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: 811-22716
Stone Harbor Emerging Markets Total Income Fund
(Exact name of registrant as specified in charter)
1290 Broadway, Suite 1100
Denver, CO 80203
(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: (303) 623-2577
Date of fiscal year end: November 30
Date of reporting period: May 31, 2017
Item 1. Report to Stockholders.
Distribution Policy
May 31, 2017
Stone Harbor Emerging Markets Total Income Fund (the “Fund”), acting pursuant to a Securities and Exchange Commission exemptive order and with the approval of the Fund’s Board of Trustees (the “Board”), has adopted a plan, consistent with its investment objectives and policies to support a level distribution of income, capital gains and/or return of capital (the “Plan”). In accordance with the Plan, the Fund currently distributes $0.1511 per share on a monthly basis.
The fixed amount distributed per share is subject to change at the discretion of the Fund’s Board. Under the Plan, the Fund will typically distribute most or all of its available investment income to its shareholders, consistent with its primary investment objectives and as required by the Internal Revenue Code of 1986, as amended (the “Code”). The Fund may also distribute long term capital gains and short term capital gains and return capital to shareholders in order to maintain a level distribution. Each monthly distribution to shareholders is expected to be at the fixed amount established by the Board, except for extraordinary distributions and potential distribution rate increases or decreases to enable the Fund to comply with the distribution requirements imposed by the Code. In addition, the Fund may distribute more than its income and net realized capital gains, and therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that a shareholder invested in the Fund is paid back to that shareholder. A return of capital distribution does not necessarily reflect the Fund’s investment performance and should not be confused with ‘yield’ or ‘income’. The amounts and sources of distributions reported to shareholders during the fiscal year are only estimates and are not provided for tax or financial reporting purposes. The actual amounts and sources of the amounts for tax or financial reporting purposes will depend upon the Fund’s investment experience during the year and are subject to change.
Shareholders should not draw any conclusions about the Fund’s investment performance from the amount of these distributions or from the terms of the Plan. The Fund’s total return performance on net asset value is presented in its financial highlights table.
The Board may amend, suspend or terminate the Fund’s Plan without prior notice if it deems such action to be in the best interest of the Fund or its shareholders. The suspension or termination of the Plan could have the effect of creating a trading discount (if the Fund’s stock is trading at or above net asset value) or widening an existing trading discount. The Fund is subject to risks that could have an adverse impact on its ability to maintain level distributions. Examples of potential risks include, but are not limited to, economic downturns impacting the markets, investments in foreign securities, foreign currency fluctuations and changes in the Code. Please refer to the Fund’s prospectus for a more complete description of its risks.
Table of Contents
|
Shareholder Letter
|
2
|
|
Summary of Portfolio Holdings
|
4
|
|
Growth of $10,000 Investment
|
5
|
|
Statement of Investments
|
6
|
|
Statement of Assets & Liabilities
|
12
|
|
Statement of Operations
|
13
|
|
Statements of Changes in Net Assets
|
14
|
|
Statement of Cash Flows
|
15
|
|
Financial Highlights
|
16
|
|
Notes to Financial Statements
|
17
|
|
Summary of Dividend Reinvestment Plan
|
28
|
|
Additional Information
|
29
|
|
Board Approval of Investment Advisory Agreement
|
32
|
|
Trustees & Officers
|
34
|
|
Stone Harbor Emerging Markets Total Income Fund
|
Shareholder Letter
|
May 31, 2017 (Unaudited)
Dear Investor,
The Stone Harbor Emerging Markets Total Income Fund (“EDI” or “Fund”) seeks to maximize total return, which consists of income on its investments and capital appreciation. The Fund invests in fixed income securities and related instruments that are economically tied to emerging markets (EM) countries, including sovereign external debt, local currency debt (non‐U.S. dollar), and corporate debt from EM issuers. Additionally, the Fund may invest up to 20% of its assets in emerging equity markets. The Fund recently changed its fiscal year‐end from May 31 to November 30. This report covers the most recent six month period ended May 31, 2017.
Our investment thesis is straightforward ‐ despite periods of high market volatility, we believe EM debt markets continue to offer attractive investment opportunities for total return investors. That investment thesis has been reinforced during Fund’s first fiscal half ended May 31, 2017 as the market shook off post‐US election volatility and generated positive returns in each month of the period. We continue to believe most EM countries maintain prudent debt levels and substantially lower fiscal deficits relative to the developed world. Furthermore, in this era of very low interest rates in the developed world, the majority of EM countries are pursuing orthodox monetary policies, in our view. In addition, EM debt still offers higher yields than advanced economy debt, even though EMs have better fundamentals in most cases, based on our analysis.
We believe that a key advantage we have in managing EDI is the latitude to adjust the risk in the portfolio based on our fundamental economic and credit views, as well as our assessment of the macroeconomic environment. Our investment process focuses on allocating to three distinct sectors of EM debt ‐ hard currency sovereigns, local currency sovereigns, and corporates ‐ each of which tend to behave differently in various macroeconomic environments. We also can invest a portion of EDI in EM equity markets. We believe these allocation decisions provide important diversification benefits.
In addition, we can vary the amount of leverage used by the Fund depending on our confidence in our return expectations. In general, we employ leverage to seek higher returns. However, when uncertainty rises, and with it greater perceived risks, we can also reduce leverage so that the Fund has less exposure to EM risk.
Performance Review
The total return on net asset value (NAV) of EDI for the six months ending May 31, 2017 was 15.98% (net of expenses). For the period, the Fund maintained an average premium to its NAV of 1.10%(1), although the fund traded at a discount to its NAV during the earlier part of the period until January 2017. Market tracking indices for the three sectors of EM debt(2)— external sovereign debt, local currency debt, and corporate debt — delivered total returns of 7.76%, 11.91% and 5.61%, respectively, during the reporting period.
Our exposure to oil credits helped Fund performance during the six month period. Month‐end oil prices ranged from $48 ‐ $53 per barrel during the period. Despite this price volatility, oil credits were outstanding performers. The list of countries that were among the main contributors to our performance is quite diverse but a common factor was a dependence on oil production and exports. Our positions in Angola, Ghana, Iraq, Venezuela and Zambia all made important contributions to Fund returns. Our overweight position in Argentina was the largest contributor to our performance during the period. Our allocations to Argentina’s external sovereign, local currency sovereign and corporate debt all contributed to returns as investors welcomed the country’s return to more orthodox economic policies under the new Macri administration.
As we mentioned, asset allocation is an important decision in the management of the Fund. Our allocation to local currency denominated sovereign debt ranged between 21% and 41% during the period with our average monthly allocation approximately 33%. This allocation generated excellent returns as listed above. The returns from local currency debt tend to be highly correlated with changes in expectations for GDP growth. We viewed the excellent returns of local currency debt in the six month period as evidence that investors continue to gain confidence in the outlook for emerging market growth. We continue to believe that local currency sovereign debt should provide the highest risk‐adjusted total returns in the EM universe. Those returns will, however, likely be accompanied by the highest level of volatility, in our view.
Throughout the reporting period, leverage consisted primarily of short‐term reverse repurchase agreements through which the Fund borrowed funds by selling securities under the obligation to repurchase them at a later date at a fixed price. The implied borrowing costs of the repurchase agreements averaged approximately 1.70% per annum for the period ended May 31, 2017. The level of gross leverage reached a maximum of 33.3% of total assets on January 31, 2017 and a minimum of 24.2% on March 25, 2017. By the end of the reporting period, leverage was 32.1%. Net leverage (gross leverage less cash held) remained lower than gross leverage throughout the period. The Fund’s management team varied borrowing levels to reflect the team’s outlook on EM risk, increasing borrowings when it felt opportunities had improved and reducing borrowings when, in the team’s judgment, macroeconomic risks had risen.
The Fund uses various derivative instruments to implement its strategies. These derivatives are utilized to manage the Fund’s credit risk, interest rate risk, foreign exchange risk and effectively gain certain investment exposure. 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 exposure to these derivatives of approximately $1.3 million. Over the course of the reporting period these derivative positions generated net realized gains of approximately $0.4 million and $1.8 million in unrealized depreciation for a net decrease in operations of $1.4 million.
|
2
|
www.shiplpcef.com
|
|
Stone Harbor Emerging Markets Total Income Fund
|
Shareholder Letter
|
May 31, 2017 (Unaudited)
Market Review and Outlook
In our view, the total returns for EM indices for the reporting period were driven by a combination of events in developed markets, country and company‐specific news in some emerging markets, and valuations.
Macroeconomic developments in advanced economies are important inputs into our assessment of the outlook for EM debt returns. The impact of developments outside the emerging markets on emerging market valuations has been a critical variable in the performance of emerging market assets since the end of the 2008 financial crisis. These factors, including slow growth and abnormally low interest rates, weighed on emerging markets results in earlier periods. During this six month period, these factors largely helped underscore the higher yields and stronger fundamentals available in emerging markets, attracting investor attention and generating positive returns. These positive returns were generated against a backdrop of uncertainty created by varying announcements from the Trump administration, particularly regarding trade policy.
While emerging markets sold off in the immediate weeks following the US election, this six month period of the Fund’s fiscal year generated positive returns as the distinction between campaign rhetoric and policy implementation came into focus. Trump administration policies, particularly regarding trade, will continue to create emerging markets volatility. We continue to monitor the policy environment and its potential impact on the Fund.
Despite these headwinds from advanced economies, our fundamental positive views on emerging markets are intact. We continue to believe that many EM country growth rates will improve in the next 12 to 18 months. In addition to good growth and solid fundamentals, emerging markets debt assets continue to offer attractive valuations, in our opinion.
In the past, we have detailed some of the key risks to our constructive outlook for emerging market debt. Today, those risks seem to emanate from both developed and emerging market countries. The likelihood of increases in US interest rates, the uncertainty surrounding Trump administration policies and the ongoing political and religious strife in the Middle East are all potential risks. On the other hand, a number of risk factors impacting emerging markets have moderated over the past six months. The market has more clarity on short term interest rate policies from the Fed and the ECB; China’s growth outlook has stabilized; the Trump administration has moderated its protectionist trade rhetoric; and the results of the French presidential election were market‐friendly in our view. In assessing all these factors, our base case return scenarios for EM debt over the coming year remain positive. Our view derives from a disciplined investment process in which we review the ability and willingness of borrowers to repay their debts. We also assess whether current prices of emerging market bonds, currencies, local interest rates and equities reflect adequate compensation for risk within the current macroeconomic environment. Based on this process, we continue to believe that EM debt will generate among the highest returns in the fixed income markets.
Other general risks of the Fund relate to our use of leverage and also to the longer‐term prospects for a rise in global interest rates. Stone Harbor attempts to mitigate the risk of loss of principal due to the possibility of a general rise in global interest rates through our investment process that determines sector and country allocations, as well as security selection. We seek to reduce interest rate sensitivity during periods of rising interest rates. Notwithstanding these efforts, rising interest rates would increase the Fund’s cost of leverage and could also decrease the value of its portfolio securities, adversely affecting Fund performance.
We continue to believe that investing in EDI may offer an attractive means of capitalizing on further improvements in credit quality in EM. We thank you for your confidence in our ability to invest in these volatile markets and look forward to reporting on EDI in six months.
Sincerely,
Thomas K. Flanagan
Chairman of the Board of Trustees
|
(1)
|
Performance on a market value basis, or at market price, will differ from its results at NAV. Although market price returns typically reflect investment results over time, during shorter periods, returns at market price can also be influenced by factors such as changing views about the Fund, market conditions, supply and demand for the Fund’s shares, or changes in Fund dividends.
|
|
(2)
|
JPMorgan EMBI Global Diversified, JPMorgan GBI EM Global Diversified, and JPMorgan CEMBI Broad Diversified.
|
|
Semi-Annual Report | May 31, 2017
|
3
|
|
Stone Harbor Emerging Markets Total Income Fund
|
Summary of Portfolio Holdings
|
May 31, 2017 (Unaudited)
|
Fund Details
|
|
|
Market Price
|
$16.49
|
|
Net Asset Value (NAV)
|
$15.22
|
|
Premium/(Discount)
|
8.34%
|
|
Current Distribution Rate(1)
|
11.00%
|
|
Net Assets (in millions)
|
$147
|
|
Country Allocation
(as a % of total net
assets)(3) Country
Breakdown
|
%
|
|
Brazil (Includes ETF)
|
21.49%
|
|
Mexico
|
13.77%
|
|
Argentina
|
11.67%
|
|
Ukraine
|
7.62%
|
|
South Africa
|
7.45%
|
|
Russia
|
6.95%
|
|
Venezuela
|
6.37%
|
|
Turkey (Includes ETF)
|
6.00%
|
|
Ecuador
|
5.50%
|
|
Indonesia
|
5.23%
|
|
Uruguay
|
5.17%
|
|
Colombia
|
5.10%
|
|
Ghana
|
5.10%
|
|
Iraq
|
4.54%
|
|
Ivory Coast
|
4.50%
|
|
Angola
|
4.14%
|
|
Zambia
|
3.93%
|
|
El Salvador
|
3.78%
|
|
Costa Rica
|
2.61%
|
|
Kenya
|
2.01%
|
|
Jamaica
|
2.01%
|
|
Dominican Republic
|
1.98%
|
|
Gabon
|
1.86%
|
|
Pakistan
|
1.43%
|
|
Lebanon
|
1.34%
|
|
Malaysia
|
1.02%
|
|
India
|
0.69%
|
|
Suriname
|
0.62%
|
|
Cameroon
|
0.52%
|
|
Ethiopia
|
0.39%
|
|
Chile
|
0.29%
|
|
Total
|
145.08%
|
|
Liabilities in Excess of Other Assets
|
‐45.08%
|
|
Total Net Assets
|
100.00%
|
Security Type Allocation(2)
|
Sector
Allocation(2)
|
|
|
Sovereign Local
|
41.41%
|
|
Sovereign External
|
47.97%
|
|
Corporate
|
9.06%
|
|
Equity
|
2.03%
|
|
Cash & Equivalents / U.S. Treasuries
|
‐0.47%
|
|
Regional
Breakdown(2)
|
|
|
Latin America
|
55.68%
|
|
Africa
|
20.69%
|
|
Europe
|
14.28%
|
|
Asia
|
5.76%
|
|
Middle East
|
4.06%
|
|
Cash & Equivalents / U.S. Treasuries
|
‐0.47%
|
|
Sovereign Local
Currency Breakdown(2)
|
|
|
Brazilian Real
|
9.77%
|
|
Mexican Peso
|
7.95%
|
|
Russian Ruble
|
4.82%
|
|
Uruguayan Peso
|
3.63%
|
|
Turkish New Lira
|
3.62%
|
|
Colombian Peso
|
3.54%
|
|
Indonesian Rupiah
|
3.37%
|
|
South African Rand
|
3.35%
|
|
Dominican Peso
|
1.36%
|
|
Total
|
41.41%
|
|
(1)
|
Current Distribution Rate is based on the Fund’s current annualized monthly distribution divided by the Fund’s current market price. The Fund’s monthly distributions to its shareholders may be comprised of ordinary income, net realized capital gains and return of capital in order to maintain a level distribution.
|
|
(2)
|
Based on managed assets and investment manager’s sector classifications including derivative exposure. For purposes of this example, managed assets include total net assets plus any borrowings attributed to the use of reverse repurchase agreements and the notional values of interest rate swaps as described on page 11.
|
|
(3)
|
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.
|
|
4
|
www.shiplpcef.com
|
|
Stone Harbor Emerging Markets Total Income Fund
|
Growth of $10,000 Investment
|
May 31, 2017 (Unaudited)
Comparison of Change in Value of $10,000 Investment in Stone Harbor Emerging Markets Total Income Fund and the JPMorgan Emerging Markets Bond Indices: EMBI Global Diversified, CEMBI Broad Diversified, and GBI EM Global Diversified (please refer to the Additional Information section for detailed benchmark descriptions).
Total Returns as of May 31, 2017 (Inception Date, October 25, 2012)
|
Average Annual Return
|
||||
|
6 Month
|
One Year
|
Three Year
|
Since Inception
|
|
|
Stone Harbor Emerging Markets Total Income Fund – NAV
|
15.98%
|
22.86%
|
1.62%
|
1.37%
|
|
Stone Harbor Emerging Markets Total Income Fund – Market Price
|
34.75%
|
48.82%
|
6.49%
|
2.13%
|
|
JPMorgan CEMBI Broad Diversified Index
|
5.61%
|
8.50%
|
4.96%
|
4.66%
|
|
JPMorgan EMBI Global Diversified Index
|
7.76%
|
9.77%
|
5.55%
|
4.49%
|
|
JPMorgan GBI EM Global Diversified Index
|
11.91%
|
12.17%
|
‐2.63%
|
‐1.96%
|
Past performance is no guarantee of future results. Current performance may be lower or higher than the performance shown. Total return is calculated by determining the percentage change in NAV or market price (as applicable) in the specified period. The calculation assumes that all income dividends, capital gain and return of capital distributions, if any, have been reinvested and includes all fee waivers and expense reimbursements. Total return does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or broker commissions or sales charges in connection with the purchase or sale of Fund shares. Investment return and principal value will vary, and shares, when sold, may be worth more or less than their original cost. Total returns for a period of less than one year are not annualized. Index returns do not include the effects of sales charges or management fees. It is not possible to invest directly in an index.
Performance at market price will differ from its results at NAV. Although market price returns typically reflect investment results over time, during shorter periods returns at market price can also be influenced by factors such as changing views about the Fund, market conditions, supply and demand for the Fund’s shares, or changes in Fund dividends.
An investment in the Fund involves risk, including the loss of principal. Total return, market price, market price yield and NAV will fluctuate with changes in market conditions. This data is provided for information purposes only and is not intended for trading purposes. Closed‐end funds, unlike open‐end funds, are not continuously offered. There is a onetime public offering and once issued, shares of closed‐end funds are traded in the open market through a stock exchange. NAV is equal to total assets attributable to common shareholders less total liabilities divided by the number of common shares outstanding. Holdings are subject to change daily.
|
Semi-Annual Report | May 31, 2017
|
5
|
|
Stone Harbor Emerging Markets Total Income Fund
|
Statement of Investments
|
May 31, 2017 (Unaudited)
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed
(in USD)
|
||||||||||||
|
SOVEREIGN DEBT OBLIGATIONS - 109.39%
|
|||||||||||||||||
|
Angola - 4.14%
|
|||||||||||||||||
|
Republic of Angola:
|
|||||||||||||||||
|
USD
|
9.50
|
%
|
11/12/25
|
667,000
|
$
|
716,191
|
(1)
|
||||||||||
|
USD
|
9.50
|
%
|
11/12/25
|
4,986,000
|
5,353,718
|
(2)(3)
|
|||||||||||
|
6,069,909
|
|||||||||||||||||
|
Argentina - 10.59%
|
|||||||||||||||||
|
Provincia del Chaco
|
USD
|
9.38
|
%
|
08/18/24
|
1,405,000
|
1,408,513
|
(2)(3)
|
||||||||||
|
Republic of Argentina:
|
|||||||||||||||||
|
EUR
|
7.82
|
%
|
12/31/33
|
2,722,276
|
3,245,377
|
||||||||||||
|
USD
|
8.28
|
%
|
12/31/33
|
7,885,606
|
8,654,452
|
(3)
|
|||||||||||
|
EUR
|
0.00
|
%
|
12/15/35
|
12,524,789
|
1,326,072
|
(4)
|
|||||||||||
|
EUR
|
2.26
|
%
|
12/31/38
|
313,339
|
221,401
|
(5)
|
|||||||||||
|
USD
|
2.50
|
%
|
12/31/38
|
967,048
|
657,593
|
(5)
|
|||||||||||
|
15,513,408
|
|||||||||||||||||
|
Brazil - 13.83%
|
|||||||||||||||||
|
Nota Do Tesouro Nacional:
|
|||||||||||||||||
|
BRL
|
10.00
|
%
|
01/01/21
|
8,000,000
|
2,458,770
|
||||||||||||
|
BRL
|
10.00
|
%
|
01/01/23
|
16,953,000
|
5,128,190
|
||||||||||||
|
BRL
|
10.00
|
%
|
01/01/27
|
42,625,000
|
12,672,534
|
||||||||||||
|
20,259,494
|
|||||||||||||||||
|
Cameroon - 0.52%
|
|||||||||||||||||
|
Republic of Cameroon
|
USD
|
9.50
|
%
|
11/19/25
|
635,000
|
756,444
|
(1)
|
||||||||||
|
Colombia - 4.98%
|
|||||||||||||||||
|
Bogota Distrio Capital
|
COP
|
9.75
|
%
|
07/26/28
|
6,130,000,000
|
2,231,174
|
(2)
|
||||||||||
|
Colombian TES
|
COP
|
6.00
|
%
|
04/28/28
|
15,300,000,000
|
5,068,400
|
|||||||||||
|
7,299,574
|
|||||||||||||||||
|
Costa Rica - 2.61%
|
|||||||||||||||||
|
Republic of Costa Rica:
|
|||||||||||||||||
|
USD
|
7.00
|
%
|
04/04/44
|
915,000
|
952,744
|
(2)(3)
|
|||||||||||
|
USD
|
7.00
|
%
|
04/04/44
|
1,751,000
|
1,823,228
|
(1)(3)
|
|||||||||||
|
USD
|
7.16
|
%
|
03/12/45
|
991,000
|
1,041,789
|
(2)(3)
|
|||||||||||
|
3,817,761
|
|||||||||||||||||
|
Dominican Republic - 1.98%
|
|||||||||||||||||
|
Dominican Republic Bond
|
DOP
|
10.50
|
%
|
04/07/23
|
135,000,000
|
2,899,172
|
(1)
|
||||||||||
|
Ecuador - 1.99%
|
|||||||||||||||||
|
Republic of Ecuador:
|
|||||||||||||||||
|
USD
|
7.95
|
%
|
06/20/24
|
1,700,000
|
1,619,250
|
(2)(3)
|
|||||||||||
|
USD
|
9.65
|
%
|
12/13/26
|
1,277,000
|
1,296,155
|
(1)(3)
|
|||||||||||
|
2,915,405
|
|||||||||||||||||
|
El Salvador - 3.78%
|
|||||||||||||||||
|
Republic of El Salvador:
|
|||||||||||||||||
|
USD
|
7.75
|
%
|
01/24/23
|
2,532,000
|
2,573,145
|
(2)(3)
|
|||||||||||
|
USD
|
5.88
|
%
|
01/30/25
|
395,000
|
354,513
|
(2)
|
|||||||||||
|
USD
|
6.38
|
%
|
01/18/27
|
469,000
|
422,100
|
(1)
|
|||||||||||
|
USD
|
8.25
|
%
|
04/10/32
|
628,000
|
623,290
|
(2)
|
|||||||||||
|
USD
|
7.65
|
%
|
06/15/35
|
445,000
|
414,962
|
(2)
|
|||||||||||
|
USD
|
7.63
|
%
|
02/01/41
|
1,250,000
|
1,150,000
|
(2)(3)
|
|||||||||||
|
5,538,010
|
|||||||||||||||||
See Notes to Financial Statements.
|
6
|
www.shiplpcef.com
|
|
Stone Harbor Emerging Markets Total Income Fund
|
Statement of Investments
|
May 31, 2017 (Unaudited)
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed
(in USD)
|
||||||||||||
|
Ethiopia - 0.39%
|
|||||||||||||||||
|
Federal Democratic Republic of Ethiopia
|
USD
|
6.63
|
%
|
12/11/24
|
570,000
|
$
|
574,987
|
(1)
|
|||||||||
|
Gabon - 1.86%
|
|||||||||||||||||
|
Republic of Gabon:
|
|||||||||||||||||
|
USD
|
6.38
|
%
|
12/12/24
|
1,036,000
|
1,032,115
|
(1)
|
|||||||||||
|
USD
|
6.95
|
%
|
06/16/25
|
1,669,000
|
1,694,035
|
(1)(3)
|
|||||||||||
|
2,726,150
|
|||||||||||||||||
|
Ghana - 4.13%
|
|||||||||||||||||
|
Republic of Ghana:
|
|||||||||||||||||
|
USD
|
9.25
|
%
|
09/15/22
|
3,156,000
|
3,424,260
|
(1)(3)
|
|||||||||||
|
USD
|
7.88
|
%
|
08/07/23
|
415,000
|
423,300
|
(2)
|
|||||||||||
|
USD
|
10.75
|
%
|
10/14/30
|
600,000
|
748,500
|
(2)
|
|||||||||||
|
USD
|
10.75
|
%
|
10/14/30
|
1,166,000
|
1,454,585
|
(1)(3)
|
|||||||||||
|
6,050,645
|
|||||||||||||||||
|
Indonesia - 4.88%
|
|||||||||||||||||
|
Republic of Indonesia:
|
|||||||||||||||||
|
IDR
|
8.25
|
%
|
07/15/21
|
46,479,000,000
|
3,684,822
|
||||||||||||
|
IDR
|
8.38
|
%
|
09/15/26
|
42,100,000,000
|
3,460,923
|
||||||||||||
|
7,145,745
|
|||||||||||||||||
|
Iraq - 4.54%
|
|||||||||||||||||
|
Republic of Iraq
|
USD
|
5.80
|
%
|
01/15/28
|
7,251,000
|
6,652,793
|
(2)(3)
|
||||||||||
|
Ivory Coast - 4.50%
|
|||||||||||||||||
|
Ivory Coast Government:
|
|||||||||||||||||
|
USD
|
6.38
|
%
|
03/03/28
|
700,000
|
707,000
|
(1)
|
|||||||||||
|
USD
|
5.75
|
%
|
12/31/32
|
6,059,340
|
5,892,708
|
(2)(3)(5)
|
|||||||||||
|
6,599,708
|
|||||||||||||||||
|
Kenya - 2.01%
|
|||||||||||||||||
|
Republic of Kenya:
|
|||||||||||||||||
|
USD
|
6.88
|
%
|
06/24/24
|
1,415,000
|
1,457,450
|
(1)(3)
|
|||||||||||
|
USD
|
6.88
|
%
|
06/24/24
|
1,450,000
|
1,493,500
|
(2)(3)
|
|||||||||||
|
2,950,950
|
|||||||||||||||||
|
Lebanon - 1.34%
|
|||||||||||||||||
|
Lebanese Republic:
|
|||||||||||||||||
|
USD
|
6.25
|
%
|
11/04/24
|
441,000
|
441,551
|
||||||||||||
|
USD
|
6.75
|
%
|
11/29/27
|
1,500,000
|
1,517,250
|
(3)
|
|||||||||||
|
1,958,801
|
|||||||||||||||||
|
Malaysia - 1.02%
|
|||||||||||||||||
|
1MDB Global Investments Ltd.
|
USD
|
4.40
|
%
|
03/09/23
|
1,600,000
|
1,488,000
|
(2)(3)
|
||||||||||
|
Mexico - 3.01%
|
|||||||||||||||||
|
Mexican Bonos:
|
|||||||||||||||||
|
MXN
|
8.50
|
%
|
12/13/18
|
26,600,000
|
1,453,395
|
||||||||||||
|
MXN
|
6.50
|
%
|
06/10/21
|
32,400,000
|
1,691,019
|
||||||||||||
|
MXN
|
5.75
|
%
|
03/05/26
|
26,420,000
|
1,273,406
|
||||||||||||
|
4,417,820
|
|||||||||||||||||
|
Pakistan - 1.43%
|
|||||||||||||||||
|
Republic of Pakistan
|
USD
|
8.25
|
%
|
09/30/25
|
1,850,000
|
2,089,344
|
(2)(3)
|
||||||||||
|
Russia - 6.95%
|
|||||||||||||||||
|
Russian Federation
|
RUB
|
7.40
|
%
|
12/07/22
|
586,000,000
|
10,176,481
|
|||||||||||
See Notes to Financial Statements.
|
Semi-Annual Report | May 31, 2017
|
7
|
|
Stone Harbor Emerging Markets Total Income Fund
|
Statement of Investments
|
May 31, 2017 (Unaudited)
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed
(in USD)
|
||||||||||||
|
South Africa - 4.79%
|
|||||||||||||||||
|
Republic of South Africa:
|
|||||||||||||||||
|
ZAR
|
6.75
|
%
|
03/31/21
|
34,100,000
|
$
|
2,525,433
|
|||||||||||
|
ZAR
|
10.50
|
%
|
12/21/26
|
52,500,000
|
4,495,835
|
||||||||||||
|
7,021,268
|
|||||||||||||||||
|
Suriname - 0.62%
|
|||||||||||||||||
|
Republic of Suriname
|
USD
|
9.25
|
%
|
10/26/26
|
884,000
|
908,310
|
(1)
|
||||||||||
|
Turkey - 5.14%
|
|||||||||||||||||
|
Republic of Turkey:
|
|||||||||||||||||
|
TRY
|
8.30
|
%
|
06/20/18
|
17,325,000
|
4,779,734
|
||||||||||||
|
TRY
|
10.50
|
%
|
01/15/20
|
9,700,000
|
2,748,823
|
||||||||||||
|
7,528,557
|
|||||||||||||||||
|
Ukraine - 7.32%
|
|||||||||||||||||
|
Ukraine Government:
|
|||||||||||||||||
|
USD
|
7.75
|
%
|
09/01/19
|
29,000
|
29,827
|
(1)
|
|||||||||||
|
USD
|
7.75
|
%
|
09/01/20
|
1,667,000
|
1,698,673
|
(1)(3)
|
|||||||||||
|
USD
|
7.75
|
%
|
09/01/21
|
4,793,000
|
4,867,291
|
(1)(3)
|
|||||||||||
|
USD
|
7.75
|
%
|
09/01/22
|
1,141,000
|
1,147,846
|
(2)(3)
|
|||||||||||
|
USD
|
7.75
|
%
|
09/01/23
|
878,000
|
876,244
|
(1)
|
|||||||||||
|
USD
|
7.75
|
%
|
09/01/23
|
1,518,000
|
1,514,964
|
(2)(3)
|
|||||||||||
|
USD
|
7.75
|
%
|
09/01/25
|
599,000
|
590,015
|
(1)
|
|||||||||||
|
10,724,860
|
|||||||||||||||||
|
Uruguay - 5.17%
|
|||||||||||||||||
|
Oriental Republic of Uruguay
|
UYU
|
4.38
|
%
|
12/15/28
|
62,782,000
|
2,373,772
|
|||||||||||
|
Uruguay Notas del Tesoro
|
UYU
|
13.90
|
%
|
07/29/20
|
136,000,000
|
5,208,245
|
|||||||||||
|
7,582,017
|
|||||||||||||||||
|
Venezuela - 1.94%
|
|||||||||||||||||
|
Republic of Venezuela:
|
|||||||||||||||||
|
USD
|
13.63
|
%
|
08/15/18
|
400,000
|
316,500
|
(2)
|
|||||||||||
|
USD
|
7.75
|
%
|
10/13/19
|
4,549,200
|
2,530,493
|
(3)
|
|||||||||||
|
2,846,993
|
|||||||||||||||||
|
Zambia - 3.93%
|
|||||||||||||||||
|
Republic of Zambia:
|
|||||||||||||||||
|
USD
|
8.50
|
%
|
04/14/24
|
718,000
|
767,363
|
(2)
|
|||||||||||
|
USD
|
8.50
|
%
|
04/14/24
|
1,410,000
|
1,506,937
|
(1)(3)
|
|||||||||||
|
USD
|
8.97
|
%
|
07/30/27
|
3,226,000
|
3,486,096
|
(2)(3)
|
|||||||||||
|
5,760,396
|
|||||||||||||||||
|
TOTAL SOVEREIGN DEBT OBLIGATIONS
|
160,273,002
|
||||||||||||||||
|
(Cost $163,033,419)
|
|||||||||||||||||
|
BANK LOANS - 0.67%
|
|||||||||||||||||
|
Brazil - 0.67%
|
|||||||||||||||||
|
Banco de Investimentos Credit Suisse Brasil SA - Brazil Loan Tranche A
|
USD
|
6.25
|
%
|
01/10/18
|
300,000
|
301,995
|
(6)
|
||||||||||
|
Banco de Investimentos Credit Suisse Brasil SA - Brazil Loan Tranche B
|
USD
|
6.25
|
%
|
01/10/18
|
675,000
|
679,489
|
(6)
|
||||||||||
|
981,484
|
|||||||||||||||||
|
TOTAL BANK LOANS
|
981,484
|
||||||||||||||||
|
(Cost $975,000)
|
|||||||||||||||||
See Notes to Financial Statements.
|
8
|
www.shiplpcef.com
|
|
Stone Harbor Emerging Markets Total Income Fund
|
Statement of Investments
|
May 31, 2017 (Unaudited)
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed
(in USD)
|
||||||||||||
|
CORPORATE BONDS - 32.02%
|
|||||||||||||||||
|
Argentina - 1.08%
|
|||||||||||||||||
|
Pampa Energia SA
|
USD
|
7.50
|
%
|
01/24/27
|
1,500,000
|
$
|
1,587,750
|
(1)(3)
|
|||||||||
|
Brazil - 4.85%
|
|||||||||||||||||
|
Cosan Luxembourg SA
|
USD
|
7.00
|
%
|
01/20/27
|
600,000
|
624,000
|
(1)
|
||||||||||
|
GTL Trade Finance Inc.
|
USD
|
7.25
|
%
|
04/16/44
|
1,000,000
|
981,000
|
(1)
|
||||||||||
|
Marfrig Holdings Europe BV
|
USD
|
8.00
|
%
|
06/08/23
|
1,000,000
|
1,039,500
|
(1)(3)
|
||||||||||
|
Minerva Luxembourg SA
|
USD
|
6.50
|
%
|
09/20/26
|
1,500,000
|
1,492,500
|
(1)(3)
|
||||||||||
|
Petrobras Global Finance BV
|
USD
|
8.75
|
%
|
05/23/26
|
1,886,000
|
2,199,547
|
|||||||||||
|
Rumo Luxembourg Sarl
|
USD
|
7.38
|
%
|
02/09/24
|
750,000
|
775,313
|
(1)
|
||||||||||
|
7,111,860
|
|||||||||||||||||
|
Chile - 0.29%
|
|||||||||||||||||
|
GeoPark Latin America Ltd. Agencia en Chile
|
USD
|
7.50
|
%
|
02/11/20
|
416,000
|
420,160
|
(1)
|
||||||||||
|
Colombia - 0.12%
|
|||||||||||||||||
|
Empresas Publicas de Medellin ESP
|
COP
|
8.38
|
%
|
02/01/21
|
500,000,000
|
176,524
|
(2)
|
||||||||||
|
Ecuador - 3.51%
|
|||||||||||||||||
|
EP PetroEcuador via Noble Sovereign Funding I Ltd.
|
USD
|
6.78
|
%
|
09/24/19
|
3,758,421
|
3,796,005
|
(3)(4)
|
||||||||||
|
Petroamazonas EP
|
USD
|
4.63
|
%
|
02/16/20
|
1,449,000
|
1,350,780
|
(1)(3)
|
||||||||||
|
5,146,785
|
|||||||||||||||||
|
Ghana - 0.97%
|
|||||||||||||||||
|
Tullow Oil PLC:
|
|||||||||||||||||
|
USD
|
6.00
|
%
|
11/01/20
|
584,000
|
567,940
|
(2)
|
|||||||||||
|
USD
|
6.25
|
%
|
04/15/22
|
903,000
|
855,592
|
(2)
|
|||||||||||
|
1,423,532
|
|||||||||||||||||
|
India - 0.69%
|
|||||||||||||||||
|
Vedanta Resources PLC:
|
|||||||||||||||||
|
USD
|
8.25
|
%
|
06/07/21
|
169,000
|
180,830
|
(1)
|
|||||||||||
|
USD
|
6.38
|
%
|
07/30/22
|
740,000
|
740,000
|
(1)
|
|||||||||||
|
USD
|
7.13
|
%
|
05/31/23
|
84,000
|
86,415
|
(1)
|
|||||||||||
|
1,007,245
|
|||||||||||||||||
|
Indonesia - 0.35%
|
|||||||||||||||||
|
Indika Energy Capital II Pte Ltd.
|
USD
|
6.88
|
%
|
04/10/22
|
517,000
|
505,367
|
(1)
|
||||||||||
|
Jamaica - 2.01%
|
|||||||||||||||||
|
Digicel Group Ltd.
|
USD
|
7.13
|
%
|
04/01/22
|
3,353,000
|
2,950,640
|
(1)(3)
|
||||||||||
|
Mexico - 10.76%
|
|||||||||||||||||
|
Mexichem SAB de CV
|
USD
|
5.88
|
%
|
09/17/44
|
725,000
|
723,187
|
(1)
|
||||||||||
|
Petroleos Mexicanos:
|
|||||||||||||||||
|
MXN
|
7.47
|
%
|
11/12/26
|
271,050,000
|
12,624,191
|
||||||||||||
|
USD
|
5.50
|
%
|
06/27/44
|
173,000
|
155,856
|
||||||||||||
|
Sixsigma Networks Mexico SA de CV
|
USD
|
8.25
|
%
|
11/07/21
|
2,250,000
|
2,254,050
|
(1)(3)
|
||||||||||
|
15,757,284
|
|||||||||||||||||
|
South Africa - 2.66%
|
|||||||||||||||||
|
Eskom Holdings SOC Ltd.
|
USD
|
7.13
|
%
|
02/11/25
|
3,704,000
|
3,901,238
|
(1)(3)
|
||||||||||
|
Ukraine - 0.30%
|
|||||||||||||||||
|
Oschadbank Via SSB #1 PLC
|
USD
|
9.63
|
%
|
03/20/25
|
423,000
|
432,412
|
(2)(5)
|
||||||||||
See Notes to Financial Statements.
|
Semi-Annual Report | May 31, 2017
|
9
|
|
Stone Harbor Emerging Markets Total Income Fund
|
Statement of Investments
|
May 31, 2017 (Unaudited)
|
Reference Rate
|
Currency
|
Rate
|
Maturity Date
|
Principal Amount/Shares*
|
Value Expressed
(in USD)
|
||||||||||||
|
Venezuela - 4.43%
|
|||||||||||||||||
|
Petroleos de Venezuela
|
USD
|
6.00
|
%
|
05/16/24
|
16,449,348
|
$
|
6,495,848
|
(2)(3)
|
|||||||||
|
TOTAL CORPORATE BONDS
|
46,916,645
|
||||||||||||||||
|
(Cost $46,548,977)
|
|||||||||||||||||
|
EXCHANGE TRADED FUNDS - 3.00%
|
|||||||||||||||||
|
iShares® MSCI Brazil Capped ETF
|
USD
|
N/A
|
N/A
|
89,000
|
3,130,130
|
||||||||||||
|
iShares® MSCI Turkey ETF
|
USD
|
N/A
|
N/A
|
30,673
|
1,263,728
|
||||||||||||
|
TOTAL EXCHANGE TRADED FUNDS
|
4,393,858
|
||||||||||||||||
|
(Cost $6,708,272)
|
|||||||||||||||||
|
Total Investments - 145.08%
|
212,564,989
|
||||||||||||||||
|
(Cost $217,265,668)
|
|||||||||||||||||
|
Liabilities in Excess of Other Assets - (45.08)%
|
(66,049,594
|
)(7)
|
|||||||||||||||
|
Net Assets - 100.00%
|
$
|
146,515,395
|
|||||||||||||||
|
*
|
The principal amount/shares of each security is stated in the currency in which the security is denominated.
|
|
Currency Abbreviations:
|
||
|
ARS
|
-
|
Argentine Peso
|
|
BRL
|
-
|
Brazilian Real
|
|
COP
|
-
|
Columbian Peso
|
|
DOP
|
-
|
Dominican Peso
|
|
EUR
|
-
|
Euro Currency
|
|
IDR
|
-
|
Indonesian Rupiah
|
|
MXN
|
-
|
Mexican Peso
|
|
RUB
|
-
|
Russian Ruble
|
|
TRY
|
-
|
New Turkish Lira
|
|
USD
|
-
|
United States Dollar
|
|
UYU
|
-
|
Uruguayan Peso
|
|
ZAR
|
-
|
South African Rand
|
|
(1)
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $48,347,749, which represents approximately 33.00% of net assets as of May 31, 2017.
|
|
(2)
|
Securities were originally issued pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. As of May 31, 2017, the aggregate market value of those securities was $52,272,328, which represents approximately 35.68% of net assets.
|
|
(3)
|
On May 31, 2017, securities valued at $91,782,398 were pledged as collateral for reverse repurchase agreements.
|
|
(4)
|
Floating or variable rate security. Interest rate disclosed is that which is in effect as of May 31, 2017.
|
|
(5)
|
Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect as of May 31, 2017.
|
|
(6)
|
The level 3 assets were a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs.
|
|
(7)
|
Includes cash which is being held as collateral for derivatives.
|
See Notes to Financial Statements.
|
10
|
www.shiplpcef.com
|
|
Stone Harbor Emerging Markets Total Income Fund
|
Statement of Investments
|
May 31, 2017 (Unaudited)
OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS
|
Counterparty
|
Foreign
Currency
|
Contracted Amount**
|
Purchase/Sale Contract
|
Settlement Date
|
Current Value
|
Unrealized Appreciation/ (Depreciation)
|
|||||||||||
|
J.P. Morgan Chase & Co.
|
ARS
|
40,336,000
|
Sale
|
06/01/17
|
$
|
2,503,657
|
$
|
80,328
|
|||||||||
|
J.P. Morgan Chase & Co.
|
EUR
|
6,743,000
|
Purchase
|
06/09/17
|
7,578,556
|
202,213
|
|||||||||||
|
$
|
282,541
|
||||||||||||||||
|
J.P. Morgan Chase & Co.
|
ARS
|
40,336,000
|
Purchase
|
06/01/17
|
$
|
2,503,657
|
$
|
(3,242
|
)
|
||||||||
|
J.P. Morgan Chase & Co.
|
EUR
|
6,743,000
|
Sale
|
06/09/17
|
7,578,556
|
(197,338
|
)
|
||||||||||
|
$
|
(200,580
|
)
|
|||||||||||||||
|
**
|
The contracted amount is stated in the currency in which the contract is denominated.
|
REVERSE REPURCHASE AGREEMENTS
|
Counterparty
|
Interest Rate
|
Acquisition Date
|
Amount
|
||||
|
Credit Suisse First Boston
|
1.750%
|
03/17/2017
|
$
|
16,205,080
|
|||
|
Credit Suisse First Boston
|
2.000%
|
03/17/2017
|
1,471,948
|
||||
|
Credit Suisse First Boston
|
1.750%
|
03/20/2017
|
6,085,617
|
||||
|
Credit Suisse First Boston
|
2.000%
|
03/20/2017
|
5,143,147
|
||||
|
Credit Suisse First Boston
|
2.000%
|
03/21/2017
|
10,226,392
|
||||
|
Credit Suisse First Boston
|
2.000%
|
04/17/2017
|
4,319,121
|
||||
|
Credit Suisse First Boston
|
1.750%
|
04/20/2017
|
1,936,352
|
||||
|
Credit Suisse First Boston
|
1.750%
|
05/12/2017
|
1,124,195
|
||||
|
Credit Suisse First Boston
|
1.750%
|
05/16/2017
|
7,480,760
|
||||
|
Credit Suisse First Boston
|
1.750%
|
05/17/2017
|
5,872,741
|
||||
|
Credit Suisse First Boston
|
2.000%
|
05/25/2017
|
1,007,961
|
||||
|
J.P. Morgan Chase & Co.
|
1.000%
|
03/17/2017
|
789,457
|
||||
|
J.P. Morgan Chase & Co.
|
1.950%
|
04/17/2017
|
2,485,046
|
||||
|
J.P. Morgan Chase & Co.
|
1.850%
|
04/20/2017
|
2,668,236
|
||||
|
J.P. Morgan Chase & Co.
|
1.650%
|
05/03/2017
|
2,393,203
|
||||
|
$
|
69,209,256
|
||||||
All agreements can be terminated by either party on demand at value plus accrued interest.
INTEREST RATE SWAP CONTRACTS
|
Pay/Receive Floating Rate
|
Clearing House
|
Floating Rate
|
Expiration Date
|
Notional Amount
|
Fixed Rate
|
Value
|
Unrealized Appreciation/(Depreciation)
|
||||||||||
|
Receive
|
Chicago Mercantile Exchange
|
3 month LIBOR
|
02/06/2025
|
$
|
16,700,000
|
1.975%
|
$
|
72,002
|
$
|
72,002
|
|||||||
|
$
|
72,002
|
$
|
72,002
|
||||||||||||||
|
Receive
|
Chicago Mercantile Exchange
|
3 month LIBOR
|
02/01/2027
|
$
|
12,600,000
|
2.427%
|
$
|
(311,723
|
)
|
$
|
(311,723
|
)
|
|||||
|
Receive
|
Chicago Mercantile Exchange
|
3 month LIBOR
|
02/21/2022
|
17,000,000
|
2.051%
|
(185,017
|
)
|
(185,017
|
)
|
||||||||
|
Receive
|
Chicago Mercantile Exchange
|
3 month LIBOR
|
02/21/2027
|
8,500,000
|
2.427%
|
(209,627
|
)
|
(209,627
|
)
|
||||||||
|
Receive
|
Chicago Mercantile Exchange
|
3 month LIBOR
|
12/23/2024
|
150,000
|
2.309%
|
(3,000
|
)
|
(3,000
|
)
|
||||||||
|
$
|
(709,367
|
)
|
$
|
(709,367
|
)
|
||||||||||||
See Notes to Financial Statements.
|
Semi-Annual Report | May 31, 2017
|
11
|
|
Stone Harbor Emerging Markets Total Income Fund
|
Statement of Assets & Liabilities
|
May 31, 2017 (Unaudited)
|
ASSETS:
|
||||
|
Investments, at value(1)
|
$
|
212,564,989
|
||
|
Foreign currency, at value (Cost $553,058)
|
549,056
|
|||
|
Unrealized appreciation on forward foreign currency contracts
|
282,541
|
|||
|
Deposits with brokers for interest rate swap contracts
|
1,257,047
|
|||
|
Interest receivable
|
4,652,446
|
|||
|
Prepaid and other assets
|
23,468
|
|||
|
Total Assets
|
219,329,547
|
|||
|
LIABILITIES:
|
||||
|
Bank overdraft
|
339,961
|
|||
|
Payable for reverse repurchase agreements
|
69,209,256
|
|||
|
Interest payable on reverse repurchase agreements
|
185,310
|
|||
|
Payable due to brokers for reverse repurchase agreements collateral
|
2,062,000
|
|||
|
Payable for investments purchased
|
444,455
|
|||
|
Unrealized depreciation on forward foreign currency contracts
|
200,580
|
|||
|
Variation margin payable on interest rate swap contracts
|
59,512
|
|||
|
Payable to adviser
|
180,327
|
|||
|
Payable to administrator
|
55,046
|
|||
|
Other payables
|
77,705
|
|||
|
Total Liabilities
|
72,814,152
|
|||
|
Net Assets
|
$
|
146,515,395
|
||
|
NET ASSETS CONSIST OF:
|
||||
|
Paid‐in capital
|
$
|
212,765,726
|
||
|
Distribution in excess of net investment income
|
(12,297,031
|
)
|
||
|
Accumulated net realized loss
|
(48,679,358
|
)
|
||
|
Net unrealized depreciation
|
(5,273,942
|
)
|
||
|
Net Assets
|
$
|
146,515,395
|
||
|
PRICING OF SHARES:
|
||||
|
Net Assets
|
$
|
146,515,395
|
||
|
Shares of beneficial interest outstanding (unlimited number of shares, par value of $0.001 per share authorized)
|
9,625,330
|
|||
|
Net assets value, offering and redemption price per share
|
$
|
15.22
|
||
|
(1) Cost of Investments
|
$
|
217,265,668
|
||
See Notes to Financial Statements.
|
12
|
www.shiplpcef.com
|
|
Stone Harbor Emerging Markets Total Income Fund
|
Statement of Operations
|
For the Six Months Ended May 31, 2017 (Unaudited)
|
INVESTMENT INCOME:
|
||||
|
Interest (net of foreign withholding tax of $128,020)
|
$
|
8,330,356
|
||
|
Dividends
|
69,090
|
|||
|
Total Investment Income
|
8,399,446
|
|||
|
EXPENSES:
|
||||
|
Investment advisory fees
|
1,020,745
|
|||
|
Interest on reverse repurchase agreements
|
526,083
|
|||
|
Administration fees
|
158,492
|
|||
|
Custodian fees
|
42,557
|
|||
|
Professional fees
|
83,145
|
|||
|
Printing fees
|
34,404
|
|||
|
Trustee fees
|
8,576
|
|||
|
Transfer agent fees
|
9,839
|
|||
|
Insurance fees
|
8,063
|
|||
|
Other
|
28,923
|
|||
|
Total Expenses
|
1,920,827
|
|||
|
Net Investment Income
|
6,478,619
|
|||
|
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
|
||||
|
Net realized gain/(loss) on:
|
||||
|
Investments
|
(1,020,387
|
)
|
||
|
Credit default swap contracts
|
644,626
|
|||
|
Interest rate swap contracts
|
(214,926
|
)
|
||
|
Forward foreign currency contracts
|
(21,000
|
)
|
||
|
Foreign currency transactions
|
(50,868
|
)
|
||
|
Net realized loss
|
(662,555
|
)
|
||
|
Net change in unrealized appreciation/(depreciation) on:
|
||||
|
Investments
|
16,991,002
|
|||
|
Credit default swap contracts
|
(912,647
|
)
|
||
|
Interest rate swap contracts
|
(822,727
|
)
|
||
|
Forward foreign currency contracts
|
(63,137
|
)
|
||
|
Translation of assets and liabilities denominated in foreign currencies
|
78,112
|
|||
|
Net change in unrealized appreciation
|
15,270,603
|
|||
|
Net Realized and Unrealized Gain on Investments
|
14,608,048
|
|||
|
Net Increase in Net Assets Resulting from Operations
|
$
|
21,086,667
|
||
See Notes to Financial Statements.
|
Semi-Annual Report | May 31, 2017
|
13
|
|
Stone Harbor Emerging Markets Total Income Fund
|
Statements of Changes in Net Assets
|
|
For the Six
Months Ended
May 31, 2017
(Unaudited)
|
For the Fiscal
Period Ended
November 30, 2016(1)
|
For the
Year Ended
May 31, 2016
|
||||||||||
|
OPERATIONS:
|
||||||||||||
|
Net investment income
|
$
|
6,478,619
|
$
|
6,017,662
|
$
|
19,507,453
|
||||||
|
Net realized gain/(loss)
|
(662,555
|
)
|
830,540
|
(43,188,593
|
)
|
|||||||
|
Net change in unrealized appreciation
|
15,270,603
|
1,015,413
|
15,374,218
|
|||||||||
|
Net increase/(decrease) in net assets resulting from operations
|
21,086,667
|
7,863,615
|
(8,306,922
|
)
|
||||||||
|
DISTRIBUTIONS TO SHAREHOLDERS:
|
||||||||||||
|
From net investment income
|
(8,718,071
|
)
|
–
|
(11,819,608
|
)
|
|||||||
|
From tax return of capital
|
–
|
(8,715,285
|
)
|
(5,610,962
|
)
|
|||||||
|
Net decrease in net assets from distributions to shareholders
|
(8,718,071
|
)
|
(8,715,285
|
)
|
(17,430,570
|
)
|
||||||
|
Net asset value of common shares issued to stockholders from reinvestment of dividends
|
186,341
|
–
|
–
|
|||||||||
|
Net increase in net assets from capital share transactions
|
186,341
|
–
|
–
|
|||||||||
|
Net increase/(Decrease) in Net Assets
|
12,554,937 | (851,670 | ) | (25,737,492 | ) | |||||||
|
NET ASSETS:
|
||||||||||||
|
Beginning of year
|
133,960,458
|
134,812,128
|
160,549,620
|
|||||||||
|
End of year(including distribution in excess of net investment income of $(12,297,031), $(10,057,579) and $(16,728,316))
|
$
|
146,515,395
|
$
|
133,960,458
|
$
|
134,812,128
|
||||||
|
OTHER INFORMATION:
|
||||||||||||
|
Share Transactions:
|
||||||||||||
|
Beginning shares
|
9,613,154
|
9,613,154
|
9,613,154
|
|||||||||
|
Shares issued as reinvestment of dividends
|
12,176
|
–
|
–
|
|||||||||
|
Shares outstanding - end of year
|
9,625,330
|
9,613,154
|
9,613,154
|
|||||||||
|
(1)
|
On July 20, 2016, the Board approved changing the fiscal year-end from May 31 to November 30. The fiscal period is June 1, 2016 through November 30, 2016.
|
See Notes to Financial Statements.
|
14
|
www.shiplpcef.com
|
|
Stone Harbor Emerging Markets Total Income Fund
|
Statement of Cash Flows
|
For the Six Months Ended May 31, 2017 (Unaudited)
|
CASH FLOWS FROM OPERATING ACTIVITIES:
|
||||
|
Net increase in net assets from operations
|
$
|
21,086,667
|
||
|
Purchase of investment securities
|
(159,654,707
|
)
|
||
|
Proceeds from disposition of investment securities
|
156,789,453
|
|||
|
Net purchase of short-term investment securities
|
(234
|
)
|
||
|
Net amortization of discounts and accretion of premiums
|
(705,964
|
)
|
||
|
Net realized (gain)/loss on:
|
||||
|
Investments
|
1,020,387
|
|||
|
Forward foreign currency contracts
|
21,000
|
|||
|
Net change in unrealized (appreciation)/depreciation on:
|
||||
|
Investments
|
(16,991,002
|
)
|
||
|
Credit default swap contracts
|
912,647
|
|||
|
Forward foreign currency contracts
|
63,137
|
|||
|
Decrease in deposits with brokers for credit default swap contracts, interest rate swap contracts, reverse repurchase agreements, and forward foreign currency contracts
|
390,458
|
|||
|
Increase in dividends and interest receivable
|
(198,209
|
)
|
||
|
Decrease in receivable on credit default swap contracts
|
23,300
|
|||
|
Decrease in variation margin receivable
|
77,675
|
|||
|
Increase in prepaid and other assets
|
(10,173
|
)
|
||
|
Decrease in bank overdraft
|
(955,302
|
)
|
||
|
Increase in payable due to brokers for reverse repurchase agreements, credit default swaps and forward foreign currency contracts
|
1,822,000
|
|||
|
Increase in variation margin payable on interest rate swap contracts
|
59,512
|
|||
|
Increase in payable to adviser
|
11,451
|
|||
|
Increase in payable to administrator
|
25,996
|
|||
|
Decrease in other payables
|
(28,709
|
)
|
||
|
Decrease in interest due on reverse repurchase agreements
|
(188,123
|
)
|
||
|
Decrease in premiums received for credit default swap contracts
|
(588,875
|
)
|
||
|
Net cash provided by operating activities
|
2,982,385
|
|||
|
CASH FLOWS FROM FINANCING ACTIVITIES:
|
||||
|
Cash payments for reverse repurchase agreements
|
(160,741,307
|
)
|
||
|
Cash payments from reverse repurchase agreements
|
166,734,267
|
|||
|
Cash distributions paid
|
(8,531,730
|
)
|
||
|
Net cash used in financing activities
|
(2,538,770
|
)
|
||
|
Effect of exchange rates on cash
|
(4,683
|
)
|
||
|
Net increase in cash
|
438,932
|
|||
|
Cash, beginning balance
|
110,124
|
|||
|
Cash, ending balance
|
$
|
549,056
|
||
|
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:
|
||||
|
Cash paid during the period for interest expense on reverse repurchase agreements:
|
$
|
714,206
|
||
|
Non-cash financing activities not included herein consist of reinvestment of dividends and distributions of:
|
$
|
186,341
|
||
See Notes to Financial Statements.
|
Semi-Annual Report | May 31, 2017
|
15
|
|
Stone Harbor Emerging Markets Total Income Fund
|
Financial Highlights
|
For a share outstanding throughout the periods presented.
|
For the Six
Months Ended May 31, 2017(Unaudited) |
For the Fiscal
Period Ended November 30, 2016(1) |
For the
Year Ended
May 31, 2016 |
For the
Year Ended
May 31, 2015 |
For the
| |||||||||||||||