15/25   550,000    555,435 
                      1,384,511 
                        
TOTAL U.S. TREASURY BONDS/NOTES                     1,384,511 
(Cost $1,423,008)                       
                        
SHORT TERM INVESTMENTS - 6.88%              
Money Market Fund - 6.88%                       
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield)   USD    0.06%  N/A   2,086,655    2,086,655 
                        
TOTAL SHORT TERM INVESTMENTS                     2,086,655 
(Cost $2,086,916)                       
                        
Total Investments - 98.17%                     29,792,067 
(Cost $31,972,355)                       
Other Assets In Excess of Liabilities - 1.83%                     555,225(7)
                        
Net Assets - 100.00%                    $30,347,292 

 

 

*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

 

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 February 28, 2022 was 0.24% 

3M US L - 3 Month LIBOR as of February 28, 2022 was 0.50% 

1D US SOFR - 1 Day SOFR as of February 28, 2022 was 0.05% 

1Y US TI -  1 Year US Treasury Bill as of February 28, 2022 was 1.01% 

5Y US TI -  5 Year US Treasury Index as of February 28, 2022 was 1.71%

 

(1)  Security exempt from registration under Rule 144A of the Securities Act of 1933.  Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration.  Total fair value of Rule 144A securities amounts to $1,494,564, which represents approximately 4.92% of net assets as of February 28, 2022.
(2)  Floating or variable rate security. The reference rate is described above. The rate in effect as of February 28, 2022 is based on the reference rate plus the displayed spread as of the security's last reset date. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.
(3)  Investment purchased on a delayed delivery basis.
(4)  Security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.
(5)  Affiliated with the Fund, as each is a series of Stone Harbor Investment Funds and has the same investment adviser.
(6)  Non-income producing security.
(7)  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 February
28, 2022		    Fund
Delivering		    U.S. $ Value
at February
28, 2022		    Unrealized
Appreciation/
(Depreciation)		 
Citigroup Global Markets  03/03/22   AUD    159,788    USD    156,435   $3,353 
Goldman Sachs & Co.  03/11/22   JPY    156,857    USD    155,561    1,296 
Goldman Sachs & Co.  03/25/22   EUR    224,482    USD    223,740    742 
Goldman Sachs & Co.  03/25/22   USD    225,050    EUR    224,482    568 
J.P. Morgan Chase & Co.  03/28/22   EUR    224,514    USD    224,186    328 
J.P. Morgan Chase & Co.  04/28/22   USD    99,182    EUR    98,666    516 
J.P. Morgan Chase & Co.  04/28/22   USD    63,584    GBP    63,331    253 
                          $7,056 
                             
Goldman Sachs & Co.  03/03/22   USD    157,062    AUD    159,788   $(2,726)
Goldman Sachs & Co.  03/11/22   USD    156,298    JPY    156,857    (559)
J.P. Morgan Chase & Co.  03/14/22   EUR    605,778    USD    617,466    (11,688)
J.P. Morgan Chase & Co.  03/10/22   GBP    160,990    USD    162,342    (1,352)
                          $(16,325)

 

FUTURES CONTRACTS     

 

Description  Position   Contracts   Currency   Expiration
Date		  Notional
Amount***		   Value and Unrealized Appreciation/(Depreciation) 
Euro-Bund Future   Short    (6)   EUR   3/08/22  $(1,123,764)  $48,786 
                          $48,786 
                             
US 10 Yr T-Note Future   Short    (72)   USD   6/21/22   (9,175,500)  $(70,585)
US Ultra Bond Future   Short    (1)   USD   6/21/22   (185,938)   (2,082)
                          $(72,667)

 

***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
Receive Rate		   Currency   Maturity Date  Implied Credit Spread at February 28, 2022   Notional Amount***(2)   Value   Upfront Premiums Received/(Paid)   Unrealized Appreciation 
MARKIT CDX EM S36 5Y ICE(3)  Intercontinental Exchange   1.000%   USD   12/20/2026   2.867%   3,450,000   $274,254   $(139,206)  $135,048 
MARKIT CDX IG S37 5Y ICE(3)  Intercontinental Exchange   1.000%   USD   12/20/2026   0.677%   1,875,000    (27,501)   43,750    16,249 
                             $246,753   $(95,456)  $151,297 

 

 

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

 

Reference Obligations  Clearing House  Fixed Deal
Receive Rate		   Currency   Maturity Date  Implied Credit Spread at February 28, 2022   Notional Amount***(2)   Value   Upfront Premiums Received/(Paid)   Unrealized Depreciation 
MARKIT CDX HY S37 5Y ICE(3)  Intercontinental Exchange   5.000%   USD   06/20/2026   3.651%   2,625,000   $146,047   $(213,805)  $(67,758)
                             $146,047   $(213,805)  $(67,758)

        

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) Non-income producing security.

 

See Notes to Quarterly Statement of Investments

 

 

Stone Harbor Emerging Markets Debt Allocation Fund Statement of Investments
 

February 28, 2022 (Unaudited)

 

               Value 
   Currency   Rate   Shares*   (Expressed in USD) 
OPEN-END FUNDS - 99.64%                    
Stone Harbor Emerging Markets Debt Fund   USD    N/A    953,190   $7,968,669(1)
Stone Harbor Local Markets Fund   USD    N/A    993,635    7,929,205(1)(2)
                   15,897,874 
TOTAL OPEN-END FUNDS                  15,897,874 
(Cost $15,470,584)                    
                     
SHORT TERM INVESTMENTS - 0.42%                    
Money Market Fund - 0.42%                    
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield)   USD    0.06%   66,640    66,640 
                     
TOTAL SHORT TERM INVESTMENTS                  66,640 
(Cost $66,647)                    
                     
Total Investments - 100.06%                  15,964,514 
(Cost $15,537,231)                    
                     
Liabilities in Excess of Other Assets - (0.06)%                  (10,303)
                     
Net Assets - 100.00%                 $15,954,211 

 

*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

 

        U.S. $ Value       U.S. $ Value   Unrealized 
  Settlement  Fund  at February   Fund   at February   Appreciation/ 
Counterparty Date  Receiving  28, 2022   Delivering   28, 2022   (Depreciation) 
J.P. Morgan Chase & Co.  03/03/22  BRL   95,479    USD    90,030   $5,449 
J.P. Morgan Chase & Co.  03/03/22  USD   98,170    BRL    95,479    2,691 
                        $8,140 
Citigroup Global Markets  05/10/22  CZK   85,902    USD    90,586   $(4,684)
Citigroup Global Markets  03/18/22  RUB   62,689    USD    91,167    (28,478)
Citigroup Global Markets  03/18/22  USD   61,058    RUB    62,689    (1,631)
J.P. Morgan Chase & Co.  04/04/22  BRL   94,612    USD    97,316    (2,704)
J.P. Morgan Chase & Co.  03/17/22  COP   84,220    USD    84,392    (172)

 

 

OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS (continued)

 

        U.S. $ Value       U.S. $ Value   Unrealized 
  Settlement  Fund  at February   Fund   at February   Appreciation/ 
Counterparty Date  Receiving  28, 2022   Delivering   28, 2022   (Depreciation) 
J.P. Morgan Chase & Co.  03/24/22  EUR   72,504    USD    73,302   $(798)
                        $(38,467)

 

See Notes to Quarterly Statement of Investments

 

 

Stone Harbor Investment Funds Notes to Quarterly Statements of Investments
 

February 28, 2022 (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 February 28, 2022:

 

Investments in Securities at Value*  Level 1   Level 2   Level 3   Total 
Stone Harbor Emerging Markets Debt Fund                    
Sovereign Debt Obligations  $–   $567,781,961   $–   $567,781,961 
Open-End Funds   4,607,846    –    –    4,607,846 
Corporate Bonds   –    262,003,847    –    262,003,847 
Credit Linked Notes   –    -    7,007,811    7,007,811 
Short Term Investments   2,874,851    –    –    2,874,851 
Total  $7,482,697   $829,785,808   $7,007,811   $844,276,316 

 

Other Financial Instruments**                    
Assets                    
Forward Foreign Currency Contracts  $–   $349,546   $–   $349,546 
Liabilities                    
Forward Foreign Currency Contracts   –    (45,853)   –    (45,853)
Total  $–   $303,693   $–   $303,693 

 

Investments in Securities at Value*  Level 1   Level 2   Level 3   Total 
Stone Harbor High Yield Bond Fund                    
Corporate Bonds  $–   $102,504,845   $–   $102,504,845 
Bank Loans   –    529,027    –    529,027 
Common/Preferred Stocks   –    143,154    40    143,194 
Total  $–   $103,177,026   $40   $103,177,066 

 

Investments in Securities at Value*  Level 1   Level 2   Level 3   Total 
Stone Harbor Local Markets Fund                    
Sovereign Debt Obligations  $–   $70,302,161   $–   $70,302,161 
Corporate Bonds   –    7,127,443    –    7,127,443 
Short Term Investments   1,762,611    –    –    1,762,611 
Total  $1,762,611   $77,429,604   $–   $79,192,215 

 

 

 

 

Other Financial Instruments**                
Assets                    
Forward Foreign Currency Contracts  $–   $547,977   $–   $547,977 
Liabilities                    
Forward Foreign Currency Contracts   –    (572,876)   –    (572,876)
Total  $–   $(24,899)  $–   $(24,899)

 

Investments in Securities at Value*  Level 1   Level 2   Level 3   Total 
Stone Harbor Emerging Markets Corporate Debt Fund                    
Corporate Bonds  $–   $6,381,973   $–   $6,381,973 
Short Term Investments   172,973    –    –    172,973 
Total  $172,973   $6,381,973   $–   $6,554,946 

 

Investments in Securities at Value*  Level 1   Level 2   Level 3   Total 
Stone Harbor Strategic Income Fund                    
Open-End Funds  $18,415,722   $–   $–   $18,415,722 
Asset Backed/Commercial Mortgage Backed Securities   –    571,375    –    571,375 
Corporate Bonds   –    4,867,105    –    4,867,105 
U.S. Government Agency Mortgage Backed Securities   –    2,466,699    –    2,466,699 
U.S. Treasury Bonds/Notes   –    1,384,511    –    1,384,511 
Short Term Investments   2,086,655    –    –    2,086,655 
Total  $20,502,377   $9,289,690   $–   $29,792,067 

 

Other Financial Instruments**  Level 1   Level 2   Level 3   Total 
Assets                    
Forward Foreign Currency Contracts  $–   $7,056   $–   $7,056 
Future Contracts   48,785    –    –    48,785 
Liabilities                    
Forward Foreign Currency Contracts   –    (16,325)   –    (16,325)
Credit Default Swap Contracts   –    83,540    –    83,540 
Future Contracts   (72,667)   –    –    (72,667)
Total  $(23,881)  $74,271   $–   $50,389 

 

Investments in Securities at Value*  Level 1   Level 2   Level 3   Total 
Stone Harbor Emerging Markets Debt Allocation Fund                    
Open-End Funds  $15,897,874   $–   $–   $15,897,874 
Short Term Investments   66,640    –    –    66,640 
Total  $15,964,514   $–   $–   $15,964,514 

 

Other Financial Instruments**  Level 1   Level 2   Level 3   Total 
Assets                    
Forward Foreign Currency Contracts  $–   $8,140   $–   $8,140 
Liabilities                    
Forward Foreign Currency Contracts   –    (38,467)   –    (38,467)
Total  $–   $(30,327)  $–   $(30,327)

 

*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		   Balance as
of February
28, 2022		   Net change in unrealized appreciation/ (depreciation) included in the Statements of Operations attributable to Level 3 investments held at February 28, 2022 
Credit Linked Notes   8,326,868    130,163    -    (45,539)   9,202    -    (1,412,883)  $7,007,811   $9,202 
   $8,326,868   $130,163   $-   $(45,539)  $9,202   $-   $(1,412,883)  $7,007,811   $9,202 

 

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		   Balance as
of February
28, 2022		   Net change in unrealized appreciation/ (depreciation) included in the Statements of Operations attributable to Level 3 investments held at February 28, 2022 
Corporate Bonds  $40   $3,775   $-   $(423,604)  $419,828   $-   $(39)  $-   $419,828 
Common/Preferred Stocks   -    -    -    -    -    40    -    40  - 
   $40   $3,775   $-   $(423,604)  $419,828   $40   $(39)  $40   $419,828 

 

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

 

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

 

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

 

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

 

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

 

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

 

 

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

 

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

 

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

 

Line of Credit: On May 5, 2017, the Trust entered into a credit agreement (“Credit Agreement”) with State Street Bank and Trust Company (the “Bank”) in which the Funds may borrow through a revolving line of credit. Borrowings under the Credit Agreement are secured by investments held in the Funds. For the period ended February 28, 2022, 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 8, 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 February 28, 2022, the Funds did not have a liability for any unrecognized tax benefits. The Funds file U.S. federal, state, and local tax returns as required. The Funds’ tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations which is generally three years after the filing of the tax return for federal purposes and four years for most state returns. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.

 

3. DERIVATIVE INSTRUMENTS

 

 

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

 

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

 

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

 

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

 

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

 

 

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

 

Forward Foreign Currency Contracts: Certain Funds engaged in currency transactions with counterparties during the period ended February 28, 2022, to hedge the value of portfolio securities denominated in particular currencies against fluctuations in relative value, to gain or reduce exposure to certain currencies, or to generate income or gains. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The contract is marked-to-market daily and the change in value is recorded by the Funds as an unrealized gain or loss. When a forward foreign currency contract is extinguished, through delivery, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished..

 

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

 

Futures Contracts: Certain Funds invested in futures contracts during the period ended February 28, 2022, in accordance with their investment objectives. A futures contract provides for the future sale by one party and purchase by another party of a specified quantity of the security or other financial instrument at a specified price and time. A futures contract on an index is an agreement pursuant to which two parties agree to take or make delivery of an amount of cash equal to the difference between the value of the index at the close of the last trading day of the contract and the price at which the index contract was originally written. Futures contract transactions may result in losses in excess of the amount invested in the futures contract. There can be no guarantee that there will be a correlation between price movements in the hedging vehicle and in the portfolio securities being hedged. An incorrect correlation could result in a loss on both the hedged securities in a Fund and the hedging vehicle so that the portfolio return might have been greater had hedging not been attempted. There can be no assurance that a liquid market will exist at a time when a Fund seeks to close out a futures contract or a futures option position. Lack of a liquid market for any reason may prevent a Fund from liquidating an unfavorable position, and the Fund would remain obligated to meet margin requirements until the position is closed. In addition, a Fund could be exposed to risk if the counterparties to the contracts are unable to meet the terms of their contracts. With exchange-traded futures contracts, there is minimal counterparty credit risk to the Funds since futures contracts are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default.

 

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

 

Swap Agreements: Certain Funds invested in swap agreements during the period ended February 28, 2022. Swap agreements are bilaterally negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, or market-linked returns at specified, future intervals. Swap agreements are privately negotiated in the over the counter market (“OTC swaps”) or may be executed in a multilateral or other trade facility platform, such as a registered exchange (“centrally cleared swaps”). In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund’s counterparty on the swap agreement becomes the CCP. The Fund may enter into credit default swaps, interest rate swaps, total return swaps on individual securities or groups or indices of securities for hedging, investment or leverage purposes. In connection with these agreements, securities or cash may be identified as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency.

 

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

 

 

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

 

Credit Default Swap Contracts: Certain Funds entered into credit default swap contracts during the period ended February 28, 2022, for hedging purposes to gain market exposure or to add leverage to its portfolio. When used for hedging purposes, a Fund is the buyer of a credit default swap contract. In that case, the Fund is entitled to receive the par (or other agreed upon) value of a referenced debt obligation, index or other investment from the counterparty to the contract in the event of a default by a third party, such as a U.S. or foreign issuer, on the referenced debt obligation. In return, the Fund would pay to the counterparty a periodic stream of payments over the term of the contract provided that no event of default has occurred. If no event of default occurs, the Fund has spent the stream of payments and received no benefit from the contract. When the Fund is the seller of a credit default swap contract, the Fund receives the stream of payments but is obligated to pay upon default of the referenced debt obligation. As the seller, the Fund effectively adds leverage to its portfolio because, in addition to its total assets, the Fund is subject to investment exposure on the notional amount of the swap.

 

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

 

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

 

4. Affiliated Companies

 

 

Funds may invest in certain securities that are considered securities issued by affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated person, including an affiliated company, is one in which a Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The purchases, sales, dividend income, capital gains, return of capital distributions received, shares and value of investments in affiliated companies for the period ended February 28, 2022 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)		   Market Value
as of February
28, 2022*		   Share Balance as
of February 28, 2022		   Dividends 
Stone Harbor Emerging Markets Corporate Debt Fund  $1,599,911   $56,031   $-   $(167,279)  $-   $1,488,663    179,141   $56,031 
Stone Harbor Emerging Markets Debt Fund   7,041,069    269,036    -    (1,077,671)   -    6,232,434    745,506    269,036 
Stone Harbor High Yield Bond Fund   8,694,885    975,366    -    (392,490)   -    9,277,761    1,192,514    313,790 
Stone Harbor Local Markets Fund   2,311,117    -    (661,576)   (176,240)   (56,437)   1,416,864    177,552    - 
   $19,646,982             $(1,813,680)  $(56,437)  $18,415,722    2,294,713   $638,857 

 

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)		   Market Value
as of February
28, 2022*		   Share Balance as
of February 28, 2022		   Dividends 
Stone Harbor Emerging Markets Debt Fund  $8,871,942   $1,073,621   $(621,123)  $(1,335,371)  $(20,400)  $7,968,669    953,190   $337,162 
Stone Harbor Local Markets Fund   9,794,152    341,320    (1,114,934)   (1,199,118)   107,785    7,929,205    993,635    - 
   $18,666,094             $(2,534,489)  $87,385   $15,897,874    1,946,825   $337,162 

 

Stone Harbor Emerging Markets Debt Fund

 

Security Name  Market Value as
of May 31, 2021		   Purchases   Sales   Change in Unrealized Gain
(Loss)		   Realized
Gain/(Loss)		   Market Value
as of February
28, 2022*		   Share Balance as
of February 28, 2022		   Dividends 
Stone Harbor Emerging Markets Corporate Debt Fund  $-   $5,103,833   $-   $(495,987)  $-   $4,607,846    554,494   $103,833 
   $-             $(495,987)  $-   $4,607,846    554,494   $103,833