UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22037
Stone Harbor Investment Funds
(Exact name of registrant as specified in charter)
31 West 52nd Street, 16th Floor
New York, NY 10019
(Address of principal executive offices) (Zip code)
Adam J. Shapiro, Esq.
c/o Stone Harbor Investment Partners LP
31 West 52nd Street, 16th Floor
New York, NY 10019
(Name and address of agent for service)
With copies To:
Michael G. Doherty, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, NY 10036
Registrant’s telephone number, including area code: (866) 699-8125
Date of fiscal year end: May 31
Date of reporting period: June 1, 2020 – November 30, 2020
Item 1. Report to Stockholders.
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website at www.shiplp.com and you will be notified by mail each time a report is posted and provided with a website link to access the report.
You may, notwithstanding the availability of shareholder reports online, elect to receive all future shareholder reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Funds, you can call 1.866.699.8125 to let the Funds know you wish to continue receiving paper copies of your shareholder reports.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by enrolling at www.shiplp.com.
Table of Contents
Shareholder Letter | 2 |
Disclosure of Fund Expenses | 8 |
Summaries of Portfolio Holdings | 9 |
Growth of $10,000 Investment | |
Stone Harbor Emerging Markets Debt Fund | 12 |
Stone Harbor High Yield Bond Fund | 13 |
Stone Harbor Local Markets Fund | 14 |
Stone Harbor Emerging Markets Corporate Debt Fund | 15 |
Stone Harbor Investment Grade Fund | 16 |
Stone Harbor Strategic Income Fund | 17 |
Stone Harbor Emerging Markets Debt Allocation Fund | 18 |
Statements of Investments | |
Stone Harbor Emerging Markets Debt Fund | 19 |
Stone Harbor High Yield Bond Fund | 33 |
Stone Harbor Local Markets Fund | 42 |
Stone Harbor Emerging Markets Corporate Debt Fund | 48 |
Stone Harbor Investment Grade Fund | 53 |
Stone Harbor Strategic Income Fund | 59 |
Stone Harbor Emerging Markets Debt Allocation Fund | 62 |
Statements of Assets & Liabilities | 64 |
Statements of Operations | 66 |
Statements of Changes in Net Assets | 68 |
Financial Highlights | |
Stone Harbor Emerging Markets Debt Fund | 72 |
Stone Harbor High Yield Bond Fund | 73 |
Stone Harbor Local Markets Fund | 74 |
Stone Harbor Emerging Markets Corporate Debt Fund | 75 |
Stone Harbor Investment Grade Fund | 76 |
Stone Harbor Strategic Income Fund | 77 |
Stone Harbor Emerging Markets Debt Allocation Fund | 78 |
Notes to Financial Statements | 79 |
Additional Information | 98 |
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 1 |
Stone Harbor Investment Funds | Shareholder Letter |
November 30, 2020 (Unaudited)
Dear Shareholder,
The six months ending November 30, 2020 was a period of strong positive market returns set against a backdrop of solid economic growth, buoyed by ongoing fiscal and monetary policy support around the globe. While levels of economic activity remained subdued particularly in the service sectors, and fluctuations in the level of pandemic risk have resulted in elevated uncertainty, the direction of travel has been positive.
Following declining growth among the G4 countries at an annualized rate of 35%, the third quarter of 2020 saw an increased growth rate of 43%. Despite this improvement, given prior declines substantial output gaps persist, leading to likely ongoing downward pressure on inflation. In recognition of this, central banks have sought to extend monetary accommodation; most notably the U.S. Federal Reserve (“Fed”) and European Central Bank (“ECB”) extended quantitative easing. Against further indications of improvements in headline U.S. economic data, the Fed announced a policy change and instituted an outcome-based forward rate guidance. The policy shift recasts the 2% inflation target to a long-term average rate rather than a maximum level. Accommodative policy language remains, underscoring the Fed’s commitment to keep rates at zero for an extended period, and to focus on eliminating shortfalls from maximum employment.
As of this writing, conditions remain volatile globally, driven in large part by fluctuations in pandemic experiences. Heading into November, growth expectations started to moderate in the near term as the second wave of COVID continued to impair human and economic conditions; longer-term growth expectations remain bolstered by positive COVID vaccine developments and the beginning of its roll out.
Against this background of stronger growth and central bank accommodation, global government bond yields have remained broadly stable but with some relative differences. Ten-year U.S. Treasury yields ended November at 0.87%, compared with 0.60% at the end of May, whereas in Europe, Bund yields ended the reporting period at 0.57%, a decline of 10 basis points (“bps”) over the six months. Credit markets have performed well over the period. U.S. high yield spreads narrowed some 225 bps, ending November at 348 bps. Investment grade corporate spreads narrowed 70 bps, ending the period at 93 bps. Emerging markets (“EM”) debt spreads performed well, tightening 137 bps, ending the period at 357 bps.
In foreign exchange (“FX”) markets, the U.S. dollar posted some notable declines with the U.S. Dollar Index (“USDX”) falling 6.5%. The Euro posted a strong gain of 9%. EM currencies saw mixed performance with a 10% rally in the Mexican peso at the high end, while the Russian ruble and Turkish lira posted notable declines. However, the latter part of the period saw better performance among EM currencies overall as the U.S. dollar decline broadened, hinting at a transition to EM currencies potentially leading in the rally versus the U.S. dollar.
Looking forward, the near-term outlook remains uncertain, as governments continue to work towards balancing economic activity and health risk. While further restriction on social activity is likely, recent evidence suggests that economies have adapted to the pandemic circumstances, perhaps portending less of a constraint on activity than earlier in 2020. What remains unclear is the full extent of economic scarring caused by the pandemic. While governments have sought to support employment, workers’ temporary unemployment in many cases appears to be shifting to permanent status. While company default rates have moderated after an initial surge, companies will likely endure further challenge, resulting in potentially rising default rates. The extent of the market pricing in the current uncertainty remains elevated compared to pre-pandemic levels, reflected in the CBOE Volatility Index (“VIX”) at over 20%. Though, it is worth noting that during the March/April decline, the VIX soared to 87% from 14% at the end of 2019.
We currently anticipate a synchronized global recovery with significant implications for risk assets. Based on the historical record of large drawdowns and our analysis of credit market dynamics, we believe the COVID-related volatility offers investment opportunities in EM debt, particularly in countries and issues that are poised to benefit from a synchronized global recovery and in credits that may be trending behind in the recovery from the 2020 dislocation.
In the longer term, the outlook is clearly improving with the roll out of vaccines -- although early, it seems probable that additional vaccines will be approved and the delivery rate will be exponential. This is a clear positive. Driven by this vaccine progress, coupled with our expectation of continued monetary policy support, our outlook is meaningfully more positive beyond the next several months.
At Stone Harbor Investment Partners LP (“Stone Harbor”), we will continue to focus on seeking to capture excess return from stable and improving credit situations in corporate and sovereign markets worldwide. As we continue to monitor these developments, please follow our progress through the year by visiting our website at www.shiplp.com. There you will find updates on our view of credit markets as well as related news and research. We appreciate the confidence you have placed in Stone Harbor and look forward to providing you with another update in the next six months.
Market Review: Emerging Markets Debt
The recovery in global financial markets continued throughout the reporting period following the most disruptive months of the pandemic in March and April, which were marked by an extreme level of market volatility and a dramatic selloff in asset prices. While uncertainties around renewed outbreaks of COVID-19, U.S. presidential election, and progress with coronavirus vaccines tempered the strong rebound experienced across credit markets early in the reporting period, emerging markets debt (“EMD”) held onto gains and was supported by several important factors. Among these were: 1) substantial policy support in developed and emerging markets, 2) low Inflation in most EM countries, allowing central banks to implement rate cuts and bond purchases to combat further downturn, 3) significant relief support from the International Monetary Fund (“IMF”) and other multilateral lenders for lesser developed countries, and 4) sharp increase in oil and commodity prices from depressed levels, positively impacting resource-intensive emerging market countries.
2 | www.shiplp.com |
Stone Harbor Investment Funds | Shareholder Letter |
November 30, 2020 (Unaudited)
The JPMorgan EMBI Global Diversified spread over comparable maturity U.S. Treasury securities tightened 137 bps, ending the reporting period at a spread of 378 bps and returning 9.96%. The JPMorgan CEMBI Broad Diversified credit spread tightened 164 bps, ending the period at a spread of 301 bps and returning 8.66%. The JPMorgan GBI-EM Global Diversified returned 7.09% during the period. The recovery of higher yielding assets has outpaced that of investment grade assets, but spread levels remained wider than at peak of 2008/2009 global financial crisis. While EM sovereign spreads, currencies and local interest rates retraced part of their widening from the first quarter this year, we believe the market recovery in many countries remained incomplete at the close of the reporting period.
The pace of inflows into EM bond funds in 2020 has lagged well behind that of funds that invest in either US high yield bonds or U.S. investment grade debt; however, we note that inflow momentum into EM debt funds accelerated in November. According to fund tracking service EPFR Global, US$5.9 billion was allocated to mandates that invest in external EM debt and another US$7.3 billion into local currency EM bonds. In addition, November brought more certainty to the outlook for U.S. political leadership and announcements of significant progress on the production and efficacy of vaccines, which shortened the probable timeline for ending the pandemic.
Demand for yield, combined with EM fundamentals, we believe, will continue to be drivers of inflows into the asset class. The U.S. Federal Reserve’s policy shift in August to target average inflation levels and allow for low levels of unemployment, implies that policy interest rates will remain low for an extended period of time. In this environment, EM bonds provide an attractive source of yield, in our view.
Stone Harbor Emerging Markets Debt Fund
The total return of the Stone Harbor Emerging Markets Debt Fund (the “Fund”) for the 6-month period ended November 30, 2020 was 13.94% (net of expenses) and 14.31% (gross of expenses). This performance compares to a benchmark return of 9.96% for the JPMorgan EMBI Global Diversified Index.
The Fund outperformed its benchmark as a result of both country selection and issue selection. Off-benchmark exposure in hard currency corporate bonds, particularly in Brazil, Colombia, Mexico, Saudi Arabia, and Ukraine also enhanced performance. Duration-adjusted returns that are explained by U.S. Treasury movements were negative, as were miscellaneous differences that represent pricing differences, among other factors.
The top positive contributors to relative outperformance were overweights in Angola and Ecuador, and underweights in China, Philippines, and Russia. The rebound in the price of oil had a positive impact on commodity exporters, including Angola. During the second quarter, the agreement in principle on a three-year moratorium on payments of interest and amortizations of US$21.7 billion in debt owed to China further supported Angolan bonds. Ecuador benefitted from optimism over potentially higher recovery values post-restructuring and bond prices increased sharply ahead of the country’s debt exchange that settled at the end of August. In China and Russia, our underweights were based on the view that valuations were expensive relative to their rating peers. As investment grade debt with limited spread cushion against rising U.S. Treasury yields underperformed the broader market, particularly in August, the underweight in Philippines enhanced performance. Other positive contributors to outperformance included overweight in El Salvador; underweights in Peru and India; and issue selection in Argentina, Mexico, Kazakhstan, Romania, Saudi Arabia, and Indonesia.
The top detractors from relative returns included an overweight in Argentina and issue selection in Angola. While Argentina bond prices gained in anticipation of the country’s debt exchange that was completed in early September, bonds underperformed in October as foreign exchange reserve losses accelerated. Declines in dollar deposits in the financial system were important drivers of the drop in reserves as many Argentines sought to dollarize their assets. Offsetting some of the negative attribution were the Fund’s holdings in Euro-denominated issues, which outperformed similar dollar-denominated securities. An off-benchmark position in Angola floating rate debt underperformed fixed coupon benchmark securities.
The Fund uses various derivative instruments to implement its strategies. These derivatives may be utilized to attempt to manage the Fund’s credit risk, interest rate risk and foreign exchange risk. These derivative positions may increase or decrease the Fund’s exposure to these risks. At the end of the reporting period, the Fund had net notional exposure to these derivatives of approximately $358 thousand. Over the course of the reporting period these derivative positions generated a net realized loss of approximately $10.4 million and $3.5 million in unrealized appreciation for a decrease in operations of $6.9 million. We plan to continue to utilize derivative instruments to implement our strategies related to credit risk, interest rate risk and foreign exchange risk.
Stone Harbor Local Markets Fund
The total return of the Stone Harbor Local Markets Fund (the “Fund”) for the 6-month period ended November 30, 2020 was 7.07% (net of expenses) and 7.57% (gross of expenses). This performance compares to a benchmark return of 7.09% for the JPMorgan GBI-EM Global Diversified.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 3 |
Stone Harbor Investment Funds | Shareholder Letter |
November 30, 2020 (Unaudited)
The Fund outperformed its benchmark as a result of both FX and duration positioning, as well as issue selection. Off-benchmark exposure in select U.S.-dollar denominated debt also enhanced performance. Miscellaneous differences that represent pricing differences, among other factors were negative.
In terms of total management, the top contributors to relative performance included Mexico (FX and duration overweight, issue selection, and off-benchmark external sovereign debt), South Africa (FX overweight, issue selection), and Turkey (FX and duration underweights). In Mexico, a duration overweight and exposure to Pemex, Mexico’s state-owned oil company, outperformed, benefiting from higher oil prices. We added exposure over the second quarter, including positions in hard currency Pemex bonds, which were trading at distressed levels relative to Mexican sovereign debt. The peso appreciated sharply in July and August, in line with the depreciation of the U.S. dollar. In South Africa, institutional investor demand and medium-term fiscal consolidation were supportive, and the rand appreciated after having been one of the weakest currencies during the height of the pandemic. The underweight exposure in Turkey enhanced excess returns as the Turkey lira remained under pressure especially during the latter part of the reporting period, forcing the country’s central bank to hike its policy rate by 675 basis points to 15%. The move toward more conventional monetary policy was offset by an escalation in geopolitical concerns over an outbreak in tensions between Armenia and Azerbaijan, threatening a proxy war between Russia (Armenia) and Turkey (Azerbaijan), which represented opposite sides of the conflict.
Top detractors from relative returns were China (FX underweight, duration overweight), Russia (FX and duration overweight, issue selection), and issue selection in Indonesia. China’s reminbi outperformed as the economy recovered from the pandemic-driven downturn in March. We note that inflows from index-tracking investors due to the increase of the country’s weight in widely followed benchmarks were also supportive of the reminbi. Domestic bond yields in China edged higher, counter to the trend in the broader market, as China’s central bank maintained its policy rate despite limited inflation pressure. The Fund’s positioning in Russia underperformed. Several factors weighed against Russian asset prices, including the country’s support for Armenia in geopolitical conflict with Azerbaijan and the poisoning of Russian opposition leader Alexei Navalny in August. In addition, growing market expectations of a Democratic sweep in the U.S. elections raised the probability of harsher sanction treatment of Russia by a new U.S. administration.
The Fund uses various derivative instruments to implement its strategies. These derivatives may be utilized to attempt to manage the Fund’s credit risk, interest rate risk and foreign exchange risk. These derivative positions may increase or decrease the Fund’s exposure to these risks. At the end of the reporting period the Fund had net notional exposure to these derivatives of approximately $219 thousand. Over the course of the reporting period, these derivative positions generated a net realized gain of approximately $637 thousand and $384 thousand in unrealized appreciation, for an increase in operations of $1 million. We plan to continue to utilize derivative instruments to implement our strategies related to credit risk, interest rate risk and foreign exchange risk.
Stone Harbor Emerging Markets Corporate Debt Fund
The total return of the Stone Harbor Emerging Markets Corporate Debt Fund (the “Fund”) for the 6-month period ended November 30, 2020 was 14.31% (net of expenses) and 14.82% (gross of expenses). This performance compares to a benchmark return of 8.66% for the JPMorgan CEMBI Broad Diversified Index. The index spread over comparable maturity U.S. Treasury securities tightened by 164 bps, ending the period at 301 bps. The high yield sub-sector outperformed, returning 11.39%, while the investment grade sub-sector returned 6.74%. In terms of performance by regions, Africa and Latin America outperformed.
The Fund outperformed its benchmark due to issue selection decisions and country exposures. Overweight exposures in Argentina, Brazil, Colombia, Mexico, Ukraine, Zambia, and Vietnam, as well as underweight exposures in China, Hong Kong, and South Korea enhanced performance during the reporting period. Argentinian assets were supported by two main factors throughout much of the reporting period: 1) Argentina continued to make progress toward a comprehensive sovereign restructuring, suggesting more clarity on regulatory regimes and the ability of corporates to refinance debt, and 2) higher oil prices boosted levels of the YPF bond curve, which is the largest component of the Argentinian bond constituency. In Ukraine, progress continued on reforms mandated under their IMF program, which provided support to corporate bonds. Later in the reporting period, the stabilization of commodity prices provided support to producers, particularly in the third quarter. Higher oil prices enabled select oil and gas exploration and production companies, such as Geopark (Colombia) to stabilize cash flows and contemplate restarting production. In addition, bonds from countries with a high dependence on oil production, including Saudi Arabia, the UAE and Colombia, outperformed the index. The recovery in prices of metals, including copper and iron ore, supported the outperformance of bonds of producers such as Southern Copper (Mexico), Metinvest (Ukraine) and First Quantum (Zambia/Panama). The prospect of improving growth, especially in Asia, further drove prices higher for bonds of the Brazilian paper producers.
Positive issue selection in Brazil, Colombia, Mexico, Peru, Saudi Arabia, South Africa, UAE, China, Hong Kong, and India contributed to relative returns.
From an industry perspective, overweights and issue selection in airlines, exploration & production, and metals/mining/steel contributed most to relative performance. These were industries that suffered the steepest decline during the initial phase of the COVID-19 pandemic and as oil prices dropped dramatically in the first quarter, but then rallied significantly as the economy began to reopen and restrictions eased. Issue selection in electric, as well as an underweight exposure and issue selection in financial/lease contributed positively to excess returns.
4 | www.shiplp.com |
Stone Harbor Investment Funds | Shareholder Letter |
November 30, 2020 (Unaudited)
Attribution from credit rating was also positive, with overweights and issue selection in non-investment grade credits (BB, B, and CCC-rated), and underweights in investment grade credits (A and BBB-rated) contributing to excess returns.
The Fund may use various derivative instruments to implement its strategies. These derivatives may be used to attempt to manage the Fund’s credit risk, interest rate risk and foreign exchange risk. These derivative positions may increase or decrease the Fund’s exposure to these risks. At the end of the reporting period, the Fund did not have exposure to these derivatives.
Stone Harbor Emerging Markets Debt Allocation Fund
The total return of the Stone Harbor Emerging Markets Debt Allocation Fund’s (the “Fund”) for the 6-month period ended November 30, 2020 was 10.92% (net of direct and indirect expenses) and 11.35% (gross of direct and indirect expenses). This compares to a blended benchmark (50% JPMorgan EMBI Global Diversified Index / 50% JPMorgan GBI-EM Global Diversified Index) return of 8.53%.
The Fund outperformed its benchmark primarily as a result of country selection and issue selection in external sovereign debt, but local currency debt allocation, as well as off-benchmark exposure in hard currency corporate bonds also enhanced excess returns. Duration-adjusted returns that are explained by U.S. Treasury movements were negative, as were miscellaneous differences that represent pricing differences, among other factors.
Asset allocation decisions contributed positively to relative performance. At the start of the reporting period, the Fund’s asset allocation favored hard currency assets given the persistent price dislocation in many countries’ sovereign bond markets. Following second quarter’s strong performance, we began reducing exposure to U.S. dollar-denominated sovereign assets, replacing them with high-quality corporate credits with relative value compared to sovereign debt, as well as local currency debt.
In August and early September, we added to the Fund’s exposure in local currency debt and maintained this overweight through the end of the reporting period. These moves reflect our base case view that yields in several EM local bond markets remain attractive in the current environment of low inflation that allows EM central banks to lower policy interest rates.
In hard currency sovereign debt, the top positive contributors to relative outperformance were overweights in Angola and Ecuador, and underweights in China, Philippines, and Russia. The rebound in the price of oil had a positive impact on commodity exporters, including Angola. During the second quarter, the agreement in principle on a three-year moratorium on payments of interest and amortizations of US$21.7 billion in debt owed to China further supported Angolan bonds. Ecuador benefitted from optimism over potentially higher recovery values post-restructuring and bond prices increased sharply ahead of the country’s debt exchange that settled at the end of August. In Russia and China, our underweights were based on the view that valuations were expensive relative to their rating peers. As investment grade debt with limited spread cushion against rising U.S. Treasury yields underperformed the broader market, particularly in August, the underweight in Philippines enhanced performance. Other positive contributors to outperformance included overweight in El Salvador; underweights in Peru and India; and issue selection in Argentina, Ecuador, Mexico, Kazakhstan, Romania, Saudi Arabia, and Indonesia.
In local currency debt, the top contributors to relative performance included overweight exposures in Mexico and South Africa, and an underweight exposure in Turkey. In Mexico, a duration overweight and exposure to Pemex, Mexico’s state-owned oil company, outperformed, benefiting from higher oil prices. We added exposure over the second quarter, including positions in hard currency Pemex bonds, which were trading at distressed levels relative to Mexico sovereign debt. The peso appreciated sharply in July and August, in line with the depreciation of the US dollar. In South Africa, institutional investor demand and medium-term fiscal consolidation were supportive, and the rand appreciated after having been one of the weakest currencies during the height of the pandemic. Yield compression in off-benchmark short-dated ESKOM hard currency credit exposure also enhanced performance. The underweight exposure in Turkey enhanced excess returns as the Turkey lira remained under pressure especially during the latter part of the reporting, forcing the country’s central bank to hike its policy rate by 675bps to 15%. The move toward more conventional monetary policy was offset by an escalation in geopolitical concerns over an outbreak in tensions between Armenia and Azerbaijan, threatening a proxy war between Russia (Armenia) and Turkey (Azerbaijan), which represented opposite sides of the conflict.
Off-benchmark exposures to U.S. dollar-denominated corporate debt, particularly in Brazil, Colombia, Mexico, and Ukraine, also contributed positively to performance.
Top detractors from relative returns in external sovereign debt included an overweight in Argentina and issue selection in Angola. While Argentinian bond prices gained in anticipation of the country’s debt exchange that was completed in early September, bonds underperformed in October as foreign exchange reserve losses accelerated. Declines in dollar deposits in the financial system were important drivers of the drop in reserves as many Argentines sought to dollarize their assets. Offsetting some of the negative attribution were the Fund’s holdings in Euro-denominated issues, which outperformed similar dollar-denominated securities. An off-benchmark position in Angola floating rate debt underperformed fixed coupon benchmark securities.
In local currency debt, the top detractors from relative returns were an underweight exposure in China and an overweight exposure in Russia, and issue selection in Indonesia and Turkey. China’s reminbi outperformed as the economy recovered from the pandemic-driven downturn in March. We note that inflows from index-tracking investors due to the increase of the country’s weight in widely followed benchmarks were also supportive of the reminbi. Domestic bond yields in Chjina edged higher, counter to the trend in the broader market, as China’s central bank maintained its policy rate despite limited inflation pressure. The Fund’s positioning in Russia underperformed. Several factors weighed against Russian asset prices including the country’s support for Armenia in geopolitical conflict with Azerbaijan and the poisoning of Russian opposition leader Alexei Navalny in August. In addition, growing market expectations of a Democratic sweep in the U.S. elections raised the probability of harsher sanction treatment of Russia by a new U.S. administration.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 5 |
Stone Harbor Investment Funds | Shareholder Letter |
November 30, 2020 (Unaudited)
The Fund uses various derivative instruments to implement its strategies. These derivatives are utilized to attempt to manage the Fund’s credit risk, interest rate risk and foreign exchange risk. These derivative positions may increase or decrease the Fund’s exposure to these risks. At the end of the reporting period the Fund had net notional exposure to these derivatives of approximately $4 thousand to these derivatives. Over the course of the reporting period, these derivative positions generated a net realized gain of $12 thousand and $11 thousand in unrealized depreciation, for an increase in operations of approximately $1 thousand. We plan to continue to utilize derivative instruments to implement our strategies related to credit risk, interest rate risk and foreign exchange risk.
Stone Harbor High Yield Bond Fund
The total return of the Stone Harbor High Yield Bond Fund (the “Fund”) for the 6-month period ended November 30, 2020 was 9.50% (net of expenses) and 9.83% (gross of expenses). This compares to a benchmark return of 10.42% for the ICE BofAML US High Yield Constrained Index.
The high yield market posted strong gains in the first half of the reporting period as strong fiscal and monetary support spurred a quicker than expected rebound from March’s lows, resulting in the economy and corporate profits outperforming expectations. Additionally, optimism for a vaccine and strong retail inflows contributed to the market recovery. In the second half of the reporting period, the market fluctuated as positive events and sentiment mixed with rising virus cases, renewed lockdown restrictions, the absence of additional fiscal stimulus, and a heavy primary calendar as companies sought to boost liquidity or refinance to lower rates. After the U.S. elections in early November, the market resumed its strong recovery as election uncertainty gave way to divided government and positive vaccine news. Lower quality bonds outperformed during the period as bonds that had suffered the steepest decline earlier in 2020 rallied significantly among economic recovery and easing restrictions. The recovery in commodity prices caused energy credits to outperform, and the global economic recovery contributed to a rebound in transportation and leisure-related industries.
While the Fund’s performance was positive, slightly more defensive positioning in certain industries caused underperformance relative to the benchmark due to negative issue and industry selection. Negative security selection decisions in retail and food slightly offset positive contributions from security selection in aerospace and leisure. Aerospace benefitted from an overweight to Bombardier, which announced an agreement to divest one of its business units to repay debt, while an overweight position in cruise lines contributed positively in leisure. Among industry selection decisions, underweights to financials and metals/mining and an overweight in building products detracted the most from performance. This performance was partially offset by an overweight in aerospace and an underweight in refining. From a credit quality perspective, an underweight in CCC-rated bonds and issue selection in BB-rated bonds impaired results. Some of the negative attribution was offset by issue selection in B-rated bonds.
The Fund uses various derivative instruments to implement its strategies. These derivatives are utilized to manage the Fund’s credit risk, interest rate risk and foreign exchange risk. These derivative positions may increase or decrease the Fund’s exposure to these risks. At the end of the reporting period, the Fund did not have exposure to these derivatives.
Stone Harbor Investment Grade Fund
The total return of the Stone Harbor Investment Grade Fund (the “Fund”) for the 6-month period ending November 30, 2020 was 4.09% (net of expenses) and 4.35% (gross of expenses). This performance compares to a benchmark return of 1.79% for the Bloomberg Barclays U.S. Aggregate Index. The Fund’s performance was positively impacted during the period by the broad-based recovery in credit spreads post the COVID-19 panic in March 2020. Over the 6-month period, U.S. Treasury rates moved higher from very low levels, although the relative impact to the Fund was minimal. The Fund’s overweight to corporate bonds and underweight to U.S. Treasuries positively impacted performance as credit spreads compressed. Within the corporate bond allocation, industry overweights to energy, consumer services and banking were the top positive contributors. Security selection was also strong over the period, accounting for approximately half of the Fund’s relative outperformance.
Despite ongoing impact of the COVID-19 virus, an environment of solid economic growth with strong market returns was supported by fiscal and monetary policy backing. Global government bond yields have remained mostly stable through the six months, with U.S. ten-year yields at the end of November at 0.87%, somewhat elevated from 0.60% at the end of our last reporting period, in May 2020. Credit markets have fared well over the period. U.S. high yield spreads narrowed some 225 bps ending November at 348 bps. Investment grade corporate spreads narrowed 70 bps, ending the period at 93 bps.
The Fund may use various derivative instruments to implement its strategies. These derivatives may be used to attempt to manage the Fund’s credit risk, interest rate risk and foreign exchange risk. These derivative positions may increase or decrease the Fund’s exposure to these risks. At the end of the reporting period, the Fund did not have exposure to these derivatives.
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Stone Harbor Investment Funds | Shareholder Letter |
November 30, 2020 (Unaudited)
Stone Harbor Strategic Income Fund
The total return of the Strategic Income Fund (the “Fund”) for the 6-month period ended November 30, 2020 was 7.92% (net of direct and indirect expenses) and 8.27% (gross of direct and indirect expenses). This performance compares to a benchmark return of 6.15% for the Bloomberg Barclays Global Credit Index (Hedged USD). The Fund outperformed its benchmark as a result of certain asset allocation, duration, and individual credit decisions. The Fund’s duration positioning (short relative to the benchmark) generated a positive contribution during the period as developed market government rates moved higher post the start of the COVID-19 panic in March 2020. With the Fund’s asset class allocations generally in line with the benchmark, contributions to overall performance from asset allocation were relatively insignificant. Within individual portfolio sectors, the Fund experienced outperformance in all major market segments with the exception of U.S. high yield corporates. Within investment grade, an overweight to corporate bonds led to outperformance. In EM hard currency debt, country overweights to Angola and Ecuador generated the largest positive contributions. Within EM corporate debt exposure, to Brazilian issuers was the largest single positive contributor. For the EM local currency debt sector, both the foreign exchange and duration components provided relative outperformance.
Despite ongoing impact of the COVID-19 virus, an environment of solid economic growth with strong market returns was supported by fiscal and monetary policy backing. Global government bond yields have remained mostly stable through the six months, with U.S. ten-year yields at the end of November at 0.87%, somewhat elevated from 0.60% at the end of our last reporting period, in May 2020. Credit markets have fared well over the period. U.S. high yield spreads narrowed some 225 bps ending November at 412 bps. Investment grade corporate spreads narrowed 70 bps, ending the period at 104 bps.
The Fund uses various derivative instruments to implement its strategies. These derivatives are utilized to manage the Fund’s credit risk, interest rate risk and foreign exchange risk. These derivative positions may increase or decrease the Fund’s exposure to these risks. At the end of the reporting period, the Fund had net notional exposure to these derivatives of approximately $327 thousand. Over the course of the reporting period, these derivative positions generated a net realized loss of approximately $116 thousand and $36 thousand in unrealized depreciation for a decrease in operations of $152 thousand. We plan to continue to utilize derivative instruments to implement our strategies related to credit risk, interest rate risk and foreign exchange risk.
Sincerely,
Peter J. Wilby, CFA
President
Credit ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All Fund securities except for those labeled “Not Rated” and “Other” have been rated by Moody’s, S&P or Fitch, which are each a Nationally Recognized Statistical Rating Organization (“NRSRO”). All Index securities except for those labeled “Not Rated” have been rated by Moody’s or S&P. Credit ratings are subject to change. One cannot invest directly into an index.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 7 |
Stone Harbor Investment Funds | Disclosure of Fund Expenses |
November 30, 2020 (Unaudited)
Example. As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and/or redemption fees (if applicable) and (2) ongoing costs, including management fees and other Fund expenses. The below examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 invested on June 1, 2020 and held until November 30, 2020.
Actual Expenses. The first table below provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect transactional costs, such as redemption fees, sales charges (loads) or exchange fees. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
BASED ON ACTUAL TOTAL RETURN
Actual Total Return | Beginning Account Value June 1, 2020 | Ending Account Value November 30, 2020 | Expense Ratio(1) | Expenses Paid During Period(2) | |
STONE HARBOR EMERGING MARKETS DEBT FUND | 13.94% | $1,000.00 | $1,139.40 | 0.74% | $3.97 |
STONE HARBOR HIGH YIELD BOND FUND | 9.50 | 1,000.00 | 1,095.00 | 0.67 | 3.52 |
STONE HARBOR LOCAL MARKETS FUND | 7.07 | 1,000.00 | 1,070.70 | 1.00 | 5.19 |
STONE HARBOR EMERGING MARKETS CORPORATE DEBT FUND | 14.31 | 1,000.00 | 1,143.10 | 1.02 | 5.53 |
STONE HARBOR INVESTMENT GRADE FUND | 4.09 | 1,000.00 | 1,040.90 | 0.51 | 2.61 |
STONE HARBOR STRATEGIC INCOME FUND | 7.92 | 1,000.00 | 1,079.20 | 0.06(3) | 0.31 |
STONE HARBOR EMERGING MARKETS DEBT ALLOCATION FUND | 10.92 | 1,000.00 | 1,109.20 | 0.01(3) | 0.05 |
BASED ON HYPOTHETICAL TOTAL RETURN
Hypothetical Annualized Total Return | Beginning Account Value June 1, 2020 | Ending Account Value November 30, 2020 | Expense Ratio(1) | Expenses Paid During Period(2) | |
STONE HARBOR EMERGING MARKETS DEBT FUND | 5.00% | $1,000.00 | $1,021.36 | 0.74% | $3.75 |
STONE HARBOR HIGH YIELD BOND FUND | 5.00 | 1,000.00 | 1,021.71 | 0.67 | 3.40 |
STONE HARBOR LOCAL MARKETS FUND | 5.00 | 1,000.00 | 1,020.05 | 1.00 | 5.06 |
STONE HARBOR EMERGING MARKETS CORPORATE DEBT FUND | 5.00 | 1,000.00 | 1,019.90 | 1.02 | 5.22 |
STONE HARBOR INVESTMENT GRADE FUND | 5.00 | 1,000.00 | 1,022.51 | 0.51 | 2.59 |
STONE HARBOR STRATEGIC INCOME FUND | 5.00 | 1,000.00 | 1,024.77 | 0.06(3) | 0.30 |
STONE HARBOR EMERGING MARKETS DEBT ALLOCATION FUND | 5.00 | 1,000.00 | 1,025.02 | 0.01(3) | 0.05 |
(1) | Annualized, based on the Fund's most recent fiscal half-year expenses. |
(2) | Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (183), divided by 365. Note this expense example is typically based on a six-month period. |
(3) | Ratio does not include expenses of the mutual funds held in the investment portfolio. |
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Stone Harbor Investment Funds | Summaries of Portfolio Holdings |
November 30, 2020 (Unaudited)
STONE HARBOR EMERGING MARKETS DEBT FUND | |
Country Breakdown(1) | % |
Mexico | 8.19% |
Indonesia | 4.74% |
Saudi Arabia | 4.43% |
Russia | 4.21% |
Brazil | 3.89% |
Colombia | 3.80% |
Qatar | 3.63% |
Argentina | 3.44% |
Turkey | 3.22% |
United Arab Emirates | 3.22% |
Panama | 2.81% |
Ghana | 2.79% |
Malaysia | 2.66% |
Egypt | 2.54% |
South Africa | 2.50% |
Ukraine | 2.37% |
Kazakhstan | 2.36% |
Angola | 2.33% |
Chile | 2.25% |
Romania | 2.23% |
Oman | 2.19% |
El Salvador | 2.10% |
Peru | 2.08% |
Dominican Republic | 1.94% |
Nigeria | 1.61% |
Bahrain | 1.48% |
Belarus | 1.47% |
Uruguay | 1.32% |
Ecuador | 1.24% |
Sri Lanka | 1.24% |
Papua New Guinea | 0.91% |
Kenya | 0.80% |
Mozambique | 0.79% |
Jordan | 0.77% |
Guatemala | 0.73% |
Iraq | 0.72% |
Tunisia | 0.68% |
Pakistan | 0.66% |
China | 0.61% |
Benin | 0.56% |
Ivory Coast | 0.55% |
Costa Rica | 0.54% |
Trinidad & Tobago | 0.49% |
Cameroon | 0.47% |
Ethiopia | 0.47% |
Venezuela | 0.44% |
Israel | 0.43% |
Macau | 0.42% |
Zambia | 0.40% |
Lebanon | 0.37% |
Gabon | 0.29% |
Honduras | 0.26% |
Cayman Islands | 0.25% |
Vietnam | 0.22% |
India | 0.10% |
Netherlands | 0.10% |
Total | 97.31% |
Short Term Investments | 1.02% |
Other Assets in Excess of Liabilities | 1.67% |
Total Net Assets | 100.00% |
STONE HARBOR LOCAL MARKETS FUND | |
Country Breakdown(1) | % |
Mexico | 12.06% |
Indonesia | 11.19% |
China | 10.42% |
South Africa | 9.92% |
Russia | 8.94% |
Colombia | 6.80% |
Brazil | 6.67% |
Poland | 4.77% |
Malaysia | 3.67% |
Romania | 2.94% |
Thailand | 2.70% |
Peru | 2.36% |
Czech Republic | 2.29% |
Turkey | 2.02% |
Chile | 1.84% |
Egypt | 0.97% |
Uruguay | 0.57% |
Kazakhstan | 0.15% |
Total | 90.28% |
Short Term Investments | 1.78% |
Other Assets in Excess of Liabilities | 7.94% |
Total Net Assets | 100.00% |
(1) | Country refers to country of primary risk exposure, as determined by Stone Harbor. In certain instances, a security’s country of incorporation may be different from its country of risk. |
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 9 |
Stone Harbor Investment Funds | Summaries of Portfolio Holdings |
November 30, 2020 (Unaudited)
STONE HARBOR HIGH YIELD BOND FUND | |
Industry Breakdown | % |
Exploration & Production | 9.33% |
Media Cable | 7.89% |
Healthcare | 7.30% |
Gas Pipelines | 6.38% |
Automotive | 6.30% |
Media Other | 5.94% |
Building Products | 4.72% |
Gaming | 4.47% |
Food and Beverage | 4.30% |
Aerospace/Defense | 2.87% |
Chemicals | 2.86% |
Pharmaceuticals | 2.67% |
Services Other | 2.52% |
Wireless | 2.39% |
Electric | 2.31% |
Industrial Other | 2.19% |
Wirelines | 2.01% |
Home Builders | 1.85% |
Satellite | 1.73% |
Technology | 1.59% |
Containers/Packaging | 1.57% |
Property & Casualty Insurance | 1.41% |
Metals/Mining/Steel | 1.24% |
Financial Other | 1.23% |
Drillers/Services | 1.18% |
Leisure | 1.07% |
Airlines | 1.03% |
Non Captive Finance | 1.03% |
Lodging | 1.00% |
Retail Food/Drug | 0.94% |
Environmental Services | 0.88% |
Life | 0.86% |
Consumer Products | 0.67% |
Textile/Apparel | 0.66% |
Restaurants | 0.52% |
Diversified Manufacturing | 0.14% |
Transportation Non Air/Rail | 0.00%* |
Total | 97.05% |
Short Term Investments | 2.94% |
Other Assets in Excess of Liabilities | 0.01% |
Total Net Assets | 100.00% |
* | Amount represents less than 0.005% of net assets. |
STONE HARBOR EMERGING MARKETS CORPORATE DEBT FUND | |
Industry Breakdown | % |
Exploration & Production | 16.41% |
Electric | 14.70% |
Metals/Mining/Steel | 9.65% |
Banking | 8.54% |
Wireless | 7.55% |
Gas Pipelines | 4.69% |
Financial Other | 4.11% |
Wirelines | 3.51% |
Real Estate Investment Trust (REITs) | 3.35% |
Food And Beverage | 2.93% |
Industrial Other | 2.79% |
Airlines | 2.68% |
Pharmaceuticals | 2.63% |
Gas Distributors | 2.45% |
Utility Non Electric/Gas | 1.97% |
Gaming | 1.67% |
Media Cable | 1.62% |
Paper/Forest Products | 1.32% |
Technology | 1.31% |
Refining | 0.79% |
Retail Non Food/Drug | 0.75% |
Building Products | 0.59% |
Railroads | 0.53% |
Transportation Non Air/Rail | 0.43% |
Chemicals | 0.19% |
Total | 97.16% |
Short Term Investments | 1.50% |
Other Assets in Excess of Liabilities | 1.34% |
Total Net Assets | 100.00% |
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Stone Harbor Investment Funds | Summaries of Portfolio Holdings |
November 30, 2020 (Unaudited)
STONE HARBOR INVESTMENT GRADE FUND | |
Industry Breakdown | % |
Government Entity | 39.74% |
Banking | 11.95% |
Electric | 4.06% |
Financial Other | 3.66% |
Exploration & Production | 2.91% |
Gas Pipelines | 2.56% |
Real Estate Investment Trust (REITs) | 2.13% |
Technology | 1.92% |
Services Other | 1.89% |
Wireless | 1.54% |
Automotive | 1.20% |
Wirelines | 1.11% |
Chemicals | 1.06% |
Gas Distributors | 1.06% |
Refining | 0.96% |
Retail Non Food/Drug | 0.95% |
Non Corporate | 0.92% |
Media Cable | 0.88% |
Healthcare | 0.88% |
Restaurants | 0.58% |
Transportation Non Air/Rail | 0.57% |
Building Products | 0.56% |
Diversified Manufacturing | 0.51% |
Metals/Mining/Steel | 0.51% |
Pharmaceuticals | 0.51% |
Industrial Other | 0.47% |
Non Captive Finance | 0.47% |
Environmental Services | 0.45% |
Food And Beverage | 0.45% |
Property & Casualty Insurance | 0.45% |
Media Other | 0.27% |
Lodging | 0.26% |
Aerospace/Defense | 0.23% |
Consumer Products | 0.23% |
Total | 87.90% |
Short Term Investments | 10.28% |
Other Assets in Excess of Liabilities | 1.82% |
Total Net Assets | 100.00% |
STONE HARBOR STRATEGIC INCOME FUND | |
Underlying Fund Breakdown | % |
Stone Harbor Investment Grade Fund | 36.04% |
Stone Harbor High Yield Bond Fund | 31.06% |
Stone Harbor Emerging Markets Debt Fund | 23.04% |
Stone Harbor Emerging Markets Corporate Debt Fund | 5.16% |
Stone Harbor Local Markets Fund | 2.52% |
Short Term Investments | 0.66% |
Other Assets in Excess of Liabilities | 1.52% |
Total Net Assets | 100.00% |
STONE HARBOR EMERGING MARKETS DEBT ALLOCATION FUND | |
Underlying Fund Breakdown | % |
Stone Harbor Local Markets Fund | 50.12% |
Stone Harbor Emerging Markets Debt Fund | 49.49% |
Short Term Investments | 0.15% |
Other Assets in Excess of Liabilities | 0.24% |
Total Net Assets | 100.00% |
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 11 |
Stone Harbor Investment Funds | Growth of $10,000 Investment |
November 30, 2020 (Unaudited)
STONE HARBOR EMERGING MARKETS DEBT FUND
Comparison of Change in Value of $10,000 Investment in Stone Harbor Emerging Markets Debt Fund and the JPMorgan Emerging Markets Bond Index Global Diversified (JPMorgan EMBI Global Diversified Index). Please refer to the Additional Information section for detailed benchmark descriptions.
Total Returns (Inception Date, August 16, 2007)
6 Month | 1 Year | 3 Year | 5 Year | 10 Year | Since Inception | |
Stone Harbor Emerging Markets Debt Fund | 13.94% | 7.31% | 3.57% | 6.37% | 4.94% | 6.57% |
JPMorgan EMBI Global Diversified Index | 9.96% | 5.38% | 4.65% | 6.38% | 5.97% | 7.04% |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance quoted. Average annual total returns reflect the reinvestment of dividends and capital gains distributions and include all fee waivers and expense reimbursements. Without the fee waivers and expense reimbursements, total return figures would have been lower. The performance data quoted does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will vary, and shares, when redeemed, may be worth more or less than their original cost. Index returns do not include the effects of sales charges, management fees and fund expenses or transaction costs. It is not possible to invest directly in an index.
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Stone Harbor Investment Funds | Growth of $10,000 Investment |
November 30, 2020 (Unaudited)
STONE HARBOR HIGH YIELD BOND FUND
Comparison of Change in Value of $10,000 Investment in Stone Harbor High Yield Bond Fund and the ICE BofAML US High Yield Constrained Index. Please refer to the Additional Information section for detailed benchmark descriptions.
Total Returns (Inception Date, August 16, 2007)
6 Month | 1 Year | 3 Year | 5 Year | 10 Year | Since Inception | |
Stone Harbor High Yield Bond Fund | 9.50% | 7.26% | 5.17% | 6.08% | 5.64% | 6.10% |
ICE BofAML US High Yield Constrained Index | 10.42% | 6.26% | 5.29% | 7.44% | 6.60% | 7.36% |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance quoted. Average annual total returns reflect the reinvestment of dividends and capital gains distributions and include all fee waivers and expense reimbursements. Without the fee waivers and expense reimbursements, total return figures would have been lower. The performance data quoted does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will vary, and shares, when redeemed, may be worth more or less than their original cost. Index returns do not include the effects of sales charges, management fees and fund expenses or transaction costs. It is not possible to invest directly in an index.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 13 |
Stone Harbor Investment Funds | Growth of $10,000 Investment |
November 30, 2020 (Unaudited)
STONE HARBOR LOCAL MARKETS FUND
Comparison of Change in Value of $10,000 Investment in Stone Harbor Local Markets Fund and the JPMorgan Global Bond Index – Emerging Markets Global Diversified (JPMorgan GBI-EM Global Diversified Index). Please refer to the Additional Information section for detailed benchmark descriptions.
Total Returns (Inception Date, June 30, 2010)
6 Month | 1 Year | 3 Year | 5 Year | 10 Year | Since Inception | |
Stone Harbor Local Markets Fund | 7.07% | 2.64% | 0.81% | 4.16% | -0.14% | 0.58% |
JPMorgan GBI-EM Global Diversified Index | 7.09% | 3.35% | 2.52% | 5.52% | 1.46% | 2.20% |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance quoted. Average annual total returns reflect the reinvestment of dividends and capital gains distributions and include all fee waivers and expense reimbursements. Without the fee waivers and expense reimbursements, total return figures would have been lower. The performance data quoted does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will vary, and shares, when redeemed, may be worth more or less than their original cost. Index returns do not include the effects of sales charges, management fees and fund expenses or transaction costs. It is not possible to invest directly in an index.
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Stone Harbor Investment Funds | Growth of $10,000 Investment |
November 30, 2020 (Unaudited)
STONE HARBOR EMERGING MARKETS CORPORATE DEBT FUND
Comparison of Change in Value of $10,000 Investment in Stone Harbor Emerging Market Corporate Debt Fund and the JPMorgan Corporate Emerging Market Bond Index – Broad Diversified (JPMorgan CEMBI Broad Diversified Index). Please refer to the Additional Information section for detailed benchmark descriptions.
Total Returns (Inception Date, June 1, 2011)
6 Month | 1 Year | 3 Year | 5 Year | Since Inception | |
Stone Harbor Emerging Markets Corporate Debt Fund | 14.31% | 6.02% | 4.54% | 6.16% | 4.16% |
JPMorgan CEMBI Broad Diversified Index | 8.66% | 6.61% | 5.61% | 6.55% | 5.52% |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance quoted. Average annual total returns reflect the reinvestment of dividends and capital gains distributions and include all fee waivers and expense reimbursements. Without the fee waivers and expense reimbursements, total return figures would have been lower. The performance data quoted does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will vary, and shares, when redeemed, may be worth more or less than their original cost. Index returns do not include the effects of sales charges, management fees and fund expenses or transaction costs. It is not possible to invest directly in an index.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 15 |
Stone Harbor Investment Funds | Growth of $10,000 Investment |
November 30, 2020 (Unaudited)
STONE HARBOR INVESTMENT GRADE FUND
Comparison of Change in Value of $10,000 Investment in Stone Harbor Investment Grade Fund and the Bloomberg Barclays U.S. Aggregate Index. Please refer to the Additional Information section for detailed benchmark descriptions.
Total Returns (Inception Date, December 18, 2013)
6 Month | 1 Year | 3 Year | 5 Year | Since Inception | |
Stone Harbor Investment Grade Fund | 4.09% | 7.45% | 5.01% | 4.21% | 3.87% |
Bloomberg Barclays U.S. Aggregate Index | 1.79% | 7.28% | 5.45% | 4.34% | 4.06% |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance quoted. Average annual total returns reflect the reinvestment of dividends and capital gains distributions and include all fee waivers and expense reimbursements. Without the fee waivers and expense reimbursements, total return figures would have been lower. The performance data quoted does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will vary, and shares, when redeemed, may be worth more or less than their original cost. Index returns do not include the effects of sales charges, management fees and fund expenses or transaction costs. It is not possible to invest directly in an index.
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Stone Harbor Investment Funds | Growth of $10,000 Investment |
November 30, 2020 (Unaudited)
STONE HARBOR STRATEGIC INCOME FUND
Comparison of Change in Value of $10,000 Investment in Stone Harbor Strategic Income Fund and the Bloomberg Barclays Global Credit Index (Hedged USD). Please refer to the Additional Information section for detailed benchmark descriptions.
Total Returns (Inception Date, December 18, 2013)
6 Month | 1 Year | 3 Year | 5 Year | Since Inception | |
Stone Harbor Strategic Income Fund | 7.92% | 3.86% | 3.00% | 4.16% | 3.51% |
Bloomberg Barclays Global Credit Index (Hedged USD) | 6.15% | 7.28% | 6.05% | 5.97% | 5.33% |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance quoted. Average annual total returns reflect the reinvestment of dividends and capital gains distributions and include all fee waivers and expense reimbursements. Without the fee waivers and expense reimbursements, total return figures would have been lower. The performance data quoted does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will vary, and shares, when redeemed, may be worth more or less than their original cost. Index returns do not include the effects of sales charges, management fees and fund expenses or transaction costs. It is not possible to invest directly in an index.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 17 |
Stone Harbor Investment Funds | Growth of $10,000 Investment |
November 30, 2020 (Unaudited)
STONE HARBOR EMERGING MARKETS DEBT ALLOCATION FUND
Comparison of Change in Value of $10,000 Investment in Stone Harbor Emerging Markets Debt Allocation Fund, the JPMorgan EMBI Global Diversified Index, JPMorgan GBI-EM Global Diversified Index and the Blend Index (50% JPMorgan EMBI Global Diversified Index and 50% JPMorgan GBI-EM Global Diversified Index). Please refer to the Additional Information section for detailed benchmark descriptions.
Total Returns (Inception Date, October 20, 2014)
6 Month | 1 Year | 3 Year | 5 Year | Since Inception | |
Stone Harbor Emerging Markets Debt Allocation Fund | 10.92% | 5.45% | 2.32% | 5.22% | 2.25% |
JPMorgan EMBI Global Diversified Index | 9.96% | 5.38% | 4.65% | 6.38% | 5.36% |
JPMorgan GBI-EM Global Diversified Index | 7.09% | 3.35% | 2.52% | 5.52% | 0.89% |
Blend Index (50% JPMorgan EMBI Global Diversified Index and 50% JPMorgan GBI-EM Global Diversified Index) | 8.53% | 4.41% | 3.65% | 6.02% | 3.17% |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance quoted. Average annual total returns reflect the reinvestment of dividends and capital gains distributions and include all fee waivers and expense reimbursements. Without the fee waivers and expense reimbursements, total return figures would have been lower. The performance data quoted does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will vary, and shares, when redeemed, may be worth more or less than their original cost. Index returns do not include the effects of sales charges, management fees and fund expenses or transaction costs. It is not possible to invest directly in an index.
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Stone Harbor Emerging Markets Debt Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
SOVEREIGN DEBT OBLIGATIONS - 67.15% | ||||||||||||||||||
Angola - 2.33% | ||||||||||||||||||
Republic of Angola: | ||||||||||||||||||
USD | 6M US L + 7.50 | % | 07/01/23 | 19,028,308 | $ | 17,125,477 | (1) | |||||||||||
USD | 6M US L + 4.50 | % | 12/07/23 | 6,069,000 | 5,431,755 | (1) | ||||||||||||
USD | 6.93 | % | 02/19/27 | 7,196,429 | 5,930,411 | |||||||||||||
28,487,643 | ||||||||||||||||||
Argentina - 3.34% | ||||||||||||||||||
Republic of Argentina: | ||||||||||||||||||
USD | 1.00 | % | 07/09/29 | 408,132 | 175,088 | |||||||||||||
USD | 0.13 | % | 07/09/30 | 78,226,980 | 30,704,090 | (2) | ||||||||||||
USD | 0.13 | % | 01/09/38 | 3,904,419 | 1,557,497 | (2) | ||||||||||||
USD | 0.13 | % | 07/09/46 | 23,287,974 | 8,325,451 | (2) | ||||||||||||
40,762,126 | ||||||||||||||||||
Bahrain - 1.03% | ||||||||||||||||||
Kingdom of Bahrain: | ||||||||||||||||||
USD | 5.63 | % | 09/30/31 | 2,458,000 | 2,575,907 | (3) | ||||||||||||
USD | 5.45 | % | 09/16/32 | 6,759,000 | 7,029,360 | (3) | ||||||||||||
USD | 6.00 | % | 09/19/44 | 2,968,000 | 3,024,114 | (4) | ||||||||||||
12,629,381 | ||||||||||||||||||
Belarus - 1.47% | ||||||||||||||||||
Development Bank Belarus | USD | 6.75 | % | 05/02/24 | 3,089,000 | 3,090,931 | (4) | |||||||||||
Republic of Belarus: | ||||||||||||||||||
USD | 5.88 | % | 02/24/26 | 2,260,000 | 2,288,250 | (4) | ||||||||||||
USD | 7.63 | % | 06/29/27 | 275,000 | 296,012 | (3) | ||||||||||||
USD | 7.63 | % | 06/29/27 | 8,734,000 | 9,401,332 | (4) | ||||||||||||
USD | 6.20 | % | 02/28/30 | 2,866,000 | 2,888,390 | (4) | ||||||||||||
17,964,915 | ||||||||||||||||||
Benin - 0.56% | ||||||||||||||||||
Republic of Benin | EUR | 5.75 | % | 03/26/26 | 5,526,000 | 6,873,882 | (3) | |||||||||||
Brazil - 2.08% | ||||||||||||||||||
Fed Republic of Brazil: | ||||||||||||||||||
USD | 6.00 | % | 04/07/26 | 1,713,000 | 2,038,470 | |||||||||||||
USD | 4.63 | % | 01/13/28 | 5,626,000 | 6,265,079 | |||||||||||||
USD | 5.00 | % | 01/27/45 | 2,770,000 | 3,064,312 | |||||||||||||
USD | 5.63 | % | 02/21/47 | 2,414,000 | 2,847,011 | |||||||||||||
State of Minas Gerais: | ||||||||||||||||||
USD | 5.33 | % | 02/15/28 | 1,480,800 | 1,585,382 | (3) | ||||||||||||
USD | 5.33 | % | 02/15/28 | 8,990,400 | 9,625,347 | (4) | ||||||||||||
25,425,601 | ||||||||||||||||||
Cameroon - 0.47% | ||||||||||||||||||
Republic of Cameroon: | ||||||||||||||||||
USD | 9.50 | % | 11/19/25 | 3,938,000 | 4,301,034 | (3) |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 19 |
Stone Harbor Emerging Markets Debt Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
Cameroon (continued) | ||||||||||||||||||
Republic of Cameroon: (continued) | ||||||||||||||||||
USD | 9.50 | % | 11/19/25 | 1,354,000 | $ | 1,478,822 | (4) | |||||||||||
5,779,856 | ||||||||||||||||||
Colombia - 3.25% | ||||||||||||||||||
Republic of Colombia: | ||||||||||||||||||
USD | 8.13 | % | 05/21/24 | 2,703,000 | 3,290,902 | |||||||||||||
USD | 3.88 | % | 04/25/27 | 15,292,000 | 16,790,616 | |||||||||||||
USD | 3.00 | % | 01/30/30 | 4,862,000 | 5,051,162 | |||||||||||||
USD | 3.13 | % | 04/15/31 | 2,220,000 | 2,332,665 | |||||||||||||
USD | 6.13 | % | 01/18/41 | 3,215,000 | 4,259,373 | |||||||||||||
USD | 5.00 | % | 06/15/45 | 4,116,000 | 4,961,838 | |||||||||||||
USD | 5.20 | % | 05/15/49 | 2,392,000 | 3,000,764 | |||||||||||||
39,687,320 | ||||||||||||||||||
Costa Rica - 0.54% | ||||||||||||||||||
Costa Rica Government: | ||||||||||||||||||
USD | 5.63 | % | 04/30/43 | 195,000 | 155,299 | (3) | ||||||||||||
USD | 7.16 | % | 03/12/45 | 1,102,000 | 964,767 | (3) | ||||||||||||
USD | 7.16 | % | 03/12/45 | 6,300,000 | 5,515,453 | (4) | ||||||||||||
6,635,519 | ||||||||||||||||||
Dominican Republic - 1.94% | ||||||||||||||||||
Dominican Republic: | ||||||||||||||||||
USD | 7.50 | % | 05/06/21 | 2,114,667 | 2,170,177 | (4) | ||||||||||||
USD | 6.60 | % | 01/28/24 | 1,632,000 | 1,813,815 | (4) | ||||||||||||
USD | 5.88 | % | 04/18/24 | 2,537,000 | 2,713,797 | (3) | ||||||||||||
USD | 6.50 | % | 02/15/48 | 5,315,000 | 5,986,849 | (4) | ||||||||||||
USD | 5.88 | % | 01/30/60 | 10,540,000 | 11,020,887 | (3) | ||||||||||||
23,705,525 | ||||||||||||||||||
Ecuador - 1.24% | ||||||||||||||||||
Republic of Ecuador: | ||||||||||||||||||
USD | 0.50 | % | 07/31/30 | 9,314,738 | 5,949,789 | (2)(3) | ||||||||||||
USD | 0.00 | % | 07/31/30 | 5,211,766 | 2,332,265 | (3)(5) | ||||||||||||
USD | 0.50 | % | 07/31/35 | 12,416,323 | 6,821,217 | (2)(3) | ||||||||||||
15,103,271 | ||||||||||||||||||
Egypt - 2.54% | ||||||||||||||||||
Republic of Egypt: | ||||||||||||||||||
USD | 5.88 | % | 06/11/25 | 936,000 | 991,429 | (3) | ||||||||||||
USD | 5.25 | % | 10/06/25 | 1,451,000 | 1,490,903 | (3) | ||||||||||||
EUR | 4.75 | % | 04/16/26 | 2,252,000 | 2,714,415 | (3) | ||||||||||||
EUR | 5.63 | % | 04/16/30 | 550,000 | 661,704 | (4) | ||||||||||||
EUR | 6.38 | % | 04/11/31 | 1,115,000 | 1,366,809 | (4) | ||||||||||||
USD | 7.05 | % | 01/15/32 | 1,753,000 | 1,861,467 | (3) | ||||||||||||
USD | 8.50 | % | 01/31/47 | 4,156,000 | 4,511,208 | (4) | ||||||||||||
USD | 7.90 | % | 02/21/48 | 2,099,000 | 2,176,401 | (4) | ||||||||||||
USD | 8.70 | % | 03/01/49 | 1,115,000 | 1,228,242 | (3) | ||||||||||||
USD | 8.88 | % | 05/29/50 | 9,964,000 | 11,122,315 | (3) |
See Notes to Financial Statements.
20 | www.shiplp.com |
Stone Harbor Emerging Markets Debt Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
Egypt (continued) | ||||||||||||||||||
Republic of Egypt: (continued) | ||||||||||||||||||
USD | 8.15 | % | 11/20/59 | 2,749,000 | $ | 2,873,134 | (3) | |||||||||||
30,998,027 | ||||||||||||||||||
El Salvador - 2.10% | ||||||||||||||||||
Republic of El Salvador: | ||||||||||||||||||
USD | 7.75 | % | 01/24/23 | 2,173,000 | 2,079,968 | (4) | ||||||||||||
USD | 5.88 | % | 01/30/25 | 218,000 | 196,234 | (4) | ||||||||||||
USD | 6.38 | % | 01/18/27 | 3,675,000 | 3,266,156 | (4) | ||||||||||||
USD | 8.63 | % | 02/28/29 | 2,198,000 | 2,066,807 | (4) | ||||||||||||
USD | 8.25 | % | 04/10/32 | 867,000 | 794,931 | (3) | ||||||||||||
USD | 8.25 | % | 04/10/32 | 12,498,000 | 11,459,104 | (4) | ||||||||||||
USD | 7.65 | % | 06/15/35 | 820,000 | 722,241 | (4) | ||||||||||||
USD | 7.63 | % | 02/01/41 | 296,000 | 255,948 | (3) | ||||||||||||
USD | 7.63 | % | 02/01/41 | 4,341,000 | 3,753,608 | (4) | ||||||||||||
USD | 7.13 | % | 01/20/50 | 1,237,000 | 1,038,500 | (4) | ||||||||||||
25,633,497 | ||||||||||||||||||
Ethiopia - 0.47% | ||||||||||||||||||
Republic of Ethiopia | USD | 6.63 | % | 12/11/24 | 5,820,000 | 5,749,069 | (3) | |||||||||||
Gabon - 0.29% | ||||||||||||||||||
Republic of Gabon | USD | 6.38 | % | 12/12/24 | 3,470,000 | 3,503,073 | (4) | |||||||||||
Ghana - 2.40% | ||||||||||||||||||
Republic of Ghana: | ||||||||||||||||||
USD | 7.88 | % | 08/07/23 | 1,228,000 | 1,329,310 | (4) | ||||||||||||
USD | 6.38 | % | 02/11/27 | 4,276,000 | 4,310,743 | (3) | ||||||||||||
USD | 7.88 | % | 03/26/27 | 4,943,000 | 5,200,963 | (3) | ||||||||||||
USD | 7.63 | % | 05/16/29 | 690,000 | 707,142 | (3) | ||||||||||||
USD | 7.63 | % | 05/16/29 | 1,268,000 | 1,299,502 | (4) | ||||||||||||
USD | 8.63 | % | 06/16/49 | 2,077,000 | 2,034,486 | (3) | ||||||||||||
USD | 8.63 | % | 06/16/49 | 600,000 | 587,719 | (4) | ||||||||||||
USD | 8.95 | % | 03/26/51 | 9,613,000 | 9,593,474 | (3) | ||||||||||||
USD | 8.95 | % | 03/26/51 | 2,200,000 | 2,195,531 | (4) | ||||||||||||
USD | 8.75 | % | 03/11/61 | 2,123,000 | 2,091,818 | (3) | ||||||||||||
29,350,688 | ||||||||||||||||||
Guatemala - 0.73% | ||||||||||||||||||
Republic of Guatemala: | ||||||||||||||||||
USD | 4.50 | % | 05/03/26 | 400,000 | 437,937 | (4) | ||||||||||||
USD | 4.38 | % | 06/05/27 | 3,000,000 | 3,303,750 | (4) | ||||||||||||
USD | 6.13 | % | 06/01/50 | 3,986,000 | 5,109,554 | (4) | ||||||||||||
8,851,241 | ||||||||||||||||||
Honduras - 0.26% | ||||||||||||||||||
Honduras Government | USD | 5.63 | % | 06/24/30 | 2,825,000 | 3,185,188 | (3) | |||||||||||
Indonesia - 1.35% | ||||||||||||||||||
Perusahaan Penerbit Sbsn | USD | 2.30 | % | 06/23/25 | 1,125,000 | 1,177,031 | (3) |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 21 |
Stone Harbor Emerging Markets Debt Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
Indonesia (continued) | ||||||||||||||||||
Republic of Indonesia: | ||||||||||||||||||
USD | 2.85 | % | 02/14/30 | 5,514,000 | $ | 5,996,475 | ||||||||||||
USD | 8.50 | % | 10/12/35 | 2,547,000 | 4,188,621 | (4) | ||||||||||||
USD | 5.25 | % | 01/17/42 | 1,380,000 | 1,808,878 | (4) | ||||||||||||
USD | 6.75 | % | 01/15/44 | 948,000 | 1,478,140 | (4) | ||||||||||||
USD | 5.13 | % | 01/15/45 | 670,000 | 878,119 | (4) | ||||||||||||
USD | 5.25 | % | 01/08/47 | 664,000 | 898,786 | (3) | ||||||||||||
16,426,050 | ||||||||||||||||||
Ivory Coast - 0.55% | ||||||||||||||||||
Ivory Coast Government: | ||||||||||||||||||
EUR | 5.25 | % | 03/22/30 | 1,720,000 | 2,161,015 | (4) | ||||||||||||
EUR | 5.88 | % | 10/17/31 | 1,489,000 | 1,915,189 | (4) | ||||||||||||
EUR | 6.88 | % | 10/17/40 | 1,965,000 | 2,577,974 | (4) | ||||||||||||
6,654,178 | ||||||||||||||||||
Jordan - 0.77% | ||||||||||||||||||
Kingdom of Jordan: | ||||||||||||||||||
USD | 5.85 | % | 07/07/30 | 5,738,000 | 6,154,005 | (3) | ||||||||||||
USD | 7.38 | % | 10/10/47 | 531,000 | 592,480 | (3) | ||||||||||||
USD | 7.38 | % | 10/10/47 | 2,325,000 | 2,594,191 | (4) | ||||||||||||
9,340,676 | ||||||||||||||||||
Kenya - 0.80% | ||||||||||||||||||
Republic of Kenya: | ||||||||||||||||||
USD | 6.88 | % | 06/24/24 | 1,375,000 | 1,492,520 | (3) | ||||||||||||
USD | 7.00 | % | 05/22/27 | 1,055,000 | 1,147,972 | (3) | ||||||||||||
USD | 7.25 | % | 02/28/28 | 1,510,000 | 1,660,292 | (4) | ||||||||||||
USD | 8.25 | % | 02/28/48 | 2,861,000 | 3,212,814 | (3) | ||||||||||||
USD | 8.25 | % | 02/28/48 | 1,980,000 | 2,223,478 | (4) | ||||||||||||
9,737,076 | ||||||||||||||||||
Lebanon - 0.37% | ||||||||||||||||||
Lebanese Republic: | ||||||||||||||||||
USD | 8.25 | % | 04/12/21 | 5,803,000 | 783,405 | (4)(6) | ||||||||||||
USD | 6.00 | % | 01/27/23 | 3,176,000 | 428,760 | (6) | ||||||||||||
USD | 6.40 | % | 05/26/23 | 1,400,000 | 189,000 | (6) | ||||||||||||
USD | 6.65 | % | 04/22/24 | 4,700,000 | 634,500 | (6) | ||||||||||||
USD | 6.60 | % | 11/27/26 | 4,525,000 | 610,875 | (6) | ||||||||||||
USD | 6.65 | % | 02/26/30 | 4,400,000 | 594,000 | (6) | ||||||||||||
USD | 8.20 | % | 05/17/33 | 9,575,000 | 1,316,563 | (6) | ||||||||||||
4,557,103 | ||||||||||||||||||
Malaysia - 2.12% | ||||||||||||||||||
1mdb Global Investments | USD | 4.40 | % | 03/09/23 | 25,700,000 | 25,892,750 | (4) | |||||||||||
Mexico - 2.16% | ||||||||||||||||||
United Mexican States: | ||||||||||||||||||
USD | 4.75 | % | 04/27/32 | 12,951,000 | 15,332,769 | |||||||||||||
USD | 6.05 | % | 01/11/40 | 3,354,000 | 4,401,601 | |||||||||||||
USD | 4.75 | % | 03/08/44 | 2,446,000 | 2,825,130 |
See Notes to Financial Statements.
22 | www.shiplp.com |
Stone Harbor Emerging Markets Debt Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
Mexico (continued) | ||||||||||||||||||
United Mexican States: (continued) | ||||||||||||||||||
USD | 3.77 | % | 05/24/61 | 3,840,000 | $ | 3,833,280 | ||||||||||||
26,392,780 | ||||||||||||||||||
Mozambique - 0.79% | ||||||||||||||||||
Republic of Mozambique | USD | 5.00 | % | 09/15/31 | 11,017,000 | 9,705,288 | (2)(3) | |||||||||||
Nigeria - 1.52% | ||||||||||||||||||
Republic of Nigeria: | ||||||||||||||||||
USD | 6.50 | % | 11/28/27 | 5,800,000 | 6,109,937 | (3) | ||||||||||||
USD | 7.88 | % | 02/16/32 | 6,793,000 | 7,324,764 | (3) | ||||||||||||
USD | 7.70 | % | 02/23/38 | 1,880,000 | 1,954,025 | (3) | ||||||||||||
USD | 7.70 | % | 02/23/38 | 3,012,000 | 3,130,598 | (4) | ||||||||||||
18,519,324 | ||||||||||||||||||
Oman - 2.19% | ||||||||||||||||||
Oman Government: | ||||||||||||||||||
USD | 4.88 | % | 02/01/25 | 1,158,000 | 1,157,638 | (3) | ||||||||||||
USD | 7.38 | % | 10/28/32 | 13,587,000 | 14,283,334 | (3) | ||||||||||||
USD | 6.50 | % | 03/08/47 | 5,248,000 | 4,809,300 | (3) | ||||||||||||
USD | 6.75 | % | 01/17/48 | 1,674,000 | 1,554,204 | (3) | ||||||||||||
USD | 6.75 | % | 01/17/48 | 5,267,000 | 4,890,080 | (4) | ||||||||||||
26,694,556 | ||||||||||||||||||
Pakistan - 0.66% | ||||||||||||||||||
Republic of Pakistan: | ||||||||||||||||||
USD | 6.88 | % | 12/05/27 | 4,041,000 | 4,173,595 | (4) | ||||||||||||
USD | 6.88 | % | 12/05/27 | 1,443,000 | 1,490,348 | (3) | ||||||||||||
USD | 7.88 | % | 03/31/36 | 473,000 | 487,486 | (4) | ||||||||||||
Third Pkstan Intl Sukuk | USD | 5.50 | % | 10/13/21 | 1,915,000 | 1,942,229 | (4) | |||||||||||
8,093,658 | ||||||||||||||||||
Panama - 1.51% | ||||||||||||||||||
Republic of Panama: | ||||||||||||||||||
USD | 4.00 | % | 09/22/24 | 2,040,000 | 2,239,218 | |||||||||||||
USD | 9.38 | % | 04/01/29 | 4,988,000 | 7,701,784 | |||||||||||||
USD | 2.25 | % | 09/29/32 | 1,237,000 | 1,260,503 | |||||||||||||
USD | 4.50 | % | 04/16/50 | 146,000 | 185,306 | |||||||||||||
USD | 4.50 | % | 04/01/56 | 1,778,000 | 2,260,727 | |||||||||||||
USD | 3.87 | % | 07/23/60 | 4,130,000 | 4,819,839 | |||||||||||||
18,467,377 | ||||||||||||||||||
Papua New Guinea - 0.91% | ||||||||||||||||||
Papua New Guinea Government: | ||||||||||||||||||
USD | 8.38 | % | 10/04/28 | 8,972,000 | 9,138,824 | (3) | ||||||||||||
USD | 8.38 | % | 10/04/28 | 1,883,000 | 1,918,012 | (4) | ||||||||||||
11,056,836 |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 23 |
Stone Harbor Emerging Markets Debt Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
Peru - 0.02% | ||||||||||||||||||
Republic of Peru | USD | 6.55 | % | 03/14/37 | 155,000 | $ | 231,168 | |||||||||||
Qatar - 3.63% | ||||||||||||||||||
State of Qatar: | ||||||||||||||||||
USD | 4.00 | % | 03/14/29 | 6,356,000 | 7,531,860 | (3) | ||||||||||||
USD | 4.00 | % | 03/14/29 | 12,972,000 | 15,371,820 | (4) | ||||||||||||
USD | 5.75 | % | 01/20/42 | 1,798,000 | 2,708,519 | (3) | ||||||||||||
USD | 5.10 | % | 04/23/48 | 5,802,000 | 8,313,178 | (3) | ||||||||||||
USD | 4.82 | % | 03/14/49 | 3,222,000 | 4,468,008 | (3) | ||||||||||||
USD | 4.40 | % | 04/16/50 | 2,635,000 | 3,489,728 | (3) | ||||||||||||
USD | 4.40 | % | 04/16/50 | 1,824,000 | 2,415,660 | (4) | ||||||||||||
44,298,773 | ||||||||||||||||||
Romania - 2.23% | ||||||||||||||||||
Republic of Romania: | ||||||||||||||||||
EUR | 3.88 | % | 10/29/35 | 2,607,000 | 3,779,323 | (4) | ||||||||||||
EUR | 4.13 | % | 03/11/39 | 4,085,000 | 5,973,727 | |||||||||||||
EUR | 2.63 | % | 12/02/40 | 1,419,000 | 1,709,577 | (3) | ||||||||||||
EUR | 4.63 | % | 04/03/49 | 2,143,000 | 3,353,510 | (4) | ||||||||||||
EUR | 4.63 | % | 04/03/49 | 2,817,000 | 4,408,231 | (3) | ||||||||||||
EUR | 3.38 | % | 01/28/50 | 3,406,000 | 4,515,465 | (3) | ||||||||||||
USD | 4.00 | % | 02/14/51 | 3,198,000 | 3,512,303 | (3) | ||||||||||||
27,252,136 | ||||||||||||||||||
Russia - 3.71% | ||||||||||||||||||
Russian Federation: | ||||||||||||||||||
USD | 5.10 | % | 03/28/35 | 16,600,000 | 20,944,532 | (4) | ||||||||||||
USD | 5.10 | % | 03/28/35 | 2,000,000 | 2,523,438 | (3) | ||||||||||||
USD | 5.63 | % | 04/04/42 | 10,000,000 | 13,682,812 | (4) | ||||||||||||
USD | 5.88 | % | 09/16/43 | 4,800,000 | 6,819,000 | (4) | ||||||||||||
USD | 5.25 | % | 06/23/47 | 1,000,000 | 1,362,656 | (4) | ||||||||||||
45,332,438 | ||||||||||||||||||
Saudi Arabia - 3.88% | ||||||||||||||||||
Kingdom of Saudi Arabia: | ||||||||||||||||||
USD | 4.38 | % | 04/16/29 | 2,675,000 | 3,166,531 | (3) | ||||||||||||
USD | 4.50 | % | 04/17/30 | 5,642,000 | 6,788,913 | (3) | ||||||||||||
USD | 3.25 | % | 10/22/30 | 10,843,000 | 11,954,407 | (3) | ||||||||||||
USD | 4.50 | % | 10/26/46 | 4,578,000 | 5,622,356 | (4) | ||||||||||||
USD | 5.00 | % | 04/17/49 | 3,038,000 | 4,037,217 | (3) | ||||||||||||
USD | 5.00 | % | 04/17/49 | 2,123,000 | 2,821,268 | (4) | ||||||||||||
USD | 5.25 | % | 01/16/50 | 3,916,000 | 5,390,619 | (4) | ||||||||||||
USD | 4.50 | % | 04/22/60 | 5,922,000 | 7,556,102 | (3) | ||||||||||||
47,337,413 | ||||||||||||||||||
South Africa - 0.61% | ||||||||||||||||||
Republic of South Africa: | ||||||||||||||||||
USD | 5.00 | % | 10/12/46 | 1,208,000 | 1,088,521 | |||||||||||||
USD | 5.75 | % | 09/30/49 | 6,631,000 | 6,409,276 | |||||||||||||
7,497,797 |
See Notes to Financial Statements.
24 | www.shiplp.com |
Stone Harbor Emerging Markets Debt Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
Sri Lanka - 1.24% | ||||||||||||||||||
Republic of Sri Lanka: | ||||||||||||||||||
USD | 6.25 | % | 07/27/21 | 2,103,000 | $ | 1,885,471 | (4) | |||||||||||
USD | 5.88 | % | 07/25/22 | 462,000 | 343,468 | (3) | ||||||||||||
USD | 6.13 | % | 06/03/25 | 758,000 | 482,396 | (3) | ||||||||||||
USD | 6.85 | % | 11/03/25 | 3,656,000 | 2,291,855 | (4) | ||||||||||||
USD | 6.20 | % | 05/11/27 | 1,145,000 | 681,454 | (4) | ||||||||||||
USD | 6.75 | % | 04/18/28 | 7,188,000 | 4,291,461 | (3) | ||||||||||||
USD | 7.85 | % | 03/14/29 | 3,222,000 | 1,931,186 | (3) | ||||||||||||
USD | 7.55 | % | 03/28/30 | 5,419,000 | 3,224,166 | (4) | ||||||||||||
15,131,457 | ||||||||||||||||||
Trinidad & Tobago - 0.49% | ||||||||||||||||||
Trinidad & Tobago: | ||||||||||||||||||
USD | 4.38 | % | 01/16/24 | 4,954,000 | 5,212,537 | (4) | ||||||||||||
USD | 4.50 | % | 06/26/30 | 763,000 | 798,766 | (4) | ||||||||||||
6,011,303 | ||||||||||||||||||
Tunisia - 0.68% | ||||||||||||||||||
Banque Centrale de Tunisie: | ||||||||||||||||||
USD | 5.75 | % | 01/30/25 | 200,000 | 181,594 | (4) | ||||||||||||
EUR | 6.38 | % | 07/15/26 | 5,197,000 | 5,631,612 | (4) | ||||||||||||
USD | 8.25 | % | 09/19/27 | 2,613,000 | 2,508,480 | |||||||||||||
8,321,686 | ||||||||||||||||||
Turkey - 3.22% | ||||||||||||||||||
Hazine Mustesarligi Varl | USD | 5.80 | % | 02/21/22 | 9,400,000 | 9,549,812 | (3) | |||||||||||
Republic of Turkey: | ||||||||||||||||||
USD | 6.25 | % | 09/26/22 | 693,000 | 716,605 | |||||||||||||
USD | 5.75 | % | 03/22/24 | 7,723,000 | 7,926,935 | |||||||||||||
USD | 6.35 | % | 08/10/24 | 1,687,000 | 1,762,915 | |||||||||||||
USD | 6.00 | % | 03/25/27 | 2,462,000 | 2,533,936 | |||||||||||||
USD | 5.13 | % | 02/17/28 | 2,753,000 | 2,694,499 | |||||||||||||
USD | 6.13 | % | 10/24/28 | 887,000 | 911,670 | |||||||||||||
USD | 6.88 | % | 03/17/36 | 6,308,000 | 6,558,349 | |||||||||||||
USD | 6.63 | % | 02/17/45 | 1,606,000 | 1,602,487 | |||||||||||||
USD | 5.75 | % | 05/11/47 | 5,554,000 | 5,009,014 | |||||||||||||
39,266,222 | ||||||||||||||||||
Ukraine - 2.06% | ||||||||||||||||||
Ukraine Government: | ||||||||||||||||||
USD | 7.75 | % | 09/01/21 | 3,029,000 | 3,159,247 | (4) | ||||||||||||
USD | 7.75 | % | 09/01/22 | 1,668,000 | 1,782,675 | (4) | ||||||||||||
USD | 7.75 | % | 09/01/23 | 1,347,000 | 1,467,220 | (4) | ||||||||||||
EUR | 6.75 | % | 06/20/26 | 2,260,000 | 2,907,712 | (3) | ||||||||||||
USD | 7.75 | % | 09/01/26 | 1,737,000 | 1,925,084 | (3) | ||||||||||||
USD | 7.75 | % | 09/01/27 | 3,027,000 | 3,364,226 | (4) | ||||||||||||
USD | 9.75 | % | 11/01/28 | 2,042,000 | 2,438,276 | (3) | ||||||||||||
USD | 9.75 | % | 11/01/28 | 272,000 | 324,785 | (4) | ||||||||||||
EUR | 4.38 | % | 01/27/30 | 5,331,000 | 5,977,527 | (3) | ||||||||||||
USD | 7.38 | % | 09/25/32 | 500,000 | 538,516 | (4) |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 25 |
Stone Harbor Emerging Markets Debt Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
Ukraine (continued) | ||||||||||||||||||
Ukraine Government: (continued) | ||||||||||||||||||
USD | 7.25 | % | 03/15/33 | 1,231,000 | $ | 1,312,169 | (3) | |||||||||||
25,197,437 | ||||||||||||||||||
United Arab Emirates - 0.95% | ||||||||||||||||||
Abu Dhabi Govt Int'l | USD | 4.13 | % | 10/11/47 | 3,789,000 | 4,816,766 | (3) | |||||||||||
Fin Dept Govt Sharjah | USD | 4.00 | % | 07/28/50 | 6,534,000 | 6,762,690 | (3) | |||||||||||
11,579,456 | ||||||||||||||||||
Uruguay - 1.32% | ||||||||||||||||||
Republic of Uruguay: | ||||||||||||||||||
USD | 4.38 | % | 10/27/27 | 7,674,705 | 9,010,583 | |||||||||||||
USD | 5.10 | % | 06/18/50 | 1,062,000 | 1,461,910 | |||||||||||||
USD | 4.98 | % | 04/20/55 | 4,117,000 | 5,626,138 | |||||||||||||
16,098,631 | ||||||||||||||||||
Venezuela - 0.21% | ||||||||||||||||||
Republic of Venezuela: | ||||||||||||||||||
USD | 7.75 | % | 10/13/19 | 25,087,500 | 2,383,313 | (6) | ||||||||||||
USD | 9.25 | % | 05/07/28 | 1,927,000 | 183,065 | (6) | ||||||||||||
2,566,378 | ||||||||||||||||||
Zambia - 0.16% | ||||||||||||||||||
Republic of Zambia | USD | 5.38 | % | 09/20/22 | 3,998,000 | 1,913,418 | (4)(6) | |||||||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS | 819,899,187 | |||||||||||||||||
(Cost $797,813,418) | ||||||||||||||||||
CORPORATE BONDS - 29.44% | ||||||||||||||||||
Argentina - 0.10% | ||||||||||||||||||
MSU Energy SA | USD | 6.88 | % | 02/01/25 | 733,000 | 511,414 | (3) | |||||||||||
Pampa Energia SA | USD | 7.50 | % | 01/24/27 | 859,000 | 710,394 | (3) | |||||||||||
1,221,808 | ||||||||||||||||||
Bahrain - 0.45% | ||||||||||||||||||
Oil and Gas Holding Co. BSCC | USD | 7.63 | % | 11/07/24 | 4,932,000 | 5,459,878 | (3) |
See Notes to Financial Statements.
26 | www.shiplp.com |
Stone Harbor Emerging Markets Debt Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
Brazil - 1.81% | ||||||||||||||||||
Adecoagro SA | USD | 6.00 | % | 09/21/27 | 4,297,000 | $ | 4,507,822 | (3) | ||||||||||
Banco do Brasil SA | USD | 10Y US TI + 6.36 | % | Perpetual | 1,400,000 | 1,548,400 | (1)(4)(7) | |||||||||||
CSN Resources SA | USD | 7.63 | % | 04/17/26 | 1,566,000 | 1,698,376 | (3) | |||||||||||
Gol Finance SA | USD | 7.00 | % | 01/31/25 | 2,771,000 | 2,496,065 | (3) | |||||||||||
JSL Europe SA | USD | 7.75 | % | 07/26/24 | 1,909,000 | 2,036,390 | (3) | |||||||||||
Minerva Luxembourg SA | USD | 6.50 | % | 09/20/26 | 1,272,000 | 1,356,768 | (3) | |||||||||||
MV24 Capital BV | USD | 6.75 | % | 06/01/34 | 2,710,889 | 2,941,315 | (3) | |||||||||||
NBM US Holdings, Inc. | USD | 7.00 | % | 05/14/26 | 1,278,000 | 1,396,614 | (3) | |||||||||||
Petrobras Global Finance BV | USD | 5.75 | % | 02/01/29 | 1,606,000 | 1,857,941 | ||||||||||||
Usiminas International Sarl | USD | 5.88 | % | 07/18/26 | 2,093,000 | 2,277,576 | (3) | |||||||||||
22,117,267 | ||||||||||||||||||
Cayman Islands - 0.25% | ||||||||||||||||||
MAF Sukuk, Ltd. | USD | 3.93 | % | 02/28/30 | 2,843,000 | 3,007,361 | ||||||||||||
Chile - 2.25% | ||||||||||||||||||
Celulosa Arauco y Constitucion SA | USD | 5.15 | % | 01/29/50 | 2,376,000 | 2,667,803 | (3) | |||||||||||
Codelco, Inc.: | ||||||||||||||||||
USD | 4.50 | % | 09/16/25 | 1,082,000 | 1,235,171 | (3) | ||||||||||||
USD | 5.63 | % | 10/18/43 | 1,497,000 | 2,078,491 | (4) | ||||||||||||
USD | 4.38 | % | 02/05/49 | 6,658,000 | 8,126,921 | (3) | ||||||||||||
USD | 4.38 | % | 02/05/49 | 1,550,000 | 1,891,969 | (4) | ||||||||||||
Corp Nacional del Cobre de Chile: | ||||||||||||||||||
USD | 3.00 | % | 09/30/29 | 1,774,000 | 1,911,762 | (3) | ||||||||||||
USD | 3.70 | % | 01/30/50 | 3,642,000 | 4,000,509 | (3) | ||||||||||||
Empresa Nacional del Petroleo | USD | 5.25 | % | 11/06/29 | 1,525,000 | 1,786,871 | (4) | |||||||||||
Geopark, Ltd.: | ||||||||||||||||||
USD | 6.50 | % | 09/21/24 | 2,393,000 | 2,451,270 | (3) | ||||||||||||
USD | 5.50 | % | 01/17/27 | 1,380,000 | 1,351,106 | (3) | ||||||||||||
27,501,873 | ||||||||||||||||||
China - 0.61% | ||||||||||||||||||
Country Garden Holdings Co., Ltd. | USD | 4.80 | % | 08/06/30 | 1,676,000 | 1,789,392 | ||||||||||||
ENN Clean Energy International Investment, Ltd. | USD | 7.50 | % | 02/27/21 | 1,698,000 | 1,712,858 | ||||||||||||
Shimao Group Holdings, Ltd. | USD | 5.60 | % | 07/15/26 | 1,624,000 | 1,771,936 | ||||||||||||
Sinopec Group Overseas Development 2018, Ltd. | USD | 2.70 | % | 05/13/30 | 868,000 | 901,499 | (4) | |||||||||||
Wanda Properties International Co., Ltd. | USD | 7.25 | % | 01/29/24 | 1,283,000 | 1,274,580 | ||||||||||||
7,450,265 | ||||||||||||||||||
Colombia - 0.55% | ||||||||||||||||||
AI Candelaria Spain SLU | USD | 7.50 | % | 12/15/28 | 5,251,000 | 5,908,688 | (3) | |||||||||||
Gran Tierra Energy International Holdings, Ltd. | USD | 6.25 | % | 02/15/25 | 1,940,000 | 843,900 | (3) | |||||||||||
6,752,588 | ||||||||||||||||||
Ghana - 0.39% | ||||||||||||||||||
Kosmos Energy, Ltd. | USD | 7.13 | % | 04/04/26 | 2,498,000 | 2,273,180 | (3) | |||||||||||
Tullow Oil PLC | USD | 7.00 | % | 03/01/25 | 3,796,000 | 2,457,910 | (3) | |||||||||||
4,731,090 |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 27 |
Stone Harbor Emerging Markets Debt Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
India - 0.10% | ||||||||||||||||||
Network i2i, Ltd. | USD | 5Y US TI + 4.28 | % | Perpetual | 1,140,000 | $ | 1,195,575 | (1)(3)(7) | ||||||||||
Indonesia - 3.39% | ||||||||||||||||||
Indonesia Asahan Aluminium Persero PT: | ||||||||||||||||||
USD | 5.71 | % | 11/15/23 | 2,367,000 | 2,625,891 | (3) | ||||||||||||
USD | 5.45 | % | 05/15/30 | 9,730,000 | 11,590,862 | (3) | ||||||||||||
USD | 6.76 | % | 11/15/48 | 1,754,000 | 2,376,122 | (3) | ||||||||||||
USD | 5.80 | % | 05/15/50 | 3,901,000 | 4,832,973 | (3) | ||||||||||||
Minejesa Capital BV: | ||||||||||||||||||
USD | 4.63 | % | 08/10/30 | 2,295,000 | 2,458,519 | (3) | ||||||||||||
USD | 5.63 | % | 08/10/37 | 327,000 | 348,408 | (3) | ||||||||||||
Pertamina Persero PT: | ||||||||||||||||||
USD | 6.00 | % | 05/03/42 | 1,922,000 | 2,484,485 | (4) | ||||||||||||
USD | 5.63 | % | 05/20/43 | 2,573,000 | 3,238,738 | (4) | ||||||||||||
USD | 6.45 | % | 05/30/44 | 7,649,000 | 10,490,126 | (4) | ||||||||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | USD | 5.45 | % | 05/21/28 | 795,000 | 958,844 | (4) | |||||||||||
PT Bakrie & Brothers TBK | IDR | 0.00 | % | 12/22/22 | 6,750,674,000 | 49 | (5)(8) | |||||||||||
41,405,017 | ||||||||||||||||||
Israel - 0.43% | ||||||||||||||||||
Leviathan Bond, Ltd. | USD | 6.50 | % | 06/30/27 | 4,811,000 | 5,318,320 | (3) | |||||||||||
Kazakhstan - 2.36% | ||||||||||||||||||
KazMunayGas National Co. JSC: | ||||||||||||||||||
USD | 4.75 | % | 04/24/25 | 6,009,000 | 6,808,009 | (3) | ||||||||||||
USD | 5.38 | % | 04/24/30 | 4,000,000 | 4,923,750 | (4) | ||||||||||||
USD | 5.75 | % | 04/19/47 | 5,804,000 | 7,690,300 | (3) | ||||||||||||
USD | 6.38 | % | 10/24/48 | 1,996,000 | 2,850,413 | (3) | ||||||||||||
KazTransGas JSC | USD | 4.38 | % | 09/26/27 | 5,774,000 | 6,540,860 | (3) | |||||||||||
28,813,332 | ||||||||||||||||||
Macau - 0.42% | ||||||||||||||||||
Sands China, Ltd. | USD | 5.40 | % | 08/08/28 | 2,611,000 | 2,990,927 | ||||||||||||
Studio City Finance, Ltd.: | ||||||||||||||||||
USD | 6.00 | % | 07/15/25 | 543,000 | 572,865 | (3) | ||||||||||||
USD | 6.50 | % | 01/15/28 | 1,419,000 | 1,511,235 | (3) | ||||||||||||
5,075,027 | ||||||||||||||||||
Malaysia - 0.54% | ||||||||||||||||||
1MDB Energy, Ltd. | USD | 5.99 | % | 05/11/22 | 3,000,000 | 3,135,000 | ||||||||||||
Gohl Capital, Ltd. | USD | 4.25 | % | 01/24/27 | 3,260,000 | 3,419,944 | ||||||||||||
6,554,944 | ||||||||||||||||||
Mexico - 6.03% | ||||||||||||||||||
Aerovias de Mexico SA de CV | USD | 7.00 | % | 02/05/25 | 2,388,000 | 847,740 | (3)(6) | |||||||||||
Axtel SAB Axtel de CV | USD | 6.38 | % | 11/14/24 | 2,221,000 | 2,331,009 | (3) | |||||||||||
Banco Mercantil del Norte SA/Grand Cayman: | ||||||||||||||||||
USD | 6.75 | % | Perpetual | 1,486,000 | 1,576,553 | (1)(3)(7) | ||||||||||||
USD | 7.50 | % | Perpetual | 2,615,000 | 2,842,178 | (1)(3)(7) | ||||||||||||
Banco Nacional de Comercio Exterior SNC: | ||||||||||||||||||
USD | 3.80 | % | 08/11/26 | 3,289,000 | 3,311,612 | (1)(3) |
See Notes to Financial Statements.
28 | www.shiplp.com |
Stone Harbor Emerging Markets Debt Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
Mexico (continued) | ||||||||||||||||||
Banco Nacional de Comercio Exterior SNC: (continued) | ||||||||||||||||||
USD | 3.80 | % | 08/11/26 | 2,056,000 | $ | 2,070,135 | (1)(4) | |||||||||||
Cemex SAB de CV | USD | 7.38 | % | 06/05/27 | 2,743,000 | 3,081,623 | (3) | |||||||||||
Cometa Energia SA de CV | USD | 6.38 | % | 04/24/35 | 4,349,554 | 5,024,414 | (3) | |||||||||||
FEL Energy VI Sarl | USD | 5.75 | % | 12/01/40 | 903,000 | 954,471 | (3) | |||||||||||
Grupo Televisa SAB | USD | 6.63 | % | 01/15/40 | 2,534,000 | 3,467,225 | ||||||||||||
Petroleos Mexicanos: | ||||||||||||||||||
USD | 6.88 | % | 10/16/25 | 2,222,000 | 2,330,345 | (3) | ||||||||||||
USD | 6.88 | % | 08/04/26 | 6,177,000 | 6,416,359 | |||||||||||||
USD | 6.49 | % | 01/23/27 | 1,006,000 | 1,009,773 | |||||||||||||
USD | 9.50 | % | 09/15/27 | 1,062,000 | 1,175,833 | |||||||||||||
USD | 5.35 | % | 02/12/28 | 1,267,000 | 1,189,966 | |||||||||||||
USD | 6.50 | % | 01/23/29 | 2,473,000 | 2,416,121 | |||||||||||||
USD | 6.84 | % | 01/23/30 | 4,759,000 | 4,662,868 | |||||||||||||
USD | 5.95 | % | 01/28/31 | 6,925,000 | 6,467,950 | |||||||||||||
USD | 6.63 | % | 06/15/35 | 700,000 | 650,234 | |||||||||||||
USD | 5.63 | % | 01/23/46 | 653,000 | 523,379 | |||||||||||||
USD | 6.75 | % | 09/21/47 | 1,085,000 | 938,254 | |||||||||||||
USD | 7.69 | % | 01/23/50 | 21,368,000 | 19,744,032 | |||||||||||||
USD | 6.95 | % | 01/28/60 | 722,000 | 621,823 | |||||||||||||
73,653,897 | ||||||||||||||||||
Netherlands - 0.10% | ||||||||||||||||||
MDGH - GMTN BV | USD | 3.95 | % | 05/21/50 | 990,000 | 1,184,288 | ||||||||||||
Nigeria - 0.09% | ||||||||||||||||||
IHS Netherlands Holdco BV | USD | 8.00 | % | 09/18/27 | 980,000 | 1,064,984 | (3) | |||||||||||
Panama - 1.30% | ||||||||||||||||||
Aeropuerto Internacional de Tocumen SA: | ||||||||||||||||||
USD | 5.63 | % | 05/18/36 | 4,429,000 | 5,010,306 | (4) | ||||||||||||
USD | 6.00 | % | 11/18/48 | 5,206,842 | 5,998,282 | (3) | ||||||||||||
AES Panama Generation Holdings SRL | USD | 4.38 | % | 05/31/30 | 1,993,000 | 2,144,032 | (3) | |||||||||||
C&W Senior Financing DAC | USD | 6.88 | % | 09/15/27 | 2,563,000 | 2,774,448 | (3) | |||||||||||
15,927,068 | ||||||||||||||||||
Peru - 2.06% | ||||||||||||||||||
Inkia Energy, Ltd. | USD | 5.88 | % | 11/09/27 | 113,000 | 121,409 | (3) | |||||||||||
Kallpa Generacion SA: | ||||||||||||||||||
USD | 4.88 | % | 05/24/26 | 792,000 | 866,127 | (3) | ||||||||||||
USD | 4.13 | % | 08/16/27 | 1,947,000 | 2,093,025 | (3) | ||||||||||||
Peru Payroll Deduction Finance Ltd. | USD | 0.00 | % | 11/01/29 | 2,391,534 | 1,949,101 | (5) | |||||||||||
Petroleos del Peru SA: | ||||||||||||||||||
USD | 4.75 | % | 06/19/32 | 2,020,000 | 2,292,700 | (3) | ||||||||||||
USD | 4.75 | % | 06/19/32 | 7,839,000 | 8,897,265 | (4) | ||||||||||||
USD | 5.63 | % | 06/19/47 | 7,428,000 | 8,963,507 | (4) | ||||||||||||
25,183,134 |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 29 |
Stone Harbor Emerging Markets Debt Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
Russia - 0.50% | ||||||||||||||||||
Gazprom PJSC Via Gaz Capital SA | USD | 4.95 | % | 02/06/28 | 2,633,000 | $ | 3,004,500 | (3) | ||||||||||
Gazprom PJSC via Gaz Finance PLC | USD | 5Y US TI + 4.264 | % | 12/31/49 | 3,004,000 | 3,152,322 | (1)(3)(7) | |||||||||||
6,156,822 | ||||||||||||||||||
Saudi Arabia - 0.55% | ||||||||||||||||||
Acwa Power Management And Investments One, Ltd. | USD | 5.95 | % | 12/15/39 | 5,671,000 | 6,705,957 | (3) | |||||||||||
South Africa - 1.89% | ||||||||||||||||||
Eskom Holdings SOC, Ltd.: | ||||||||||||||||||
USD | 6.75 | % | 08/06/23 | 5,327,000 | 5,466,002 | (3) | ||||||||||||
USD | 7.13 | % | 02/11/25 | 14,473,000 | 14,859,701 | (3) | ||||||||||||
USD | 8.45 | % | 08/10/28 | 2,516,000 | 2,715,707 | (3) | ||||||||||||
23,041,410 | ||||||||||||||||||
Ukraine - 0.31% | ||||||||||||||||||
NAK Naftogaz Ukraine via Kondor Finance PLC | USD | 7.63 | % | 11/08/26 | 3,373,000 | 3,423,595 | (3) | |||||||||||
State Savings Bank of Ukraine Via SSB #1 PLC | USD | 9.63 | % | 03/20/25 | 315,000 | 334,687 | (2)(4) | |||||||||||
3,758,282 | ||||||||||||||||||
United Arab Emirates - 2.27% | ||||||||||||||||||
Abu Dhabi Crude Oil Pipeline: | ||||||||||||||||||
USD | 3.65 | % | 11/02/29 | 3,398,000 | 3,907,700 | (3) | ||||||||||||
USD | 4.60 | % | 11/02/47 | 861,000 | 1,070,600 | (3) | ||||||||||||
DP World PLC: | ||||||||||||||||||
USD | 5.63 | % | 09/25/48 | 3,712,000 | 4,544,300 | (3) | ||||||||||||
USD | 4.70 | % | 09/30/49 | 437,000 | 485,275 | (3) | ||||||||||||
USD | 4.70 | % | 09/30/49 | 500,000 | 555,234 | (4) | ||||||||||||
DP World Salaam | USD | 5Y US TI + 5.75 | % | 12/31/49 | 5,853,000 | 6,368,796 | (1)(7) | |||||||||||
DP World, Ltd. | USD | 6.85 | % | 07/02/37 | 1,500,000 | 1,991,953 | (3) | |||||||||||
MDGH - GMTN BV: | ||||||||||||||||||
USD | 4.50 | % | 11/07/28 | 707,000 | 849,284 | (3) | ||||||||||||
USD | 4.50 | % | 11/07/28 | 3,494,000 | 4,197,167 | (4) | ||||||||||||
USD | 2.88 | % | 11/07/29 | 3,533,000 | 3,802,943 | (3) | ||||||||||||
27,773,252 | ||||||||||||||||||
Venezuela - 0.23% | ||||||||||||||||||
Petroleos de Venezuela SA: | ||||||||||||||||||
USD | 6.00 | % | 05/16/24 | 60,489,976 | 2,238,129 | (4)(6) | ||||||||||||
USD | 6.00 | % | 11/15/26 | 3,307,000 | 124,013 | (4)(6) | ||||||||||||
USD | 5.38 | % | 04/12/27 | 600,000 | 22,200 | (6) | ||||||||||||
USD | 9.75 | % | 05/17/35 | 11,517,000 | 403,095 | (4)(6) | ||||||||||||
2,787,437 | ||||||||||||||||||
Vietnam - 0.22% | ||||||||||||||||||
Mong Duong Finance Holdings BV | USD | 5.13 | % | 05/07/29 | 2,508,000 | 2,658,088 | (3) | |||||||||||
Zambia - 0.24% | ||||||||||||||||||
First Quantum Minerals, Ltd.: | ||||||||||||||||||
USD | 7.50 | % | 04/01/25 | 1,167,000 | 1,215,139 | (3) |
See Notes to Financial Statements.
30 | www.shiplp.com |
Stone Harbor Emerging Markets Debt Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
Zambia (continued) | ||||||||||||||||||
First Quantum Minerals, Ltd.: (continued) | ||||||||||||||||||
USD | 6.88 | % | 03/01/26 | 1,638,000 | $ | 1,695,330 | (3) | |||||||||||
2,910,469 | ||||||||||||||||||
TOTAL CORPORATE BONDS | 359,409,433 | |||||||||||||||||
(Cost $354,623,302) | ||||||||||||||||||
CREDIT LINKED NOTES - 0.72% | ||||||||||||||||||
Iraq - 0.72% | ||||||||||||||||||
Republic of Iraq (Counterparty: Bank of America - Merrill Lynch): | ||||||||||||||||||
JPY | 2.89 | % | 01/01/28 | 221,650,553 | 1,645,394 | (1)(8) | ||||||||||||
JPY | 0.00 | % | 01/01/28 | 476,823,299 | 3,549,685 | (5)(8) | ||||||||||||
JPY | 0.00 | % | 01/01/28 | 485,791,510 | 3,618,309 | (5)(8) | ||||||||||||
8,813,388 | ||||||||||||||||||
TOTAL CREDIT LINKED NOTES | 8,813,388 | |||||||||||||||||
(Cost $10,758,368) | ||||||||||||||||||
SHORT TERM INVESTMENTS - 1.02% | ||||||||||||||||||
Money Market Fund - 1.02% | ||||||||||||||||||
State Street Institutional Liquid Reserves | ||||||||||||||||||
Fund - Institutional Class (7-Day SEC Yield) | USD | 0.07 | % | N/A | 12,426,844 | 12,429,330 | ||||||||||||
TOTAL SHORT TERM INVESTMENTS | 12,429,330 | |||||||||||||||||
(Cost $12,429,326) | ||||||||||||||||||
Total Investments - 98.33% | 1,200,551,338 | |||||||||||||||||
(Cost $1,175,624,414) | ||||||||||||||||||
Other Assets In Excess of Liabilities - 1.67% | 20,449,618 | (9) | ||||||||||||||||
Net Assets - 100.00% | $ | 1,221,000,956 |
* | 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 November 30, 2020 was 0.26%
5Y US TI - 5 Year US Treasury Index as of November 30, 2020 was 0.36%
10Y US TI - 10 Year US Treasury Index as of November 30, 2020 was 0.84%
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 31 |
Stone Harbor Emerging Markets Debt Fund | Statements of Investments |
November 30, 2020 (Unaudited)
(1) | Floating or variable rate security. The reference rate is described above. The rate in effect as of November 30, 2020 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 November 30, 2020. |
(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 $516,995,091, which represents approximately 42.34% of net assets as of November 30, 2020. |
(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 November 30, 2020, the aggregate fair value of those securities was $340,170,457, which represents approximately 27.86% 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) | 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 November 30, 2020 | Fund Delivering | U.S. $ Value at November 30, 2020 | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
J.P. Morgan Chase & Co. | 12/15/20 | EUR | 30,623,863 | USD | 30,361,164 | 262,699 | ||||||||||||||||
$ | 262,699 | |||||||||||||||||||||
Citigroup Global Markets | 12/15/20 | USD | 71,367,704 | EUR | 71,604,206 | (236,502 | ) | |||||||||||||||
J.P. Morgan Chase & Co. | 12/15/20 | USD | 8,660,559 | JPY | 8,783,048 | (122,489 | ) | |||||||||||||||
J.P. Morgan Chase & Co. | 12/15/20 | USD | 15,664,361 | EUR | 15,870,515 | (206,154 | ) | |||||||||||||||
$ | (565,145 | ) |
See Notes to Financial Statements.
32 | www.shiplp.com |
Stone Harbor High Yield Bond Fund | Statements of Investments |
November 30, 2020 (Unaudited) |
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
CORPORATE BONDS - 94.32% | ||||||||||||||||||
Aerospace/Defense - 2.87% | ||||||||||||||||||
Bombardier, Inc. | USD | 6.00 | % | 10/15/22 | 855,000 | $ | 815,093 | (1) | ||||||||||
Moog, Inc. | USD | 4.25 | % | 12/15/27 | 200,000 | 206,320 | (1) | |||||||||||
Signature Aviation US Holdings, Inc. | USD | 4.00 | % | 03/01/28 | 416,000 | 417,377 | (1) | |||||||||||
TransDigm, Inc. | USD | 6.25 | % | 03/15/26 | 792,000 | 840,514 | (1) | |||||||||||
2,279,304 | ||||||||||||||||||
Airlines - 1.03% | ||||||||||||||||||
Delta Air Lines, Inc.: | ||||||||||||||||||
USD | 7.00 | % | 05/01/25 | 274,000 | 313,275 | (1) | ||||||||||||
USD | 7.38 | % | 01/15/26 | 293,000 | 329,730 | |||||||||||||
Delta Air Lines, Inc. / SkyMiles IP, Ltd. | USD | 4.75 | % | 10/20/28 | 161,000 | 173,557 | (1) | |||||||||||
816,562 | ||||||||||||||||||
Automotive - 5.85% | ||||||||||||||||||
Clarios Global LP / Clarios US Finance Co.: | ||||||||||||||||||
USD | 6.25 | % | 05/15/26 | 165,000 | 175,519 | (1) | ||||||||||||
USD | 8.50 | % | 05/15/27 | 397,000 | 427,926 | (1) | ||||||||||||
Ford Motor Co. | USD | 8.50 | % | 04/21/23 | 447,000 | 502,193 | ||||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||||||||
USD | 5.13 | % | 06/16/25 | 118,000 | 127,552 | |||||||||||||
USD | 3.38 | % | 11/13/25 | 418,000 | 420,487 | |||||||||||||
USD | 4.13 | % | 08/17/27 | 458,000 | 474,030 | |||||||||||||
USD | 5.11 | % | 05/03/29 | 1,539,000 | 1,662,505 | |||||||||||||
General Motors Co. | USD | 6.80 | % | 10/01/27 | 661,000 | 850,291 | ||||||||||||
4,640,503 | ||||||||||||||||||
Building Products - 4.72% | ||||||||||||||||||
Advanced Drainage Systems, Inc. | USD | 5.00 | % | 09/30/27 | 381,000 | 401,406 | (1) | |||||||||||
American Woodmark Corp. | USD | 4.88 | % | 03/15/26 | 175,000 | 179,560 | (1) | |||||||||||
Cemex SAB de CV: | ||||||||||||||||||
USD | 7.38 | % | 06/05/27 | 235,000 | 264,011 | (1) | ||||||||||||
USD | 5.45 | % | 11/19/29 | 240,000 | 263,100 | (1) | ||||||||||||
Griffon Corp., Series WI | USD | 5.75 | % | 03/01/28 | 384,000 | 407,328 | ||||||||||||
Specialty Building Products Holdings LLC / SBP Finance Corp. | USD | 6.38 | % | 09/30/26 | 382,000 | 397,375 | (1) | |||||||||||
Standard Industries, Inc. | USD | 3.38 | % | 01/15/31 | 373,000 | 374,865 | (1) | |||||||||||
Summit Materials LLC / Summit Materials Finance Corp. | USD | 5.25 | % | 01/15/29 | 310,000 | 322,788 | (1) | |||||||||||
TopBuild Corp. | USD | 5.63 | % | 05/01/26 | 358,000 | 371,201 | (1) | |||||||||||
US Concrete, Inc.: | ||||||||||||||||||
USD | 6.38 | % | 06/01/24 | 112,000 | 115,850 | |||||||||||||
USD | 5.13 | % | 03/01/29 | 352,000 | 362,842 | (1) | ||||||||||||
White Cap Buyer LLC | USD | 6.88 | % | 10/15/28 | 269,000 | 286,703 | (1) | |||||||||||
3,747,029 | ||||||||||||||||||
Chemicals - 2.86% | ||||||||||||||||||
Axalta Coating Systems LLC | USD | 3.38 | % | 02/15/29 | 487,000 | 492,150 | (1) | |||||||||||
CF Industries, Inc. | USD | 5.15 | % | 03/15/34 | 415,000 | 502,399 | ||||||||||||
Chemours Co. | USD | 7.00 | % | 05/15/25 | 482,000 | 499,352 | ||||||||||||
GCP Applied Technologies, Inc. | USD | 5.50 | % | 04/15/26 | 394,000 | 405,253 | (1) |
See Notes to Financial Statements. |
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 33 |
Stone Harbor High Yield Bond Fund | Statements of Investments |
November 30, 2020 (Unaudited) |
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
Chemicals (continued) | ||||||||||||||||||
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. | USD | 9.00 | % | 07/01/28 | 336,000 | $ | 374,220 | (1) | ||||||||||
2,273,374 | ||||||||||||||||||
Consumer Products - 0.45% | ||||||||||||||||||
Energizer Holdings, Inc. | USD | 4.38 | % | 03/31/29 | 350,000 | 357,682 | (1) | |||||||||||
Containers/Packaging - 1.40% | ||||||||||||||||||
Flex Acquisition Co., Inc. | USD | 6.88 | % | 01/15/25 | 409,000 | 420,117 | (1) | |||||||||||
Graham Packaging Co., Inc. | USD | 7.13 | % | 08/15/28 | 258,000 | 277,189 | (1) | |||||||||||
Intelligent Packaging, Ltd. Finco, Inc. / Intelligent Packaging Ltd Co.-Issuer LLC | USD | 6.00 | % | 09/15/28 | 385,000 | 409,967 | (1) | |||||||||||
1,107,273 | ||||||||||||||||||
Drillers/Services - 1.18% | ||||||||||||||||||
Archrock Partners LP / Archrock Partners Finance Corp. | USD | 6.25 | % | 04/01/28 | 373,000 | 385,525 | (1) | |||||||||||
ChampionX Corp. | USD | 6.38 | % | 05/01/26 | 335,000 | 335,858 | ||||||||||||
Transocean, Inc. | USD | 8.00 | % | 02/01/27 | 580,000 | 217,500 | (1) | |||||||||||
938,883 | ||||||||||||||||||
Electric - 2.31% | ||||||||||||||||||
Calpine Corp. | USD | 4.50 | % | 02/15/28 | 415,000 | 429,110 | (1) | |||||||||||
Covanta Holding Corp.: | ||||||||||||||||||
USD | 5.88 | % | 07/01/25 | 282,000 | 294,660 | |||||||||||||
USD | 5.00 | % | 09/01/30 | 386,000 | 411,573 | |||||||||||||
NRG Energy, Inc. | USD | 5.75 | % | 01/15/28 | 269,000 | 294,078 | ||||||||||||
Vistra Operations Co. LLC: | ||||||||||||||||||
USD | 5.63 | % | 02/15/27 | 145,000 | 153,375 | (1) | ||||||||||||
USD | 5.00 | % | 07/31/27 | 235,000 | 248,771 | (1) | ||||||||||||
1,831,567 | ||||||||||||||||||
Environmental Services - 0.88% | ||||||||||||||||||
GFL Environmental, Inc.: | ||||||||||||||||||
USD | 3.75 | % | 08/01/25 | 341,000 | 348,459 | (1) | ||||||||||||
USD | 5.13 | % | 12/15/26 | 57,000 | 60,212 | (1) | ||||||||||||
USD | 8.50 | % | 05/01/27 | 258,000 | 285,574 | (1) | ||||||||||||
694,245 | ||||||||||||||||||
Exploration & Production - 9.05% | ||||||||||||||||||
Alta Mesa Holdings LP / Alta Mesa Finance Services Corp. | USD | 7.88 | % | 12/15/24 | 400,000 | 40 | (2)(3) | |||||||||||
Antero Resources Corp. | USD | 5.00 | % | 03/01/25 | 442,000 | 352,219 | ||||||||||||
Cenovus Energy, Inc. | USD | 5.38 | % | 07/15/25 | 503,000 | 555,236 | ||||||||||||
CNX Resources Corp.: | ||||||||||||||||||
USD | 7.25 | % | 03/14/27 | 373,000 | 394,921 | (1) | ||||||||||||
USD | 6.00 | % | 01/15/29 | 42,000 | 42,525 | (1) | ||||||||||||
Hilcorp Energy I LP / Hilcorp Finance Co. | USD | 5.75 | % | 10/01/25 | 643,000 | 630,876 | (1) | |||||||||||
Leviathan Bond, Ltd.: | ||||||||||||||||||
USD | 6.13 | % | 06/30/25 | 160,000 | 173,000 | (1) | ||||||||||||
USD | 6.50 | % | 06/30/27 | 126,000 | 139,287 | (1) | ||||||||||||
USD | 6.75 | % | 06/30/30 | 176,000 | 193,600 | (1) | ||||||||||||
Murphy Oil Corp.: | ||||||||||||||||||
USD | 5.75 | % | 08/15/25 | 288,000 | 271,470 | |||||||||||||
USD | 5.88 | % | 12/01/27 | 293,000 | 265,622 |
See Notes to Financial Statements. |
34 | www.shiplp.com |
Stone Harbor High Yield Bond Fund | Statements of Investments |
November 30, 2020 (Unaudited) |
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
Exploration & Production (continued) | ||||||||||||||||||
Occidental Petroleum Corp.: | ||||||||||||||||||
USD | 5.55 | % | 03/15/26 | 222,000 | $ | 221,962 | ||||||||||||
USD | 8.88 | % | 07/15/30 | 1,241,000 | 1,403,106 | |||||||||||||
USD | 7.50 | % | 05/01/31 | 202,000 | 212,858 | |||||||||||||
USD | 7.88 | % | 09/15/31 | 167,000 | 179,372 | |||||||||||||
USD | 6.60 | % | 03/15/46 | 208,000 | 203,710 | |||||||||||||
Parsley Energy LLC / Parsley Finance Corp.: | ||||||||||||||||||
USD | 5.38 | % | 01/15/25 | 370,000 | 381,794 | (1) | ||||||||||||
USD | 4.13 | % | 02/15/28 | 164,000 | 172,507 | (1) | ||||||||||||
QEP Resources, Inc. | USD | 5.25 | % | 05/01/23 | 344,000 | 294,636 | ||||||||||||
SM Energy Co. | USD | 6.13 | % | 11/15/22 | 333,000 | 297,540 | ||||||||||||
WPX Energy, Inc.: | ||||||||||||||||||
USD | 5.75 | % | 06/01/26 | 85,000 | 89,696 | |||||||||||||
USD | 5.88 | % | 06/15/28 | 52,000 | 56,096 | |||||||||||||
USD | 4.50 | % | 01/15/30 | 627,000 | 650,513 | |||||||||||||
7,182,586 | ||||||||||||||||||
Financial Other - 1.23% | ||||||||||||||||||
OneMain Finance Corp. | USD | 7.13 | % | 03/15/26 | 845,000 | 973,732 | ||||||||||||
Food and Beverage - 4.30% | ||||||||||||||||||
Chobani LLC / Chobani Finance Corp., Inc.: | ||||||||||||||||||
USD | 7.50 | % | 04/15/25 | 373,000 | 390,947 | (1) | ||||||||||||
USD | 4.63 | % | 11/15/28 | 207,000 | 214,762 | (1) | ||||||||||||
JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc. | USD | 6.50 | % | 04/15/29 | 745,000 | 853,964 | (1) | |||||||||||
Kraft Heinz Foods Co. | USD | 3.75 | % | 04/01/30 | 467,000 | 502,514 | (1) | |||||||||||
Pilgrim's Pride Corp.: | ||||||||||||||||||
USD | 5.88 | % | 09/30/27 | 299,000 | 321,799 | (1) | ||||||||||||
USD | 5.75 | % | 03/15/25 | 214,000 | 220,088 | (1) | ||||||||||||
Post Holdings, Inc. | USD | 4.63 | % | 04/15/30 | 620,000 | 648,055 | (1) | |||||||||||
Primo Water Holdings, Inc. | USD | 5.50 | % | 04/01/25 | 250,000 | 258,750 | (1) | |||||||||||
3,410,879 | ||||||||||||||||||
Gaming - 4.47% | ||||||||||||||||||
Boyd Gaming Corp.: | ||||||||||||||||||
USD | 8.63 | % | 06/01/25 | 211,000 | 234,672 | (1) | ||||||||||||
USD | 6.00 | % | 08/15/26 | 150,000 | 156,563 | |||||||||||||
Churchill Downs, Inc. | USD | 5.50 | % | 04/01/27 | 475,000 | 501,037 | (1) | |||||||||||
International Game Technology PLC: | ||||||||||||||||||
USD | 6.25 | % | 01/15/27 | 596,000 | 664,316 | (1) | ||||||||||||
USD | 5.25 | % | 01/15/29 | 70,000 | 74,164 | (1) | ||||||||||||
Jacobs Entertainment, Inc. | USD | 7.88 | % | 02/01/24 | 223,000 | 227,158 | (1) | |||||||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co.-Issuer, Inc. | USD | 5.75 | % | 02/01/27 | 391,000 | 436,413 | ||||||||||||
Scientific Games International, Inc.: | ||||||||||||||||||
USD | 8.25 | % | 03/15/26 | 154,000 | 165,443 | (1) | ||||||||||||
USD | 7.25 | % | 11/15/29 | 452,000 | 480,532 | (1) | ||||||||||||
Station Casinos LLC | USD | 5.00 | % | 10/01/25 | 260,000 | 262,437 | (1) | |||||||||||
VICI Properties LP / VICI Note Co., Inc. | USD | 4.13 | % | 08/15/30 | 332,000 | 342,641 | (1) | |||||||||||
3,545,376 |
See Notes to Financial Statements. |
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 35 |
Stone Harbor High Yield Bond Fund | Statements of Investments |
November 30, 2020 (Unaudited) |
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
Gas Pipelines - 6.38% | ||||||||||||||||||
Antero Midstream Partners LP / Antero Midstream Finance Corp.: | ||||||||||||||||||
USD | 5.38 | % | 09/15/24 | 249,000 | $ | 235,524 | ||||||||||||
USD | 5.75 | % | 03/01/27 | 465,000 | 424,603 | (1) | ||||||||||||
USD | 5.75 | % | 01/15/28 | 253,000 | 228,307 | (1) | ||||||||||||
DCP Midstream Operating LP | USD | 5.13 | % | 05/15/29 | 493,000 | 523,103 | ||||||||||||
EQM Midstream Partners LP | USD | 6.50 | % | 07/01/27 | 568,000 | 627,024 | (1) | |||||||||||
Genesis Energy LP / Genesis Energy Finance Corp.: | ||||||||||||||||||
USD | 6.00 | % | 05/15/23 | 310,000 | 301,653 | |||||||||||||
USD | 7.75 | % | 02/01/28 | 545,000 | 501,912 | |||||||||||||
Holly Energy Partners LP / Holly Energy Finance Corp. | USD | 5.00 | % | 02/01/28 | 478,000 | 471,535 | (1) | |||||||||||
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | ||||||||||||||||||
USD | 7.50 | % | 10/01/25 | 53,000 | 54,689 | (1) | ||||||||||||
USD | 6.00 | % | 03/01/27 | 597,000 | 590,284 | (1) | ||||||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | USD | 6.50 | % | 07/15/27 | 1,016,000 | 1,102,360 | ||||||||||||
5,060,994 | ||||||||||||||||||
Healthcare - 6.54% | ||||||||||||||||||
Bausch Health Cos., Inc.: | ||||||||||||||||||
USD | 6.13 | % | 04/15/25 | 670,000 | 690,026 | (1) | ||||||||||||
USD | 7.00 | % | 01/15/28 | 623,000 | 671,943 | (1) | ||||||||||||
USD | 5.25 | % | 02/15/31 | 230,000 | 232,712 | (1) | ||||||||||||
Centene Corp.: | ||||||||||||||||||
USD | 4.25 | % | 12/15/27 | 278,000 | 296,537 | |||||||||||||
USD | 3.38 | % | 02/15/30 | 316,000 | 331,700 | |||||||||||||
Encompass Health Corp. | USD | 4.50 | % | 02/01/28 | 401,000 | 420,300 | ||||||||||||
HCA, Inc.: | ||||||||||||||||||
USD | 5.38 | % | 09/01/26 | 236,000 | 268,597 | |||||||||||||
USD | �� | 5.63 | % | 09/01/28 | 320,000 | 375,800 | ||||||||||||
USD | 3.50 | % | 09/01/30 | 221,000 | 228,854 | |||||||||||||
IQVIA, Inc. | USD | 5.00 | % | 05/15/27 | 333,000 | 351,137 | (1) | |||||||||||
Legacy LifePoint Health LLC | USD | 4.38 | % | 02/15/27 | 365,000 | 367,737 | (1) | |||||||||||
Lifepoint Health, Inc. | USD | 5.38 | % | 01/15/29 | 322,000 | 322,000 | (1) | |||||||||||
Tenet Healthcare Corp. | USD | 4.63 | % | 07/15/24 | 623,000 | 634,526 | ||||||||||||
5,191,869 | ||||||||||||||||||
Home Builders - 1.85% | ||||||||||||||||||
KB Home | USD | 4.80 | % | 11/15/29 | 200,000 | 220,375 | ||||||||||||
Mattamy Group Corp. | USD | 4.63 | % | 03/01/30 | 416,000 | 439,308 | (1) | |||||||||||
TRI Pointe Group, Inc. | USD | 5.70 | % | 06/15/28 | 393,000 | 447,631 | ||||||||||||
Weekley Homes LLC / Weekley Finance Corp. | USD | 4.88 | % | 09/15/28 | 344,000 | 360,448 | (1) | |||||||||||
1,467,762 | ||||||||||||||||||
Industrial Other - 1.48% | ||||||||||||||||||
Hillenbrand, Inc. | USD | 5.75 | % | 06/15/25 | 238,000 | 255,106 | ||||||||||||
Mueller Water Products, Inc. | USD | 5.50 | % | 06/15/26 | 180,000 | 187,391 | (1) | |||||||||||
Park-Ohio Industries, Inc. | USD | 6.63 | % | 04/15/27 | 304,000 | 309,211 | ||||||||||||
WESCO Distribution, Inc. | USD | 7.25 | % | 06/15/28 | 374,000 | 420,692 | (1) | |||||||||||
1,172,400 | ||||||||||||||||||
Leisure - 1.07% | ||||||||||||||||||
NCL Corp., Ltd. | USD | 3.63 | % | 12/15/24 | 401,000 | 358,945 | (1) |
See Notes to Financial Statements. |
36 | www.shiplp.com |
Stone Harbor High Yield Bond Fund | Statements of Investments |
November 30, 2020 (Unaudited) |
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
Leisure (continued) | ||||||||||||||||||
Royal Caribbean Cruises, Ltd.: | ||||||||||||||||||
USD | 5.25 | % | 11/15/22 | 192,000 | $ | 189,450 | ||||||||||||
USD | 9.13 | % | 06/15/23 | 274,000 | 296,948 | (1) | ||||||||||||
845,343 | ||||||||||||||||||
Life - 0.86% | ||||||||||||||||||
Acrisure LLC / Acrisure Finance, Inc.: | ||||||||||||||||||
USD | 8.13 | % | 02/15/24 | 288,000 | 303,046 | (1) | ||||||||||||
USD | 7.00 | % | 11/15/25 | 371,000 | 380,971 | (1) | ||||||||||||
684,017 | ||||||||||||||||||
Lodging - 1.00% | ||||||||||||||||||
Hilton Domestic Operating Co., Inc. | USD | 4.88 | % | 01/15/30 | 684,000 | 738,717 | ||||||||||||
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp. | USD | 4.88 | % | 04/01/27 | 51,000 | 53,257 | ||||||||||||
791,974 | ||||||||||||||||||
Media Cable - 7.89% | ||||||||||||||||||
Altice France Holding SA | USD | 6.00 | % | 02/15/28 | 389,000 | 395,537 | (1) | |||||||||||
Altice France SA/France | USD | 7.38 | % | 05/01/26 | 1,192,000 | 1,252,851 | (1) | |||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp.: | ||||||||||||||||||
USD | 5.38 | % | 06/01/29 | 546,000 | 597,127 | (1) | ||||||||||||
USD | 4.50 | % | 08/15/30 | 642,000 | 677,715 | (1) | ||||||||||||
CSC Holdings LLC | USD | 7.50 | % | 04/01/28 | 1,264,000 | 1,410,940 | (1) | |||||||||||
DISH DBS Corp.: | ||||||||||||||||||
USD | 7.75 | % | 07/01/26 | 569,000 | 648,083 | |||||||||||||
USD | 7.38 | % | 07/01/28 | 373,000 | 405,171 | |||||||||||||
Midcontinent Communications / Midcontinent Finance Corp. | USD | 5.38 | % | 08/15/27 | 210,000 | 220,460 | (1) | |||||||||||
Radiate Holdco LLC / Radiate Finance, Inc.: | ||||||||||||||||||
USD | 4.50 | % | 09/15/26 | 245,000 | 255,412 | (1) | ||||||||||||
USD | 6.50 | % | 09/15/28 | 175,000 | 186,358 | (1) | ||||||||||||
Telenet Finance Luxembourg Notes Sarl | USD | 5.50 | % | 03/01/28 | 200,000 | 214,700 | (1) | |||||||||||
6,264,354 | ||||||||||||||||||
Media Other - 5.94% | ||||||||||||||||||
Diamond Sports Group LLC / Diamond Sports Finance Co. | USD | 5.38 | % | 08/15/26 | 731,000 | 567,896 | (1) | |||||||||||
Netflix, Inc.: | ||||||||||||||||||
USD | 4.88 | % | 04/15/28 | 630,000 | 722,377 | |||||||||||||
USD | 4.88 | % | 06/15/30 | 281,000 | 325,433 | (1) | ||||||||||||
Nexstar Broadcasting, Inc. | USD | 4.75 | % | 11/01/28 | 150,000 | 154,639 | (1) | |||||||||||
Sinclair Television Group, Inc. | USD | 4.13 | % | 12/01/30 | 380,000 | 381,425 | (1) | |||||||||||
Sirius XM Radio, Inc.: | ||||||||||||||||||
USD | 5.00 | % | 08/01/27 | 360,000 | 379,326 | (1) | ||||||||||||
USD | 4.13 | % | 07/01/30 | 573,000 | 601,077 | (1) | ||||||||||||
TEGNA, Inc. | USD | 4.63 | % | 03/15/28 | 579,000 | 590,725 | (1) | |||||||||||
Terrier Media Buyer, Inc. | USD | 8.88 | % | 12/15/27 | 389,000 | 420,849 | (1) | |||||||||||
Univision Communications, Inc. | USD | 6.63 | % | 06/01/27 | 535,000 | 572,116 | (1) | |||||||||||
4,715,863 | ||||||||||||||||||
Metals/Mining/Steel - 1.24% | ||||||||||||||||||
Freeport-McMoRan, Inc.: | ||||||||||||||||||
USD | 5.00 | % | 09/01/27 | 439,000 | 466,885 |
See Notes to Financial Statements. |
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 37 |
Stone Harbor High Yield Bond Fund | Statements of Investments |
November 30, 2020 (Unaudited) |
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
Metals/Mining/Steel (continued) | ||||||||||||||||||
Freeport-McMoRan, Inc. (continued) | ||||||||||||||||||
USD | 5.40 | % | 11/14/34 | 32,000 | $ | 39,700 | ||||||||||||
Kaiser Aluminum Corp. | USD | 4.63 | % | 03/01/28 | 462,000 | 477,228 | (1) | |||||||||||
983,813 | ||||||||||||||||||
Non Captive Finance - 1.03% | ||||||||||||||||||
Ally Financial, Inc. | USD | 8.00 | % | 11/01/31 | 396,000 | 568,384 | ||||||||||||
CIT Group, Inc. | USD | 6.13 | % | 03/09/28 | 200,000 | 246,212 | ||||||||||||
814,596 | ||||||||||||||||||
Pharmaceuticals - 2.67% | ||||||||||||||||||
Catalent Pharma Solutions, Inc. | USD | 5.00 | % | 07/15/27 | 334,000 | 352,099 | (1) | |||||||||||
Charles River Laboratories International, Inc. | USD | 5.50 | % | 04/01/26 | 380,000 | 399,713 | (1) | |||||||||||
Endo Dac / Endo Finance LLC / Endo Finco, Inc.: | ||||||||||||||||||
USD | 9.50 | % | 07/31/27 | 373,000 | 411,150 | (1) | ||||||||||||
USD | 6.00 | % | 06/30/28 | 222,000 | 175,602 | (1) | ||||||||||||
Jaguar Holding Co. II / PPD Development LP | USD | 5.00 | % | 06/15/28 | 373,000 | 398,890 | (1) | |||||||||||
Syneos Health, Inc. | USD | 3.63 | % | 01/15/29 | 380,000 | 383,563 | (1) | |||||||||||
2,121,017 | ||||||||||||||||||
Property & Casualty Insurance - 1.41% | ||||||||||||||||||
Alliant Holdings Intermediate LLC / Alliant Holdings Co.-Issuer: | ||||||||||||||||||
USD | 4.25 | % | 10/15/27 | 221,000 | 224,729 | (1) | ||||||||||||
USD | 6.75 | % | 10/15/27 | 532,000 | 571,469 | (1) | ||||||||||||
HUB International, Ltd. | USD | 7.00 | % | 05/01/26 | 307,000 | 320,740 | (1) | |||||||||||
1,116,938 | ||||||||||||||||||
Restaurants - 0.52% | ||||||||||||||||||
1011778 BC ULC / New Red Finance, Inc.: | ||||||||||||||||||
USD | 4.38 | % | 01/15/28 | 51,000 | 52,744 | (1) | ||||||||||||
USD | 4.00 | % | 10/15/30 | 360,000 | 359,550 | (1) | ||||||||||||
412,294 | ||||||||||||||||||
Retail Food/Drug - 0.94% | ||||||||||||||||||
Albertsons Cos. Inc / Safeway, Inc. / New Albertsons LP / Albertsons LLC: | ||||||||||||||||||
USD | 4.63 | % | 01/15/27 | 123,000 | 129,789 | (1) | ||||||||||||
USD | 5.88 | % | 02/15/28 | 65,000 | 70,310 | (1) | ||||||||||||
USD | 3.50 | % | 03/15/29 | 113,000 | 112,887 | (1) | ||||||||||||
USD | 4.88 | % | 02/15/30 | 398,000 | 435,690 | (1) | ||||||||||||
748,676 | ||||||||||||||||||
Satellite - 1.73% | ||||||||||||||||||
Hughes Satellite Systems Corp. | USD | 6.63 | % | 08/01/26 | 528,000 | 589,280 | ||||||||||||
Intelsat Jackson Holdings SA | USD | 5.50 | % | 08/01/23 | 464,000 | 313,200 | (3) | |||||||||||
ViaSat, Inc. | USD | 5.63 | % | 04/15/27 | 446,000 | 469,136 | (1) | |||||||||||
1,371,616 | ||||||||||||||||||
Services Other - 2.52% | ||||||||||||||||||
Expedia Group, Inc. | USD | 6.25 | % | 05/01/25 | 719,000 | 822,221 | (1) | |||||||||||
Prime Security Services Borrower LLC / Prime Finance, Inc.: | ||||||||||||||||||
USD | 5.75 | % | 04/15/26 | 533,000 | 578,971 | (1) |
See Notes to Financial Statements. |
38 | www.shiplp.com |
Stone Harbor High Yield Bond Fund | Statements of Investments |
November 30, 2020 (Unaudited) |
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
Services Other (continued) | ||||||||||||||||||
Prime Security Services Borrower LLC / Prime Finance, Inc. (continued) | ||||||||||||||||||
USD | 6.25 | % | 01/15/28 | 256,000 | $ | 269,463 | (1) | |||||||||||
WW International, Inc. | USD | 8.63 | % | 12/01/25 | 317,000 | 331,415 | (1) | |||||||||||
2,002,070 | ||||||||||||||||||
Technology - 1.59% | ||||||||||||||||||
Avaya, Inc. | USD | 6.13 | % | 09/15/28 | 246,000 | 260,145 | (1) | |||||||||||
Fair Isaac Corp. | USD | 4.00 | % | 06/15/28 | 221,000 | 231,293 | (1) | |||||||||||
ON Semiconductor Corp. | USD | 3.88 | % | 09/01/28 | 750,000 | 773,438 | (1) | |||||||||||
1,264,876 | ||||||||||||||||||
Textile/Apparel - 0.66% | ||||||||||||||||||
Levi Strauss & Co. | USD | 5.00 | % | 05/01/25 | 288,000 | 296,280 | ||||||||||||
William Carter Co. | USD | 5.63 | % | 03/15/27 | 219,000 | 231,182 | (1) | |||||||||||
527,462 | ||||||||||||||||||
Wireless - 2.39% | ||||||||||||||||||
Sprint Corp.: | ||||||||||||||||||
USD | 7.63 | % | 02/15/25 | 904,000 | 1,084,235 | |||||||||||||
USD | 8.75 | % | 03/15/32 | 530,000 | 813,219 | |||||||||||||
1,897,454 | ||||||||||||||||||
Wirelines - 2.01% | ||||||||||||||||||
CenturyLink, Inc. | USD | 4.00 | % | 02/15/27 | 176,000 | 182,181 | (1) | |||||||||||
Consolidated Communications, Inc. | USD | 6.50 | % | 10/01/28 | 569,000 | 617,610 | (1) | |||||||||||
Telecom Italia Capital SA | USD | 6.00 | % | 09/30/34 | 673,000 | 797,821 | ||||||||||||
1,597,612 | ||||||||||||||||||
TOTAL CORPORATE BONDS | 74,851,995 | |||||||||||||||||
(Cost $72,250,649) | ||||||||||||||||||
BANK LOANS - 2.45%(4) | ||||||||||||||||||
Automotive - 0.45% | ||||||||||||||||||
Navistar, Inc. - Tranche B Term Loan | USD | 1M US L + 3.50 | % | 11/06/24 | 352,310 | 351,429 | ||||||||||||
Consumer Products - 0.22% | ||||||||||||||||||
Revlon Consumer Products Corporation - Initial B Term Loan | USD | 3M US L + 3.50 | % | 09/07/23 | 571,811 | 176,546 | ||||||||||||
Containers/Packaging - 0.17% | ||||||||||||||||||
Flex Acquisition Company, Inc. (aka Novolex) - Initial Term Loan | USD | 3M US L + 3.00 | % | 12/29/23 | 136,484 | 134,924 | ||||||||||||
Diversified Manufacturing - 0.14% | ||||||||||||||||||
Blount International, Inc. - New Refinancing Term Loan | USD | 1M US L + 3.75 | % | 04/12/23 | 112,162 | 112,408 | ||||||||||||
Healthcare - 0.76% | ||||||||||||||||||
Envision Healthcare Corporation - Initial Term Loan | USD | 1M US L + 3.75 | % | 10/10/25 | 286,498 | 235,734 | ||||||||||||
LifePoint Health, Inc. - Term B Loan | USD | 1M US L + 3.75 | % | 11/16/25 | 366,441 | 362,433 | ||||||||||||
598,167 |
See Notes to Financial Statements. |
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 39 |
Stone Harbor High Yield Bond Fund | Statements of Investments |
November 30, 2020 (Unaudited) |
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
Wirelines (continued) | ||||||||||||||||||
Industrial Other - 0.71% | ||||||||||||||||||
Filtration Group Corporation - Initial Dollar Term Loan | USD | 1M US L + 3.00 | % | 03/29/25 | 256,929 | $ | 252,192 | |||||||||||
Gates Global LLC - Initial B-2 Dollar Term Loan | USD | 1M US L + 2.75 | % | 03/31/24 | 315,685 | 313,383 | ||||||||||||
565,575 | ||||||||||||||||||
TOTAL BANK LOANS | 1,939,049 | |||||||||||||||||
(Cost $2,298,307) | ||||||||||||||||||
COMMON/PREFERRED STOCKS - 0.28% | ||||||||||||||||||
Transportation Non Air/Rail - 0.00%(5) | ||||||||||||||||||
Euronav NV | USD | 31 | 245 | |||||||||||||||
Exploration & Production - 0.28% | ||||||||||||||||||
Oasis Petroleum, Inc. | USD | 6,442 | 220,316 | (6) | ||||||||||||||
TOTAL COMMON/PREFERRED STOCKS | 220,561 | |||||||||||||||||
(Cost $188,449) | ||||||||||||||||||
SHORT TERM INVESTMENTS - 2.94% | ||||||||||||||||||
Money Market Fund - 2.94% | ||||||||||||||||||
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield) | USD | 0.07 | % | N/A | 2,333,820 | 2,334,287 | ||||||||||||
TOTAL SHORT TERM INVESTMENTS | 2,334,287 | |||||||||||||||||
(Cost $2,333,842) | ||||||||||||||||||
Total Investments - 99.99% | 79,345,892 | |||||||||||||||||
(Cost $77,071,247) | ||||||||||||||||||
Other Assets in Excess of Liabilities - 0.01% | �� | 11,479 | ||||||||||||||||
Net Assets - 100.00% | $ | 79,357,371 |
* | 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 November 30, 2020 was 0.15%
3M US L - 3 Month LIBOR as of November 30, 2020 was 0.23%
(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 $46,577,865, which represents approximately 58.69% of net assets as of November 30, 2020. |
(2) | The level 3 assets were valued using significant unobservable inputs as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs. |
(3) | Security is in default and therefore is non-income producing. |
See Notes to Financial Statements. |
40 | www.shiplp.com |
Stone Harbor High Yield Bond Fund | Statements of Investments |
November 30, 2020 (Unaudited) |
(4) | Bank loans generally pay interest at rates which are periodically determined by reference to a base lending rate plus a premium. All loans carry a variable rate of interest. These base lending rates are generally (i) the Prime Rate offered by one or more major United States banks, (ii) the lending rate offered by one or more European banks such as the London Interbank Offered Rate ("LIBOR") or (iii) the Certificate of Deposit rate. Bank Loans, while exempt from registration, under the Securities Act of 1933, contain certain restrictions on resale and cannot be sold publicly. Floating rate bank loans often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. |
(5) | Amount represents less than 0.005% of net assets. |
(6) | Non-income producing security. |
See Notes to Financial Statements. |
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 41 |
Stone Harbor Local Markets Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
SOVEREIGN DEBT OBLIGATIONS - 83.67% | ||||||||||||||||||
Brazil - 4.75% | ||||||||||||||||||
Brazil Letras do Tesouro Nacional: | ||||||||||||||||||
BRL | 0.00 | % | 01/01/22 | 8,800,000 | $ | 1,584,987 | (1) | |||||||||||
BRL | 0.00 | % | 01/01/24 | 4,670,000 | 720,643 | (1) | ||||||||||||
BRL | 10.00 | % | 01/01/31 | 6,800,000 | 1,444,234 | |||||||||||||
Nota Do Tesouro Nacional: | ||||||||||||||||||
BRL | 0.00 | % | 07/01/21 | 940,000 | 173,007 | (1) | ||||||||||||
BRL | 10.00 | % | 01/01/23 | 15,625,000 | 3,184,060 | |||||||||||||
BRL | 10.00 | % | 01/01/25 | 2,800,000 | 583,802 | |||||||||||||
BRL | 10.00 | % | 01/01/29 | 2,880,000 | 612,965 | |||||||||||||
8,303,698 | ||||||||||||||||||
Chile - 1.84% | ||||||||||||||||||
Republic of Chile: | ||||||||||||||||||
CLP | 4.50 | % | 03/01/26 | 1,355,000,000 | 2,035,923 | |||||||||||||
CLP | 4.70 | % | 09/01/30 | 770,000,000 | 1,176,996 | (2) | ||||||||||||
3,212,919 | ||||||||||||||||||
China - 10.42% | ||||||||||||||||||
China Government Bond: | ||||||||||||||||||
CNY | 3.19 | % | 04/11/24 | 22,580,000 | 3,451,464 | |||||||||||||
CNY | 1.99 | % | 04/09/25 | 35,330,000 | 5,124,809 | |||||||||||||
CNY | 3.13 | % | 11/21/29 | 64,070,000 | 9,628,074 | |||||||||||||
18,204,347 | ||||||||||||||||||
Colombia - 6.80% | ||||||||||||||||||
Bogota Distrio Capital | COP | 9.75 | % | 07/26/28 | 11,110,000,000 | 3,559,371 | (3) | |||||||||||
Republic of Colombia: | ||||||||||||||||||
COP | 4.38 | % | 03/21/23 | 2,310,000,000 | 655,806 | |||||||||||||
COP | 9.85 | % | 06/28/27 | 1,610,000,000 | 579,634 | |||||||||||||
Titulos De Tesoreria: | ||||||||||||||||||
COP | 10.00 | % | 07/24/24 | 5,817,000,000 | 1,967,282 | |||||||||||||
COP | 7.50 | % | 08/26/26 | 687,900,000 | 221,243 | |||||||||||||
COP | 6.00 | % | 04/28/28 | 2,302,000,000 | 681,146 | |||||||||||||
COP | 7.75 | % | 09/18/30 | 9,880,000,000 | 3,202,988 | |||||||||||||
COP | 7.00 | % | 06/30/32 | 3,309,000,000 | 1,002,895 | |||||||||||||
11,870,365 | ||||||||||||||||||
Czech Republic - 2.29% | ||||||||||||||||||
Czech Republic Government: | ||||||||||||||||||
CZK | 1.00 | % | 06/26/26 | 5,430,000 | 248,800 | |||||||||||||
CZK | 0.25 | % | 02/10/27 | 46,380,000 | 2,018,693 | |||||||||||||
CZK | 4.20 | % | 12/04/36 | 27,200,000 | 1,740,640 | |||||||||||||
4,008,133 | ||||||||||||||||||
Egypt - 0.97% | ||||||||||||||||||
Egypt Treasury Bill: | ||||||||||||||||||
EGP | 0.00 | % | 06/15/21 | 13,250,000 | 788,590 | (1) |
See Notes to Financial Statements.
42 | www.shiplp.com |
Stone Harbor Local Markets Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
Egypt (continued) | ||||||||||||||||||
Egypt Treasury Bill: (continued) | ||||||||||||||||||
EGP | 0.00 | % | 09/28/21 | 15,675,000 | $ | 900,968 | (1) | |||||||||||
1,689,558 | ||||||||||||||||||
Indonesia - 11.19% | ||||||||||||||||||
Republic of Indonesia: | ||||||||||||||||||
IDR | 7.00 | % | 05/15/22 | 7,880,000,000 | 583,466 | |||||||||||||
IDR | 11.00 | % | 09/15/25 | 63,500,000,000 | 5,542,759 | |||||||||||||
IDR | 8.38 | % | 09/15/26 | 41,933,000,000 | 3,376,616 | |||||||||||||
IDR | 7.00 | % | 09/15/30 | 3,200,000,000 | 240,227 | |||||||||||||
IDR | 8.25 | % | 06/15/32 | 14,010,000,000 | 1,113,755 | |||||||||||||
IDR | 6.63 | % | 05/15/33 | 68,500,000,000 | 4,843,998 | |||||||||||||
IDR | 8.38 | % | 03/15/34 | 32,622,000,000 | 2,624,546 | |||||||||||||
IDR | 7.50 | % | 05/15/38 | 16,480,000,000 | 1,222,578 | |||||||||||||
19,547,945 | ||||||||||||||||||
Malaysia - 3.67% | ||||||||||||||||||
Malaysia Government: | ||||||||||||||||||
MYR | 3.91 | % | 07/15/26 | 7,030,000 | 1,852,838 | |||||||||||||
MYR | 3.50 | % | 05/31/27 | 3,800,000 | 983,113 | |||||||||||||
MYR | 3.89 | % | 08/15/29 | 10,850,000 | 2,872,693 | |||||||||||||
MYR | 4.50 | % | 04/15/30 | 2,530,000 | 703,823 | |||||||||||||
6,412,467 | ||||||||||||||||||
Mexico - 7.52% | ||||||||||||||||||
Mexican Bonos: | ||||||||||||||||||
MXN | 6.75 | % | 03/09/23 | 26,527,000 | 1,377,154 | |||||||||||||
MXN | 8.00 | % | 12/07/23 | 17,640,000 | 956,040 | |||||||||||||
MXN | 5.75 | % | 03/05/26 | 30,690,000 | 1,568,363 | |||||||||||||
MXN | 7.50 | % | 06/03/27 | 24,779,000 | 1,376,445 | |||||||||||||
MXN | 7.75 | % | 11/23/34 | 16,886,000 | 963,716 | |||||||||||||
MXN | 10.00 | % | 11/20/36 | 34,486,000 | 2,331,584 | |||||||||||||
MXN | 8.50 | % | 11/18/38 | 49,730,000 | 2,951,221 | |||||||||||||
MXN | 7.75 | % | 11/13/42 | 29,280,000 | 1,607,003 | |||||||||||||
13,131,526 | ||||||||||||||||||
Peru - 2.36% | ||||||||||||||||||
Republic of Peru: | ||||||||||||||||||
PEN | 6.15 | % | 08/12/32 | 6,360,000 | 2,083,118 | |||||||||||||
PEN | 5.40 | % | 08/12/34 | 6,810,000 | 2,042,125 | |||||||||||||
4,125,243 | ||||||||||||||||||
Poland - 4.77% | ||||||||||||||||||
Republic of Poland: | ||||||||||||||||||
PLN | 2.50 | % | 01/25/23 | 6,730,000 | 1,887,023 | |||||||||||||
PLN | 2.50 | % | 04/25/24 | 2,700,000 | 777,320 | |||||||||||||
PLN | 3.25 | % | 07/25/25 | 1,310,000 | 394,145 | |||||||||||||
PLN | 2.75 | % | 04/25/28 | 17,520,000 | 5,273,924 | |||||||||||||
8,332,412 |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 43 |
Stone Harbor Local Markets Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
Romania - 2.94% | ||||||||||||||||||
Romania Government Bond: | ||||||||||||||||||
RON | 5.00 | % | 02/12/29 | 13,535,000 | $ | 3,760,745 | ||||||||||||
RON | 3.65 | % | 09/24/31 | 5,545,000 | 1,374,728 | |||||||||||||
5,135,473 | ||||||||||||||||||
Russia - 8.94% | ||||||||||||||||||
Russian Federation: | ||||||||||||||||||
RUB | 7.60 | % | 04/14/21 | 241,300,000 | 3,200,684 | |||||||||||||
RUB | 7.40 | % | 12/07/22 | 170,930,000 | 2,368,041 | |||||||||||||
RUB | 7.00 | % | 08/16/23 | 17,940,000 | 248,683 | |||||||||||||
RUB | 8.50 | % | 09/17/31 | 327,330,000 | 5,158,891 | |||||||||||||
RUB | 7.70 | % | 03/23/33 | 254,200,000 | 3,793,061 | |||||||||||||
RUB | 7.70 | % | 03/16/39 | 56,000,000 | 850,126 | |||||||||||||
15,619,486 | ||||||||||||||||||
South Africa - 9.92% | ||||||||||||||||||
Republic of South Africa: | ||||||||||||||||||
ZAR | 10.50 | % | 12/21/26 | 81,440,000 | 6,130,414 | |||||||||||||
ZAR | 6.25 | % | 03/31/36 | 253,370,000 | 11,191,584 | |||||||||||||
17,321,998 | ||||||||||||||||||
Thailand - 2.70% | ||||||||||||||||||
Thailand Government: | ||||||||||||||||||
THB | 2.88 | % | 12/17/28 | 53,820,000 | 2,002,524 | |||||||||||||
THB | 3.78 | % | 06/25/32 | 35,300,000 | 1,446,342 | |||||||||||||
THB | 4.68 | % | 06/29/44 | 25,470,000 | 1,259,594 | |||||||||||||
4,708,460 | ||||||||||||||||||
Turkey - 2.02% | ||||||||||||||||||
Republic of Turkey: | ||||||||||||||||||
TRY | 11.00 | % | 03/02/22 | 6,180,000 | 762,226 | |||||||||||||
TRY | 12.20 | % | 01/18/23 | 250,000 | 31,474 | |||||||||||||
TRY | 7.10 | % | 03/08/23 | 7,430,000 | 840,863 | |||||||||||||
TRY | 9.00 | % | 07/24/24 | 5,540,000 | 642,909 | |||||||||||||
TRY | 10.60 | % | 02/11/26 | 2,890,000 | 353,304 | |||||||||||||
TRY | 11.00 | % | 02/24/27 | 7,310,000 | 896,457 | |||||||||||||
3,527,233 | ||||||||||||||||||
Uruguay - 0.57% | ||||||||||||||||||
Republic of Uruguay: | ||||||||||||||||||
UYU | 9.88 | % | 06/20/22 | 28,360,000 | 689,708 | (3) | ||||||||||||
UYU | 8.50 | % | 03/15/28 | 12,100,000 | 298,739 | (2) | ||||||||||||
988,447 | ||||||||||||||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS | 146,139,710 | |||||||||||||||||
(Cost $145,215,708) |
See Notes to Financial Statements.
44 | www.shiplp.com |
Stone Harbor Local Markets Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||||
CORPORATE BONDS - 6.61% | ||||||||||||||||||
Brazil - 1.92% | ||||||||||||||||||
Swiss Insured Brazil Power Finance Sarl | BRL | 9.85 | % | 07/16/32 | 15,845,741 | $ | 3,356,099 | (2) | ||||||||||
Kazakhstan - 0.15% | ||||||||||||||||||
Development Bank of Kazakhstan JSC | KZT | 8.95 | % | 05/04/23 | 116,250,000 | 266,347 | (2) | |||||||||||
Mexico - 4.54% | ||||||||||||||||||
America Movil SAB de CV | MXN | 6.45 | % | 12/05/22 | 98,530,000 | 4,971,992 | ||||||||||||
Petroleos Mexicanos: | ||||||||||||||||||
MXN | 7.47 | % | 11/12/26 | 50,290,000 | 2,001,560 | |||||||||||||
USD | 7.69 | % | 01/23/50 | 1,036,000 | 957,264 | |||||||||||||
7,930,816 | ||||||||||||||||||
TOTAL CORPORATE BONDS | 11,553,262 | |||||||||||||||||
(Cost $13,240,622) | ||||||||||||||||||
SHORT TERM INVESTMENTS - 1.78% | ||||||||||||||||||
Money Market Fund - 1.78% | ||||||||||||||||||
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield) | USD | 0.07 | % | N/A | 3,111,185 | 3,111,807 | ||||||||||||
TOTAL SHORT TERM INVESTMENTS | 3,111,807 | |||||||||||||||||
(Cost $3,111,807) | ||||||||||||||||||
Total Investments - 92.06% | 160,804,779 | |||||||||||||||||
(Cost $161,568,137) | ||||||||||||||||||
Other Assets In Excess of Liabilities - 7.94% | 13,868,242 | |||||||||||||||||
Net Assets - 100.00% | $ | 174,673,021 |
* | The principal amount/shares of each security is stated in the currency in which the security is denominated. |
Currency Abbreviations: | ||
BRL | - | Brazilian Real |
CLP | - | Chilean Peso |
CNH | - | Chinese Yuan Offshore |
CNY | - | Chinese Yuan |
COP | - | Columbian Peso |
CZK | - | Czech Republic Koruna |
EGP | - | Egyptian Pound |
HUF | - | Hungarian Forint |
IDR | - | Indonesian Rupiah |
KZT | - | Kazakhstan Tenge |
MXN | - | Mexican Peso |
MYR | - | Malaysian Ringgit |
PEN | - | Peruvian Nuevo Sol |
PLN | - | Polish Zloty |
RON | - | Romanian Leu |
RUB | - | Russian Ruble |
THB | - | Thai Baht |
TRY | - | Turkish Lira |
USD | - | United States Dollar |
UYU | - | Uruguayan Peso |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 45 |
Stone Harbor Local Markets Fund | Statements of Investments |
November 30, 2020 (Unaudited)
(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 $5,098,181, which represents approximately 2.92% of net assets as of November 30, 2020. |
(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 November 30, 2020, the aggregate fair value of those securities was $4,249,079, which represents approximately 2.43% of net assets. |
OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS | ||||||||||||||||||
Counterparty | Settlement Date | Fund Receiving | U.S. $ Value at November 30, 2020 | Fund Delivering | U.S. $ Value at November 30, 2020 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Citigroup Global Markets | 02/02/21 | BRL | 851,281 | USD | 848,084 | 3,197 | ||||||||||||
Citigroup Global Markets | 01/29/21 | CLP | 1,238,815 | USD | 1,238,596 | 219 | ||||||||||||
Citigroup Global Markets | 12/30/20 | USD | 663,615 | CNH | 661,806 | 1,809 | ||||||||||||
Citigroup Global Markets | 12/07/20 | CZK | 2,646,825 | USD | 2,545,150 | 101,675 | ||||||||||||
Citigroup Global Markets | 12/18/20 | HUF | 125,031 | USD | 123,164 | 1,867 | ||||||||||||
Citigroup Global Markets | 01/29/21 | USD | 945,812 | MXN | 939,647 | 6,165 | ||||||||||||
Citigroup Global Markets | 12/07/20 | PLN | 1,043,084 | USD | 1,025,563 | 17,521 | ||||||||||||
Citigroup Global Markets | 12/10/20 | USD | 31,518 | TRY | 31,077 | 441 | ||||||||||||
Citigroup Global Markets | 12/10/20 | TRY | 31,077 | USD | 30,000 | 1,077 | ||||||||||||
Goldman Sachs & Co. | 12/07/20 | CZK | 2,246,831 | USD | 2,162,215 | 84,616 | ||||||||||||
Goldman Sachs & Co. | 12/18/20 | HUF | 1,723,276 | USD | 1,659,454 | 63,822 | ||||||||||||
Goldman Sachs & Co. | 01/29/21 | USD | 566,401 | MXN | 562,728 | 3,673 | ||||||||||||
Goldman Sachs & Co. | 12/07/20 | PLN | 2,025,595 | USD | 1,996,678 | 28,917 | ||||||||||||
Goldman Sachs & Co. | 12/21/20 | RUB | 202,576 | USD | 198,007 | 4,569 | ||||||||||||
Goldman Sachs & Co. | 12/04/20 | THB | 2,583,146 | USD | 2,495,382 | 87,764 | ||||||||||||
Goldman Sachs & Co. | 12/10/20 | TRY | 440,137 | USD | 424,000 | 16,137 | ||||||||||||
Goldman Sachs & Co. | 12/14/20 | ZAR | 238,531 | USD | 232,655 | 5,876 | ||||||||||||
HSBC | 12/30/20 | USD | 1,902,549 | CNH | 1,897,470 | 5,079 | ||||||||||||
HSBC | 12/10/20 | TRY | 581,421 | USD | 561,000 | 20,421 | ||||||||||||
HSBC | 12/10/20 | USD | 95,578 | TRY | 95,497 | 81 | ||||||||||||
HSBC | 12/10/20 | USD | 492,713 | TRY | 485,924 | 6,789 | ||||||||||||
J.P. Morgan Chase & Co. | 12/18/20 | HUF | 1,500,361 | USD | 1,444,841 | 55,520 | ||||||||||||
J.P. Morgan Chase & Co. | 01/08/21 | USD | 721,229 | IDR | 721,120 | 109 | ||||||||||||
J.P. Morgan Chase & Co. | 01/29/21 | USD | 566,686 | MXN | 562,864 | 3,822 | ||||||||||||
J.P. Morgan Chase & Co. | 12/07/20 | PLN | 1,421,419 | USD | 1,401,754 | 19,665 | ||||||||||||
J.P. Morgan Chase & Co. | 12/04/20 | THB | 2,069,812 | USD | 1,997,302 | 72,510 | ||||||||||||
J.P. Morgan Chase & Co. | 12/10/20 | TRY | 374,946 | USD | 362,000 | 12,946 | ||||||||||||
$ | 626,287 | |||||||||||||||||
Citigroup Global Markets | 12/02/20 | BRL | 852,279 | USD | 861,770 | (9,491 | ) | |||||||||||
Citigroup Global Markets | 01/19/21 | PEN | 888,315 | USD | 897,223 | (8,908 | ) | |||||||||||
Citigroup Global Markets | 12/07/20 | USD | 1,031,949 | PLN | 1,043,084 | (11,135 | ) | |||||||||||
Citigroup Global Markets | 01/08/21 | USD | 445,513 | IDR | 463,612 | (18,099 | ) | |||||||||||
Citigroup Global Markets | 12/18/20 | USD | 120,975 | HUF | 125,031 | (4,056 | ) | |||||||||||
Citigroup Global Markets | 12/07/20 | USD | 2,007,314 | CZK | 2,040,430 | (33,116 | ) | |||||||||||
Citigroup Global Markets | 01/19/21 | USD | 880,549 | PEN | 888,315 | (7,766 | ) | |||||||||||
Citigroup Global Markets | 01/19/21 | USD | 1,252,557 | COP | 1,264,725 | (12,168 | ) | |||||||||||
Citigroup Global Markets | 12/02/20 | USD | 849,283 | BRL | 852,279 | (2,996 | ) | |||||||||||
Goldman Sachs & Co. | 01/05/21 | BRL | 2,973,099 | USD | 2,996,165 | (23,066 | ) | |||||||||||
Goldman Sachs & Co. | 12/21/20 | RUB | 1,716,017 | USD | 1,724,455 | (8,438 | ) |
See Notes to Financial Statements.
46 | www.shiplp.com |
Stone Harbor Local Markets Fund | Statements of Investments |
November 30, 2020 (Unaudited)
OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS (continued) | ||||||||||||||||||
Counterparty | Settlement Date | Fund Receiving | U.S. $ Value at November 30, 2020 | Fund Delivering | U.S. $ Value at November 30, 2020 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Goldman Sachs & Co. | 12/14/20 | USD | 2,637,419 | ZAR | 2,793,638 | (156,219 | ) | |||||||||||
Goldman Sachs & Co. | 12/21/20 | USD | 1,053,879 | RUB | 1,071,098 | (17,219 | ) | |||||||||||
Goldman Sachs & Co. | 12/04/20 | USD | 1,581,628 | THB | 1,596,836 | (15,208 | ) | |||||||||||
Goldman Sachs & Co. | 12/18/20 | USD | 150,825 | HUF | 152,449 | (1,624 | ) | |||||||||||
Goldman Sachs & Co. | 01/19/21 | USD | 337,641 | PEN | 340,581 | (2,940 | ) | |||||||||||
Goldman Sachs & Co. | 12/07/20 | USD | 52,692 | PLN | 53,287 | (595 | ) | |||||||||||
Goldman Sachs & Co. | 12/10/20 | USD | 439,836 | TRY | 440,137 | (301 | ) | |||||||||||
J.P. Morgan Chase & Co. | 12/11/20 | COP | 1,339,197 | USD | 1,342,061 | (2,864 | ) | |||||||||||
J.P. Morgan Chase & Co. | 01/19/21 | PEN | 378,300 | USD | 382,073 | (3,773 | ) | |||||||||||
J.P. Morgan Chase & Co. | 12/09/20 | PLN | 6,783,454 | USD | 6,824,136 | (40,682 | ) | |||||||||||
J.P. Morgan Chase & Co. | 12/10/20 | USD | 365,402 | TRY | 374,946 | (9,544 | ) | |||||||||||
J.P. Morgan Chase & Co. | 01/19/21 | USD | 886,946 | PEN | 894,719 | (7,773 | ) | |||||||||||
J.P. Morgan Chase & Co. | 01/19/21 | USD | 987,489 | COP | 997,274 | (9,785 | ) | |||||||||||
$ | (407,766 | ) |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 47 |
Stone Harbor Emerging Markets Corporate Debt Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||
CORPORATE BONDS - 97.16% | ||||||||||||||||
Argentina - 4.30% | ||||||||||||||||
MSU Energy SA | USD | 6.88 | % | 02/01/25 | 48,000 | $ | 33,490 | (1) | ||||||||
Pampa Energia SA | USD | 7.50 | % | 01/24/27 | 64,000 | 52,928 | (1) | |||||||||
Transportadora de Gas del Sur SA | USD | 6.75 | % | 05/02/25 | 56,000 | 49,700 | (1) | |||||||||
YPF SA: | ||||||||||||||||
USD | 8.50 | % | 07/28/25 | 59,000 | 42,893 | (1) | ||||||||||
USD | 6.95 | % | 07/21/27 | 115,000 | 76,169 | (2) | ||||||||||
255,180 | ||||||||||||||||
Brazil - 10.27% | ||||||||||||||||
Adecoagro SA | USD | 6.00 | % | 09/21/27 | 27,000 | 28,325 | (1) | |||||||||
Banco do Brasil SA | USD | 9.00 | % | Perpetual | 6,000 | 6,636 | (1)(3)(4) | |||||||||
BRF GmbH | USD | 4.35 | % | 09/29/26 | 22,000 | 23,031 | (1) | |||||||||
CSN Resources SA | USD | 7.63 | % | 04/17/26 | 20,000 | 21,691 | (1) | |||||||||
Gol Finance SA | USD | 7.00 | % | 01/31/25 | 123,000 | 110,796 | (1) | |||||||||
Itau Unibanco Holding SA | USD | 6.13 | % | Perpetual | 32,000 | 32,375 | (1)(3)(4) | |||||||||
JBS Investments II GmbH | USD | 7.00 | % | 01/15/26 | 21,000 | 22,706 | (2) | |||||||||
JSL Europe SA | USD | 7.75 | % | 07/26/24 | 24,000 | 25,602 | (1) | |||||||||
Klabin Austria GmbH | USD | 7.00 | % | 04/03/49 | 23,000 | 28,821 | (1) | |||||||||
Minerva Luxembourg SA | USD | 6.50 | % | 09/20/26 | 23,000 | 24,533 | (1) | |||||||||
MV24 Capital BV | USD | 6.75 | % | 06/01/34 | 49,732 | 53,959 | (1) | |||||||||
NBM US Holdings, Inc. | USD | 7.00 | % | 05/14/26 | 21,000 | 22,949 | (1) | |||||||||
Petrobras Global Finance BV: | ||||||||||||||||
USD | 5.75 | % | 02/01/29 | 43,000 | 49,746 | |||||||||||
USD | 6.90 | % | 03/19/49 | 36,000 | 43,626 | |||||||||||
Rumo Luxembourg Sarl | USD | 5.25 | % | 01/10/28 | 29,000 | 31,378 | (1) | |||||||||
Usiminas International Sarl | USD | 5.88 | % | 07/18/26 | 76,000 | 82,702 | (1) | |||||||||
608,876 | ||||||||||||||||
Chile - 4.04% | ||||||||||||||||
Celulosa Arauco y Constitucion SA | USD | 5.50 | % | 04/30/49 | 42,000 | 49,140 | (1) | |||||||||
Empresa Nacional de Telecomunicaciones SA | USD | 4.88 | % | 10/30/24 | 11,000 | 11,862 | (1) | |||||||||
Enel Generacion Chile SA | USD | 4.25 | % | 04/15/24 | 27,000 | 29,253 | ||||||||||
Geopark, Ltd.: | ||||||||||||||||
USD | 6.50 | % | 09/21/24 | 56,000 | 57,363 | (1) | ||||||||||
USD | 5.50 | % | 01/17/27 | 94,000 | 92,032 | (1) | ||||||||||
239,650 | ||||||||||||||||
China - 5.92% | ||||||||||||||||
Bank of China, Ltd. | USD | 5.00 | % | 11/13/24 | 46,000 | 51,455 | (2) | |||||||||
Golden Eagle Retail Group, Ltd. | USD | 4.63 | % | 05/21/23 | 44,000 | 44,302 | (2) | |||||||||
Tencent Holdings, Ltd.: | ||||||||||||||||
USD | 2.39 | % | 06/03/30 | 30,000 | 30,825 | (1) | ||||||||||
USD | 3.24 | % | 06/03/50 | 14,000 | 14,606 | (1) | ||||||||||
Wanda Properties International Co., Ltd. | USD | 7.25 | % | 01/29/24 | 200,000 | 198,688 | ||||||||||
Yingde Gases Investment, Ltd. | USD | 6.25 | % | 01/19/23 | 11,000 | 11,349 | (2) | |||||||||
351,225 |
See Notes to Financial Statements.
48 | www.shiplp.com |
Stone Harbor Emerging Markets Corporate Debt Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||
Colombia - 4.70% | ||||||||||||||||
AI Candelaria Spain SLU: | ||||||||||||||||
USD | 7.50 | % | 12/15/28 | 32,000 | $ | 36,008 | (1) | |||||||||
USD | 7.50 | % | 12/15/28 | 20,000 | 22,505 | (2) | ||||||||||
Ecopetrol SA: | ||||||||||||||||
USD | 5.38 | % | 06/26/26 | 29,000 | 33,335 | |||||||||||
USD | 7.38 | % | 09/18/43 | 43,000 | 58,003 | |||||||||||
Gran Tierra Energy International Holdings, Ltd. | USD | 6.25 | % | 02/15/25 | 220,000 | 95,700 | (1) | |||||||||
Millicom International Cellular SA | USD | 5.13 | % | 01/15/28 | 31,000 | 33,298 | (1) | |||||||||
278,849 | ||||||||||||||||
Ghana - 0.58% | ||||||||||||||||
Tullow Oil PLC | USD | 7.00 | % | 03/01/25 | 53,000 | 34,318 | (1) | |||||||||
Guatemala - 0.67% | ||||||||||||||||
Energuate Trust | USD | 5.88 | % | 05/03/27 | 38,000 | 39,668 | (1) | |||||||||
Hong Kong - 3.49% | ||||||||||||||||
ESR Cayman, Ltd. | USD | 7.88 | % | 04/04/22 | 200,000 | 206,625 | ||||||||||
India - 2.54% | ||||||||||||||||
Bharti Airtel, Ltd. | USD | 4.38 | % | 06/10/25 | 15,000 | 16,310 | (2) | |||||||||
Greenko Dutch BV | USD | 5.25 | % | 07/24/24 | 43,000 | 44,532 | (1) | |||||||||
Network i2i, Ltd. | USD | 5Y US TI + 4.28 | % | Perpetual | 73,000 | 76,559 | (1)(3)(4) | |||||||||
Vedanta Resources, Ltd. | USD | 6.38 | % | 07/30/22 | 17,000 | 13,107 | (1) | |||||||||
150,508 | ||||||||||||||||
Indonesia - 4.21% | ||||||||||||||||
Cikarang Listrindo Tbk PT | USD | 4.95 | % | 09/14/26 | 27,000 | 28,126 | (2) | |||||||||
Indika Energy Capital IV Pte, Ltd. | USD | 8.25 | % | 10/22/25 | 42,000 | 45,413 | (1) | |||||||||
Minejesa Capital BV | USD | 4.63 | % | 08/10/30 | 140,000 | 149,975 | (1) | |||||||||
PT Bumi Resources TBK (Eterna Capital Pte, Ltd.) | USD | 6.50% Cash + 1.00% PIK | 12/11/22 | 26,344 | 13,172 | (5) | ||||||||||
Star Energy Geothermal Darajat II / Star Energy Geothermal Salak | USD | 4.85 | % | 10/14/38 | 12,000 | 13,048 | (1) | |||||||||
249,734 | ||||||||||||||||
Israel - 5.62% | ||||||||||||||||
Altice Financing SA | USD | 5.00 | % | 01/15/28 | 94,000 | 96,139 | (1) | |||||||||
Leviathan Bond, Ltd. | USD | 6.75 | % | 06/30/30 | 74,000 | 81,400 | (1) | |||||||||
Teva Pharmaceutical Finance Netherlands III BV | USD | 3.15 | % | 10/01/26 | 164,000 | 155,800 | ||||||||||
333,339 | ||||||||||||||||
Jamaica - 0.35% | ||||||||||||||||
Digicel Group 0.5, Ltd. | USD | 8% Cash and 2% PIK or 10.00% PIK | 04/01/24 | 13,836 | 11,069 | (5) | ||||||||||
Digicel, Ltd. | USD | 6.75 | % | 03/01/23 | 15,000 | 9,712 | (2) | |||||||||
20,781 |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 49 |
Stone Harbor Emerging Markets Corporate Debt Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||
Macau - 1.66% | ||||||||||||||||
Melco Resorts Finance, Ltd.: | ||||||||||||||||
USD | 5.63 | % | 07/17/27 | 27,000 | $ | 28,245 | (2) | |||||||||
USD | 5.75 | % | 07/21/28 | 32,000 | 33,795 | (1) | ||||||||||
Sands China, Ltd. | USD | 5.40 | % | 08/08/28 | 18,000 | 20,619 | ||||||||||
Studio City Finance, Ltd.: | ||||||||||||||||
USD | 6.00 | % | 07/15/25 | 4,000 | 4,220 | (1) | ||||||||||
USD | 6.50 | % | 01/15/28 | 11,000 | 11,715 | (1) | ||||||||||
98,594 | ||||||||||||||||
Mexico - 10.17% | ||||||||||||||||
Aerovias de Mexico SA de CV | USD | 7.00 | % | 02/05/25 | 135,000 | 47,925 | (1)(6) | |||||||||
America Movil SAB de CV | USD | 3.63 | % | 04/22/29 | 25,000 | 28,625 | ||||||||||
Axtel SAB Axtel de CV | USD | 6.38 | % | 11/14/24 | 105,000 | 110,201 | (1) | |||||||||
Banco Mercantil del Norte SA/Grand Cayman: | ||||||||||||||||
USD | 6.75 | % | Perpetual | 63,000 | 66,839 | (1)(3)(4) | ||||||||||
USD | 7.50 | % | Perpetual | 43,000 | 46,736 | (1)(3)(4) | ||||||||||
BBVA Bancomer SA | USD | 6.75 | % | 09/30/22 | 11,000 | 11,907 | (1) | |||||||||
Cemex SAB de CV | USD | 7.75 | % | 04/16/26 | 33,000 | 34,931 | (1) | |||||||||
Cometa Energia SA de CV | USD | 6.38 | % | 04/24/35 | 82,456 | 95,250 | (1) | |||||||||
FEL Energy VI Sarl | USD | 5.75 | % | 12/01/40 | 28,000 | 29,596 | (1) | |||||||||
Mexico Generadora De Energia | USD | 5.50 | % | 12/06/32 | 26,363 | 30,601 | (1) | |||||||||
Petroleos Mexicanos | USD | 7.69 | % | 01/23/50 | 19,000 | 17,556 | ||||||||||
Sixsigma Networks Mexico SA de CV | USD | 7.50 | % | 05/02/25 | 35,000 | 32,298 | (1) | |||||||||
Southern Copper Corp. | USD | 6.75 | % | 04/16/40 | 34,000 | 50,703 | ||||||||||
603,168 | ||||||||||||||||
Nigeria - 2.51% | ||||||||||||||||
Access Bank PLC | USD | 10.50 | % | 10/19/21 | 22,000 | 23,007 | (1) | |||||||||
IHS Netherlands Holdco BV | USD | 8.00 | % | 09/18/27 | 93,000 | 101,065 | (1) | |||||||||
United Bank for Africa PLC | USD | 7.75 | % | 06/08/22 | 24,000 | 24,544 | (1) | |||||||||
148,616 | ||||||||||||||||
Panama - 1.52% | ||||||||||||||||
AES Panama Generation Holdings SRL | USD | 4.38 | % | 05/31/30 | 30,000 | 32,273 | (1) | |||||||||
C&W Senior Financing DAC | USD | 7.50 | % | 10/15/26 | 54,000 | 57,645 | (1) | |||||||||
89,918 | ||||||||||||||||
Peru - 4.32% | ||||||||||||||||
Banco BBVA Peru SA | USD | 5Y US TI + 2.75 | % | 09/22/29 | 13,000 | 14,111 | (2)(3) | |||||||||
Banco de Credito del Peru | USD | 5Y US TI + 3.00 | % | 07/01/30 | 28,000 | 28,420 | (1)(3) | |||||||||
Inkia Energy, Ltd. | USD | 5.88 | % | 11/09/27 | 92,000 | 98,847 | (1) | |||||||||
Kallpa Generacion SA: | ||||||||||||||||
USD | 4.88 | % | 05/24/26 | 4,000 | 4,374 | (1) | ||||||||||
USD | 4.13 | % | 08/16/27 | 53,000 | 56,975 | (1) | ||||||||||
Nexa Resources SA | USD | 6.50 | % | 01/18/28 | 45,000 | 53,325 | (1) | |||||||||
256,052 |
See Notes to Financial Statements.
50 | www.shiplp.com |
Stone Harbor Emerging Markets Corporate Debt Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||
Russia - 2.83% | ||||||||||||||||
Gazprom PJSC Via Gaz Capital SA | USD | 4.95 | % | 02/06/28 | 118,000 | $ | 134,649 | (1) | ||||||||
VTB Bank PJSC Via VTB Eurasia DAC | USD | 9.50 | % | Perpetual | 30,000 | 33,010 | (1)(3)(4) | |||||||||
167,659 | ||||||||||||||||
Saudi Arabia - 3.99% | ||||||||||||||||
Acwa Power Management And Investments One, Ltd. | USD | 5.95 | % | 12/15/39 | 103,000 | 121,797 | (1) | |||||||||
Saudi Arabian Oil Co.: | ||||||||||||||||
USD | 3.50 | % | 04/16/29 | 40,000 | 44,400 | (1) | ||||||||||
USD | 4.38 | % | 04/16/49 | 20,000 | 24,325 | (1) | ||||||||||
USD | 3.25 | % | 11/24/50 | 46,000 | 46,322 | (1) | ||||||||||
236,844 | ||||||||||||||||
South Africa - 4.26% | ||||||||||||||||
AngloGold Ashanti Holdings PLC | USD | 3.75 | % | 10/01/30 | 52,000 | 55,250 | ||||||||||
Eskom Holdings SOC, Ltd. | USD | 6.75 | % | 08/06/23 | 156,000 | 160,071 | (1) | |||||||||
Sasol Financing International, Ltd. | USD | 4.50 | % | 11/14/22 | 37,000 | 37,416 | ||||||||||
252,737 | ||||||||||||||||
Tanzania - 1.09% | ||||||||||||||||
HTA Group, Ltd. | USD | 7.00 | % | 12/18/25 | 60,000 | 64,781 | (1) | |||||||||
Thailand - 2.82% | ||||||||||||||||
Bangkok Bank PCL | USD | 5Y US TI + 1.90 | % | 09/25/34 | 50,000 | 50,906 | (1)(3) | |||||||||
PTT Treasury Center Co., Ltd. | USD | 4.50 | % | 10/25/42 | 60,000 | 69,310 | (1) | |||||||||
Thaioil Treasury Center Co., Ltd. | USD | 4.88 | % | 01/23/43 | 40,000 | 46,731 | (2) | |||||||||
166,947 | ||||||||||||||||
Turkey - 3.51% | ||||||||||||||||
Akbank Turk AS: | ||||||||||||||||
USD | 5.13 | % | 03/31/25 | 15,000 | 14,848 | (1) | ||||||||||
USD | 6.80 | % | 04/27/28 | 35,000 | 33,726 | (1)(3) | ||||||||||
Turk Telekomunikasyon AS | USD | 6.88 | % | 02/28/25 | 37,000 | 40,087 | (1) | |||||||||
Turkiye Garanti Bankasi AS | USD | 6.13 | % | 05/24/27 | 69,000 | 67,275 | (1)(3) | |||||||||
Ulker Biskuvi Sanayi AS | USD | 6.95 | % | 10/30/25 | 49,000 | 52,246 | (1) | |||||||||
208,182 | ||||||||||||||||
Ukraine - 3.79% | ||||||||||||||||
Metinvest BV: | ||||||||||||||||
USD | 7.75 | % | 04/23/23 | 60,000 | 63,722 | (1) | ||||||||||
USD | 7.75 | % | 10/17/29 | 63,000 | 65,864 | (1) | ||||||||||
VF Ukraine PAT via VFU Funding PLC | USD | 6.20 | % | 02/11/25 | 91,000 | 95,095 | (1) | |||||||||
224,681 | ||||||||||||||||
United Arab Emirates - 4.22% | ||||||||||||||||
DP World PLC | USD | 4.70 | % | 09/30/49 | 149,000 | 165,460 | (1) | |||||||||
Galaxy Pipeline Assets Bidco, Ltd. | USD | 1.75 | % | 09/30/27 | 84,000 | 84,735 | (1) | |||||||||
250,195 |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 51 |
Stone Harbor Emerging Markets Corporate Debt Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||
Vietnam - 1.97% | ||||||||||||||||
Mong Duong Finance Holdings BV | USD | 5.13 | % | 05/07/29 | 110,000 | $ | 116,583 | (1) | ||||||||
Zambia - 1.81% | ||||||||||||||||
First Quantum Minerals, Ltd.: | ||||||||||||||||
USD | 6.50 | % | 03/01/24 | 39,000 | 39,780 | (1) | ||||||||||
USD | 7.50 | % | 04/01/25 | 65,000 | 67,681 | (1) | ||||||||||
107,461 | ||||||||||||||||
TOTAL CORPORATE BONDS | 5,761,171 | |||||||||||||||
(Cost $5,611,403) | ||||||||||||||||
SHORT TERM INVESTMENTS - 1.50% | ||||||||||||||||
Money Market Fund - 1.50% | ||||||||||||||||
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield) | USD | 0.07 | % | N/A | 88,926 | 88,944 | ||||||||||
TOTAL SHORT TERM INVESTMENTS | 88,944 | |||||||||||||||
(Cost $88,944) | ||||||||||||||||
Total Investments - 98.66% | 5,850,115 | |||||||||||||||
(Cost $5,700,347) | ||||||||||||||||
Other Assets In Excess of Liabilities - 1.34% | 79,186 | |||||||||||||||
Net Assets - 100.00% | $ | 5,929,301 |
* | The principal amount/shares of each security is stated in the currency in which the security is denominated. |
Currency Abbreviations:
USD - United States Dollar
Investment Abbreviations:
PIK - Payment in-kind
Reference Rates:
5Y US TI - 5 Year US Treasury Index as of November 30, 2020 was 0.36%
(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 $4,379,964, which represents approximately 73.87% of net assets as of November 30, 2020. |
(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 November 30, 2020, the aggregate fair value of those securities was $371,723, which represents approximately 6.27% of net assets. |
(3) | Floating or variable rate security. The reference rate is described above. The rate in effect as of November 30, 2020 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 Financial Statements.
52 | www.shiplp.com |
Stone Harbor Investment Grade Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||
ASSET BACKED/COMMERCIAL MORTGAGE BACKED SECURITIES - 6.49% | ||||||||||||||||
Aqua Finance Trust 2019-A, Series 2019-A | USD | 3.14 | % | 09/15/25 | 48,321 | $ | 49,550 | (1) | ||||||||
BX Commercial Mortgage Trust, Series 2019-IMC | USD | 1M US L + 1.30 | % | 04/15/21 | 100,000 | 95,318 | (1)(2) | |||||||||
Citigroup Commercial Mortgage Trust, Series 2019-SST2 | USD | 1M US L + 0.92 | % | 02/15/22 | 50,000 | 50,080 | (1)(2) | |||||||||
CLNY Trust 2019-IKPR, Series 2019-IKPR | USD | 1M US L + 1.13 | % | 11/15/21 | 50,000 | 47,735 | (1)(2) | |||||||||
Fannie Mae Pool, Series 2015 | USD | 12M US L + 1.60 | % | 11/01/45 | 50,480 | 52,376 | (2)(3) | |||||||||
Freddie Mac Non Gold Pool, Series 2012 | USD | 12M US L + 1.65 | % | 12/01/42 | 29,636 | 30,890 | (2)(3) | |||||||||
Freddie Mac Whole Loan Securities Trust: | ||||||||||||||||
Series 2015-SC02 | USD | 3.00 | % | 09/25/45 | 27,687 | 28,158 | (3) | |||||||||
Series 2016-SC01 | USD | 3.50 | % | 07/25/46 | 47,021 | 48,281 | (3) | |||||||||
Invitation Homes 2017-SFR2 Trust, Series 2017-SFR2 | USD | 1M US L + 0.85 | % | 12/17/36 | 45,042 | 45,206 | (1)(2) | |||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9 | USD | 5.34 | % | 05/15/47 | 112,655 | 102,469 | ||||||||||
MBRT 2019-MBR, Series 2019-MBR | USD | 1M US L + 0.85 | % | 11/25/21 | 75,000 | 73,613 | (1)(2) | |||||||||
New Residential Advance Receivables Trust Advance Receivables Backed 2020-T1, Series 2020-T1 | USD | 1.43 | % | 08/15/23 | 25,000 | 25,107 | (1) | |||||||||
RBSSP Resecuritization Trust, Series 2012-6 | USD | 1M US L + 0.34 | % | 11/26/35 | 3,156 | 3,161 | (1)(2) | |||||||||
Towd Point Mortgage Trust, Series 2016-5 | USD | 2.50 | % | 10/25/56 | 18,437 | 18,855 | (1)(2) | |||||||||
VOLT LXXXIV LLC, Series 2019-NP10 | USD | 3.43 | % | 11/25/22 | 52,754 | 52,971 | (1)(4) | |||||||||
TOTAL ASSET BACKED/COMMERCIAL MORTGAGE BACKED SECURITIES | 723,770 | |||||||||||||||
(Cost $725,425) | ||||||||||||||||
U.S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES - 21.21% | ||||||||||||||||
FNMA TBA: | ||||||||||||||||
USD | 2.50 | % | 12/14/20 | 375,000 | 392,947 | (3) | ||||||||||
USD | 3.00 | % | 12/14/20 | 625,000 | 652,966 | (3) | ||||||||||
USD | 3.50 | % | 12/14/20 | 525,000 | 553,855 | (3) | ||||||||||
USD | 4.00 | % | 12/14/20 | 325,000 | 346,741 | (3) | ||||||||||
USD | 4.50 | % | 12/14/20 | 50,000 | 54,182 | (3) | ||||||||||
USD | 2.50 | % | 12/16/20 | 200,000 | 207,984 | (3) | ||||||||||
USD | 3.00 | % | 12/16/20 | 150,000 | 156,978 | (3) | ||||||||||
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES | 2,365,653 | |||||||||||||||
(Cost $2,364,138) | ||||||||||||||||
CORPORATE BONDS - 43.08% | ||||||||||||||||
Aerospace/Defense - 0.23% | ||||||||||||||||
Boeing Co. | USD | 3.60 | % | 05/01/34 | 25,000 | 25,313 | ||||||||||
Automotive - 1.21% | ||||||||||||||||
Ford Motor Credit Co. LLC | USD | 4.27 | % | 01/09/27 | 50,000 | 51,850 | ||||||||||
General Motors Financial Co., Inc. | USD | 4.35 | % | 01/17/27 | 50,000 | 56,890 | ||||||||||
Hyundai Capital America | USD | 3.25 | % | 09/20/22 | 25,000 | 26,020 | (1) | |||||||||
134,760 | ||||||||||||||||
Banking - 11.44% | ||||||||||||||||
Bank of America Corp. | USD | 3M US L + 0.99 | % | 02/13/31 | 100,000 | 105,877 | (2) | |||||||||
Capital One Financial Corp. | USD | 3.75 | % | 03/09/27 | 75,000 | 85,450 | ||||||||||
Citigroup, Inc. | USD | 4.40 | % | 06/10/25 | 125,000 | 143,243 | ||||||||||
Credit Suisse Group AG | USD | 3M US L + 1.24 | % | 06/12/24 | 50,000 | 54,240 | (1)(2) |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 53 |
Stone Harbor Investment Grade Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||
Banking (continued) | ||||||||||||||||
Deutsche Bank AG: | ||||||||||||||||
USD | 3.70 | % | 05/30/24 | 50,000 | $ | 53,737 | ||||||||||
USD | 1D US SOFR + 1.87 | % | 11/24/26 | 75,000 | 75,961 | (2) | ||||||||||
Goldman Sachs Group, Inc. | USD | 3.50 | % | 04/01/25 | 50,000 | 55,448 | ||||||||||
HSBC Holdings PLC: | ||||||||||||||||
USD | 3.95 | % | 05/18/24 | 25,000 | 26,934 | (2) | ||||||||||
USD | 1D US SOFR + 1.29 | % | 05/24/27 | 25,000 | 25,235 | (2) | ||||||||||
Intesa Sanpaolo SpA, Series XR | USD | 4.00 | % | 09/23/29 | 75,000 | 84,348 | (1) | |||||||||
JPMorgan Chase & Co. | USD | 3.63 | % | 12/01/27 | 50,000 | 56,443 | ||||||||||
Key Bank NA | USD | 3.90 | % | 04/13/29 | 50,000 | 57,828 | ||||||||||
Mizuho Financial Group, Inc. | USD | 3M US L + 1.27 | % | 09/08/31 | 100,000 | 101,728 | (2) | |||||||||
Societe Generale SA | USD | 2.63 | % | 10/16/24 | 75,000 | 78,809 | (1) | |||||||||
Standard Chartered PLC: | ||||||||||||||||
USD | 3M US L + 1.21 | % | 01/30/26 | 50,000 | 52,704 | (1)(2) | ||||||||||
USD | 5.70 | % | 03/26/44 | 25,000 | 33,159 | (1) | ||||||||||
Sumitomo Mitsui Financial Group, Inc. | USD | 2.14 | % | 09/23/30 | 25,000 | 25,147 | ||||||||||
Synchrony Financial | USD | 3.70 | % | 08/04/26 | 50,000 | 54,833 | ||||||||||
UBS Group AG | USD | 3.49 | % | 05/23/23 | 50,000 | 52,165 | (1) | |||||||||
Wells Fargo & Co. | USD | 3M US L + 1.00 | % | 02/11/31 | 50,000 | 53,070 | (2) | |||||||||
1,276,359 | ||||||||||||||||
Building Products - 0.56% | ||||||||||||||||
Vulcan Materials Co. | USD | 4.50 | % | 06/15/47 | 50,000 | 61,971 | ||||||||||
Chemicals - 1.06% | ||||||||||||||||
Huntsman International LLC | USD | 4.50 | % | 05/01/29 | 50,000 | 57,636 | ||||||||||
Nutrien, Ltd. | USD | 3.95 | % | 05/13/50 | 50,000 | 60,324 | ||||||||||
117,960 | ||||||||||||||||
Consumer Products - 0.23% | ||||||||||||||||
Kimberly-Clark Corp. | USD | 1.05 | % | 09/15/27 | 25,000 | 25,296 | ||||||||||
Diversified Manufacturing - 0.51% | ||||||||||||||||
Carrier Global Corp. | USD | 3.58 | % | 04/05/50 | 50,000 | 57,189 | (1) | |||||||||
Electric - 4.06% | ||||||||||||||||
Appalachian Power Co., Series Z | USD | 3.70 | % | 05/01/50 | 50,000 | 59,944 | ||||||||||
Electricite de France SA | USD | 4.50 | % | 09/21/28 | 50,000 | 59,699 | (1) | |||||||||
Enel Finance International NV | USD | 4.63 | % | 09/14/25 | 50,000 | 58,377 | (1) | |||||||||
Entergy Texas, Inc. | USD | 3.55 | % | 09/30/49 | 50,000 | 58,666 | ||||||||||
Exelon Generation Co. LLC | USD | 5.60 | % | 06/15/42 | 50,000 | 55,848 | ||||||||||
FirstEnergy Corp., Series C | USD | 4.85 | % | 07/15/47 | 25,000 | 30,286 | ||||||||||
NextEra Energy Capital Holdings, Inc.: | ||||||||||||||||
USD | 2.75 | % | 05/01/25 | 25,000 | 27,115 | |||||||||||
USD | 2.25 | % | 06/01/30 | 50,000 | 52,435 | |||||||||||
Xcel Energy, Inc. | USD | 0.50 | % | 10/15/23 | 50,000 | 50,098 | ||||||||||
452,468 | ||||||||||||||||
Environmental Services - 0.45% | ||||||||||||||||
Waste Management, Inc. | USD | 2.50 | % | 11/15/50 | 50,000 | 50,513 | ||||||||||
Exploration & Production - 2.91% | ||||||||||||||||
Apache Corp. | USD | 5.10 | % | 09/01/40 | 50,000 | 51,406 |
See Notes to Financial Statements.
54 | www.shiplp.com |
Stone Harbor Investment Grade Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||
Exploration & Production (continued) | ||||||||||||||||
BP Capital Markets PLC | USD | 5Y US TI + 4.036 | % | Perpetual | 50,000 | $ | 53,499 | (2)(5) | ||||||||
Chevron Corp. | USD | 3.08 | % | 05/11/50 | 50,000 | 55,831 | ||||||||||
Concho Resources, Inc. | USD | 3.75 | % | 10/01/27 | 50,000 | 56,874 | ||||||||||
Diamondback Energy, Inc. | USD | 2.88 | % | 12/01/24 | 50,000 | 52,146 | ||||||||||
Total Capital International SA | USD | 3.13 | % | 05/29/50 | 50,000 | 54,892 | ||||||||||
324,648 | ||||||||||||||||
Food - 0.45% | ||||||||||||||||
Conagra Brands, Inc. | USD | 1.38 | % | 11/01/27 | 50,000 | 50,513 | ||||||||||
Gas Distributors - 1.06% | ||||||||||||||||
Cheniere Corpus Christi Holdings LLC | USD | 5.13 | % | 06/30/27 | 50,000 | 58,064 | ||||||||||
Sempra Energy | USD | 4.00 | % | 02/01/48 | 50,000 | 60,203 | ||||||||||
118,267 | ||||||||||||||||
Gas Pipelines - 2.56% | ||||||||||||||||
Boardwalk Pipelines LP | USD | 5.95 | % | 06/01/26 | 50,000 | 58,194 | ||||||||||
CenterPoint Energy, Inc. | USD | 4.25 | % | 11/01/28 | 50,000 | 59,637 | ||||||||||
Kinder Morgan Energy Partners LP | USD | 5.50 | % | 03/01/44 | 50,000 | 62,415 | ||||||||||
Sabine Pass Liquefaction LLC | USD | 5.00 | % | 03/15/27 | 50,000 | 57,919 | ||||||||||
Western Midstream Operating LP | USD | 5.45 | % | 04/01/44 | 50,000 | 46,844 | ||||||||||
285,009 | ||||||||||||||||
Healthcare - 0.88% | ||||||||||||||||
CVS Health Corp. | USD | 4.78 | % | 03/25/38 | 25,000 | 31,725 | ||||||||||
HCA, Inc. | USD | 5.25 | % | 06/15/49 | 50,000 | 66,054 | ||||||||||
97,779 | ||||||||||||||||
Industrial Other - 0.47% | ||||||||||||||||
Flowserve Corp. | USD | 3.50 | % | 10/01/30 | 50,000 | 52,356 | ||||||||||
Lodging - 0.26% | ||||||||||||||||
Marriott International, Inc., Series EE | USD | 5.75 | % | 05/01/25 | 25,000 | 29,008 | ||||||||||
Media Cable - 0.88% | ||||||||||||||||
Charter Communications Operating LLC / Charter | ||||||||||||||||
Communications Operating Capital | USD | 6.48 | % | 10/23/45 | 25,000 | 35,722 | ||||||||||
Comcast Corp. | USD | 3.97 | % | 11/01/47 | 50,000 | 62,937 | ||||||||||
98,659 | ||||||||||||||||
Media Other - 0.27% | ||||||||||||||||
Interpublic Group of Cos., Inc. | USD | 4.65 | % | 10/01/28 | 25,000 | 30,056 | ||||||||||
Metals/Mining/Steel - 0.51% | ||||||||||||||||
Anglo American Capital PLC | USD | 4.00 | % | 09/11/27 | 50,000 | 56,504 | (1) | |||||||||
Non Captive Finance - 0.47% | ||||||||||||||||
Air Lease Corp. | USD | 3.63 | % | 12/01/27 | 50,000 | 52,796 | ||||||||||
Pharmaceuticals - 0.51% | ||||||||||||||||
AbbVie, Inc. | USD | 3.20 | % | 11/21/29 | 50,000 | 56,910 |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 55 |
Stone Harbor Investment Grade Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||
Property & Casualty Insurance - 0.45% | ||||||||||||||||
Kemper Corp. | USD | 2.40 | % | 09/30/30 | 50,000 | $ | 50,468 | |||||||||
Refining - 0.96% | ||||||||||||||||
Marathon Petroleum Corp.: | ||||||||||||||||
USD | 5.13 | % | 12/15/26 | 25,000 | 29,296 | |||||||||||
USD | 3.80 | % | 04/01/28 | 25,000 | 27,334 | |||||||||||
Phillips 66 | USD | 2.15 | % | 12/15/30 | 50,000 | 50,014 | ||||||||||
106,644 | ||||||||||||||||
REITS - 2.13% | ||||||||||||||||
American Homes 4 Rent LP | USD | 4.25 | % | 02/15/28 | 50,000 | 57,491 | ||||||||||
CubeSmart LP | USD | 2.00 | % | 02/15/31 | 50,000 | 49,814 | ||||||||||
Prologis LP | USD | 2.13 | % | 04/15/27 | 25,000 | 26,732 | ||||||||||
SITE Centers Corp.: | ||||||||||||||||
USD | 4.25 | % | 02/01/26 | 15,000 | 16,027 | |||||||||||
USD | 4.70 | % | 06/01/27 | 35,000 | 37,289 | |||||||||||
WEA Finance LLC | USD | 2.88 | % | 01/15/27 | 50,000 | 50,081 | (1) | |||||||||
237,434 | ||||||||||||||||
Restaurants - 0.58% | ||||||||||||||||
McDonald's Corp. | USD | 4.45 | % | 03/01/47 | 50,000 | 65,065 | ||||||||||
Retail Non Food/Drug - 0.95% | ||||||||||||||||
Dollar Tree, Inc. | USD | 4.00 | % | 05/15/25 | 50,000 | 56,449 | ||||||||||
O'Reilly Automotive, Inc. | USD | 1.75 | % | 03/15/31 | 50,000 | 49,840 | ||||||||||
106,289 | ||||||||||||||||
Services Other - 1.89% | ||||||||||||||||
Amazon.com, Inc. | USD | 2.70 | % | 06/03/60 | 25,000 | 27,305 | ||||||||||
Expedia Group, Inc. | USD | 3.25 | % | 02/15/30 | 75,000 | 76,130 | ||||||||||
Verisk Analytics, Inc. | USD | 3.63 | % | 05/15/50 | 50,000 | 59,245 | ||||||||||
Visa, Inc. | USD | 2.00 | % | 08/15/50 | 50,000 | 48,218 | ||||||||||
210,898 | ||||||||||||||||
Technology - 1.92% | ||||||||||||||||
Broadcom, Inc. | USD | 5.00 | % | 04/15/30 | 50,000 | 60,583 | ||||||||||
Tencent Holdings, Ltd. | USD | 3.60 | % | 01/19/28 | 50,000 | 55,070 | (1) | |||||||||
TSMC Global, Ltd.: | ||||||||||||||||
USD | 1.00 | % | 09/28/27 | 50,000 | 49,603 | (1) | ||||||||||
USD | 1.38 | % | 09/28/30 | 50,000 | 49,034 | (1) | ||||||||||
214,290 | ||||||||||||||||
Transportation Non Air/Rail - 0.57% | ||||||||||||||||
FedEx Corp. | USD | 4.40 | % | 01/15/47 | 50,000 | 63,132 | ||||||||||
Wireless - 1.54% | ||||||||||||||||
American Tower Corp. | USD | 1.30 | % | 09/15/25 | 50,000 | 50,907 | ||||||||||
T-Mobile USA, Inc.: | ||||||||||||||||
USD | 3.88 | % | 04/15/30 | 25,000 | 28,703 | (1) | ||||||||||
USD | 4.50 | % | 04/15/50 | 25,000 | 31,286 | (1) | ||||||||||
Vodafone Group PLC | USD | 4.25 | % | 09/17/50 | 50,000 | 61,412 | ||||||||||
172,308 |
See Notes to Financial Statements.
56 | www.shiplp.com |
Stone Harbor Investment Grade Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Maturity Date | Principal Amount/Shares* | Value (Expressed in USD) | ||||||||||||
Wirelines - 1.11% | ||||||||||||||||
AT&T, Inc. | USD | 4.35 | % | 03/01/29 | 50,000 | $ | 59,546 | |||||||||
Verizon Communications, Inc. | USD | 4.50 | % | 08/10/33 | 50,000 | 63,756 | ||||||||||
123,302 | ||||||||||||||||
TOTAL CORPORATE BONDS | 4,804,164 | |||||||||||||||
(Cost $4,385,671) | ||||||||||||||||
U.S. TREASURY BONDS/NOTES - 17.12% | ||||||||||||||||
U.S. Treasury Bonds: | ||||||||||||||||
USD | 2.75 | % | 02/15/28 | 50,000 | 57,500 | |||||||||||
USD | 2.50 | % | 02/15/46 | 225,000 | 272,268 | |||||||||||
U.S. Treasury Notes: | ||||||||||||||||
USD | 2.00 | % | 11/15/21 | 625,000 | 636,340 | |||||||||||
USD | 2.13 | % | 05/15/25 | 325,000 | 351,000 | |||||||||||
USD | 2.00 | % | 08/15/25 | 550,000 | 592,775 | |||||||||||
TOTAL U.S. TREASURY BONDS/NOTES | 1,909,883 | |||||||||||||||
(Cost $1,774,419) | ||||||||||||||||
SHORT TERM INVESTMENTS - 10.28% | ||||||||||||||||
Money Market Fund - 10.28% | ||||||||||||||||
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield) | USD | 0.07 | % | N/A | 1,146,274 | 1,146,504 | ||||||||||
TOTAL SHORT TERM INVESTMENTS | 1,146,504 | |||||||||||||||
(Cost $1,146,520) | ||||||||||||||||
Total Investments - 98.18% | 10,949,974 | |||||||||||||||
(Cost $10,396,173) | ||||||||||||||||
Other Assets in Excess of Liabilities - 1.82% | 202,595 | |||||||||||||||
Net Assets - 100.00% | $ | 11,152,569 |
* | 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
SOFR - Secured Overnight Financing Rate
Reference Rates:
1D US SOFR - 1 Day SOFR as of November 30, 2020 was 0.06%
1M US L - 1 Month LIBOR as of November 30, 2020 was 0.15%
3M US L - 3 Month LIBOR as of November 30, 2020 was 0.23%
12M US L - 12 Month LIBOR as of November 30, 2020 was 0.33%
5Y US TI - 5 Year US Treasury Index as of November 30, 2020 was 0.36%
(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 $1,338,587, which represents approximately 12.00% of net assets as of November 30, 2020. |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 57 |
Stone Harbor Investment Grade Fund | Statements of Investments |
November 30, 2020 (Unaudited)
(2) | Floating or variable rate security. The reference rate is described above. The rate in effect as of November 30, 2020 is based on the reference rate plus the displayed spread as of the security's last reset date. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(3) | Investment purchased on a delayed delivery basis. |
(4) | Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect as of November 30, 2020. |
(5) | Security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. |
See Notes to Financial Statements.
58 | www.shiplp.com |
Stone Harbor Strategic Income Fund | Statements of Investments |
November 30, 2020 (Unaudited) |
Currency | Rate | Shares* | Value (Expressed in USD) | |||||||||||
OPEN-END FUNDS - 97.82% | ||||||||||||||
Stone Harbor Emerging Markets Corporate Debt Fund | USD | N/A | 176,231 | $ | 1,596,649 | (1) | ||||||||
Stone Harbor Emerging Markets Debt Fund | USD | N/A | 716,017 | 7,124,371 | (1) | |||||||||
Stone Harbor High Yield Bond Fund | USD | N/A | 1,194,826 | 9,606,402 | (1) | |||||||||
Stone Harbor Investment Grade Fund | USD | N/A | 1,001,013 | 11,141,274 | (1) | |||||||||
Stone Harbor Local Markets Fund | USD | N/A | 87,356 | 780,086 | (1) | |||||||||
30,248,782 | ||||||||||||||
TOTAL OPEN-END FUNDS | 30,248,782 | |||||||||||||
(Cost $29,588,098) | ||||||||||||||
SHORT TERM INVESTMENTS - 0.66% | ||||||||||||||
Money Market Fund - 0.66% | ||||||||||||||
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield) | USD | 0.07 | % | 206,333 | 206,375 | |||||||||
TOTAL SHORT TERM INVESTMENTS | 206,375 | |||||||||||||
(Cost $206,375) | ||||||||||||||
Total Investments - 98.48% | 30,455,157 | |||||||||||||
(Cost $29,794,473) | ||||||||||||||
Other Assets In Excess of Liabilities - 1.52% | 468,500 | |||||||||||||
Net Assets - 100.00% | $ | 30,923,657 |
* | The shares of each security is stated in the currency in which the security is denominated. |
Currency Abbreviations:
AUD | - | Australian Dollar |
EUR | - | Euro Currency |
GBP | - | Great Britain Pound |
JPY | - | Japanese Yen |
USD | - | United States Dollar |
(1) | Affiliated with the Fund, as each is a series of Stone Harbor Investment Funds and has the same investment adviser. |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 59 |
Stone Harbor Strategic Income Fund | Statements of Investments |
November 30, 2020 (Unaudited) |
OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS
Counterparty | Settlement Date | Fund Receiving | U.S. $ Value at November 30, 2020 | Fund Delivering | U.S. $ Value at November 30, 2020 | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
Citigroup Global Markets | 12/23/20 | EUR | 310,377 | USD | 307,669 | 2,708 | ||||||||||||||
Citigroup Global Markets | 12/14/20 | GBP | 80,003 | USD | 79,701 | 302 | ||||||||||||||
Citigroup Global Markets | 12/15/20 | MXN | 154,150 | USD | 152,594 | 1,556 | ||||||||||||||
Citigroup Global Markets | 12/23/20 | MXN | 310,990 | USD | 307,987 | 3,003 | ||||||||||||||
Citigroup Global Markets | 12/23/20 | USD | 163,310 | MXN | 162,011 | 1,299 | ||||||||||||||
Goldman Sachs International | 12/03/20 | MXN | 77,674 | USD | 75,623 | 2,051 | ||||||||||||||
Goldman Sachs International | 12/23/20 | EUR | 83,563 | USD | 82,866 | 697 | ||||||||||||||
Goldman Sachs International | 12/14/20 | EUR | 71,598 | USD | 71,121 | 477 | ||||||||||||||
Goldman Sachs International | 12/14/20 | EUR | 238,660 | GBP | 237,876 | 784 | ||||||||||||||
Goldman Sachs International | 12/14/20 | USD | 155,824 | EUR | 155,129 | 695 | ||||||||||||||
J.P. Morgan Chase & Co. | 12/03/20 | MXN | 80,643 | USD | 77,866 | 2,777 | ||||||||||||||
J.P. Morgan Chase & Co. | 12/14/20 | EUR | 155,129 | JPY | 153,388 | 1,741 | ||||||||||||||
J.P. Morgan Chase & Co. | 12/14/20 | EUR | 155,129 | USD | 154,538 | 591 | ||||||||||||||
J.P. Morgan Chase & Co. | 12/15/20 | EUR | 89,501 | USD | 88,084 | 1,417 | ||||||||||||||
J.P. Morgan Chase & Co. | 12/14/20 | GBP | 458,403 | EUR | 453,454 | 4,949 | ||||||||||||||
J.P. Morgan Chase & Co. | 12/15/20 | GBP | 33,335 | USD | 32,290 | 1,045 | ||||||||||||||
$ | 26,092 | |||||||||||||||||||
Citigroup Global Markets | 12/21/20 | JPY | 307,878 | AUD | 308,372 | (494 | ) | |||||||||||||
Citigroup Global Markets | 12/15/20 | USD | 185,667 | EUR | 186,282 | (615 | ) | |||||||||||||
Citigroup Global Markets | 12/23/20 | USD | 83,522 | EUR | 83,563 | (41 | ) | |||||||||||||
Citigroup Global Markets | 12/03/20 | USD | 80,066 | MXN | 80,643 | (577 | ) | |||||||||||||
J.P. Morgan Chase & Co. | 12/15/20 | USD | 160,784 | GBP | 163,609 | (2,825 | ) | |||||||||||||
J.P. Morgan Chase & Co. | 12/03/20 | USD | 77,043 | MXN | 77,674 | (631 | ) | |||||||||||||
$ | (5,183 | ) |
FUTURES CONTRACTS
Description | Position | Contracts | Currency | Expiration Date | Notional Amount*** | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
EURO BUND Futures | Short | (4) | EUR | 12/08/20 | $ | (701,000 | ) | $ | 137,221 | ||||||||||||
$ | 137,221 | ||||||||||||||||||||
US 10 Yr Note Futures | Short | (101) | USD | 3/22/21 | (13,955,359 | ) | $ | (19,891 | ) | ||||||||||||
US Ultra T-Bond Futures | Long | 2 | USD | 3/22/21 | 432,063 | (1,836 | ) | ||||||||||||||
$ | (21,727 | ) |
*** | The notional amount of each security is stated in the currency in which the security is denominated. |
See Notes to Financial Statements.
60 | www.shiplp.com |
Stone Harbor Strategic Income Fund | Statements of Investments |
November 30, 2020 (Unaudited) |
CREDIT DEFAULT SWAP CONTRACTS ON CREDIT INDICES ISSUE - BUY PROTECTION (CENTRALLY CLEARED)(1)
Reference Obligations | Clearing House | Fixed Deal Pay Rate | Currency | Maturity Date | Implied Credit Spread at November 30, 2020(2) | Notional Amount***(3) | Value | Upfront Premiums Received/(Paid) | Unrealized Depreciation | |||
Markit CDX IG S35 5Y ICE(4) | Intercontinental Exchange | 1.000% | USD | 12/20/2025 | 0.501% | 1,200,000 | $ | (29,821) | $ | 28,780 | $ | (1,041) |
Markit CDS EM S34 5Y ICE(5) | Intercontinental Exchange | 1.000% | USD | 12/20/2025 | 1.647% | 3,975,000 | 123,567 | (258,375) | (134,808) | |||
$ | 93,746 | $ | (229,595) | $ | (135,849) |
Credit default swaps pay quarterly.
*** | The notional amount of each security is stated in the currency in which the security is denominated. |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. |
(2) | Implied credit spreads, represented in absolute terms are utilized in determining the market value of credit default swap agreements on sovereign issues of an emerging country as of period end, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | Based on an index of 125 North American, equally weighted investment grade issuers that trade in the CDS market. |
(5) | Based on an index of 14 sovereign issues domiciled in Latin America, Eastern Europe, the Middle East and North Africa, and Asia. |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 61 |
Stone Harbor Emerging Markets Debt Allocation Fund | Statements of Investments |
November 30, 2020 (Unaudited)
Currency | Rate | Shares* | Value (Expressed in USD) | ||||||||||||
OPEN-END FUNDS - 99.61% | |||||||||||||||
Stone Harbor Emerging Markets Debt Fund | USD | N/A | 1,664,443 | $ | 16,561,210 | (1) | |||||||||
Stone Harbor Local Markets Fund | USD | N/A | 1,878,287 | 16,773,099 | (1) | ||||||||||
33,334,309 | |||||||||||||||
TOTAL OPEN-END FUNDS | 33,334,309 | ||||||||||||||
(Cost $29,122,836) | |||||||||||||||
SHORT TERM INVESTMENTS - 0.15% | |||||||||||||||
Money Market Fund - 0.15% | |||||||||||||||
State Street Institutional Liquid Reserves Fund - Institutional Class (7-Day SEC Yield) | USD | 0.07 | % | 49,771 | 49,781 | ||||||||||
TOTAL SHORT TERM INVESTMENTS | 49,781 | ||||||||||||||
(Cost $49,781) | |||||||||||||||
Total Investments - 99.76% | 33,384,090 | ||||||||||||||
(Cost $29,172,617) | |||||||||||||||
Other Assets In Excess of Liabilities - 0.24% | 80,269 | ||||||||||||||
Net Assets - 100.00% | $ | 33,464,359 |
* | The shares of each security is stated in the currency in which the security is denominated. |
Currency Abbreviations: | ||
BRL | - | Brazilian Real |
EUR | - | Euro |
COP | - | Colombian Peso |
PLN | - | Polish Zloty |
RUB | - | Russian Ruble |
USD | - | United States Dollar |
(1) | Affiliated with the Fund, as each is a series of Stone Harbor Investment Funds and has the same investment adviser. |
OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS
Counterparty | Settlement Date | Fund Receiving | U.S. $ Value at November 30, 2020 | Fund Delivering | U.S. $ Value at November 30, 2020 | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
Citigroup Global Markets | 12/07/20 | PLN | 167,053 | USD | 165,881 | 1,172 | ||||||||||||||
Citigroup Global Markets | 12/21/20 | RUB | 165,982 | USD | 165,775 | 207 | ||||||||||||||
J.P. Morgan Chase & Co. | 12/02/20 | BRL | 167,059 | USD | 165,587 | 1,472 | ||||||||||||||
J.P. Morgan Chase & Co. | 02/02/21 | BRL | 166,863 | USD | 166,309 | 554 | ||||||||||||||
J.P. Morgan Chase & Co. | 12/21/20 | COP | 166,626 | USD | 165,632 | 994 | ||||||||||||||
J.P. Morgan Chase & Co. | 01/29/21 | EUR | 80,062 | USD | 79,997 | 65 | ||||||||||||||
$ | 4,464 | |||||||||||||||||||
J.P. Morgan Chase & Co. | 12/02/20 | USD | 166,543 | BRL | 167,059 | (516 | ) | |||||||||||||
$ | (516 | ) |
See Notes to Financial Statements.
62 | www.shiplp.com |
Intentionally Left Blank
Stone Harbor Investment Funds | Statements of Assets and Liabilities |
November 30, 2020 (Unaudited)
Stone Harbor Emerging Markets Debt Fund | Stone Harbor High Yield Bond Fund | |||||||
ASSETS: | ||||||||
Investments, at value(1) | $ | 1,200,551,338 | $ | 79,345,893 | ||||
Investments in affiliates, at value(2) | – | – | ||||||
Cash | 5,098,795 | 455,039 | ||||||
Foreign currency, at value (3) | – | – | ||||||
Unrealized appreciation on forward foreign currency contracts | 262,699 | – | ||||||
Deposits with brokers for credit default swap contracts | – | – | ||||||
Deposits with brokers for forward foreign currency contracts | 660,000 | – | ||||||
Cash pledged as collateral for forward commitments | – | – | ||||||
Deposits with brokers for futures contracts | – | – | ||||||
Receivable for investments sold | 5,069,227 | – | ||||||
Receivable for variation margin on future contracts | – | – | ||||||
Receivable for fund shares sold | 6,123,840 | – | ||||||
Receivable from adviser | – | – | ||||||
Interest receivable | 15,529,277 | 1,063,516 | ||||||
Prepaid and other assets | 94,471 | 13,679 | ||||||
Total Assets | 1,233,389,647 | 80,878,127 | ||||||
LIABILITIES: | ||||||||
Bank Overdraft | – | – | ||||||
Payable to broker for credit default swap contracts | – | – | ||||||
Payable for investments purchased | 11,048,638 | 1,418,208 | ||||||
Payable for fund shares redeemed | 1,307 | – | ||||||
Unrealized depreciation on forward foreign currency contracts | 565,145 | – | ||||||
Variation margin payable on credit default swap contracts | – | – | ||||||
Variation margin payable on futures contracts | – | – | ||||||
Payable to adviser | 592,751 | 15,727 | ||||||
Payable to administrator | 94,096 | 31,804 | ||||||
Other payables | 86,754 | 55,017 | ||||||
Total Liabilities | 12,388,691 | 1,520,756 | ||||||
Net Assets | $ | 1,221,000,956 | $ | 79,357,371 | ||||
NET ASSETS CONSIST OF: | ||||||||
Paid-in capital | $ | 1,411,728,062 | $ | 102,814,627 | ||||
Total distributable earnings | (190,727,106 | ) | (23,457,256 | ) | ||||
Net Assets | $ | 1,221,000,956 | $ | 79,357,371 | ||||
PRICING OF SHARES: | ||||||||
Institutional Class | ||||||||
Net Assets | $ | 1,221,000,956 | $ | 79,357,371 | ||||
Shares of beneficial interest outstanding (unlimited number of shares, par value of $0.001 per share authorized) | 122,697,439 | 9,872,079 | ||||||
Net assets value, offering and redemption price per share | $ | 9.95 | $ | 8.04 | ||||
(1)Cost of Investments | $ | 1,175,624,414 | $ | 77,071,247 | ||||
(2)Cost of Investments in affiliates | $ | – | $ | – | ||||
(3)Cost of Investments in foreign cash | $ | – | $ | – |
See Notes to Financial Statements.
64 | www.shiplp.com |
Stone Harbor Investment Funds | Statements of Assets and Liabilities |
November 30, 2020 (Unaudited)
Stone Harbor Local Markets Fund | Stone Harbor Emerging Markets Corporate Debt Fund | Stone Harbor Investment Grade Fund | Stone Harbor Strategic Income Fund | Stone Harbor Emerging Markets Debt Allocation Fund | ||||||||||||||
$ | 160,804,779 | $ | 5,850,115 | $ | 10,949,974 | $ | 206,375 | $ | 49,781 | |||||||||
– | – | – | 30,248,782 | 33,334,309 | ||||||||||||||
– | 8,898 | 126,803 | 26,013 | – | ||||||||||||||
493,815 | – | – | 78,710 | – | ||||||||||||||
626,287 | – | – | 26,092 | 4,464 | ||||||||||||||
– | – | – | 196,632 | – | ||||||||||||||
– | – | – | – | – | ||||||||||||||
– | – | 2,450,000 | – | – | ||||||||||||||
– | – | – | 145,315 | – | ||||||||||||||
12,922,326 | 386 | 2,721 | – | – | ||||||||||||||
– | – | – | 2,833 | – | ||||||||||||||
500 | – | – | – | 1,000 | ||||||||||||||
11,742 | 66,878 | 67,611 | 89,958 | 85,032 | ||||||||||||||
2,960,051 | 82,512 | 46,218 | 16 | 7 | ||||||||||||||
24,400 | 14,321 | 8,712 | 10,168 | 14,514 | ||||||||||||||
177,843,900 | 6,023,110 | 13,652,039 | 31,030,894 | 33,489,107 | ||||||||||||||
121,667 | – | – | – | – | ||||||||||||||
– | – | – | 10,600 | – | ||||||||||||||
2,410,453 | 37,283 | 2,443,550 | – | – | ||||||||||||||
– | – | – | – | – | ||||||||||||||
407,766 | – | – | 5,183 | 516 | ||||||||||||||
– | – | – | 1,623 | – | ||||||||||||||
– | – | – | 26,522 | – | ||||||||||||||
106,725 | – | – | – | – | ||||||||||||||
28,495 | 12,111 | 20,406 | 4,014 | 2,870 | ||||||||||||||
95,773 | 44,415 | 35,514 | 59,295 | 21,362 | ||||||||||||||
3,170,879 | 93,809 | 2,499,470 | 107,237 | 24,748 | ||||||||||||||
$ | 174,673,021 | $ | 5,929,301 | $ | 11,152,569 | $ | 30,923,657 | $ | 33,464,359 | |||||||||
$ | 402,523,327 | $ | 10,157,574 | $ | 10,218,833 | $ | 32,800,975 | $ | 37,271,108 | |||||||||
(227,850,306 | ) | (4,228,273 | ) | 933,736 | (1,877,318 | ) | (3,806,749 | ) | ||||||||||
$ | 174,673,021 | $ | 5,929,301 | $ | 11,152,569 | $ | 30,923,657 | $ | 33,464,359 | |||||||||
$ | 174,673,021 | $ | 5,929,301 | $ | 11,152,569 | $ | 30,923,657 | $ | 33,464,359 | |||||||||
19,553,576 | 654,696 | 1,002,171 | 3,201,331 | 3,502,504 | ||||||||||||||
$ | 8.93 | $ | 9.06 | $ | 11.13 | $ | 9.66 | $ | 9.55 | |||||||||
$ | 161,568,137 | $ | 5,700,347 | $ | 10,396,173 | $ | 206,375 | $ | 49,781 | |||||||||
$ | – | $ | – | $ | – | $ | 29,588,098 | $ | 29,122,836 | |||||||||
$ | 494,095 | $ | – | $ | – | $ | 78,055 | $ | – |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 65 |
Stone Harbor Investment Funds | Statements of Operations |
For the Six Months Ended November 30, 2020 (Unaudited)
Stone Harbor Emerging Markets Debt Fund | Stone Harbor High Yield Bond Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest(1) | $ | 39,745,065 | $ | 1,795,253 | ||||
Dividends | 23,746 | 916 | ||||||
Dividends from affiliated investment companies | – | – | ||||||
Other income | – | – | ||||||
Total Investment Income | 39,768,811 | 1,796,169 | ||||||
EXPENSES: | ||||||||
Operational: | ||||||||
Investment advisory fee | 3,522,229 | 158,572 | ||||||
Administration fees | 352,947 | 22,844 | ||||||
Interest on line of credit | – | – | ||||||
Custodian fees | 51,525 | 11,030 | ||||||
Printing fees | 3,379 | 3,110 | ||||||
Professional fees | 49,611 | 49,736 | ||||||
Trustee fees | 135,464 | 8,069 | ||||||
Transfer agent fees | 10,407 | 10,114 | ||||||
Registration fees | 13,050 | 11,448 | ||||||
Insurance fees | 36,672 | 2,782 | ||||||
Line of credit commitment fee | 98,305 | 5,912 | ||||||
Other | 49,502 | 27,563 | ||||||
Total expenses before waiver/reimbursement | 4,323,091 | 311,180 | ||||||
Less fees waived by investment adviser | – | (98,861 | ) | |||||
Less expenses reimbursed by investment adviser | – | – | ||||||
Total Net Expenses | 4,323,091 | 212,319 | ||||||
Net Investment Income | 35,445,720 | 1,583,850 | ||||||
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: | ||||||||
Net realized gain/(loss) on: | ||||||||
Investments | 11,247,992 | 418,201 | ||||||
Investments - affiliated investment companies | – | – | ||||||
Credit default swap contracts | – | – | ||||||
Futures contracts | – | – | ||||||
Forward foreign currency contracts | (9,542,741 | ) | – | |||||
Foreign currency transactions | (784,601 | ) | – | |||||
Net realized gain/(loss) | 920,650 | 418,201 | ||||||
Change in unrealized appreciation/(depreciation) on: | ||||||||
Investments | 110,066,109 | 3,922,618 | ||||||
Affiliated investment companies | – | – | ||||||
Credit default swap contracts | – | – | ||||||
Futures contracts | – | – | ||||||
Forward foreign currency contracts | 2,694,765 | – | ||||||
Translation of assets and liabilities denominated in foreign currencies | 2,891 | – | ||||||
Net change in unrealized appreciation | 112,763,765 | 3,922,618 | ||||||
Net Realized and Unrealized Gain | 113,684,415 | 4,340,819 | ||||||
Net Increase in Net Assets Resulting from Operations | $ | 149,130,135 | $ | 5,924,669 | ||||
(1)Including Foreign Tax Withholding | $ | 46,470 | $ | 415 |
See Notes to Financial Statements.
66 | www.shiplp.com |
Stone Harbor Investment Funds | Statements of Operations |
For the Six Months Ended November 30, 2020 (Unaudited)
Stone Harbor Local Markets Fund | Stone Harbor Emerging Markets Corporate Debt Fund | Stone Harbor Investment Grade Fund | Stone Harbor Strategic Income Fund | Stone Harbor Emerging Markets Debt Allocation Fund | ||||||||||||||
$ | 6,247,238 | $ | 187,189 | $ | 115,662 | $ | 175 | $ | 129 | |||||||||
2,773 | – | – | – | – | ||||||||||||||
– | – | – | 528,426 | 339,306 | ||||||||||||||
(123 | ) | – | – | – | – | |||||||||||||
6,249,888 | 187,189 | 115,662 | 528,601 | 339,435 | ||||||||||||||
827,389 | 24,740 | 19,313 | 83,731 | 113,311 | ||||||||||||||
69,440 | 5,736 | 7,302 | 13,053 | 12,124 | ||||||||||||||
461 | – | – | – | – | ||||||||||||||
88,143 | 5,213 | 6,589 | 12,674 | 5,651 | ||||||||||||||
3,245 | 3,093 | 3,093 | 3,096 | 3,356 | ||||||||||||||
49,503 | 40,802 | 33,702 | 32,403 | 30,275 | ||||||||||||||
37,442 | 894 | 1,372 | 3,770 | 3,858 | ||||||||||||||
10,276 | 10,064 | 10,037 | 10,067 | 10,098 | ||||||||||||||
12,082 | 10,697 | 10,651 | 10,825 | 10,717 | ||||||||||||||
12,023 | 928 | 350 | 1,005 | 875 | ||||||||||||||
– | 769 | 817 | – | – | ||||||||||||||
17,088 | 10,635 | 17,640 | 6,979 | 4,978 | ||||||||||||||
1,127,092 | 113,571 | 110,866 | 177,603 | 195,243 | ||||||||||||||
(32,864 | ) | (24,740 | ) | (19,313 | ) | (83,371 | ) | (113,311 | ) | |||||||||
– | (58,947 | ) | (63,007 | ) | (84,949 | ) | (79,828 | ) | ||||||||||
1,094,228 | 29,884 | 28,546 | 9,283 | 2,104 | ||||||||||||||
5,155,660 | 157,305 | 87,116 | 519,318 | 337,331 | ||||||||||||||
(14,947,543 | ) | (19,056 | ) | 163,114 | 145 | (40 | ) | |||||||||||
– | – | – | (226,574 | ) | 44,811 | |||||||||||||
– | – | – | (160,960 | ) | – | |||||||||||||
– | – | – | 33,893 | – | ||||||||||||||
636,518 | – | – | 10,834 | 12,132 | ||||||||||||||
(595,937 | ) | – | – | 14,301 | – | |||||||||||||
(14,906,962 | ) | (19,056 | ) | 163,114 | (328,361 | ) | 56,903 | |||||||||||
24,900,275 | 641,776 | 193,210 | (307 | ) | – | |||||||||||||
– | – | – | 2,148,788 | 2,977,672 | ||||||||||||||
– | – | – | (62,751 | ) | – | |||||||||||||
– | – | – | 6,093 | – | ||||||||||||||
384,140 | – | – | 21,058 | (10,799 | ) | |||||||||||||
536,002 | – | – | (2,169 | ) | – | |||||||||||||
25,820,417 | 641,776 | 193,210 | 2,110,712 | 2,966,873 | ||||||||||||||
10,913,455 | 622,720 | 356,324 | 1,782,351 | 3,023,776 | ||||||||||||||
$ | 16,069,115 | $ | 780,025 | $ | 443,440 | $ | 2,301,669 | $ | 3,361,107 | |||||||||
$ | 112,653 | $ | 194 | $ | 56 | $ | – | $ | – |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 67 |
Stone Harbor Investment Funds | Statements of Changes in Net Assets |
Stone Harbor Emerging Markets Debt Fund | ||||||||
For the Six Months Ended November 30, 2020 (Unaudited) | For the Year Ended May 31, 2020 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 35,445,720 | $ | 55,648,140 | ||||
Net realized gain/(loss) | 920,650 | (5,848,902 | ) | |||||
Net change in unrealized appreciation/(depreciation) | 112,763,765 | (74,518,245 | ) | |||||
Net increase/(decrease) in net assets resulting from operations | 149,130,135 | (24,719,007 | ) | |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Institutional Class | ||||||||
From distributable earnings | (25,302,696 | ) | (63,423,170 | ) | ||||
Net decrease in net assets from distributions to shareholders | (25,302,696 | ) | (63,423,170 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Institutional Class | ||||||||
Proceeds from sale of shares | 138,255,567 | 197,125,478 | ||||||
Issued to shareholders in reinvestment of distributions | 24,502,030 | 63,131,106 | ||||||
Cost of shares redeemed | (160,297,510 | ) | (290,174,504 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions | 2,460,087 | (29,917,920 | ) | |||||
Net Increase/(Decrease) in Net Assets | 126,287,526 | (118,060,097 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 1,094,713,430 | 1,212,773,527 | ||||||
End of period | $ | 1,221,000,956 | $ | 1,094,713,430 | ||||
OTHER INFORMATION: | ||||||||
Share Transactions: | ||||||||
Institutional Class | ||||||||
Beginning shares | 122,756,383 | 124,651,898 | ||||||
Shares sold | 14,213,314 | 21,493,749 | ||||||
Shares reinvested | 2,487,218 | 6,635,073 | ||||||
Shares redeemed | (16,759,476 | ) | (30,024,337 | ) | ||||
Shares outstanding - end of period | 122,697,439 | 122,756,383 |
See Notes to Financial Statements.
68 | www.shiplp.com |
Stone Harbor Investment Funds | Statements of Changes in Net Assets |
Stone Harbor High Yield Bond Fund | Stone Harbor Local Markets Fund | Stone Harbor Emerging Markets Corporate Debt Fund | ||||||||||||||||||||
For the Six Months Ended November 30, 2020 (Unaudited) | For the Year Ended May 31, 2020 | For the Six Months Ended November 30, 2020 (Unaudited) | For the Year Ended May 31, 2020 | For the Six Months Ended November 30, 2020 (Unaudited) | For the Year Ended May 31, 2020 | |||||||||||||||||
$ | 1,583,850 | $ | 4,205,671 | $ | 5,155,660 | $ | 25,979,157 | $ | 157,305 | $ | 789,295 | |||||||||||
418,201 | (1,938,060 | ) | (14,906,962 | ) | (43,749,878 | ) | (19,056 | ) | 567,353 | |||||||||||||
3,922,618 | (845,180 | ) | 25,820,417 | 38,843,514 | 641,776 | (578,041 | ) | |||||||||||||||
5,924,669 | 1,422,431 | 16,069,115 | 21,072,793 | 780,025 | 778,607 | |||||||||||||||||
(1,715,813 | ) | (4,235,833 | ) | – | (470,992 | ) | (178,165 | ) | (776,478 | ) | ||||||||||||
(1,715,813 | ) | (4,235,833 | ) | – | (470,992 | ) | (178,165 | ) | (776,478 | ) | ||||||||||||
30,005,198 | 1,968,043 | 25,943,734 | 13,257,529 | – | 16,105,347 | |||||||||||||||||
1,715,813 | 4,069,342 | – | 446,306 | 178,165 | 776,478 | |||||||||||||||||
(22,026,437 | ) | (26,331,883 | ) | (196,936,237 | ) | (424,267,142 | ) | (516,271 | ) | (24,296,159 | ) | |||||||||||
9,694,574 | (20,294,498 | ) | (170,992,503 | ) | (410,563,307 | ) | (338,106 | ) | (7,414,334 | ) | ||||||||||||
13,903,430 | (23,107,900 | ) | (154,923,388 | ) | (389,961,506 | ) | 263,754 | (7,412,205 | ) | |||||||||||||
65,453,941 | 88,561,841 | 329,596,409 | 719,557,915 | 5,665,547 | 13,077,752 | |||||||||||||||||
$ | 79,357,371 | $ | 65,453,941 | $ | 174,673,021 | $ | 329,596,409 | $ | 5,929,301 | $ | 5,665,547 | |||||||||||
8,694,226 | 11,245,195 | 39,528,471 | 86,730,808 | 693,847 | 1,481,930 | |||||||||||||||||
3,787,982 | 252,179 | 3,049,873 | 1,561,353 | – | 1,810,572 | |||||||||||||||||
217,524 | 522,941 | – | 49,922 | 20,185 | 87,081 | |||||||||||||||||
(2,827,653 | ) | (3,326,089 | ) | (23,024,768 | ) | (48,813,612 | ) | (59,336 | ) | (2,685,736 | ) | |||||||||||
9,872,079 | 8,694,226 | 19,553,576 | 39,528,471 | 654,696 | 693,847 |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 69 |
Stone Harbor Investment Funds | Statements of Changes in Net Assets |
OPERATIONS: |
Net investment income |
Net realized gain/(loss) |
Net realized gain/(loss) on investments - affiliated investment companies |
Net change in unrealized appreciation/(depreciation) |
Net increase/(decrease) in net assets resulting from operations |
DISTRIBUTIONS TO SHAREHOLDERS: |
Institutional Class |
From distributable earnings |
Net decrease in net assets from distributions to shareholders |
CAPITAL SHARE TRANSACTIONS: |
Institutional Class |
Proceeds from sale of shares |
Issued to shareholders in reinvestment of distributions |
Cost of shares redeemed |
Net increase/(decrease) in net assets from capital share transactions |
Net Increase/(Decrease) in Net Assets |
NET ASSETS: |
Beginning of period |
End of period |
OTHER INFORMATION: |
Share Transactions: |
Institutional Class |
Beginning shares |
Shares sold |
Shares reinvested |
Shares redeemed |
Shares outstanding - end of period |
See Notes to Financial Statements.
70 | www.shiplp.com |
Stone Harbor Investment Funds | Statements of Changes in Net Assets |
Stone Harbor Investment Grade Fund | Stone Harbor Strategic Income Fund | Stone Harbor Emerging Markets Debt Allocation Fund | ||||||||||||||||||||
For the Six Months Ended November 30, 2020 (Unaudited) | For the Year Ended May 31, 2020 | For the Six Months Ended November 30, 2020 (Unaudited) | For the Year Ended May 31, 2020 | For the Six Months Ended November 30, 2020 (Unaudited) | For the Year Ended May 31, 2020 | |||||||||||||||||
$ | 87,116 | $ | 214,365 | $ | 519,318 | $ | 1,292,190 | $ | 337,331 | $ | 868,130 | |||||||||||
163,114 | 315,577 | (101,787 | ) | (1,133,891 | ) | 12,092 | 328 | |||||||||||||||
– | – | (226,574 | ) | (273,077 | ) | 44,811 | (201,950 | ) | ||||||||||||||
193,210 | 206,340 | 2,110,712 | (501,789 | ) | 2,966,873 | (783,115 | ) | |||||||||||||||
443,440 | 736,282 | 2,301,669 | (616,567 | ) | 3,361,107 | (116,607 | ) | |||||||||||||||
(99,541 | ) | (291,808 | ) | (599,303 | ) | (983,732 | ) | – | (764,332 | ) | ||||||||||||
(99,541 | ) | (291,808 | ) | (599,303 | ) | (983,732 | ) | – | (764,332 | ) | ||||||||||||
– | – | – | – | 997,048 | 6,158,689 | |||||||||||||||||
99,541 | 291,808 | 599,301 | 954,219 | – | 764,332 | |||||||||||||||||
(379,100 | ) | (396,908 | ) | (2,000,000 | ) | (1,221,256 | ) | (2,160,671 | ) | (2,987,875 | ) | |||||||||||
(279,559 | ) | (105,100 | ) | (1,400,699 | ) | (267,037 | ) | (1,163,623 | ) | 3,935,146 | ||||||||||||
64,340 | 339,374 | 301,667 | (1,867,336 | ) | 2,197,484 | 3,054,207 | ||||||||||||||||
11,088,229 | 10,748,855 | 30,621,990 | 32,489,326 | 31,266,875 | 28,212,668 | |||||||||||||||||
$ | 11,152,569 | $ | 11,088,229 | $ | 30,923,657 | $ | 30,621,990 | $ | 33,464,359 | $ | 31,266,875 | |||||||||||
1,027,788 | 1,038,275 | 3,352,727 | 3,392,576 | 3,631,257 | 3,151,919 | |||||||||||||||||
– | – | – | – | 109,399 | 735,646 | |||||||||||||||||
9,004 | 27,495 | 62,737 | 100,687 | – | 82,275 | |||||||||||||||||
(34,621 | ) | (37,982 | ) | (214,133 | ) | (140,536 | ) | (238,152 | ) | (338,583 | ) | |||||||||||
1,002,171 | 1,027,788 | 3,201,331 | 3,352,727 | 3,502,504 | 3,631,257 |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 71 |
Stone Harbor Emerging Markets Debt Fund | Financial Highlights |
For a share outstanding through the periods presented.
Institutional Class | For the Six Months Ended November 30, 2020 | For the Year Ended May 31, 2020 | For the Year Ended May 31, 2019 | For the Year Ended May 31, 2018 | For the Year Ended May 31, 2017 | For the Year Ended May 31, 2016 | ||||||||||||||||||
Net asset value - beginning of period | $ | 8.92 | $ | 9.73 | $ | 9.99 | $ | 10.60 | $ | 10.07 | $ | 10.47 | ||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.29 | 0.47 | 0.56 | 0.58 | 0.56 | 0.77 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.95 | (0.74 | ) | (0.21 | ) | (0.56 | ) | 0.59 | (0.43 | ) | ||||||||||||||
Total income/(loss) from investment operations | 1.24 | (0.27 | ) | 0.35 | 0.02 | 1.15 | 0.34 | |||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||
From net investment income | (0.21 | ) | (0.54 | ) | (0.61 | ) | (0.63 | ) | (0.62 | ) | (0.74 | ) | ||||||||||||
Total distributions | (0.21 | ) | (0.54 | ) | (0.61 | ) | (0.63 | ) | (0.62 | ) | (0.74 | ) | ||||||||||||
Net Increase/(Decrease) in Net Asset Value | 1.03 | (0.81 | ) | (0.26 | ) | (0.61 | ) | 0.53 | (0.40 | ) | ||||||||||||||
Net asset value - end of period | $ | 9.95 | $ | 8.92 | $ | 9.73 | $ | 9.99 | $ | 10.60 | $ | 10.07 | ||||||||||||
Total Return | 13.94 | % | (3.02 | )% | 3.82 | % | 0.08 | % | 11.70 | % | 3.70 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1,221 | $ | 1,095 | $ | 1,213 | $ | 1,207 | $ | 1,442 | $ | 1,573 | ||||||||||||
Ratio of expenses to average net assets without fees waived by investment adviser and expenses reimbursed by investment adviser | 0.74 | %(2) | 0.72 | % | 0.71 | % | 0.71 | % | 0.69 | % | 0.68 | % | ||||||||||||
Ratio of expenses to average net assets with fees waived by investment adviser and expenses reimbursed by investment adviser | 0.74 | %(2)(4) | 0.72 | %(3) | 0.71 | %(3) | 0.71 | %(3) | 0.69 | % | 0.68 | % | ||||||||||||
Ratio of net investment income to average net assets with fees waived by investment adviser and expenses reimbursed by investment adviser | 6.04 | %(2) | 4.89 | % | 5.81 | % | 5.53 | % | 5.37 | % | 7.73 | % | ||||||||||||
Portfolio turnover rate | 60 | % | 118 | % | 104 | % | 108 | % | 114 | % | 90 | % |
(1) | Calculated using average shares throughout the period. |
(2) | Annualized. |
(3) | Includes borrowing costs of 0.01% to average net assets. |
(4) | Includes borrowing costs of 0.02% to average net assets. |
See Notes to Financial Statements.
72 | www.shiplp.com |
Stone Harbor High Yield Bond Fund | Financial Highlights |
For a share outstanding through the periods presented.
Institutional Class | For the Six Months Ended November 30, 2020 (Unaudited) | For the Year Ended May 31, 2020 | For the Year Ended May 31, 2019 | For the Year Ended May 31, 2018 | For the Year Ended May 31, 2017 | For the Year Ended May 31, 2016 | ||||||||||||||||||
Net asset value - beginning of period | $ | 7.53 | $ | 7.88 | $ | 7.91 | $ | 8.31 | $ | 7.91 | $ | 8.68 | ||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.20 | 0.42 | 0.43 | 0.43 | 0.46 | 0.49 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.51 | (0.34 | ) | (0.02 | ) | (0.36 | ) | 0.39 | (0.77 | ) | ||||||||||||||
Total income/(loss) from investment operations | 0.71 | 0.08 | 0.41 | 0.07 | 0.85 | (0.28 | ) | |||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||
From net investment income | (0.20 | ) | (0.43 | ) | (0.44 | ) | (0.47 | ) | (0.45 | ) | (0.49 | ) | ||||||||||||
Total distributions | (0.20 | ) | (0.43 | ) | (0.44 | ) | (0.47 | ) | (0.45 | ) | (0.49 | ) | ||||||||||||
Net Increase/(Decrease) in Net Asset Value | 0.51 | (0.35 | ) | (0.03 | ) | (0.40 | ) | 0.40 | (0.77 | ) | ||||||||||||||
Net asset value - end of period | $ | 8.04 | $ | 7.53 | $ | 7.88 | $ | 7.91 | $ | 8.31 | $ | 7.91 | ||||||||||||
Total Return(2) | 9.50 | % | 0.96 | % | 5.36 | % | 0.87 | % | 10.97 | % | (3.03 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 79 | $ | 65 | $ | 89 | $ | 103 | $ | 160 | $ | 251 | ||||||||||||
Ratio of expenses to average net assets without fees waived by investment adviser and expenses reimbursed by investment adviser | 0.98 | %(3) | 0.88 | % | 0.84 | % | 0.77 | % | 0.67 | % | 0.64 | % | ||||||||||||
Ratio of expenses to average net assets with fees waived by investment adviser and expenses reimbursed by investment adviser | 0.67 | %(3)(5) | 0.66 | %(4) | 0.66 | %(4) | 0.66 | %(4) | 0.65 | % | 0.64 | % | ||||||||||||
Ratio of net investment income to average net assets with fees waived by investment adviser and expenses reimbursed by investment adviser | 4.99 | %(3) | 5.36 | % | 5.51 | % | 5.25 | % | 5.63 | % | 6.06 | % | ||||||||||||
Portfolio turnover rate | 63 | % | 57 | % | 54 | % | 58 | % | 70 | % | 48 | % |
(1) | Calculated using average shares throughout the period. |
(2) | Total returns would have been lower had various fees and expenses not been waived and reimbursed during the period. The total returns in the table represent the rate that an investor would have earned (or lost) on an investment in a Fund (assuming reinvestment of all dividends and distributions). |
(3) | Annualized. |
(4) | Includes borrowing costs of 0.01% to average net assets. |
(5) | Includes borrowing costs of 0.02% to average net assets. |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 73 |
Stone Harbor Local Markets Fund | Financial Highlights |
For a share outstanding through the periods presented.
Institutional Class | For the Six Months Ended November 30, 2020 | For the Year Ended May 31, 2020 | For the Year Ended May 31, 2019 | For the Year Ended May 31, 2018 | For the Year Ended May 31, 2017 | For the Year Ended May 31, 2016 | ||||||||||||||||||
Net asset value - beginning of period | $ | 8.34 | $ | 8.30 | $ | 8.64 | $ | 8.76 | $ | 7.78 | $ | 8.38 | ||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.20 | 0.47 | 0.51 | 0.56 | 0.56 | 0.50 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.39 | (0.42 | ) | (0.74 | ) | (0.59 | ) | 0.42 | (1.10 | ) | ||||||||||||||
Total income/(loss) from investment operations | 0.59 | 0.05 | (0.23 | ) | (0.03 | ) | 0.98 | (0.60 | ) | |||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||
From net investment income | – | (0.01 | ) | (0.11 | ) | (0.09 | ) | – | – | |||||||||||||||
Total distributions | – | (0.01 | ) | (0.11 | ) | (0.09 | ) | – | – | |||||||||||||||
Net Increase/(Decrease) in Net Asset Value | 0.59 | 0.04 | (0.34 | ) | (0.12 | ) | 0.98 | (0.60 | ) | |||||||||||||||
Net asset value - end of period | $ | 8.93 | $ | 8.34 | $ | 8.30 | $ | 8.64 | $ | 8.76 | $ | 7.78 | ||||||||||||
Total Return | 7.07 | %(2) | 0.59 | % | (2.60 | )% | (0.33 | )% | 12.60 | % | (7.16 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 175 | $ | 330 | $ | 720 | $ | 1,048 | $ | 991 | $ | 927 | ||||||||||||
Ratio of expenses to average net assets without fees waived by investment adviser and expenses reimbursed by investment adviser | 1.03 | %(3) | 0.96 | % | 0.90 | % | 0.90 | % | 0.89 | % | 0.88 | % | ||||||||||||
Ratio of expenses to average net assets with fees waived by investment adviser and expenses reimbursed by investment adviser | 1.00 | %(3) | 0.96 | %(4) | 0.90 | %(4) | 0.90 | %(4) | 0.89 | % | 0.88 | % | ||||||||||||
Ratio of net investment income to average net assets with fees waived by investment adviser and expenses reimbursed by investment adviser | 4.69 | %(3) | 5.53 | % | 6.28 | % | 6.13 | % | 6.76 | % | 6.49 | % | ||||||||||||
Portfolio turnover rate | 54 | % | 103 | % | 101 | % | 119 | % | 125 | % | 166 | % |
(1) | Calculated using average shares throughout the period. |
(2) | Total returns would have been lower had various fees and expenses not been waived and reimbursed during the period. The total returns in the table represent the rate that an investor would have earned (or lost) on an investment in a Fund (assuming reinvestment of all dividends and distributions). |
(3) | Annualized. |
(4) | Includes borrowing costs of 0.01% to average net assets. |
See Notes to Financial Statements.
74 | www.shiplp.com |
Stone Harbor Emerging Markets Corporate Debt Fund | Financial Highlights |
For a share outstanding through the periods presented.
Institutional Class | For the Six Months Ended November 30, 2020 | For the Year Ended May 31, 2020 | For the Year Ended May 31, 2019 | For the Year Ended May 31, 2018 | For the Year Ended May 31, 2017 | For the Year Ended May 31, 2016 | ||||||||||||||||||
Net asset value - beginning of period | $ | 8.17 | $ | 8.82 | $ | 8.80 | $ | 9.14 | $ | 8.82 | $ | 9.11 | ||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.24 | 0.42 | 0.45 | 0.44 | 0.41 | 0.43 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.92 | (0.64 | ) | 0.03 | (0.36 | ) | 0.32 | (0.27 | ) | |||||||||||||||
Total income/(loss) from investment operations | 1.16 | (0.22 | ) | 0.48 | 0.08 | 0.73 | 0.16 | |||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||
From net investment income | (0.27 | ) | (0.43 | ) | (0.46 | ) | (0.42 | ) | (0.41 | ) | (0.45 | ) | ||||||||||||
Total distributions | (0.27 | ) | (0.43 | ) | (0.46 | ) | (0.42 | ) | (0.41 | ) | (0.45 | ) | ||||||||||||
Net Increase/(Decrease) in Net Asset Value | 0.89 | (0.65 | ) | 0.02 | (0.34 | ) | 0.32 | (0.29 | ) | |||||||||||||||
Net asset value - end of period | $ | 9.06 | $ | 8.17 | $ | 8.82 | $ | 8.80 | $ | 9.14 | $ | 8.82 | ||||||||||||
Total Return(2) | 14.31 | % | (2.71 | )% | 5.71 | % | 0.80 | % | 8.43 | % | 1.92 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 6 | $ | 6 | $ | 13 | $ | 12 | $ | 13 | $ | 17 | ||||||||||||
Ratio of expenses to average net assets without fees waived by investment adviser and expenses reimbursed by investment adviser | 3.90 | %(3) | 1.95 | % | 2.15 | % | 2.19 | % | 1.91 | % | 1.37 | % | ||||||||||||
Ratio of expenses to average net assets with fees waived by investment adviser and expenses reimbursed by investment adviser | 1.02 | %(3)(5) | 1.01 | %(4) | 1.01 | %(4) | 1.01 | %(4) | 1.00 | % | 1.00 | % | ||||||||||||
Ratio of net investment income to average net assets with fees waived by investment adviser and expenses reimbursed by investment adviser | 5.40 | %(3) | 4.68 | % | 5.21 | % | 4.76 | % | 4.49 | % | 4.93 | % | ||||||||||||
Portfolio turnover rate | 25 | % | 168 | % | 63 | % | 115 | % | 72 | % | 127 | % |
(1) | Calculated using average shares throughout the period. |
(2) | Total returns would have been lower had various fees and expenses not been waived and reimbursed during the period. The total returns in the table represent the rate that an investor would have earned (or lost) on an investment in a Fund (assuming reinvestment of all dividends and distributions). |
(3) | Annualized. |
(4) | Includes borrowing costs of 0.01% to average net assets. |
(5) | Includes borrowing costs of 0.02% to average net assets. |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 75 |
Stone Harbor Investment Grade Fund | Financial Highlights |
For a share outstanding through the periods presented.
Institutional Class | For the Six Months Ended November 30, 2020 | For the Year Ended May 31, 2020 | For the Year Ended May 31, 2019 | For the Year Ended May 31, 2018 | For the Year Ended May 31, 2017 | For the Year Ended May 31, 2016 | ||||||||||||||||||
Net asset value - beginning of period | $ | 10.79 | $ | 10.35 | $ | 10.01 | $ | 10.38 | $ | 10.40 | $ | 10.36 | ||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.09 | 0.21 | 0.21 | 0.20 | 0.18 | 0.16 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.35 | 0.51 | 0.34 | (0.28 | ) | 0.03 | 0.12 | |||||||||||||||||
Total income/(loss) from investment operations | 0.44 | 0.72 | 0.55 | (0.08 | ) | 0.21 | 0.28 | |||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||
From net investment income | (0.10 | ) | (0.21 | ) | (0.21 | ) | (0.20 | ) | (0.19 | ) | (0.15 | ) | ||||||||||||
From net realized gains | – | (0.07 | ) | – | (0.09 | ) | (0.04 | ) | (0.09 | ) | ||||||||||||||
Total distributions | (0.10 | ) | (0.28 | ) | (0.21 | ) | (0.29 | ) | (0.23 | ) | (0.24 | ) | ||||||||||||
Net Increase/(Decrease) in Net Asset Value | 0.34 | 0.44 | 0.34 | (0.37 | ) | (0.02 | ) | 0.04 | ||||||||||||||||
Net asset value - end of period | $ | 11.13 | $ | 10.79 | $ | 10.35 | $ | 10.01 | $ | 10.38 | $ | 10.40 | ||||||||||||
Total Return(2) | 4.09 | % | 7.03 | % | 5.59 | % | (0.81 | )% | 2.07 | % | 2.71 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 11 | $ | 11 | $ | 11 | $ | 11 | $ | 15 | $ | 16 | ||||||||||||
Ratio of expenses to average net assets without fees waived by investment adviser and expenses reimbursed by investment adviser | 2.00 | %(3) | 1.97 | % | 2.02 | % | 1.79 | % | 1.32 | % | 1.40 | % | ||||||||||||
Ratio of expenses to average net assets with fees waived by investment adviser and expenses reimbursed by investment adviser | 0.51 | %(3)(4) | 0.51 | %(4) | 0.51 | %(4) | 0.51 | %(4) | 0.50 | % | 0.50 | % | ||||||||||||
Ratio of net investment income to average net assets with fees waived by investment adviser and expenses reimbursed by investment adviser | 1.57 | %(3) | 1.94 | % | 2.10 | % | 1.91 | % | 1.72 | % | 1.57 | % | ||||||||||||
Portfolio turnover rate | 22 | % | 54 | % | 49 | % | 42 | % | 49 | % | 52 | % |
(1) | Calculated using average shares throughout the period. |
(2) | Total returns would have been lower had various fees and expenses not been waived and reimbursed during the period. The total returns in the table represent the rate that an investor would have earned (or lost) on an investment in a Fund (assuming reinvestment of all dividends and distributions). |
(3) | Annualized. |
(4) | Includes borrowing costs of 0.01% to average net assets. |
See Notes to Financial Statements.
76 | www.shiplp.com |
Stone Harbor Strategic Income Fund | Financial Highlights |
For a share outstanding through the periods presented.
Institutional Class | For the Six Months Ended November 30, 2020 | For the Year Ended May 31, 2020 | For the Year Ended May 31, 2019 | For the Year Ended May 31, 2018 | For the Year Ended May 31, 2017 | For the Year Ended May 31, 2016 | ||||||||||||||||||
Net asset value - beginning of period | $ | 9.13 | $ | 9.58 | $ | 9.64 | $ | 9.90 | $ | 9.57 | $ | 10.05 | ||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.16 | 0.38 | 0.37 | 0.40 | 0.38 | 0.43 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.56 | (0.54 | ) | (0.04 | ) | (0.34 | ) | 0.31 | (0.43 | ) | ||||||||||||||
Total income/(loss) from investment operations | 0.72 | (0.16 | ) | 0.33 | 0.06 | 0.69 | – | |||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||
From net investment income | (0.19 | ) | (0.29 | ) | (0.39 | ) | (0.32 | ) | (0.36 | ) | (0.35 | ) | ||||||||||||
From net realized gains | – | – | – | – | – | (0.13 | ) | |||||||||||||||||
Total distributions | (0.19 | ) | (0.29 | ) | (0.39 | ) | (0.32 | ) | (0.36 | ) | (0.48 | ) | ||||||||||||
Net Increase/(Decrease) in Net Asset Value | 0.53 | (0.45 | ) | (0.06 | ) | (0.26 | ) | 0.33 | (0.48 | ) | ||||||||||||||
Net asset value - end of period | $ | 9.66 | $ | 9.13 | $ | 9.58 | $ | 9.64 | $ | 9.90 | $ | 9.57 | ||||||||||||
Total Return(2) | 7.92 | % | (1.75 | )% | 3.58 | % | 0.60 | % | 7.34 | % | 0.19 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 31 | $ | 31 | $ | 32 | $ | 33 | $ | 37 | $ | 36 | ||||||||||||
Ratio of expenses to average net assets without fees waived by investment adviser and expenses reimbursed by investment adviser | 1.17 | %(3)(4) | 1.12 | %(4) | 1.09 | %(4) | 1.01 | %(4) | 0.94 | %(4) | 0.96 | %(4) | ||||||||||||
Ratio of expenses to average net assets with fees waived by investment adviser and expenses reimbursed by investment adviser | 0.06 | %(3)(4) | 0.08 | %(4) | 0.06 | %(4) | 0.07 | %(4) | 0.11 | %(4) | 0.12 | %(4) | ||||||||||||
Ratio of net investment income to average net assets with fees waived by investment adviser and expenses reimbursed by investment adviser | 3.41 | %(3)(4) | 3.99 | %(4) | 3.94 | %(4) | 4.03 | %(4) | 3.89 | %(4) | 4.46 | %(4) | ||||||||||||
Portfolio turnover rate | 2 | % | 7 | % | 8 | % | 29 | % | 20 | % | 26 | % |
(1) | Calculated using average shares throughout the period. |
(2) | Total returns would have been lower had various fees and expenses not been waived and reimbursed during the period. The total returns in the table represent the rate that an investor would have earned (or lost) on an investment in a Fund (assuming reinvestment of all dividends and distributions). |
(3) | Annualized. |
(4) | Ratio does not include expenses of the mutual funds held in the investment portfolio. |
See Notes to Financial Statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 77 |
Stone Harbor Emerging Markets Debt Allocation Fund | Financial Highlights |
For a share outstanding through the periods presented.
Institutional Class | For the Six Months Ended November 30, 2020 | For the Year Ended May 31, 2020 | For the Year Ended May 31, 2019 | For the Year Ended May 31, 2018 | For the Year Ended May 31, 2017 | For the Year Ended May 31, 2016 | ||||||||||||||||||
Net asset value - beginning of period | $ | 8.61 | $ | 8.95 | $ | 9.25 | $ | 9.55 | $ | 8.90 | $ | 9.36 | ||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.10 | 0.27 | 0.33 | 0.31 | 0.25 | 0.32 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.84 | (0.36 | ) | (0.33 | ) | (0.28 | ) | 0.74 | (0.52 | ) | ||||||||||||||
Total income/(loss) from investment operations | 0.94 | (0.09 | ) | – | 0.03 | 0.99 | (0.20 | ) | ||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||
From net investment income | – | (0.25 | ) | (0.30 | ) | (0.33 | ) | (0.34 | ) | (0.26 | ) | |||||||||||||
Total distributions | – | (0.25 | ) | (0.30 | ) | (0.33 | ) | (0.34 | ) | (0.26 | ) | |||||||||||||
Net Increase/(Decrease) in Net Asset Value | 0.94 | (0.34 | ) | (0.30 | ) | (0.30 | ) | 65.00 | (0.46 | ) | ||||||||||||||
Net asset value - end of period | $ | 9.55 | $ | 8.61 | $ | 8.95 | $ | 9.25 | $ | 9.55 | $ | 8.90 | ||||||||||||
Total Return(2) | 10.92 | % | (1.21 | )% | 0.20 | % | 0.21 | % | 11.51 | % | (1.96 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 33 | $ | 31 | $ | 28 | $ | 28 | $ | 28 | $ | 67 | ||||||||||||
Ratio of expenses to average net assets without fees waived by investment adviser and expenses reimbursed by investment adviser | 1.21 | %(3)(4) | 1.22 | %(4) | 1.21 | %(4) | 1.19 | %(4) | 0.98 | %(4) | 0.87 | %(4) | ||||||||||||
Ratio of expenses to average net assets with fees waived by investment adviser and expenses reimbursed by investment adviser | 0.01 | %(3)(4) | 0.03 | %(4) | 0.05 | %(4) | 0.05 | %(4) | 0.05 | %(4) | 0.06 | %(4) | ||||||||||||
Ratio of net investment income to average net assets with fees waived by investment adviser and expenses reimbursed by investment adviser | 2.08 | %(3)(4) | 2.98 | %(4) | 3.70 | %(4) | 3.21 | %(4) | 2.72 | %(4) | 3.72 | %(4) | ||||||||||||
Portfolio turnover rate | 20 | % | 21 | % | 38 | % | 33 | % | 24 | % | 70 | % |
(1) | Calculated using average shares throughout the period. |
(2) | Total returns would have been lower had various fees and expenses not been waived and reimbursed during the period. The total returns in the table represent the rate that an investor would have earned (or lost) on an investment in a Fund (assuming reinvestment of all dividends and distributions). |
(3) | Annualized. |
(4) | Ratio does not include expenses of the mutual funds held in the investment portfolio. |
See Notes to Financial Statements.
78 | www.shiplp.com |
Stone Harbor Investment Funds | Notes to Financial Statements |
November 30, 2020 (Unaudited)
1. ORGANIZATION
Stone Harbor Investment Funds, which consists of Stone Harbor Emerging Markets Debt Fund, Stone Harbor High Yield Bond Fund, Stone Harbor Local Markets Fund, Stone Harbor Emerging Markets Corporate Debt Fund, Stone Harbor Investment Grade Fund, Stone Harbor Strategic Income Fund, and Stone Harbor Emerging Markets Debt Allocation Fund (each, a “Fund” and together, the “Funds”) is a Massachusetts business trust (the “Trust”), organized on February 20, 2007 and registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Shares of each Fund are currently divided into two classes, designated Institutional Class Shares and Distributor Class Shares. As of the date of this report, Distributor Class shares were not offered for sale in each Fund. The Trust’s Declaration of Trust permits the Trustees to create additional funds and share classes. The Trust also includes the Stone Harbor Emerging Markets Debt Blend Fund which had not commenced operations as of the reporting period.
The Emerging Markets Debt Fund’s investment objective is to maximize total return. The Fund normally will invest at least 80% of its net assets (plus any borrowings made for investment purposes) in Emerging Markets Fixed Income Securities. “Emerging Markets Fixed Income Securities” include fixed income securities and derivative instruments (including, but not limited to, spot and currency contracts, futures, options and swaps) that economically are tied to countries with emerging securities markets or whose performance is linked to those countries’ markets, economies or ability to repay loans. Emerging Markets Fixed Income Securities may be denominated in non-U.S. currencies or the U.S. dollar. A security or instrument is economically tied to an emerging market country if it is principally traded on the country’s securities markets or the issuer is organized or principally operates in the country, derives a majority of its income from its operations within the country or has a majority of its assets within the country. Emerging Markets Fixed Income Securities also include derivatives and other instruments used to hedge or gain exposure to emerging securities markets (for example, futures or other derivatives whose return is based on specific emerging markets securities or indices).
The High Yield Bond Fund’s investment objective is to maximize total return. The Fund will normally invest at least 80% of its net assets (plus any borrowings made for investment purposes) in High Yield Debt Securities. “High Yield Debt Securities” include fixed income securities and derivative instruments (including, but not limited to, spot and currency contracts, futures, options and swaps) rated below investment grade (or, if unrated, of comparable quality as determined by Stone Harbor Investment Partners LP (the “Adviser” or “Stone Harbor”). These types of securities and instruments are commonly referred to as “high yield” securities or “junk bonds,” and may include, among other things, bonds, debentures, notes, equipment trust certificates, commercial paper, commercial loans, preferred stock and other obligations of U.S. and non-U.S. issuers. High Yield Debt Securities also include securities or other instruments whose return is based on the return of high yield securities, including derivative instruments and instruments created to hedge or gain exposure to the high yield markets.
The Local Markets Fund’s investment objective is to maximize total return. The Fund normally will invest at least 80% of its net assets (plus any borrowings made for investment purposes) in Emerging Markets Investments. “Emerging Markets Investments” include fixed income securities and derivative instruments (including, but not limited to, spot and currency contracts, futures, options and swaps) that economically are tied to an emerging market country, which are denominated in the predominant currency of the local market of an emerging market country (an “Emerging Markets Currency”) or whose performance is linked to those countries’ currencies, markets, economies or ability to repay loans. Although under normal circumstances a significant portion of the Fund’s investments will be denominated in Emerging Markets Currencies, Emerging Markets Investments may be denominated in non-Emerging Markets Currencies, including the U.S. dollar. A security or instrument is economically tied to an emerging market country if it is principally traded on the country’s securities markets or the issuer is organized or principally operates in the country, derives a majority of its income from its operations within the country or has a majority of its assets within the country. Emerging Markets Investments also include Emerging Markets Currencies and derivatives and other instruments used to hedge or gain exposure to emerging securities markets or Emerging Markets Currencies (for example, futures or other derivatives whose return is based on specific emerging markets securities, emerging markets indices or Emerging Markets Currencies).
The Emerging Markets Corporate Debt Fund’s investment objective is to maximize total return. The Fund normally will invest at least 80% of its net assets (plus any borrowings made for investment purposes) in Emerging Markets Corporate Debt Investments. “Emerging Markets Corporate Debt Investments” are debt instruments, including loans, issued by corporations or other business organizations that are economically tied to an emerging market country. A corporation or other business organization is economically tied to an emerging market country if it issues securities that are principally traded on the country’s securities markets or if it is organized or principally operates in the country, derives a majority of its income from its operations within the country or has a majority of its assets within the country. Emerging Markets Corporate Debt Investments also include derivative instruments used for hedging purposes or to otherwise gain or reduce long or short exposure to Emerging Markets Corporate Debt Investments.
The Investment Grade Fund’s investment objective is to maximize total return. The Fund invests in various types of fixed income securities and under normal market conditions will invest at least 80% of its net assets (plus any borrowings made for investment purposes) in Investment Grade Debt Securities. “Investment Grade Debt Securities” include fixed income securities that are rated investment grade by any of Moody’s Investors Services, Inc., Standard & Poor’s Rating Services, Fitch Ratings Limited, DBRS or other qualified rating agencies or, if unrated, are determined by the Adviser to be of comparable quality, and derivative instruments related to those securities.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 79 |
Stone Harbor Investment Funds | Notes to Financial Statements |
November 30, 2020 (Unaudited)
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 are diversified funds. 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 the 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 time. 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. Eastern time.
80 | www.shiplp.com |
Stone Harbor Investment Funds | Notes to Financial Statements |
November 30, 2020 (Unaudited)
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 the Fund has the ability to access. |
Level 2— | Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data. |
Level 3— | Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. |
The following is a summary of each Fund’s investments and financial instruments based on the three-tier hierarchy as of November 30, 2020:
Investments in Securities at Value* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Stone Harbor Emerging Markets Debt Fund | ||||||||||||||||
Sovereign Debt Obligations | $ | – | $ | 819,899,187 | $ | – | $ | 819,899,187 | ||||||||
Corporate Bonds | ||||||||||||||||
Indonesia | – | 41,404,968 | 49 | 41,405,017 | ||||||||||||
Other | – | 318,004,416 | – | 318,004,416 | ||||||||||||
Credit Linked Notes | ||||||||||||||||
Iraq | – | – | 8,813,388 | 8,813,388 | ||||||||||||
Short Term Investments | 12,429,330 | – | – | 12,429,330 | ||||||||||||
Total | $ | 12,429,330 | $ | 1,179,308,571 | $ | 8,813,437 | $ | 1,200,551,338 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Assets | ||||||||||||||||
Forward Foreign Currency Contracts | $ | – | $ | 262,699 | $ | – | $ | 262,699 | ||||||||
Liabilities | ||||||||||||||||
Forward Foreign Currency Contracts | – | (565,145 | ) | – | (565,145 | ) | ||||||||||
Total | $ | – | $ | (302,446 | ) | $ | – | $ | (302,446 | ) |
Investments in Securities at Value* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Stone Harbor High Yield Bond Fund | ||||||||||||||||
Corporate Bonds | ||||||||||||||||
Exploration & Production | $ | – | $ | 7,182,546 | $ | 40 | $ | 7,182,586 | ||||||||
Other | – | 67,669,409 | – | 67,669,409 | ||||||||||||
Bank Loans | – | 1,939,049 | – | 1,939,049 | ||||||||||||
Common/Preferred Stocks | 220,561 | – | – | 220,561 | ||||||||||||
Short Term Investments | 2,334,287 | – | – | 2,334,287 | ||||||||||||
Total | $ | 2,554,848 | $ | 76,791,004 | $ | 40 | $ | 79,345,892 |
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 81 |
Stone Harbor Investment Funds | Notes to Financial Statements |
November 30, 2020 (Unaudited)
Investments in Securities at Value* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Stone Harbor Local Markets Fund*** | ||||||||||||||||
Sovereign Debt Obligations | $ | – | $ | 146,139,710 | $ | – | $ | 146,139,710 | ||||||||
Corporate Bonds | – | 11,553,262 | – | 11,553,262 | ||||||||||||
Short Term Investments | 3,111,807 | – | – | 3,111,807 | ||||||||||||
Total | $ | 3,111,807 | $ | 157,692,972 | $ | – | $ | 160,804,779 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Assets | ||||||||||||||||
Forward Foreign Currency Contracts | $ | – | $ | 626,287 | $ | – | $ | 626,287 | ||||||||
Liabilities | ||||||||||||||||
Forward Foreign Currency Contracts | – | (407,766 | ) | – | (407,766 | ) | ||||||||||
Total | $ | – | $ | 218,521 | $ | – | $ | 218,521 |
Investments in Securities at Value* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Stone Harbor Emerging Markets Corporate Debt Fund | ||||||||||||||||
Corporate Bonds | $ | – | $ | 5,761,171 | $ | – | $ | 5,761,171 | ||||||||
Short Term Investments | 88,944 | – | – | 88,944 | ||||||||||||
Total | $ | 88,944 | $ | 5,761,171 | $ | – | $ | 5,850,115 |
Investments in Securities at Value* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Stone Harbor Investment Grade Fund | ||||||||||||||||
Asset Backed/Commercial Mortgage Backed Securities | $ | – | $ | 723,770 | $ | – | $ | 723,770 | ||||||||
U.S. Government Agency Mortgage Backed Securities | – | 2,365,653 | – | 2,365,653 | ||||||||||||
Corporate Bonds | – | 4,804,164 | – | 4,804,164 | ||||||||||||
U.S. Treasury Bonds/Notes | – | 1,909,883 | – | 1,909,883 | ||||||||||||
Short Term Investments | 1,146,504 | – | – | 1,146,504 | ||||||||||||
Total | $ | 1,146,504 | $ | 9,803,470 | $ | – | $ | 10,949,974 |
Investments in Securities at Value* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Stone Harbor Strategic Income Fund*** | ||||||||||||||||
Open-End Funds | $ | 30,248,782 | $ | – | $ | – | $ | 30,248,782 | ||||||||
Short Term Investments | 206,375 | – | – | 206,375 | ||||||||||||
Total | $ | 30,455,157 | $ | – | $ | – | $ | 30,455,157 |
Other Financial Instruments** | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Forward Foreign Currency Contracts | $ | – | $ | 26,092 | $ | – | $ | 26,092 | ||||||||
Future Contracts | 137,221 | – | – | 137,221 | ||||||||||||
Liabilities | ||||||||||||||||
Forward Foreign Currency Contracts | – | (5,183 | ) | – | (5,183 | ) | ||||||||||
Credit Default Swap Contracts | – | (135,849 | ) | – | (135,849 | ) | ||||||||||
Future Contracts | (21,727 | ) | – | – | (21,727 | ) | ||||||||||
Total | $ | 115,494 | $ | (114,940 | ) | $ | – | $ | 554 |
Investments in Securities at Value* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Stone Harbor Emerging Markets Debt Allocation Fund | ||||||||||||||||
Open-End Funds | $ | 33,334,309 | $ | – | $ | – | $ | 33,334,309 | ||||||||
Short Term Investments | 49,781 | – | – | 49,781 | ||||||||||||
Total | $ | 33,384,090 | $ | – | $ | – | $ | 33,384,090 |
82 | www.shiplp.com |
Stone Harbor Investment Funds | Notes to Financial Statements |
November 30, 2020 (Unaudited)
Other Financial Instruments** | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Forward Foreign Currency Contracts | $ | – | $ | 4,464 | $ | – | $ | 4,464 | ||||||||
Liabilities | ||||||||||||||||
Forward Foreign Currency Contracts | – | (516 | ) | – | (516 | ) | ||||||||||
Total | $ | – | $ | 3,948 | $ | – | $ | 3,948 |
* | For detailed 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 from trade date. |
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
Asset Type | Balance as of May 31, 2020 | Accrued Discount/ premium | Return of Capital | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Purchases | Sales Proceeds | Transfer into Level 3 | Transfer Out of Level 3 | Balance as of November 30, 2020 | Net change in unrealized appreciation/ (depreciation) included in the Statements of Operations attributable to Level 3 investments held at November 30, 2020 | |||||||||||||||||||||||||||||||||
Stone Harbor Emerging Markets Debt Fund | ||||||||||||||||||||||||||||||||||||||||||||
Corporate Bonds | $ | 47 | $ | – | $ | – | $ | – | $ | 2 | $ | – | $ | – | $ | – | $ | – | $ | 49 | $ | 2 | ||||||||||||||||||||||
Credit Linked Notes | 8,784,692 | 92,508 | – | 25,484 | 649,754 | – | (739,050 | ) | – | – | 8,813,388 | 649,754 | ||||||||||||||||||||||||||||||||
$ | 8,784,739 | $ | 92,508 | $ | – | $ | 25,484 | $ | 649,756 | $ | – | $ | (739,050 | ) | $ | – | $ | – | $ | 8,813,437 | $ | 649,756 |
Asset Type | Balance as of May 31, 2020 | Accrued Discount/ premium | Return of Capital | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Purchases | Sales Proceeds | Transfer into Level 3 | Transfer Out of Level 3 | Balance as of November 30, 2020 | Net change in unrealized appreciation/ (depreciation) included in the Statements of Operations attributable to Level 3 investments held at November 30, 2020 | |||||||||||||||||||||||||||||||||
Stone Harbor High Yield Bond Fund | ||||||||||||||||||||||||||||||||||||||||||||
Corporate Bonds | $ | 40 | $ | – | $ | – | $ | – | $ | – | $ | – | $ | – | $ | – | $ | – | $ | 40 | $ | – | ||||||||||||||||||||||
$ | 40 | $ | – | $ | – | $ | – | $ | – | $ | – | $ | – | $ | – | $ | – | $ | 40 | $ | – |
All level 3 investments have values determined utilizing third party pricing information without adjustment.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
In the event a Board approved independent pricing service is unable to provide an evaluated price for a security or the Adviser believes the price provided is not reliable, securities of the Funds may be valued at fair value as described above. In these instances the Adviser may seek to find an alternative independent source, such as a broker/dealer to provide a price quote, or by using evaluated pricing models similar to the techniques and models used by the independent pricing service. These fair value measurement techniques may utilize unobservable inputs (Level 3).
On at least a quarterly basis, the Adviser presents the factors considered in determining the fair value measurements and presents that information to the Board which meets at least quarterly.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 83 |
Stone Harbor Investment Funds | Notes to Financial Statements |
November 30, 2020 (Unaudited)
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. During the period ended November 30, 2020, the Stone Harbor Local Markets Fund, when using the line of credit, borrowed an average amount of $2,400,000 at an average interest rate of 1.38%. The remaining Funds did not borrow under the Credit Agreement. Interest and commitment fees on funded and unfunded loans can be found in the Statements of Operations of the applicable Fund. The 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 Markets Debt Allocation Fund and the Stone Harbor Strategic Income Fund. The Credit Agreement will expire on April 30, 2021. As of period end November 30, 2020, there were no outstanding borrowings under the credit agreement.
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.
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Stone Harbor Investment Funds | Notes to Financial Statements |
November 30, 2020 (Unaudited)
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.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 85 |
Stone Harbor Investment Funds | Notes to Financial Statements |
November 30, 2020 (Unaudited)
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. These gain/loss amounts are reflected in the Accumulated net realized gain/loss on investments and Net unrealized appreciation on investments on the Statement of Assets and Liabilities.
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 a 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. A 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 Funds' 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.
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Stone Harbor Investment Funds | Notes to Financial Statements |
November 30, 2020 (Unaudited)
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.
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 year ended May 31, 2020, the Funds did not have a liability for any unrecognized tax benefits. The Funds file U.S. federal, state, and local tax returns as required. The Funds’ tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations which is generally three years after the filing of the tax return for federal purposes and four years for most state returns. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.
3. DERIVATIVE INSTRUMENTS
Risk Exposure and the Use of Derivative Instruments: The Funds’ investment objectives allow the Funds to enter in various types of derivatives contracts. In doing so, the Funds employ strategies in differing combinations to permit them to increase, decrease, or change the level or types of exposure to market factors. Central to those strategies are features inherent to derivatives that may make them more attractive for this purpose than equity or debt securities; they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Funds to pursue their objectives more quickly and efficiently than if they were to make direct purchases or sales of securities capable of affecting a similar response to market factors.
The Funds’ use of derivatives can result in losses due to unanticipated changes in the risk factors described in Note 2 and the overall market. In instances where the Funds are using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Funds, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 87 |
Stone Harbor Investment Funds | Notes to Financial Statements |
November 30, 2020 (Unaudited)
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 November 30, 2020 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 November 30, 2020 in accordance with their investment objectives. Each Fund does so for a variety of reasons including for cash management, hedging or non-hedging purposes in an attempt to achieve investment returns consistent with the Fund’s investment objective. 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 November 30, 2020. 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 OTC 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.
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Stone Harbor Investment Funds | Notes to Financial Statements |
November 30, 2020 (Unaudited)
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 Statements 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 November, 2020 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.
Interest Rate Swap Contracts: Certain Funds entered into interest rate swap agreements during the period ended November, 2020. Interest rate swap contracts involve the exchange by a Fund with another party for their respective commitment to pay or receive interest on the notional amount of principal. Certain forms of interest rate swap agreements may include: (i) interest rate caps, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”, (ii) interest rate floors, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”, (iii) interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels, (iv) callable interest rate swaps, under which the buyer pays an upfront fee in consideration for the right to early terminate the swap transaction in whole, at zero costs and at a predetermined date and time prior to the maturity date, (v) spreadlocks, which allow the interest rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark, or (vi) basis swaps, under which two parties can exchange variable interest rates based on different segments of money markets.
Purchased Options: When the Fund purchases an option, an amount equal to the premium paid by the Fund is 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.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 89 |
Stone Harbor Investment Funds | Notes to Financial Statements |
November 30, 2020 (Unaudited)
The tables below are a summary of the fair valuations of derivative instruments categorized by risk exposure.
Fair values of purchased options, forward foreign currency contracts, credit default swaps, and futures contracts on the Statements of Assets and Liabilities as of November 30, 2020:
Risk Exposure | Location | Fair Value | Location | Fair Value | ||||||||
Stone Harbor Emerging Markets Debt Fund | ||||||||||||
Foreign Exchange Rate Risk (Forward Foreign Currency Contracts) | Unrealized appreciation on forward foreign currency contracts | $ | 262,699 | Unrealized depreciation on forward foreign currency contracts | $ | 565,145 | ||||||
Total | $ | 262,699 | $ | 565,145 | ||||||||
Stone Harbor Local Markets Fund | ||||||||||||
Foreign Exchange Rate Risk (Forward Foreign Currency Contracts) | Unrealized appreciation on forward foreign currency contracts | 626,287 | Unrealized depreciation on forward foreign currency contracts | 407,766 | ||||||||
Total | $ | 626,287 | $ | 407,766 | ||||||||
Stone Harbor Strategic Income Fund | ||||||||||||
Credit Risk (Swap Contracts)* | Unrealized appreciation on credit default swap contracts | – | Unrealized depreciation on credit default swap contracts | 135,849 | ||||||||
Interest Rate Risk (Futures Contracts)** | Unrealized appreciation on futures contracts | 137,221 | Unrealized depreciation on futures contracts | 21,727 | ||||||||
Foreign Exchange Rate Risk (Forward Foreign Currency Contracts) | Unrealized appreciation on forward foreign currency contracts | 26,092 | Unrealized depreciation on forward foreign currency contracts | 5,183 | ||||||||
Total | $ | 163,313 | $ | 162,759 | ||||||||
Stone Harbor Emerging Markets Debt Allocation Fund | ||||||||||||
Foreign Exchange Rate Risk (Forward Foreign Currency Contracts) | Unrealized appreciation on forward foreign currency contracts | 4,464 | Unrealized depreciation on forward foreign currency contracts | 516 | ||||||||
Total | $ | 4,464 | $ | 516 |
* | The value presented includes unrealized appreciation/(depreciation) on over the counter swap contracts and the cumulative gain/(loss) on centrally cleared swap contracts. For centrally cleared swap contracts, the value reflected on the accompanying Statement of Assets and Liabilities is only the unsettled variation margin receivable/(payable) as of November 30, 2020. |
** | The value presented includes cumulative gain/(loss) on open futures contracts and swap contracts; however, the value reflected on the accompanying Statement of Assets and Liabilities is the unsettled variation margin receivable/(payable) and/or unrealized appreciation/(depreciation) as of November 30, 2020. |
The purchased options, forward foreign currency contracts, credit default swap contracts, interest rate swap contracts, and futures contracts average volume during the period ended November 30, 2020 is noted below:
Fund | Purchased Options* | Forward Foreign Currency Contracts Bought** | Forward Foreign Currency Contracts Sold** | Credit Default Swap Contracts*** | Futures Contracts* | |||||||||||||||
Stone Harbor Emerging Markets Debt Fund | $ | 6,632 | $ | (97,194,479 | ) | $ | 12,823,562 | $ | – | $ | – | |||||||||
Stone Harbor Local Markets Fund | – | (34,605,471 | ) | 44,869,447 | – | – | ||||||||||||||
Stone Harbor Strategic Income Fund | – | (1,949,166 | ) | 1,960,377 | 5,185,375 | (14,801,834 | ) | |||||||||||||
Stone Harbor Emerging Markets Debt Allocation Fund | – | (151,178 | ) | 365,771 | – | – |
* | Represents the average market value |
** | Represents the average foreign currency amount translated into U.S. dollars (bought) or sold. |
*** | Represents the average notional value. |
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Stone Harbor Investment Funds | Notes to Financial Statements |
November 30, 2020 (Unaudited)
The effect of purchased options, forward foreign currency contracts, credit default swaps, Interest rate swaps, and futures contracts on the Statements of Operations for the period ended November 30, 2020:
Risk Exposure | Location | Realized Gain/(Loss) on Derivatives | Location | Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||
Stone Harbor Emerging Markets Debt Fund | ||||||||||||
Currency Risk (Purchased Options) | Net realized gain/(loss) on investments | $ | (898,304 | ) | Change in unrealized appreciation/depreciation on investments | $ | 828,227 | |||||
Foreign Exchange Rate Risk (Forward Foreign Currency Contracts) | Net realized gain/(loss) on forward foreign currency contracts | (9,542,741 | ) | Change in unrealized appreciation/(depreciation) on forward foreign currency contracts | 2,694,765 | |||||||
Total | $ | (10,441,045 | ) | $ | 3,522,992 | |||||||
Stone Harbor Local Markets Fund | ||||||||||||
Foreign Exchange Rate Risk (Forward Foreign Currency Contracts) | Net realized gain/(loss) on forward foreign currency contracts | 636,518 | Change in unrealized appreciation/(depreciation) on forward foreign currency contracts | 384,140 | ||||||||
Total | $ | 636,518 | $ | 384,140 | ||||||||
Stone Harbor Strategic Income Fund | ||||||||||||
Credit Risk (Swap Contracts) | Net realized gain/(loss) on credit default swap contracts | (160,960 | ) | Change in unrealized appreciation/(depreciation) on credit default swap contracts | (62,751 | ) | ||||||
Interest Rate Risk (Futures Contracts) | Net realized gain/(loss) on futures contracts | 33,893 | Change in unrealized appreciation/(depreciation) on futures contracts | 6,093 | ||||||||
Foreign Exchange Rate Risk (Forward Foreign Currency Contracts) | Net realized gain/(loss) on forward foreign currency contracts | 10,834 | Change in unrealized appreciation/(depreciation) on forward foreign currency contracts | 21,058 | ||||||||
Total | $ | (116,233 | ) | $ | (35,600 | ) | ||||||
Stone Harbor Emerging Markets Debt Allocation Fund | ||||||||||||
Foreign Exchange Rate Risk (Forward Foreign Currency Contracts) | Net realized gain/(loss) on forward foreign currency contracts | 12,132 | Change in unrealized appreciation/(depreciation) on forward foreign currency contracts | (10,799 | ) | |||||||
Total | $ | 12,132 | $ | (10,799 | ) |
Offsetting Arrangements: Certain derivative contracts are executed under standardized netting agreements. A derivative netting arrangement creates an enforceable right of set-off that becomes effective, and affects the realization of settlement on individual assets, liabilities and collateral amounts, only following a specified event of default or early termination. Default events may include the failure to make payments or deliver securities timely, material adverse changes in financial condition or insolvency, the breach of minimum regulatory capital requirements, or loss of license, charter or other legal authorization necessary to perform under the contract. These agreements mitigate counterparty credit risk by providing for a single net settlement with a counterparty of all financial transactions covered by the agreement in an event of default as defined under such agreement.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 91 |
Stone Harbor Investment Funds | Notes to Financial Statements |
November 30, 2020 (Unaudited)
The following table presents derivative financial instruments that are subject to enforceable netting arrangements, collateral arrangements or other similar agreements as of November 30, 2020.
Offsetting of Derivatives Assets | ||||||||||||||||||||||||
November 30, 2020 | ||||||||||||||||||||||||
Gross Amounts Not Offset in the Statements of Assets and Liabilities | ||||||||||||||||||||||||
Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statements of Assets and Liabilities | Net Amounts Presented in the Statements of Assets and Liabilities | Financial Instruments Available for Offset(a) | Cash Collateral Received(a) | Net Amount Receivable | |||||||||||||||||||
Stone Harbor Emerging Markets Debt Fund | ||||||||||||||||||||||||
Forward foreign currency contracts | $ | 262,699 | $ | – | $ | 262,699 | $ | (262,699 | ) | $ | – | $ | – | |||||||||||
Total | $ | 262,699 | $ | – | $ | 262,699 | $ | (262,699 | ) | $ | – | $ | – | |||||||||||
Stone Harbor Local Markets Fund | ||||||||||||||||||||||||
Forward foreign currency contracts | $ | 626,287 | $ | – | $ | 626,287 | $ | (407,766 | ) | $ | – | $ | 218,521 | |||||||||||
Total | $ | 626,287 | $ | – | $ | 626,287 | $ | (407,766 | ) | $ | – | $ | 218,521 | |||||||||||
Stone Harbor Strategic Income Fund | ||||||||||||||||||||||||
Forward foreign currency contracts | $ | 26,092 | $ | – | $ | 26,092 | $ | (5,183 | ) | $ | – | $ | 20,909 | |||||||||||
Total | $ | 26,092 | $ | – | $ | 26,092 | $ | (5,183 | ) | $ | – | $ | 20,909 | |||||||||||
Stone Harbor Emerging Markets Debt Allocation Fund | ||||||||||||||||||||||||
Forward foreign currency contracts | $ | 4,464 | $ | – | $ | 4,464 | $ | (516 | ) | $ | – | $ | 3,948 | |||||||||||
Total | $ | 4,464 | $ | – | $ | 4,464 | $ | (516 | ) | $ | – | $ | 3,948 |
Offsetting of Derivatives Liabilities | ||||||||||||||||||||||||
Gross Amounts Not Offset in the Statements of Assets and Liabilities | ||||||||||||||||||||||||
Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statements of Assets and Liabilities | Net Amounts Presented in the Statements of Assets and Liabilities | Financial Instruments Available for Offset(a) | Cash Collateral Pledged(a) | Net Amount Payable | |||||||||||||||||||
Stone Harbor Emerging Markets Debt Fund | ||||||||||||||||||||||||
Forward foreign currency contracts | $ | 565,145 | $ | – | $ | 565,145 | $ | (262,699 | ) | $ | – | $ | 302,446 | |||||||||||
Total | $ | 565,145 | $ | – | $ | 565,145 | $ | (262,699 | ) | $ | – | $ | 302,446 | |||||||||||
Stone Harbor Local Markets Fund | ||||||||||||||||||||||||
Forward foreign currency contracts | $ | 407,766 | $ | – | $ | 407,766 | $ | (407,776 | ) | $ | – | $ | – | |||||||||||
Total | $ | 407,766 | $ | – | $ | 407,766 | $ | (407,776 | ) | $ | – | $ | – | |||||||||||
Stone Harbor Strategic Income Fund | ||||||||||||||||||||||||
Forward foreign currency contracts | $ | 5,183 | $ | – | $ | 5,183 | $ | (5,183 | ) | $ | – | $ | – | |||||||||||
Total | $ | 5,183 | $ | – | $ | 5,183 | $ | (5,183 | ) | $ | – | $ | – | |||||||||||
Stone Harbor Emerging Markets Debt Allocation Fund | ||||||||||||||||||||||||
Forward foreign currency contracts | $ | 516 | $ | – | $ | 516 | $ | (516 | ) | $ | – | $ | – | |||||||||||
Total | $ | 516 | $ | – | $ | 516 | $ | (516 | ) | $ | – | $ | – |
(a) | These amounts are limited to the derivatives asset/liability balance and, accordingly, do not include excess collateral received/pledged. |
4. TAX BASIS INFORMATION
Tax Basis of Distributions to Shareholders: Net investment income/ (loss) and net realized gain/ (loss) may differ for financial statement and tax purposes. The character of distributions made during the year from net investment income or net realized gains may differ from its ultimate characterization for federal income tax purposes. Also, due to the timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or realized gain was recorded by a Fund. The amounts and characteristics of tax basis distributions and composition of distributable earnings/(accumulated losses) are finalized at fiscal year-end. Accordingly, tax basis balances have not been determined as of November 30, 2020.
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Stone Harbor Investment Funds | Notes to Financial Statements |
November 30, 2020 (Unaudited)
The tax character of the distributions paid by the Funds during the periods ended May 31, here as follow:
Stone Harbor Emerging Markets Debt Fund | 2020 | |||
Ordinary Income | $ | 63,423,170 | ||
Total | $ | 63,423,170 | ||
Stone Harbor High Yield Bond Fund | 2020 | |||
Ordinary Income | $ | 4,235,833 | ||
Total | $ | 4,235,833 | ||
Stone Harbor Local Markets Fund | 2020 | |||
Ordinary Income | $ | 470,992 | ||
Total | $ | 470,992 | ||
Stone Harbor Emerging Markets Corporate Debt Fund | 2020 | |||
Ordinary Income | $ | 776,478 | ||
Total | $ | 776,478 | ||
Stone Harbor Investment Grade Fund | 2020 | |||
Ordinary Income | $ | 291,808 | ||
Total | $ | 291,808 | ||
Stone Harbor Strategic Income Fund | 2020 | |||
Ordinary Income | $ | 983,732 | ||
Total | $ | 983,732 | ||
Stone Harbor Emerging Markets Debt Allocation Fund | 2020 | |||
Ordinary Income | $ | 764,332 | ||
Total | $ | 764,332 |
Unrealized Appreciation and Depreciation on Investments: At November 30, 2020, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were as follows:
Stone Harbor Emerging Markets Debt Fund | ||||
Gross appreciation on investments (excess of value over tax cost) | $ | 91,919,813 | ||
Gross depreciation on investments (excess of tax cost over value) | (69,511,346 | ) | ||
Net unrealized appreciation | $ | 22,408,467 | ||
Cost of investments for income tax purposes | $ | 1,177,840,425 | ||
Stone Harbor High Yield Bond Fund | ||||
Gross appreciation on investments (excess of value over tax cost) | $ | 3,294,686 | ||
Gross depreciation on investments (excess of tax cost over value) | (1,283,540 | ) | ||
Net unrealized appreciation | $ | 2,011,146 | ||
Cost of investments for income tax purposes | $ | 77,334,747 |
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 93 |
Stone Harbor Investment Funds | Notes to Financial Statements |
November 30, 2020 (Unaudited)
Stone Harbor Local Markets Fund | ||||
Gross appreciation on investments (excess of value over tax cost) | $ | 8,379,446 | ||
Gross depreciation on investments (excess of tax cost over value) | (11,336,930 | ) | ||
Net unrealized depreciation | $ | (2,957,484 | ) | |
Cost of investments for income tax purposes | $ | 163,980,784 | ||
Stone Harbor Emerging Markets Corporate Debt Fund | ||||
Gross appreciation on investments (excess of value over tax cost) | $ | 410,152 | ||
Gross depreciation on investments (excess of tax cost over value) | (275,820 | ) | ||
Net unrealized appreciation | $ | 134,332 | ||
Cost of investments for income tax purposes | $ | 5,715,783 | ||
Stone Harbor Investment Grade Fund | ||||
Gross appreciation on investments (excess of value over tax cost) | $ | 573,070 | ||
Gross depreciation on investments (excess of tax cost over value) | (19,269 | ) | ||
Net unrealized appreciation | $ | 553,801 | ||
Cost of investments for income tax purposes | $ | 10,396,173 | ||
Stone Harbor Strategic Income Fund | ||||
Gross appreciation on investments (excess of value over tax cost) | $ | 879,693 | ||
Gross depreciation on investments (excess of tax cost over value) | (803,714 | ) | ||
Net unrealized appreciation | $ | 75,979 | ||
Cost of investments for income tax purposes | $ | 30,215,199 | ||
Stone Harbor Emerging Markets Debt Allocation Fund | ||||
Gross appreciation on investments (excess of value over tax cost) | $ | 3,798,175 | ||
Gross depreciation on investments (excess of tax cost over value) | (21 | ) | ||
Net unrealized appreciation | $ | 3,798,154 | ||
Cost of investments for income tax purposes | $ | 29,585,936 |
5. ADVISORY FEES
Stone Harbor Investment Partners LP is the Trust’s investment adviser. Under the investment advisory agreement the Trust pays an investment advisory fee calculated daily and paid monthly of 0.60%, 0.50%, 0.75%, 0.85%, 0.35%, 0.55%, and 0.70% of the average daily net assets for Stone Harbor Emerging Markets Debt Fund, Stone Harbor High Yield Bond Fund, Stone Harbor Local Markets Fund, Stone Harbor Emerging Markets Corporate Debt Fund, Stone Harbor Investment Grade Fund, Stone Harbor Strategic Income Fund, and Stone Harbor Emerging Markets Debt Allocation Fund, respectively.
The Adviser has contractually agreed to waive investment advisory fees and reimburse other expenses with respect to each of the Funds so that the Net Annual Operating Expenses (exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, borrowing costs, organizational and extraordinary expenses) of the Stone Harbor Emerging Markets Debt Fund Institutional Class, Stone Harbor High Yield Bond Fund Institutional Class, Stone Harbor Local Markets Fund Institutional Class, Stone Harbor Emerging Markets Corporate Debt Fund Institutional Class, and Stone Harbor Investment Grade Fund Institutional Class, will not exceed 0.75%, 0.65%, 1.00%, 1.00%, and 0.50%, respectively. The Adviser has contractually agreed to waive fees and reimburse expenses with respect to the Stone Harbor Strategic Income Fund Institutional Class and Stone Harbor Emerging Markets Debt Allocation Fund Institutional Class, so that the Net Annual Operating Expenses (inclusive of acquired fund fees and expenses of Stone Harbor-advised funds but exclusive of acquired fund fees and expenses of non-Stone Harbor-advised funds, brokerage expenses, interest expense, taxes, borrowing costs, organizational and extraordinary expenses) will not exceed 0.70% and 0.85%, respectively. The fee waiver agreements are in effect through September 30, 2021 and are reevaluated on an annual basis.
The Adviser will be permitted to recover, on a class by class basis, fees and expenses it has borne through the agreement described above to the extent that a Fund’s expenses in later periods fall below the annual rates set forth in the relevant agreement; provided that the amount of such recovered fees and expenses does not cause the total annual operating expenses in any such year to exceed the applicable limits described above or any other lower limit then in effect. A Fund will not be obligated to pay any such deferred fees and expenses more than three years after the end of the fiscal year in which the fee and expense was deferred. At November 30, 2020, deferred fees and expenses eligible to be recovered will expire at the end of May as follows:
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Stone Harbor Investment Funds | Notes to Financial Statements |
November 30, 2020 (Unaudited)
2021 | 2022 | 2023 | Total | |||||||||||||
Stone Harbor High Yield Bond Fund | $ | 139,187 | $ | 168,393 | $ | 172,784 | $ | 480,364 | ||||||||
Stone Harbor Emerging Markets Corporate Debt Fund | 141,504 | 150,050 | 158,627 | 450,181 | ||||||||||||
Stone Harbor Investment Grade Fund | 156,452 | 157,767 | 161,384 | 475,603 | ||||||||||||
Stone Harbor Strategic Income Fund | 345,886 | 331,575 | 336,892 | 1,014,353 | ||||||||||||
Stone Harbor Emerging Markets Debt Allocation Fund | 336,034 | 339,291 | 348,402 | 1,023,727 |
6. INVESTMENTS
For the period ended November 30, 2020, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments and U.S. Government Obligations) were as follows:
Purchases | Sales | |||||||
Stone Harbor Emerging Markets Debt Fund | $ | 670,126,544 | $ | 681,295,852 | ||||
Stone Harbor High Yield Bond Fund | 48,536,049 | 40,153,706 | ||||||
Stone Harbor Local Markets Fund | 109,614,639 | 262,429,036 | ||||||
Stone Harbor Emerging Markets Corporate Debt Fund | 1,420,796 | 1,757,786 | ||||||
Stone Harbor Investment Grade Fund | 1,721,777 | 2,657,643 | ||||||
Stone Harbor Strategic Income Fund | 528,426 | 2,000,000 | ||||||
Stone Harbor Emerging Markets Debt Allocation Fund | 6,467,822 | 7,290,506 |
For the period ended November 30, 2020 the aggregate cost of purchases and proceeds from sales of U.S. Government Obligations were as follows:
Purchases | Sales | |||||||
Stone Harbor Investment Grade Fund | $ | – | $ | 400,000 |
7. 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 November 30, 2020 were as follows:
Stone Harbor Strategic Income Fund | |||||||||||||||||||||||||
Security Name | Market Value as of | Purchases | Sales | Change in Unrealized Gain (Loss) | Realized Gain/Loss | Market Value as of November 30, 2020 | Share Balance as of November 30, 2020 | Dividends | |||||||||||||||||
Stone Harbor Emerging Markets | |||||||||||||||||||||||||
Corporate Debt Fund | $ | 1,563,414 | $ | 46,514 | $ | (174,407 | ) | $ | 171,123 | $ | (9,995 | ) | $ | 1,596,649 | 176,231 | $ | 46,514 | ||||||||
Stone Harbor Emerging Markets Debt Fund | 6,934,246 | 147,994 | (721,858 | ) | 838,084 | (74,095 | ) | 7,124,371 | 716,017 | 147,994 | |||||||||||||||
Stone Harbor High Yield Bond Fund | 9,443,594 | 234,492 | (673,252 | ) | 765,145 | (163,577 | ) | 9,606,402 | 1,194,826 | 234,492 | |||||||||||||||
Stone Harbor Investment Grade Fund | 11,077,448 | 99,427 | (379,101 | ) | 321,919 | 21,581 | 11,141,274 | 1,001,013 | 99,426 | ||||||||||||||||
Stone Harbor Local Markets Fund | 779,440 | – | (51,383 | ) | 52,517 | (488 | ) | 780,086 | 87,356 | – | |||||||||||||||
$ | 29,798,142 | $ | 2,148,788 | $ | (226,574 | ) | $ | 30,248,782 | $ | 528,426 |
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 95 |
Stone Harbor Investment Funds | Notes to Financial Statements |
November 30, 2020 (Unaudited)
Stone Harbor Emerging Markets Debt Allocation Fund | |||||||||||||||||||||||||
Security Name | Market Value as of May 31, 2020 | Purchases | Sales | Change in Unrealized Gain (Loss) | Realized Gain/Loss | Market Value as of November 30, 2020 | Share Balance as of November 30, 2020 | Dividends | |||||||||||||||||
Stone Harbor Emerging Markets Debt Fund | $ | 18,093,041 | $ | 1,825,702 | $ | (5,292,725 | ) | $ | 1,935,316 | $ | (124 | ) | $ | 16,561,210 | 1,664,443 | $ | 339,306 | ||||||||
Stone Harbor Local Markets Fund | 13,041,468 | 4,642,121 | (1,997,781 | ) | 1,042,356 | 44,935 | 16,773,099 | 1,878,287 | – | ||||||||||||||||
$ | 31,134,509 | $ | 2,977,672 | $ | 44,811 | $ | 33,334,309 | $ | 339,306 |
The Emerging Markets Debt Fund and the Local Markets Fund engaged in cross trades with an affiliate during the period ended November 30, 2020 pursuant to Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds to which the Adviser serves as the investment adviser. The Board of Trustees previously adopted procedures that apply to transactions between the Portfolios pursuant to Rule 17a-7. At its regularly scheduled meetings, the Trustees review such transactions as of the most current calendar quarter for compliance with the requirements set forth by Rule 17a-7 and the Funds’ procedures. The procedures require that the transactions be a purchase or sale for no consideration other than cash payment against prompt delivery of a security for which market quotations are readily available, and be consistent with the investment policies of the funds involved. For the period ended November 30, 2020, the Emerging Markets Debt Fund purchased securities from another fund for which the Adviser is the investment Adviser in the amount of $192,405 and the Local Markets Fund sold securities to another fund for which the Adviser is the investment Adviser in the amount of $1,608,976, resulting in a gain of $70,878.
8. SHARES OF BENEFICIAL INTEREST
At November 30, 2020, the Trust had an unlimited number of shares of beneficial interest authorized with a par value of $0.001 per share. The Funds have the ability to issue multiple classes of shares. Each share of a class represents an identical interest and has the same rights, except that each class bears certain direct expenses, including those specifically related to the distribution of its shares. Transactions in shares of the Institutional Class can be found on the Statements of Changes in Net Assets.
9. BENEFICIAL OWNERSHIP
As of November 30, 2020, IMF Retired Staff Benefits owned beneficially 75% of the Stone Harbor High Yield Bond Fund’s outstanding shares, an individual shareholder owned beneficially 47% of the Stone Harbor Local Markets Fund’s outstanding shares, two individual shareholders owned beneficially 51% and 27% of the Stone Harbor Emerging Markets Debt Allocation Fund’s outstanding shares, the Stone Harbor Strategic Income Fund owned beneficially 99% of the Stone Harbor Investment Grade Fund’s outstanding shares, an individual shareholder owned 73% and affiliated persons owned an aggregate of 18% of the Stone Harbor Strategic Income Fund’s outstanding shares, and two individual shareholders held 27% and 73% of the Stone Harbor Emerging Markets Corporate Bond Fund’s outstanding shares.
10. INDEMNIFICATIONS
Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liability arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that may contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred.
11. OTHER
The Funds, along with the Stone Harbor Emerging Markets Total Income Fund and the Stone Harbor Emerging Markets Income Fund (the “Stone Harbor Fund Complex”) pays each Trustee who is not an interested person, of the Investment Adviser or any of its affiliates an aggregate fee of $84,000 per year. The Chair of the Audit Committee of the Board receives additional compensation of $5,000 per year for his service as chair. These fees were allocated over the Stone Harbor Fund Complex based on the average net assets of each fund. Interested Trustees of the Trust are not compensated by the Stone Harbor Fund Complex. All Trustees are reimbursed for reasonable travel and out-of-pocket expenses incurred to attend such meetings. Officers of the Funds do not receive compensation for performing the duties of their office.
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Stone Harbor Investment Funds | Notes to Financial Statements |
November 30, 2020 (Unaudited)
12. CORONAVIRUS (COVID-19) PANDEMIC
An outbreak of respiratory disease caused by a novel coronavirus designated as COVID-19 has resulted in, among other things, extreme volatility in the financial markets and severe losses, reduced liquidity of many instruments, significant travel restrictions, significant disruptions to business operations, supply chains and customer activity, lower consumer demand for goods and services, service and event cancellations, reductions and other changes, strained healthcare systems, as well as general concern and uncertainty. The impact of the COVID-19 outbreak has negatively affected the global economy, the economies of individual countries, and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways. Pandemics may also exacerbate other pre-existing political, social, economic, market and financial risks. The effects of the outbreak in developing or emerging market countries may be greater due to less established health care systems and supply chains. The COVID-19 pandemic and its effects may be short term or may result in a sustained economic downturn or a global recession, ongoing market volatility and/or decreased liquidity in the financial markets, exchange trading suspensions and closures, higher default rates, domestic and foreign political and social instability and damage to diplomatic and international trade relations. The foregoing could impair the 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.
13. NEW ACCOUNTING PRONOUNCEMENTS
In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, Reference Rate Reform (Topic 848) - Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in the ASU provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank offered reference rates as of the end of 2021. The ASU is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and believes the adoption of this ASU will not have a material impact on the financial statements.
In October 2020, FASB issued Accounting Standards Update No. 2020-08 (“U 2020-08” “Receivables - Nonrefundable Fees and Other Costs (Codification Improvements Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities” ASU 2020-08 is an update of ASU No. 2017-08, which amends the amortization period of certain purchased callable debt securities held at a premium. ASU 2020-08 updates the amortization period for callable debt securities to be amortized to the next call date. For purposes of this update, the next call date is the first date when a call option at a specified price becomes exercisable. Once that date has passed, the next call date is when the next call option at a specified price becomes exercisable, if applicable. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2020. Management has evaluated the implication of the additional disclosure requirement and determined that there is no impact to the Funds’ financial statements.
14. SUBSEQUENT EVENTS
Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has determined that there were no subsequent events to report through the issuance of these financial statements.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 97 |
Stone Harbor Investment Funds | Additional Information |
November 30, 2020 (Unaudited)
FUND PORTFOLIO HOLDINGS
Each Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. Each Fund's Form N-PORT reports are available on the SEC's website at http://www.sec.gov.
PROXY VOTING
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how the Funds voted proxies relating to portfolio securities for the 12-month period ended June 30 are available without a charge, upon request, by contacting Stone Harbor Investment Funds at 1-866-699-8158 or on the SEC website at http://www.sec.gov.
BENCHMARK DESCRIPTIONS
Index | Description |
Bloomberg Barclays U.S. Aggregate Index | The Bloomberg Barclays U.S. Aggregate Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. |
Bloomberg Barclays Global Credit Index (Hedged USD) | Bloomberg Barclays Global Credit Index is a subset of the Global Aggregate Index and is subject to the same quality, liquidity, and maturity requirements and exclusion rules of the latter. Constituents must be rated investment grade by at least two of the three major ratings agencies. Constituents must have a remaining maturity of at least one year. The index does not include convertibles, floating-rate notes, fixed-rate perpetuals, warrants, linked bonds, and structured products. |
ICE BofAML US High Yield Constrained Index | The ICE BofAML US High Yield Constrained Index contains all securities in ICE BofAML US High Yield Index but caps issuer exposure at 2%. Index constituents are capitalization-weighted, based on their current amount outstanding, provided the total allocation to an individual issuer does not exceed 2%. Issuers that exceed the limit are reduced to 2% and the face value of each of their bonds is adjusted on a pro-rata basis. Similarly, the face values of bonds of all other issuers that fall below the 2% cap are increased on a pro-rata basis. In the event there are fewer than 50 issuers in the Index, each is equally weighted and the face values of their respective bonds are increased or decreased on a pro-rata basis. |
JPMorgan CEMBI Broad Diversified Index | The JPMorgan CEMBI Broad Diversified tracks total returns of U.S. dollar-denominated debt instruments issued by corporate entities in emerging market countries and consists of an investable universe of corporate bonds. The minimum amount outstanding required is $350 mm for the CEMBI Broad Diversified. The CEMBI Broad Diversified limits the weights of those index countries with larger corporate debt stocks by only including a specified portion of these countries’ eligible current face amounts of debt outstanding. |
JPMorgan EMBI Global Diversified Index | The JPMorgan EMBI Global Diversified (EMBI Global Diversified) tracks total returns for U.S. dollar-denominated debt instruments issued by emerging markets sovereign and quasi-sovereign entities: Brady bonds, loans, and Eurobonds. The index limits the weights of those index countries with larger debt stocks by only including specified portions of these countries' eligible current face amounts outstanding. The countries covered in the EMBI Global Diversified are identical to those covered by the EMBI Global. |
JPMorgan GBI EM Global Diversified Index | The JPMorgan GBI EM Global Diversified consists of regularly traded, liquid fixed-rate, domestic currency government bonds to which international investors can gain exposure. The weightings among the countries are more evenly distributed within this index. |
SPECIAL RISKS RELATED TO CYBER SECURITY
With the increased use of technologies such as the Internet and the dependence on computer systems to perform necessary business functions, the Funds and their service providers are susceptible to operational and information security risks. In general, cyber incidents can result from deliberate attacks or unintentional events. Cyber attacks include, but are not limited to, gaining unauthorized access to digital systems for purposes of misappropriating assets or sensitive information, corrupting data, or causing operational disruption. Cyber attacks may also be carried out in a manner that does not require gaining unauthorized access, such as causing denial-of-service attacks on websites. Cyber security and other operational and technology failures or breaches of a Fund's service providers (including, but not limited to, the Adviser, the administrator, the transfer agent and the custodian) or the issuers of securities in which the Funds invest, have the ability to cause disruptions and impact business operations, potentially resulting in financial losses, the inability of Fund shareholders to transact business, delays or mistakes in the calculation of the Funds' NAV or other materials provided to shareholders, violations of applicable privacy and other laws, regulatory fines, penalties, reputational damage, reimbursement or other compensation costs, and/or additional compliance costs. The Adviser does not control the cyber security plans and systems put in place by third party service providers, and such third party service providers may have limited indemnification obligations to the Adviser or the Funds. In addition, substantial costs may be incurred in order to prevent any cyber incidents in the future. The Funds and their shareholders could be negatively impacted as a result. While the Funds have established business continuity plans and systems designed to prevent such cyber attacks, there are inherent limitations in such plans and systems including the possibility that certain risks have not been identified. Furthermore, the Funds cannot control the cyber security plans and systems put in place by its service providers, financial intermediaries and issuers in which the Funds invest.
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Stone Harbor Investment Funds | Additional Information |
November 30, 2020 (Unaudited)
DEFINITIONS
ABS – An asset-backed security (ABS) is a financial security backed by a loan, lease or receivables against assets other than real estate and mortgage-backed securities.
Alpha – A measure of performance on a risk-adjusted basis. The excess return of the fund relative to the return of the benchmark index is a fund's alpha.
Basis Point – A unit equal to one hundredth of a percentage point.
Beta – A measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole.
Broad-Based securities indices are unmanaged and are not subject to fees and expenses typically associated with managed accounts or investment funds. Investments cannot be made directly in a broad-based securities index.
CMBS – Commercial mortgage-backed securities (CMBS) are a type of mortgage-backed security that is secured by mortgages on commercial properties, instead of residential real estate.
Credit Spread – The difference in yield between a U.S. Treasury bond and a debt security with the same maturity.
Derivative – A security with a price that is dependent on or derived from one or more underlying assets.
Duration – A measure of the sensitivity of the price (the value of principal) of a fixed-income investment to a change in interest rates. Duration is expressed as a number of years.
Floating Rate Bonds – Bond whose interest amount fluctuates in step with the market interest rates, or some other external measure.
High Yield Spread – The percentage difference in current yields of high-yield bonds compared to investment grade corporate bonds.
Investment Grade – Refers to bonds that are considered to have a relatively low risk of default, ranging from highest credit quality to good credit quality. Bonds rated below investment grade are considered to have significant speculative characteristics.
Par Value – The face value of a bond.
Purchasing Managers’ Index – a measure of the prevailing direction of economic trends in manufacturing.
RMBS – Residential mortgage-backed securities (RMBS) are a type of mortgage-backed debt obligation whose cash flows come from residential debt, such as mortgages, home-equity loans and subprime mortgages.
Sovereign Debt – Refers to bonds issued by a national government in order to finance the issuing country’s growth. Sovereign debt described as external is denominated in U.S. dollar, while sovereign debt described as local is issued in a foreign currency.
Spread – The difference between the bid and ask price of a security or asset.
Standard and Poor’s ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). A security that has not been given a credit rating by Standard and Poor’s is listed as “not rated”. For additional information please go to the Understanding Ratings section at www.standardpoors.com.
Tranche – Portions of debt or structured financing. Each portion (or tranche) is one of several related securities offered at the same time but with a different set of risks, rewards, and maturities.
USD 3-Month LIBOR – The average interest rate at which a selection of banks in London are prepared to lend to one another in American dollars with a maturity of 3 months. The LIBOR interest rates are used by banks as the base rate in setting the level of their savings, mortgage and loan interest rates.
Yield Curve – Yield curve tracks the relationship between interest rates and the maturity of Treasury Securities at a given time.
Yield-To-Maturity – The total return anticipated on a bond if the bond is held until the end of its lifetime. Yield to maturity is considered a long-term bond yield, but is expressed as an annual rate.
Stone Harbor Investment Funds Semi-Annual Report | November 30, 2020 | 99 |
INVESTMENT ADVISER
Stone Harbor Investment Partners LP
31 W. 52nd Street, 16th Floor
New York, New York 10019
ADMINISTRATOR & FUND ACCOUNTANT
ALPS Fund Services, Inc.
1290 Broadway, Suite 1000
Denver, Colorado 80203
DISTRIBUTOR
ALPS Distributors, Inc.
1290 Broadway, Suite 1000
Denver, Colorado 80203
TRANSFER AGENT
ALPS Fund Services, Inc.
1290 Broadway, Suite 1000
Denver, Colorado 80203
CUSTODIAN
State Street Bank and Trust Company
One Iron Street
Boston, Massachusetts 02210
LEGAL COUNSEL
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
555 17th Street, Suite 3600
Denver, Colorado 80202
This material must be accompanied or preceded by a prospectus.
SHF001048 exp. 1/29/2022
Item 2. | Code of Ethics. |
Not applicable to this report.
Item 3. | Audit Committee Financial Expert. |
Not applicable to this report.
Item 4. | Principal Accountant Fees and Services. |
Not applicable to this report.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Investments. |
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the Report to Stockholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
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Item 9. | Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. | Controls and Procedures. |
(a) | The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report. |
(b) | There was no change in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | The certifications required by Rule 30a-2(a) of the Investment Company Act of 1940, as amended, and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto as Exhibit 99.Cert. |
(a)(3) | None. |
(a)(4) | Not applicable. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Stone Harbor Investment Funds | |||
By: | /s/ Peter J. Wilby | ||
Peter J. Wilby | |||
President and Chief Executive Officer/Principal Executive Officer | |||
Date: | February 5, 2021 | ||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
Stone Harbor Investment Funds | |||
By: | /s/ Peter J. Wilby | ||
Peter J. Wilby | |||
President and Chief Executive Officer/Principal Executive Officer | |||
Date: | February 5, 2021 |
By: | /s/ Thomas M. Reynolds | ||
Thomas M. Reynolds | |||
Principal Financial Officer/Principal Accounting Officer | |||
Date: | February 5, 2021 |
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