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
|
2
|
www.shiplpcef.com
|
Stone Harbor Emerging Markets Total Income Fund
|
Shareholder Letter
|
(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
|
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%
|
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
|
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%
|
Semi-Annual Report | May 31, 2017
|
5
|
Stone Harbor Emerging Markets Total Income Fund
|
Statement of Investments
|
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
|
6
|
www.shiplpcef.com
|
Stone Harbor Emerging Markets Total Income Fund
|
Statement of Investments
|
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
|
Semi-Annual Report | May 31, 2017
|
7
|
Stone Harbor Emerging Markets Total Income Fund
|
Statement of Investments
|
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)
|
8
|
www.shiplpcef.com
|
Stone Harbor Emerging Markets Total Income Fund
|
Statement of Investments
|
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)
|
Semi-Annual Report | May 31, 2017
|
9
|
Stone Harbor Emerging Markets Total Income Fund
|
Statement of Investments
|
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.
|
10
|
www.shiplpcef.com
|
Stone Harbor Emerging Markets Total Income Fund
|
Statement of Investments
|
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.
|
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
|
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
|
)
|
Semi-Annual Report | May 31, 2017
|
11
|
Stone Harbor Emerging Markets Total Income Fund
|
Statement of Assets & Liabilities
|
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
|
12
|
www.shiplpcef.com
|
Stone Harbor Emerging Markets Total Income Fund
|
Statement of Operations
|
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
|
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.
|
14
|
www.shiplpcef.com
|
Stone Harbor Emerging Markets Total Income Fund
|
Statement of Cash Flows
|
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
|
Semi-Annual Report | May 31, 2017
|
15
|
Stone Harbor Emerging Markets Total Income Fund
|
Financial Highlights
|
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
|