Form N-CSRS - Certified Shareholder Report, Semi-Annual
08 Agosto 2024 - 12:33PM
Edgar (US Regulatory)
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 811-22473
Virtus Stone Harbor Emerging Markets Income Fund
(Exact name of registrant as specified in charter)
101 Munson Street
Greenfield, MA 01301-9683
(Address of principal executive offices) (Zip code)
Kathryn Santoro, Esq.
Vice
President, Chief Legal Officer, Counsel and Secretary for Registrant
One Financial Plaza
Hartford, CT
06103-2608
(Name and address of agent for service)
Registrants telephone number, including area code: (866) 270-7788
Date of fiscal year end: November 30
Date of reporting period: May 31, 2024
Form N-CSR is to be used by management investment companies to file reports with the Commission not
later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will
make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget
(OMB) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) The Report to Shareholders is attached herewith.
Virtus
Global Multi-Sector Income Fund |
Virtus
Stone Harbor Emerging Markets Income Fund |
Virtus
Total Return Fund Inc. |
Not
FDIC Insured • No Bank Guarantee • May Lose Value
FUND DISTRIBUTIONS AND MANAGED DISTRIBUTION PLAN
The
Board of Directors (the “Board,” or the “Directors”) of Virtus Total Return Fund Inc. (the “Fund”) has adopted a Managed Distribution Plan (the “Plan”) which provides for the Fund to make a monthly
distribution at the rate of $0.05 per share. Under the terms of the Plan, the Fund seeks to maintain a consistent distribution level that may be paid in part or in full from net investment income, realized capital gains, and a return of
capital, or a combination thereof.
If the Fund estimates
that it has distributed more than its income and capital gains in a particular period, a portion of your distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund
is paid back to you. A return of capital distribution does not necessarily reflect the Fund’s investment performance and should not be confused with “yield” or “income.”
You should not draw any conclusions about the Fund’s
investment performance from the amount of the Fund’s distributions or from the terms of the Fund’s Plan.
The amounts and sources of distributions reported in the
Fund’s notices issued pursuant to Section 19(a) of the Investment Company Act of 1940 are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will
depend upon the Fund’s investment results during its fiscal year and may be subject to changes based on tax regulations. The Fund will send shareholders a Form 1099-DIV for the calendar year that will tell you how to report distributions for
federal income tax purposes.
The Board may amend, suspend
or terminate the Plan at any time, without prior notice to shareholders, if it deems such action to be in the best interest of the Fund and its shareholders.
Information on the Fund is available through the closed-end
fund section on the web at
www.Virtus.com. Section 19(a) notices are posted on the website at:
https://www.virtus.com/ZTR
To Virtus
Closed-End Fund Shareholders:
I am
pleased to present this semiannual report, which reviews the performance of your Fund for the six months ended May 31, 2024.
As the outlook for inflation and interest rates
improved, financial markets showed strength in late 2023 and early 2024. Volatility increased in April 2024 as inflation appeared to persist, pushing back the timing of a potential interest rate cut by the Federal Reserve (“Fed”).
Investor optimism about the possibilities for artificial intelligence helped markets move higher for the full six-month period.
Domestic and international equity indexes
posted strong returns for the six months ended May 31, 2024. U.S. large-capitalization stocks returned 16.35%, as measured by the S&P 500® Index, while small-cap stocks
returned 15.23%, as measured by the Russell 2000® Index. Within international equities, developed markets, as measured by the MSCI EAFE® Index (net), returned 12.76%, while emerging markets, as measured by the MSCI Emerging Markets Index (net), were up 7.45%.
In fixed income markets, the yield on the 10-year Treasury rose
to 4.51% on May 31, 2024, from 4.37% on November 30, 2023. The broader U.S. fixed income market, as represented by the Bloomberg U.S. Aggregate Bond Index, was up 2.12% for the six-month period, while non-investment grade bonds, as measured by the
Bloomberg U.S. Corporate High Yield Bond Index, were up 5.41%.
For the six-month period, the three sectors of emerging markets
(“EM”) debt returned 6.53% for hard currency sovereign debt, as represented by the JPMorgan EMBI Global Diversified Index, 0.46% for local currency sovereign debt, as represented by the JPMorgan GBI-EM Global Diversified Index, and 6.05%
for corporate debt, as represented by the JPMorgan CEMBI Broad Diversified Index.
Please call our shareholder service team at 1-866-270-7788 if
you have questions about your Fund or require assistance. We appreciate your business and remain committed to your long-term financial success.
Sincerely,
George R.
Aylward
President, Chief Executive Officer, and Trustee/Director
Virtus Closed-End Funds
July 2024
Refer to the Manager’s Discussion section for your
Fund’s performance. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investing involves risk, including the
risk of loss of principal invested.
Global Multi-Sector Income
Fund
MANAGER’S DISCUSSION OF FUND PERFORMANCE (Unaudited)
May 31, 2024
About the
Fund:
Virtus Global Multi-Sector Income
Fund’s (NYSE: VGI) (the “Fund”) investment objective is to maximize current income while preserving capital. The Fund seeks to achieve its investment objective by applying extensive credit research to capitalize on opportunities
across undervalued areas of the global bond markets. There is no guarantee that the Fund will achieve its investment objective.
The use of leverage allows the Fund to borrow
at short-term rates with the expectation to invest at higher yields on its investments. As of May 31, 2024, the Fund’s leverage consisted of $43 million of borrowings made pursuant to margin financing, which represented approximately 31% of
the Fund’s total assets.
Manager Comments –
Newfleet Asset Management (“Newfleet”)
Newfleet’s multi-sector fixed income
strategies team manages the Fund, leveraging the knowledge and skills of investment professionals with expertise in every sector of the bond market, including evolving, specialized, and out-of-favor sectors. The team employs active sector rotation
and disciplined risk management for portfolio construction, avoiding interest rate bets and remaining duration neutral. The following commentary is provided by the respective portfolio team at Newfleet and covers the Fund’s portfolio for the
six months ended May 31, 2024.
How did the markets perform
during the six months ended May 31, 2024?
The six-month period ended May 31, 2024, was
a period of U.S. exceptionalism in global economic terms. U.S. economic growth remained resilient, labor markets remained sound, and inflation remained above the central bank target. Considering these factors, the U.S. stood out among Group of Seven
(“G7”) counterparts as of the end of the reporting period, a position that was reflected in current monetary policy at the end of the reporting period. Even with this backdrop, however, the economic data showed a high degree of
variability during the period, which resulted in moments of financial market volatility.
While the Federal Reserve’s
(“Fed”) monetary policy remained on hold during the period, other developed market central banks took the first steps to ease monetary policy since the global tightening cycle that characterized the post-Covid economic environment. The
European Central Bank (“ECB”), as well as central banks in Switzerland, Sweden, and Canada, all began to ease policy during the period.
Few positive developments occurred in the
parts of the world that remained plagued by conflict, and though the financial markets largely discounted day-to-day developments, investors continued to monitor for any further escalations that could disrupt the markets. Political activity
accelerated during the period as India, Mexico, South Africa, the European Union, the UK, and the US prepared for important elections. Elections that were held during the period had a common theme of surprise outcomes that led to local financial
market dislocations. The common theme during the period was one of surprise outcomes that led to local financial market dislocations.
For information regarding the indexes and certain key investment terms, see
Key Investment Terms starting on page 17.
Global Multi-Sector Income
Fund
MANAGER’S DISCUSSION OF FUND PERFORMANCE
(Unaudited) (Continued)
May 31, 2024
Most risk asset markets rejoiced at the
Goldilocks environment of slowing inflation, low unemployment, resilient earnings, and economic growth, all of which outperformed expectations. However, markets remained highly sensitive to new data releases, and results were varied during the
period. Fixed income sector performance was also variable, with interest rates higher during the period. Spread sectors, or investments other than risk-free government debt, outperformed U.S. Treasuries and spreads tightened. Spread refers to the
additional yield over the yield of a risk-free government bond. Within spread sectors, risk asset classes outperformed. With the exception of the very front end, the U.S. Treasury yield curve shifted higher and overall the curve flattened. The
2-year Treasury yield increased by 0.19%, the 5-year Treasury yield increased by 0.24%, the 10-year Treasury yield increased by 0.17%, and the 30-year Treasury yield moved 0.15% higher.
What factors affected the Fund’s performance during the
six-month period?
For the six months
ended May 31, 2024, the Fund’s net asset value (NAV) returned 6.49%, while its market price returned 7.94%. The Bloomberg Global Aggregate Bond Index, which serves as the Fund’s benchmark, returned 0.72%.
The Fund’s underweight to U.S. Treasury
securities had a positive impact on relative performance for the six-month period.
Allocation to and selection within investment
grade corporate bonds and corporate high yield bonds had a positive impact on relative performance during the period.
The overweight to the emerging markets high
yield sector had a negative impact during the period, however the overall effect was positive with strong issue selection relative to the benchmark.
Issue selection within bank loans and the
Fund’s underweight to non-U.S. dollar-denominated debt were detractors during the period.
Level distribution practice
The Fund has a practice of seeking to
maintain a specified level of monthly distributions to shareholders, which may be changed at any time. As a result of this practice, the Fund may pay distributions in excess of the Fund’s taxable net investment income and net realized gains.
During the most recent fiscal period, the practice did not have a material impact on the Fund’s investment strategy.
The preceding information is the opinion of
portfolio management only through the end of the period of the report as stated on the cover. Any such opinions are subject to change at any time based upon market conditions and should not be relied upon as investment advice.
The Fund’s portfolio holdings are
subject to change and may not be representative of the portfolio managers’ current or future investment decisions. The mention of individual securities held by the Fund is for informational purposes only and should not be construed as a
recommendation to purchase or sell any securities. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies discussed should consult their financial professional.
For
information regarding the indexes and certain key investment terms, see Key Investment Terms starting on page 17.
Global Multi-Sector Income
Fund
MANAGER’S DISCUSSION OF FUND PERFORMANCE
(Unaudited) (Continued)
May 31, 2024
Risk Considerations
Credit & Interest: Debt instruments are subject to various risks, including credit and interest rate risk. The issuer of a debt security may fail to make interest and/or principal payments. Values of debt instruments may rise or fall in
response to changes in interest rates, and this risk may be enhanced with longer-term maturities.
Management:
The Fund is subject to management risk because it is an actively managed investment portfolio. Judgments by the Fund’s subadviser about the attractiveness and potential appreciation of an investment may prove to be inaccurate and may not
produce the desired results.
Foreign & Emerging Markets: Investing in foreign securities, especially in emerging markets, subjects the Fund to additional risks such as increased volatility, currency fluctuations, less liquidity, and political, regulatory, economic, and market
risk.
Sanctions: The imposition of sanctions and other similar measures could cause a decline in the value and/or liquidity of securities issued by or tied to the sanctioned country and increase market volatility and disruption in a
sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent the Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement
of transactions, and negatively impact the Fund’s liquidity and performance.
High Yield Fixed Income Securities: There is a greater risk of issuer default, less liquidity, and increased price volatility related to high yield securities than investment grade securities.
Asset-Backed and Mortgage-Backed Securities: Changes in interest rates can cause both extension and prepayment risks for asset- and mortgage-backed securities. These securities are also subject to risks associated with the non-repayment of underlying collateral,
including losses to the Fund.
Leveraged Loans: Leveraged loans may be unsecured or not fully collateralized, may be subject to restrictions on resale, may be less liquid and may trade infrequently on the secondary market. Leveraged loans settle on a delayed basis;
thus, sale proceeds may not be available to meet redemptions for a substantial period of time after the sale of the loan.
Leverage:
When the Fund leverages it portfolio, the Fund may be less liquid and/or may liquidate positions at an unfavorable time, and the value of the Fund’s shares will be more volatile and sensitive to market movements.
Market Volatility: The value of the securities in the Fund may go up or down in response to the prospects of individual companies and/or general economic conditions. Price changes may be short- or long-term. Local, regional or global
events such as war or military conflict (e.g., Russia’s invasion of Ukraine), acts of terrorism, the spread of infectious illness (e.g., COVID-19 pandemic) or other public health issues, recessions, or other events could have a significant
impact on the Fund and its investments, including hampering the ability of the Fund’s manager(s) to invest the Fund’s assets as intended.
Closed-End Funds: Closed-end funds may trade at a discount or premium from their net asset values, which may affect whether an investor will realize gains or losses. They may also employ leverage, which may increase
volatility.
No Guarantee: There is no guarantee that the Fund will meet its objective.
For information regarding the indexes and certain key investment terms, see
Key Investment Terms starting on page 17.
STONE HARBOR EMERGING
MARKETS INCOME FUND
MANAGER’S DISCUSSION OF FUND PERFORMANCE
(Unaudited)
May 31, 2024
About the
Fund:
Virtus Stone Harbor Emerging
Markets Income Fund’s (NYSE: EDF) (the “Fund”) investment objective is to maximize total return, which consists of income on its investments and capital appreciation. The Fund normally will invest at least 80% of its net assets
(plus any borrowings for investment purposes) in emerging markets securities. There is no guarantee that the Fund will achieve its investment objective.
Effective December 15, 2023, the Virtus Stone
Harbor Emerging Markets Total Income Fund was reorganized into Virtus Stone Harbor Emerging Markets Income Fund. The two funds had substantially similar investment objectives and strategies, and the same fund management. The merger resulted in a
higher combined level of assets that may offer reduced costs, economies of scale, and increased efficiencies.
The use of leverage currently enables the
Fund to borrow at short-term rates with the expectation of investing at higher yields on its investments. During the period, the Fund utilized short-term reverse repurchase agreements through which it borrowed money by selling securities under the
obligation to repurchase them at a later date at a fixed price. The Fund’s management team adjusted borrowing levels to reflect the team’s outlook on emerging markets risk, increasing borrowings when it felt opportunities had improved
and reducing borrowings when, in the team’s judgment, macroeconomic risk had risen. At May 31, 2024, the Fund had borrowings of approximately $38 million, which represented about 22% of the Fund’s managed assets.
Manager Comments – Stone Harbor Investment Partners
(“Stone Harbor”)
Stone
Harbor is a global credit specialist with expertise in emerging and developed markets debt. With three decades of informed experience allocating risk in complex areas of the fixed income markets, Stone Harbor manages global credit portfolios
for institutional clients around the world. The following commentary is provided by the respective portfolio team at Stone Harbor and covers the Fund’s portfolio for the six months ended May 31, 2024.
How did the markets perform during the Fund’s six months
ended May 31, 2024?
Central bank policy
response to inflation data in developed and emerging countries remained a key focus for global credit markets during the six-month period ended May 31, 2024. Upside surprises to U.S. economic growth and inflation readings led to upward pressure on
investment grade bond yields, as market participants scaled back expectations for the Federal Reserve (the Fed) to ease monetary policy over the balance of 2024.
However, despite higher investment grade bond
yields, U.S. dollar-denominated debt returns in emerging markets (“EM”) remained positive, largely due to a continued compression in the risk premium, that is, the extra yield investors demand to hold the bond over U.S. Treasuries, for
high yield EM sovereign and corporate issuers. EM fundamentals were supported by continued disinflation, together with ongoing monetary policy easing, which in turn supported an improvement in growth prospects. In terms of country-specific
developments, several countries – including Argentina, Ecuador, and Egypt – reengaged with the International Monetary Fund (“IMF”) and made significant progress in stabilizing their economies. The period was also marked by
accelerated political activity in India, Indonesia, Mexico, Panama, and South Africa.
For information regarding the indexes and certain key investment terms, see
Key Investment Terms starting on page 17.
STONE HARBOR EMERGING
MARKETS INCOME FUND
MANAGER’S DISCUSSION OF FUND PERFORMANCE
(Unaudited) (Continued)
May 31, 2024
Against this backdrop, the yield of the
10-year U.S. Treasury closed at 4.51% at the end of the reporting period after reaching a period high of 4.70% in late April amid uncertainty about U.S. interest rate policy. Total returns of indexes for emerging markets hard currency sovereign and
corporate debt were 6.53% and 6.05%, as represented by the JPMorgan EMBI Global Diversified Index and the JPMorgan CEMBI Broad Diversified Index, respectively, for the six-month period. The average yield of local currency sovereign debt, as
represented by the JPMorgan GBI-EM Global Diversified Index, climbed to 6.61%. Local currency sovereign debt underperformed, posting a total return of 0.46%, driven by foreign currency depreciation.
What factors affected the Fund’s performance during
six-month period?
The Fund’s
total return on net asset value (“NAV”) for the six months ended May 31, 2024 was 18.93%. For the same period, the Fund’s composite benchmark, which is composed of the three sectors of emerging markets debt, returned 4.32%. A key
driver of the Fund’s performance was positive returns from country selection in hard currency sovereign debt.
At the country level, the largest
contributors to performance were U.S. dollar-denominated sovereign debt in Argentina, Ecuador, and Egypt. U.S. dollar-denominated corporate debt in Mexico, Indonesia, and Colombia also enhanced performance. Other contributors to performance included
local currency debt exposure in Mexico, Colombia, and Kazakhstan.
Among the top detractors from the
Fund’s performance were allocations to U.S. dollar-denominated sovereign bonds in Ukraine, Ethiopia, and Oman. Local currency debt exposures in Brazil and Indonesia also detracted from performance.
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, and to efficiently gain certain investment exposures. These derivative positions may increase or
decrease the Fund’s exposure to these risks. For the reporting period, derivatives contributed 4.07% to Fund performance.
Level distribution practice
The Fund has a practice of seeking to
maintain a specified level of monthly distributions to shareholders, which may be changed at any time. As a result of this practice, the Fund may pay distributions in excess of the Fund’s taxable net investment income and net realized gains.
During the most recent fiscal period, the practice did not have a material impact on the Fund’s investment strategy.
The preceding information is the opinion of
portfolio management only through the end of the period of the report as stated on the cover. Any such opinions are subject to change at any time based upon market conditions and should not be relied upon as investment advice.
The Fund’s portfolio holdings are
subject to change and may not be representative of the portfolio managers’ current or future investment decisions. The mention of individual securities held by the Fund is for informational purposes only and should not be construed as a
recommendation to purchase or sell any securities. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies discussed should consult their financial professional.
For
information regarding the indexes and certain key investment terms, see Key Investment Terms starting on page 17.
STONE HARBOR EMERGING
MARKETS INCOME FUND
MANAGER’S DISCUSSION OF FUND PERFORMANCE
(Unaudited) (Continued)
May 31, 2024
Risk Considerations
Non-Diversified: The Fund is not diversified and may be more susceptible to factors negatively impacting its holdings to the extent the Fund invests more of its assets in the securities of fewer issuers than would a diversified
portfolio.
Management: The Fund is subject to management risk because it is an actively managed investment portfolio. Judgments by the Fund’s subadviser about the attractiveness and potential appreciation of an investment may
prove to be inaccurate and may not produce the desired results.
Market Volatility: The value of the securities in the Fund may go up or down in response to the prospects of individual companies and/or general economic conditions. Price changes may be short- or long-term. Local, regional or global
events such as war or military conflict (e.g.,Russia’s invasion of Ukraine), acts of terrorism, the spread of infectious illness (e.g., COVID-19 pandemic) or other public health issue, recessions, or other events could have a significant
impact on the Fund and its investments, including hampering the ability of the Fund’s manager(s) to invest the Fund’s assets as intended.
Foreign Investing: Investing in foreign securities subjects the Fund to additional risks such as increased volatility; currency fluctuations; less liquidity; less publicly available information about the foreign investment; and political,
regulatory, economic, and market risk.
Emerging Markets Investing: Emerging markets securities may be more volatile, or more greatly affected by negative conditions, than those of their counterparts in more established foreign markets. Such securities may also be subject to Sanctions
Risk.
Sanctions: The imposition of sanctions and other similar measures could cause a decline in the value and/or liquidity of securities issued by or tied to the sanctioned country and increase market volatility and disruption in the
sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent the Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of
transactions, and negatively impact the Fund’s liquidity and performance.
Currency
Rate: Fluctuations in the exchange rates between the U.S. dollar and foreign currencies may negatively affect the value of the Fund’s shares.
Sovereign Debt Obligations: Certain emerging market countries have historically experienced, and may continue to experience, high rates of inflation, high interest rates, exchange rate fluctuations, large amounts of external debt, balance of
payments and trade difficulties and extreme poverty and unemployment. The issuer or governmental authority that controls the repayment of an emerging country’s debt may not be able or willing to repay the principal and/or interest when
due in accordance with the terms of such debt.
Credit & Interest: Debt instruments are subject to various risks, including credit and interest rate risk. The issuer of a debt security may fail to make interest and/or principal payments. Values of debt instruments may rise
or fall in response to changes in interest rates, and this risk may be enhanced with longer-term maturities.
For information regarding the indexes and certain key investment terms, see
Key Investment Terms starting on page 17.
STONE HARBOR EMERGING
MARKETS INCOME FUND
MANAGER’S DISCUSSION OF FUND PERFORMANCE
(Unaudited) (Continued)
May 31, 2024
Derivatives:
Derivatives may include, among other things, futures, options, forwards and swap agreements and may be used in order to hedge portfolio risks, create leverage, or attempt to increase returns. Investments in derivatives may result in increased
volatility and the Fund may incur a loss greater than its principal investment.
Reverse Repurchase Agreements: Reverse repurchase agreements subject the Fund to Leverage Risk and Counterparty Risk, and also to the risk that the market value of the securities that the Fund is obligated to repurchase under the agreements may
decline below the repurchase price. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund’s use of the proceeds of the agreement may be restricted pending determination by
the other party, or its trustee or receiver, whether to enforce the Fund’s obligation to repurchase the securities.
Counterparty:
There is risk that a party upon whom the Fund relies to complete a transaction will default.
High Yield Fixed Income Securities: There is a greater risk of issuer default, less liquidity, and increased price volatility related to high yield securities than investment grade securities.
Leverage:
When the Fund leverages its portfolio, the Fund may be less liquid and/or may liquidate positions at an unfavorable time, and the value of the Fund’s shares will be more volatile and sensitive to market movements.
Closed-End Funds: Closed-end funds may trade at a discount or premium from their net asset values, which may affect whether an investor will realize gains or losses. They may also employ leverage, which may increase
volatility.
No Guarantee: There is no guarantee that the Fund will meet its objective.
For information regarding the indexes and certain key investment terms, see
Key Investment Terms starting on page 17.
TOTAL RETURN FUND
INC.
MANAGER’S DISCUSSION OF FUND PERFORMANCE (Unaudited)
May 31, 2024
About The
Fund
Virtus Total Return Fund Inc.
(NYSE: ZTR) (the “Fund”) has an investment objective of capital appreciation, with current income as a secondary objective. The Fund seeks to meet its objectives through a balance of equity and fixed income investments. There is no guarantee that the Fund will achieve its investment objectives.
The use of leverage currently enables the
Fund to borrow at short-term rates with the expectation of investing at higher yields on its investments. As of May 31, 2024, the Fund’s leverage consisted of $168 million of borrowings made pursuant to margin financing, which represented
approximately 30% of the Fund’s total assets.
For the fiscal period ended May 31, 2024, the
Fund’s NAV returned 7.00%, including $0.30 in reinvested distributions, and its market price returned 7.02%. For the same period, the Fund’s composite benchmark, which consists of 60% FTSE Developed Core Infrastructure 50/50 Index
(net) (representing equities) and 40% Bloomberg U.S. Aggregate Bond Index (representing fixed income) returned 5.45%.
Manager Comments – Duff & Phelps Investment Management
Co. (“DPIM”)
The equity
portion of the Fund is invested globally in owners/operators of infrastructure in the communications, utility, energy, and transportation industries (also referred to as “essential services”). DPIM manages the equity portion of the
Fund’s portfolio, utilizing its global infrastructure strategy that leverages the company’s in-depth fundamental research expertise in income-producing securities. The following commentary is provided by the portfolio management team at
DPIM and covers the Fund’s equity portion for the fiscal six months ended May 31, 2024.
How did the equity markets perform during the six months ended
May 31, 2024?
Global developed market
equities rose 14.89%, as measured by the MSCI World Index (net), for the six months ended May 31, 2024. The strong gains were driven by a resilient U.S. economy and ongoing enthusiasm for artificial intelligence (“AI”). Stubbornly high
inflation readings in the U.S. were a modest counterweight, reducing expectations for the Fed to cut interest rates, as a “higher-for-longer” narrative persisted. The ECB remained confident about disinflationary trends and signaled a
June rate cut.
The benchmark for the
equity portion of the Fund, the FTSE Developed Core Infrastructure 50/50 Index (net), rose 7.66% for the period, but significantly trailed the broader market. Energy infrastructure was the best-performing sector during the period. Global economies
supported investors’ expectations for sustained demand growth for oil and gas, implying continued volume growth for the midstream energy companies. Companies with exposure to natural gas benefited from a constructive demand environment.
Utility stocks traded higher as a result of
solid earnings results and news of increasing power demand driven by the computational and storage needs of data centers for the expanding uses of AI. Transportation stocks posted positive returns, although performance varied by subsector. European
airport and toll road stocks performed well as traffic volumes remained solid. North American railroads were mixed, with some rails trading lower due to softer economic news. The communications sector declined and was the worst performer for the
period. Higher interest rates were the culprit as tower stocks across Europe and the U.S. traded lower.
For information regarding the indexes and certain key investment terms, see
Key Investment Terms starting on page 17.
TOTAL RETURN FUND
INC.
MANAGER’S DISCUSSION OF FUND PERFORMANCE
(Unaudited) (Continued)
May 31, 2024
What
factors affected the performance of the Fund’s equity portfolio during the six-month period?
For the six months ended May 31, 2024, the
equity portion of the Fund, including the impact of leverage employed by the Fund, returned 8.48% (before fees and expenses), while the FTSE Developed Core Infrastructure 50/50 Index (net), which serves as the portfolio’s benchmark, returned
7.66%.
The equity portion of the Fund
outperformed its equity benchmark for the six-month period. Overall, sector allocation and stock selection were both negative, but the impact of leverage was positive. Sector allocation was hurt by overweight positions in communications and
transportation, as well as an underweight in utilities. An overweight position in energy infrastructure had a negligible allocation impact. Stock selection was positive for transportation and communications, but was more than offset by negative
selection in utilities and energy.
At
the security level, the largest contributors to performance were NextEra Energy, Aena, and Targa Resources. After a period of underperformance, NextEra rebounded due to strong earnings guidance, a robust renewables pipeline, and upside from growth
in data center demand. Aena, the airport operator in Spain, continued to be supported by strong passenger traffic across Europe. Outperformance in Targa was due to management’s positive multi-year outlook, continued strong execution, and
investor expectations of robust dividend growth and share repurchases.
The largest detractors from performance in
the portfolio were Cheniere Energy, Crown Castle, and American Tower. Cheniere Energy is the leading producer and exporter of liquefied natural gas in the U.S. A warmer winter pressured global gas prices as inventories remained elevated above
long-term averages. Although 2024 earnings guidance fell short of consensus expectations, we believe Cheniere enjoys a heavily contracted business model with visible future growth and therefore retained the security in the portfolio as of the end of
the period.
Both Crown Castle and
American Tower suffered from the unfavorable macroeconomic environment for wireless towers, particularly higher interest rates. While the pace of carrier upgrades slowed after the initial 5G deployment, the telecom industry is in the midst of a
multi-year investment cycle to deploy new spectrum and accommodate wireless data growth. When interest rate headwinds begin to dissipate, we believe the attractive risk-reward profile for tower stocks supported by a solid business model and strong
long-term fundamentals will become more apparent. We therefore retained these securities in the portfolio as of the end of the period.
Manager Comments – Newfleet
Newfleet manages the Fund’s fixed
income portfolio, utilizing its multi-sector core plus strategy. The following commentary is provided by the portfolio management team at Newfleet, and it covers the Fund’s fixed income portfolio for the period ended May 31, 2024.
For information
regarding the indexes and certain key investment terms, see Key Investment Terms starting on page 17.
TOTAL RETURN FUND
INC.
MANAGER’S DISCUSSION OF FUND PERFORMANCE
(Unaudited) (Continued)
May 31, 2024
How did
the fixed income markets perform during the six months ended May 31, 2024?
The six-month period ended May 31, 2024, was
a period of U.S. exceptionalism in global terms. U.S. economic growth remained resilient, labor markets remained sound, and inflation remained above the central bank target. Considering these factors, the U.S. stood out among G7 counterparts as of
the end of the reporting period, a position that was reflected in current monetary policy at the end of the reporting period. Even with this backdrop, however, the economic data showed a high degree of variability during the period, which resulted
in moments of financial market volatility.
While the Fed remained on hold during the
period, other developed market central banks took the first steps to ease monetary policy since the global tightening cycle that characterized the post-Covid economic environment. The ECB, as well as central banks in Switzerland, Sweden, and Canada,
all began to ease policy during the period.
Few positive developments occurred in the
parts of the world that remained plagued by conflict, and though the financial markets largely discounted day-to-day developments, investors continued to monitor for any further escalations that could disrupt the markets. Political activity
accelerated as important elections were held in India, Mexico, South Africa, and the European Union, and are planned for the U.K. and the U.S. The common theme during the period was one of surprise outcomes that led to local financial market
dislocations.
Most risk asset markets
rejoiced at the Goldilocks environment of slowing inflation, low unemployment, resilient earnings, and economic growth, all of which outperformed expectations. However, markets remained highly sensitive to new data releases, and results were varied
during the period. Fixed income sector performance was also variable, with interest rates higher during the period. Spread sectors, or investments other than risk-free government debt, outperformed U.S. Treasuries and spreads tightened. Spread
refers to the additional yield over the yield of a risk-free government bond. Within spread sectors, risk asset classes outperformed. With the exception of the very front end, the U.S. Treasury yield curve shifted higher and overall the curve
flattened. The 2-year Treasury yield increased by 0.19%, the 5-year Treasury yield increased by 0.24%, the 10-year Treasury yield increased by 0.17%, and the 30-year Treasury yield moved 0.15% higher.
What factors affected the performance of the Fund’s fixed
income portfolio during the six-month period?
For the six months ended May 31, 2024, the
fixed income portion of the Fund, including the impact of leverage employed by the Fund, returned 7.38% (before fees and expenses), while the Bloomberg U.S. Aggregate Bond Index, which serves as the portfolio’s benchmark, returned 2.12%.
The portfolio’s allocation to and
selection within corporate high yield bonds had a positive impact on relative performance. Issue selection within investment grade corporate bonds and the Fund’s exposure to high yield bank loans and emerging markets high yield also positively
impacted relative performance for the six-month period.
The portfolio’s underweight to U.S.
Treasury securities had a positive impact during the period.
For information regarding the indexes and certain key investment terms, see
Key Investment Terms starting on page 17.
TOTAL RETURN FUND
INC.
MANAGER’S DISCUSSION OF FUND PERFORMANCE
(Unaudited) (Continued)
May 31, 2024
The portfolio’s underweight to
investment grade corporates, as well as issue selection within loans and emerging markets high yield, were detractors during the period.
Managed Distribution Plan
As discussed on the inside cover of this
Report, the Fund currently operates under a Managed Distribution Plan (the “Plan”) pursuant to which the Fund makes a monthly distribution at a rate of $0.05 per share. As a result of execution on the Plan, the Fund may pay
distributions in excess of the Fund’s taxable net investment income and net realized gains. During the most recent fiscal period, the Plan did not have a material impact on the Fund’s investment strategy.
The preceding information is the opinion of
portfolio management only through the end of the period of the report as stated on the cover. Any such opinions are subject to change at any time based upon market conditions and should not be relied upon as investment advice.
The Fund’s portfolio holdings are
subject to change and may not be representative of the portfolio managers’ current or future investment decisions. The mention of individual securities held by the Fund is for informational purposes only and should not be construed as a
recommendation to purchase or sell any securities. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies discussed should consult their financial professional.
For
information regarding the indexes and certain key investment terms, see Key Investment Terms starting on page 17.
TOTAL RETURN FUND
INC.
MANAGER’S DISCUSSION OF FUND PERFORMANCE
(Unaudited) (Continued)
May 31, 2024
Risk Considerations
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that
risk.
Management: The Fund is subject to management risk because it is an actively managed investment portfolio. Judgments by the Fund’s subadvisers about the attractiveness and potential appreciation of an investment may prove to
be inaccurate and may not produce the desired results.
Infrastructure: A Fund that focuses its investments in infrastructure-related companies will be more sensitive to conditions affecting their business or operations such as local economic and political conditions, regulatory changes, and
environmental issues.
Foreign
Investing: Investing in foreign securities subjects the Fund to additional risks such as increased volatility, currency fluctuations, less liquidity, less publicly available information about the foreign investment,
and political, regulatory, economic, and market risk.
Utilities Sector Concentration: The equity portfolio’s investments are concentrated in the utilities sector and may present more risks than if the equity portion of the Fund were broadly diversified.
Leveraged Loans: Leveraged loans may be unsecured or not fully collateralized, may be subject to restrictions on resale, may be less liquid and may trade infrequently on the secondary market. Leveraged loans settle on a delayed basis;
thus, sale proceeds may not be available to meet redemptions for a substantial period of time after the sale of the loan.
Credit & Interest: Debt instruments are subject to various risks, including credit and interest rate risk. The issuer of a debt security may fail to make interest and/or principal payments. Values of debt instruments may rise or fall in
response to changes in interest rates, and this risk may be enhanced with longer-term maturities.
High Yield Fixed Income Securities: There is a greater risk of issuer default, less liquidity, and increased price volatility related to high yield securities than investment grade securities.
Asset-Backed and Mortgage-Backed Securities: Changes in interest rates can cause both extension and prepayment risks for asset- and mortgage-backed securities. These securities are also subject to risks associated with the non-repayment of underlying collateral,
including losses to the Fund.
Leverage:
When the Fund leverages its portfolio, the Fund may be less liquid and/or may liquidate positions at an unfavorable time, and the value of the Fund’s shares will be more volatile and sensitive to market movements.
Market Volatility: The value of the securities in the Fund may go up or down in response to the prospects of individual companies and/or general economic conditions. Price changes may be short- or long-term. Local, regional or global
events such as war or military conflict (e.g., Russia’s invasion of Ukraine), acts of terrorism, the spread of infectious illness (e.g., COVID-19 pandemic) or other public health issue, recessions, or other events could have a significant
impact on the Fund and its investments, including hampering the ability of the Fund’s manager(s) to invest the Fund’s assets as intended.
For information regarding the indexes and certain key investment terms, see
Key Investment Terms starting on page 17.
TOTAL RETURN FUND
INC.
MANAGER’S DISCUSSION OF FUND PERFORMANCE
(Unaudited) (Continued)
May 31, 2024
Closed-End Funds: Closed-end funds may trade at a discount or premium from their net asset values, which may affect whether an investor will realize gains or losses. They may also employ leverage, which may increase the impact of
volatility.
No Guarantee: There is no guarantee that the Fund will meet its objective.
For information regarding the indexes and certain key investment terms, see
Key Investment Terms starting on page 17.
PORTFOLIO HOLDINGS SUMMARY WEIGHTINGS (Unaudited)
May 31, 2024
The
following tables present the portfolio holdings within certain industries/sectors or countries as a percentage of total investments (excluding reverse repurchase agreements and swap contracts) at May 31, 2024.
Asset
Allocation
Global
Multi-Sector Income Fund
Corporate
Bonds and Notes |
|
43%
|
Financials
|
14%
|
|
Energy
|
10
|
|
Utilities
|
4
|
|
All
other Corporate Bonds and Notes |
15
|
|
Foreign
Government Securities |
|
22
|
Leveraged
Loans |
|
12
|
Mortgage-Backed
Securities |
|
10
|
Asset-Backed
Securities |
|
9
|
U.S.
Government Securities |
|
3
|
Preferred
Stocks |
|
1
|
Total
|
|
100%
|
Stone Harbor
Emerging Markets Income Fund
Foreign
Government Securities |
|
61%
|
Corporate
Bonds and Notes |
|
33
|
Exploration
& Production |
20%
|
|
Financial
& Lease |
4
|
|
Electric
|
4
|
|
Refining
|
2
|
|
All
other Corporate Bonds and Notes |
3
|
|
Short-Term
Investment |
|
3
|
Credit
Linked Notes |
|
3
|
Total
|
|
100%
|
Total Return
Fund Inc.
Common
Stocks |
|
74%
|
Utilities
|
35%
|
|
Industrials
|
22
|
|
Energy
|
10
|
|
All
Other Common Stocks |
7
|
|
Corporate
Bonds and Notes |
|
10
|
Financials
|
3
|
|
Energy
|
2
|
|
Industrials
|
1
|
|
All
Other Corporate Bonds and Notes |
4
|
|
Mortgage-Backed
Securities |
|
5
|
Leveraged
Loans |
|
4
|
Asset-Backed
Securities |
|
4
|
Foreign
Government Securities |
|
2
|
U.S.
Government Securities |
|
1
|
Total
|
|
100%
|
PORTFOLIO HOLDINGS SUMMARY
WEIGHTINGS (Unaudited) (Continued)
Global
Multi-Sector Income Fund
United
States |
56%
|
Mexico
|
5
|
Indonesia
|
3
|
Turkey
|
3
|
Canada
|
2
|
Saudi
Arabia |
2
|
Colombia
|
2
|
Other
|
27
|
Total
|
100%
|
Stone Harbor
Emerging Markets Income Fund
Mexico
|
19%
|
Argentina
|
8
|
Egypt
|
6
|
Iraq
|
5
|
Colombia
|
5
|
Angola
|
5
|
Ecuador
|
5
|
Other
|
47
|
Total
|
100%
|
Total Return
Fund Inc.
United
States |
64%
|
Spain
|
9
|
Australia
|
5
|
United
Kingdom |
5
|
Canada
|
4
|
Netherlands
|
3
|
France
|
3
|
Other
|
7
|
Total
|
100%
|
KEY INVESTMENT TERMS
(Unaudited)
May 31, 2024
Bloomberg Global Aggregate Bond Index
The Bloomberg Global Aggregate Bond Index is a flagship
measure of global investment grade debt from twenty-four local currency markets. This multi-currency benchmark includes treasury, government-related, corporate and securitized fixed-rate bonds from both developed and emerging markets issuers. The
index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
Bloomberg U.S. Aggregate Bond Index
The Bloomberg U.S. Aggregate Bond Index measures the U.S.
investment-grade fixed-rate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Bloomberg U.S. Corporate High Yield Bond Index
The Bloomberg U.S. Corporate High Yield Bond Index measures the
U.S. dollar-denominated, high yield, fixed-rate corporate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct
investment.
Stone Harbor Emerging Markets Income Fund
Composite Index: 33% J.P. Morgan EMBI Global Diversified / 33% J.P. Morgan CEMBI Broad Diversified / 33% J.P. Morgan GBI-EM Global Diversified
The Stone Harbor Emerging Markets Income Fund composite index
consists of 33.33% J.P. Morgan EMBI Global Diversified Index, 33.33% J.P. Morgan CEMBI Broad Diversified Index and 33.33% J.P. Morgan GBI-EM Global Diversified Index. The index is unmanaged, its returns do not reflect any fees, expenses, or sales
charges, and it is not available for direct investment.
Designated Activity Company (“DAC”)
A new company type that was created as part of the New
Companies Act 2014, which came into force on June 1st, 2015, in Ireland. This limited company type is applicable to those companies who wish to outline and define a specific type of business in their constitution, rather than have unlimited powers
as per the LTD company type.
European Central Bank
(“ECB”)
The ECB is responsible for conducting
monetary policy for the Euro zone. The ECB was established as the core of the Eurosystem and the European System of Central Banks (“ESCB”). The ESCB comprises the ECB and the National Central Banks of all 17 European Union Member States
whether or not they have adopted the Euro.
European
Union (“EU”)
The EU is a unique economic and
political union of 28 European countries. The EU was created in the aftermath of the Second World War and has developed an internal single market through a standardized system of laws that apply to all member states. A monetary union was established
in 1999 and is composed of the 19 member states which use the Euro currency.
Exchange-Traded Fund (“ETF”)
An open-end fund that is traded on a stock exchange. Most ETFs
have a portfolio of stocks or bonds that track a specific market index.
Federal Reserve (“Fed”)
The central bank of the U.S., responsible for controlling money
supply, interest rates and credit with the goal of keeping the U.S. economy and currency stable. Governed by a seven-member
KEY INVESTMENT TERMS
(Unaudited) (Continued)
May 31, 2024
board, the system
includes 12 regional Federal Reserve Banks, 25 branches, and all national and state banks that are part of the system.
FTSE Developed Core Infrastructure 50/50 Index (net)
The FTSE Developed Core Infrastructure 50/50 Index (net) is a
free float-adjusted market capitalization-weighted index that gives participants an industry-defined interpretation of infrastructure and adjusts the exposure to certain infrastructure sub-sectors. The constituent weights for the index are 50%
utilities, 30% transportation including capping of 7.5% for railroads/railways and a 20% mix of other sectors including pipelines, satellites, and telecommunication towers. The index is calculated on a total return basis with net dividends
reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
Group of Seven (“G7”)
The Group of Seven is a forum of 7 major industrialized
countries to coordinate monetary and fiscal policies to create a more stable world economic system. The 7 countries consist of Canada, France, Germany, Italy, the United Kingdom, and the United States. The European Union (“EU”) is
also considered a “non-enumerated member.”
Hard Currency
Hard currency refers to a currency that is generally issued by
developed countries, globally traded, and seen as politically and economically stable. Generally, when a fund invests in hard currency sovereign debt, that debt is denominated in U.S. Dollars.
International Monetary Fund (“IMF”)
The International Monetary Fund is a major financial agency of
the United Nations, and an international financial institution, headquartered in Washington, D.C., consisting of 190 countries. The IMF works to achieve sustainable growth and prosperity for all of its member countries by supporting economic
policies that promote financial stability and monetary cooperation, which are essential to increase productivity, job creation, and economic well-being.
J.P. Morgan CEMBI Broad Diversified Index
The J.P. Morgan CEMBI Broad Diversified Index 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 $300 million for the J.P. Morgan
CEMBI Broad Diversified. The J.P. Morgan 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. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
J.P. Morgan EMBI Global Diversified Index
The J.P. Morgan EMBI Global Diversified Index (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 index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct
investment.
J.P. Morgan GBI-EM Global Diversified
Index
The J.P. Morgan GBI-EM Global Diversified Index
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. The index is
KEY INVESTMENT TERMS
(Unaudited) (Continued)
May 31, 2024
calculated on a total
return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Joint Stock Company (“JSC”)
A joint-stock company is a business entity in which shares of
the company’s stock can be bought and sold by shareholders. Each shareholder owns company stock in proportion, evidenced by their shares (certificates of ownership). Shareholders are able to transfer their shares to others without any effects
to the continued existence of the company.
London
Interbank Offered Rate (“LIBOR”)
A benchmark
rate that some of the world’s leading banks charge each other for short-term loans and that serves as the first step to calculating interest rates on various loans throughout the world.
MSCI Emerging Markets Index (net)
The MSCI Emerging Markets Index (net) is a free float-adjusted
market capitalization-weighted index designed to measure equity market performance in the global emerging markets. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any
fees, expenses, or sales charges, and it is not available for direct investment.
MSCI EAFE® Index (net)
The MSCI EAFE® (Europe, Australasia, Far East) Index (net) is a free float-adjusted market capitalization-weighted index that measures developed foreign market equity performance, excluding
the U.S. and Canada. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
MSCI World Index (net)
The MSCI World Index (net) is a free float-adjusted market
capitalization-weighted index that measures developed global market equity performance. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales
charges, and it is not available for direct investment.
Risk Assets
Risk assets are those that tend to demonstrate price
volatility, such as equities, high yield bonds, currencies, and commodities.
Russell 2000® Index
The Russell 2000® Index is a market capitalization-weighted index of the 2,000 smallest companies in the Russell Universe, which comprises the 3,000 largest U.S. companies. The index is
calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
S&P 500® Index
The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested.
The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
KEY INVESTMENT TERMS
(Unaudited) (Continued)
May 31, 2024
Secured
Overnight Financing Rate (“SOFR”)
A broad
measure of the cost of borrowing cash overnight collateralized by U.S. Treasury securities.
Yield Curve
A line that plots the interest rates, at a set point in time,
of bonds having equal credit quality, but differing maturity dates. The most frequently reported yield curve compares the three-month, two-year, five-year and 30-year U.S. Treasury debt. This yield curve is used as a benchmark for other debt in the
market, such as mortgage rates or bank lending rates. The curve is also used to predict changes in economic output and growth.
Global Multi-Sector Income
Fund
SCHEDULE OF INVESTMENTS (Unaudited)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
U.S.
Government Securities—3.9% |
U.S.
Treasury Bonds |
|
|
|
4.750%,
11/15/53 |
$ 1,305
|
|
$
1,329 |
4.250%,
2/15/54 |
2,215
|
|
2,078
|
4.625%,
5/15/54 |
345
|
|
345
|
Total
U.S. Government Securities (Identified Cost $3,817) |
|
3,752
|
|
|
|
|
|
Foreign
Government Securities—31.3% |
Arab
Republic of Egypt |
|
|
|
144A
7.500%, 1/31/27(2) |
255
|
|
250
|
144A
7.600%, 3/1/29(2) |
67
|
|
62
|
144A
5.875%, 2/16/31(2) |
145
|
|
117
|
144A
8.500%, 1/31/47(2) |
715
|
|
557
|
Benin
Government International Bond 144A 7.960%, 2/13/38(2) |
30
|
|
28
|
Bolivarian
Republic of Venezuela RegS 7.650%, 4/21/25(3)(4) |
1,380
|
|
219
|
Brazil
Notas do Tesouro Nacional Series F 10.000%, 1/1/29 |
2,680
BRL |
|
484
|
Costa
Rica Government 144A 6.550%, 4/3/34(2) |
925
|
|
946
|
Dominican
Republic |
|
|
|
144A
4.875%, 9/23/32(2) |
875
|
|
780
|
144A
6.850%, 1/27/45(2) |
305
|
|
300
|
Federative
Republic of Brazil |
|
|
|
6.000%,
10/20/33 |
855
|
|
826
|
4.750%,
1/14/50(5) |
365
|
|
263
|
Finance
Department Government of Sharjah |
|
|
|
144A
6.500%, 11/23/32(2) |
300
|
|
309
|
144A
4.000%, 7/28/50(2) |
1,075
|
|
687
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Foreign
Government Securities—continued |
Hungary
Government International Bond 144A 6.250%, 9/22/32(2)(5) |
$ 650
|
|
$ 665
|
Islamic
Republic of Pakistan |
|
|
|
144A
6.875%, 12/5/27(2) |
630
|
|
551
|
144A
7.375%, 4/8/31(2) |
455
|
|
372
|
Kingdom
of Jordan 144A 5.850%, 7/7/30(2) |
1,450
|
|
1,334
|
Kingdom
of Morocco |
|
|
|
144A
3.000%, 12/15/32(2) |
200
|
|
160
|
144A
5.500%, 12/11/42(2) |
590
|
|
513
|
Oman
Government International Bond 144A 7.375%, 10/28/32(2) |
595
|
|
655
|
Republic
of Angola 144A 8.750%, 4/14/32(2) |
665
|
|
594
|
Republic
of Argentina 3.500%, 7/9/41(6) |
1,828
|
|
747
|
Republic
of Armenia 144A 3.600%, 2/2/31(2) |
400
|
|
326
|
Republic
of Chile 3.500%, 1/31/34(5) |
160
|
|
138
|
Republic
of Colombia |
|
|
|
3.250%,
4/22/32(5) |
690
|
|
525
|
4.125%,
5/15/51 |
475
|
|
281
|
Republic
of Ecuador 144A 6.000%, 7/31/30(2)(6) |
632
|
|
423
|
Republic
of El Salvador 144A 7.650%, 6/15/35(2) |
860
|
|
615
|
Republic
of Gabon 144A 6.950%, 6/16/25(2) |
100
|
|
94
|
Republic
of Ghana |
|
|
|
144A
8.125%, 3/26/32(2)(3) |
315
|
|
162
|
RegS
8.125%, 3/26/32(3)(4) |
251
|
|
129
|
Republic
of Indonesia 2.850%, 2/14/30(5) |
1,540
|
|
1,357
|
See Notes to Financial Statements
Global Multi-Sector Income
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Foreign
Government Securities—continued |
Republic
of Ivory Coast |
|
|
|
144A
6.375%, 3/3/28(2) |
$ 385
|
|
$ 375
|
144A
6.125%, 6/15/33(2) |
435
|
|
387
|
144A
8.250%, 1/30/37(2) |
310
|
|
301
|
Republic
of Kenya 144A 8.000%, 5/22/32(2) |
510
|
|
465
|
Republic
of Nigeria 144A 7.375%, 9/28/33(2) |
625
|
|
521
|
Republic
of Panama |
|
|
|
7.500%,
3/1/31 |
13
|
|
13
|
8.000%,
3/1/38(5) |
481
|
|
504
|
Republic
of Philippines 3.700%, 3/1/41(5) |
1,010
|
|
802
|
Republic
of Poland 4.875%, 10/4/33(5) |
525
|
|
506
|
Republic
of Serbia 144A 6.500%, 9/26/33(2) |
435
|
|
435
|
Republic
of South Africa 5.650%, 9/27/47 |
360
|
|
259
|
Republic
of Turkiye |
|
|
|
7.625%,
4/26/29 |
1,175
|
|
1,199
|
9.125%,
7/13/30 |
1,185
|
|
1,285
|
7.625%,
5/15/34 |
465
|
|
466
|
4.875%,
4/16/43 |
935
|
|
656
|
Romania
Government International Bond 144A 7.125%, 1/17/33(2) |
325
|
|
341
|
Saudi
International Bond |
|
|
|
144A
3.625%, 3/4/28(2)(5) |
900
|
|
853
|
144A
4.875%, 7/18/33(2)(5) |
585
|
|
569
|
144A
4.500%, 10/26/46(2)(5) |
1,655
|
|
1,386
|
State
of Israel 2.750%, 7/3/30(5) |
480
|
|
403
|
State
of Qatar |
|
|
|
144A
3.750%, 4/16/30(2)(5) |
450
|
|
423
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Foreign
Government Securities—continued |
144A
4.400%, 4/16/50(2)(5) |
$ 365
|
|
$
311 |
Ukraine
Government |
|
|
|
144A
7.750%, 9/1/26(2)(3) |
300
|
|
91
|
RegS
7.750%, 9/1/26(3)(4) |
350
|
|
106
|
United
Mexican States |
|
|
|
2.659%,
5/24/31(5) |
310
|
|
256
|
6.350%,
2/9/35(5) |
430
|
|
434
|
6.338%,
5/4/53(5) |
427
|
|
408
|
6.400%,
5/7/54(5) |
750
|
|
720
|
Total
Foreign Government Securities (Identified Cost $32,710) |
|
29,944
|
|
|
|
|
|
Mortgage-Backed
Securities—14.1% |
Agency—4.2%
|
|
|
Federal
National Mortgage Association |
|
|
|
Pool
#FS4438 5.000%, 11/1/52 |
869
|
|
837
|
Pool
#MA4785 5.000%, 10/1/52 |
439
|
|
423
|
Pool
#MA4805 4.500%, 11/1/52 |
779
|
|
729
|
Pool
#MA4980 6.000%, 4/1/53 |
1,415
|
|
1,419
|
Pool
#MA5072 5.500%, 7/1/53 |
667
|
|
656
|
|
|
|
4,064
|
|
|
|
|
|
Non-Agency—9.9%
|
|
|
A&D
Mortgage Trust 2023-NQM3, A1 144A 6.733%, 7/25/68(2)(5)(6) |
135
|
|
136
|
Ajax
Mortgage Loan Trust 2022-B, A1 144A 3.500%, 3/27/62(2)(6) |
549
|
|
512
|
See Notes to Financial Statements
Global Multi-Sector Income
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Non-Agency—continued
|
|
|
Arroyo
Mortgage Trust 2019-1, A1 144A 3.805%, 1/25/49(2)(5)(6) |
$ 70
|
|
$ 66
|
Benchmark
Mortgage Trust 2023-B38, A2 5.626%, 4/15/56(5) |
165
|
|
163
|
BPR
Trust 2022-OANA, A (1 month Term SOFR + 1.898%, Cap N/A, Floor 1.898%) 144A 7.215%, 4/15/37(2)(6) |
270
|
|
271
|
BX
Trust 2019-OC11, D 144A 3.944%, 12/9/41(2)(6) |
630
|
|
552
|
Chase
Mortgage Finance Corp. |
|
|
|
2016-SH1,
M2 144A 3.750%, 4/25/45(2)(5)(6) |
76
|
|
68
|
2016-SH2,
M2 144A 3.750%, 12/25/45(2)(5)(6) |
196
|
|
174
|
CIM
Trust 2022-R2, A1 144A 3.750%, 12/25/61(2)(6) |
309
|
|
283
|
COLT
Mortgage Loan Trust |
|
|
|
2022-4,
A1 144A 4.301%, 3/25/67(2)(5)(6) |
141
|
|
135
|
2022-5,
A1 144A 4.550%, 4/25/67(2)(6) |
414
|
|
407
|
COMM
Mortgage Trust 2013-300P, A1 144A 4.353%, 8/10/30(2) |
400
|
|
372
|
Ellington
Financial Mortgage Trust 2019-2, A3 144A 3.046%, 11/25/59(2)(5)(6) |
31
|
|
29
|
Extended
Stay America Trust 2021-ESH, C (1 month Term SOFR + 1.814%, Cap N/A, Floor 1.700%) 144A 7.131%, 7/15/38(2)(6) |
260
|
|
260
|
FirstKey
Homes Trust 2020-SFR2, B 144A 1.567%, 10/19/37(2) |
475
|
|
447
|
Homes
Trust 2023-NQM2, A1 144A 6.456%, 2/25/68(2)(6) |
452
|
|
452
|
INTOWN
Mortgage Trust 2022-STAY, A (1 month Term SOFR + 2.489%, Cap N/A, Floor 2.489%) 144A 7.806%, 8/15/39(2)(6) |
435
|
|
437
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Non-Agency—continued
|
|
|
JPMorgan
Chase Mortgage Trust 2014-5, B2 144A 2.729%, 10/25/29(2)(5)(6) |
$ 163
|
|
$ 146
|
MFA
Trust 2022-INV2, A1 144A 4.950%, 7/25/57(2)(6) |
487
|
|
475
|
Mill
City Mortgage Loan Trust 2017-3, B1 144A 3.250%, 1/25/61(2)(6) |
337
|
|
282
|
MIRA
Trust 2023-MILE, A 144A 6.755%, 6/10/38(2) |
170
|
|
175
|
Morgan
Stanley Bank of America Merrill Lynch Trust 2015-C22, AS 3.561%, 4/15/48(5) |
220
|
|
214
|
New
Residential Mortgage Loan Trust |
|
|
|
2016-3A,
B1 144A 4.000%, 9/25/56(2)(5)(6) |
153
|
|
141
|
2016-4A,
B1A 144A 4.500%, 11/25/56(2)(6) |
453
|
|
431
|
ORL
Trust 2023-GLKS, A (1 month Term SOFR + 2.350%, Cap N/A, Floor 2.350%) 144A 7.667%, 10/19/36(2)(6) |
375
|
|
376
|
Palisades
Mortgage Loan Trust 2021-RTL1, A1 144A 3.487%, 6/25/26(2)(5)(6) |
95
|
|
95
|
Provident
Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(2)(5)(6) |
73
|
|
61
|
Starwood
Mortgage Residential Trust 2021-3, A3 144A 1.518%, 6/25/56(2)(5)(6) |
47
|
|
38
|
Towd
Point Mortgage Trust |
|
|
|
2016-4,
B1 144A 4.024%, 7/25/56(2)(6) |
260
|
|
243
|
2017-1,
M1 144A 3.750%, 10/25/56(2)(6) |
265
|
|
252
|
2017-4,
A2 144A 3.000%, 6/25/57(2)(5)(6) |
171
|
|
155
|
2018-6,
A2 144A 3.750%, 3/25/58(2)(5)(6) |
215
|
|
191
|
Tricon
Residential Trust 2021-SFR1, B 144A 2.244%, 7/17/38(2) |
150
|
|
139
|
See Notes to Financial Statements
Global Multi-Sector Income
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Non-Agency—continued
|
|
|
VCAT
LLC 2021-NPL3, A1 144A 4.743%, 5/25/51(2)(6) |
$ 139
|
|
$
135 |
Verus
Securitization Trust |
|
|
|
2022-4,
A1 144A 4.474%, 4/25/67(2)(6) |
281
|
|
273
|
2022-6,
A1 144A 4.910%, 6/25/67(2)(5)(6) |
194
|
|
190
|
2022-6,
A3 144A 4.910%, 6/25/67(2)(6) |
424
|
|
410
|
2023-8,
A1 144A 6.259%, 12/25/68(2)(6) |
290
|
|
290
|
|
|
|
9,476
|
|
|
|
|
|
Total
Mortgage-Backed Securities (Identified Cost $14,015) |
|
13,540
|
|
|
|
|
|
Asset-Backed
Securities—13.4% |
Automobiles—4.9%
|
|
|
Arivo
Acceptance Auto Loan Receivables Trust 2024-1A, B 144A 6.870%, 6/17/30(2) |
396
|
|
395
|
Avis
Budget Rental Car Funding LLC (AESOP) 2019-2A, D 144A 3.040%, 9/22/25(2) |
320
|
|
318
|
Credit
Acceptance Auto Loan Trust 2024-1A, A 144A 5.680%, 3/15/34(2) |
270
|
|
270
|
DT
Auto Owner Trust 2023-1A, D 144A 6.440%, 11/15/28(2) |
450
|
|
452
|
GLS
Auto Receivables Issuer Trust |
|
|
|
2020-3A,
D 144A 2.270%, 5/15/26(2) |
123
|
|
122
|
2020-3A,
E 144A 4.310%, 7/15/27(2) |
550
|
|
545
|
2023-1A,
B 144A 6.190%, 6/15/27(2) |
439
|
|
439
|
LAD
Auto Receivables Trust |
|
|
|
2021-1A,
D 144A 3.990%, 11/15/29(2) |
470
|
|
453
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Automobiles—continued
|
|
|
2023-2A,
D 144A 6.300%, 2/15/31(2) |
$ 365
|
|
$ 364
|
OneMain
Direct Auto Receivables Trust 2022-1A, C 144A 5.310%, 6/14/29(2) |
320
|
|
314
|
Tesla
Auto Lease Trust 2023-A, B 144A 6.410%, 7/20/27(2) |
363
|
|
365
|
U.S.
Bank N.A. 2023-1, B 144A 6.789%, 8/25/32(2) |
290
|
|
291
|
Veros
Auto Receivables Trust 2024-1, C 144A 7.570%, 12/15/28(2) |
350
|
|
350
|
|
|
|
4,678
|
|
|
|
|
|
Consumer
Loans—0.7% |
|
|
Affirm
Asset Securitization Trust 2023-B, A 144A 6.820%, 9/15/28(2) |
350
|
|
354
|
Marlette
Funding Trust 2023-2A, B 144A 6.540%, 6/15/33(2) |
363
|
|
364
|
|
|
|
718
|
|
|
|
|
|
Credit
Card—0.5% |
|
|
Avant
Credit Card Master Trust 2021-1A, A 144A 1.370%, 4/15/27(2) |
480
|
|
468
|
Other—7.3%
|
|
|
Adams
Outdoor Advertising LP 2023-1, A2 144A 6.967%, 7/15/53(2) |
365
|
|
376
|
Aqua
Finance Trust 2017-A, A 144A 3.720%, 11/15/35(2) |
2
|
|
2
|
Arby’s
Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(2) |
462
|
|
427
|
Auxilior
Term Funding LLC 2023-1A, D 144A 7.270%, 12/16/30(2) |
240
|
|
241
|
See Notes to Financial Statements
Global Multi-Sector Income
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Other—continued
|
|
|
BXG
Receivables Note Trust 2023-A, A 144A 5.770%, 11/15/38(2) |
$ 348
|
|
$ 345
|
Commercial
Equipment Finance LLC 2024-1A, A 144A 5.970%, 7/16/29(2) |
414
|
|
413
|
FAT
Brands Royalty LLC 2021-1A, A2 144A 5.750%, 4/25/51(2) |
473
|
|
398
|
Hardee’s
Funding LLC 2024-1A, A2 144A 7.253%, 3/20/54(2) |
400
|
|
398
|
Jersey
Mike’s Funding LLC 2019-1A, A2 144A 4.433%, 2/15/50(2) |
348
|
|
332
|
Mariner
Finance Issuance Trust 2020-AA, A 144A 2.190%, 8/21/34(2) |
126
|
|
124
|
MetroNet
Infrastructure Issuer LLC 2024-1A, A2 144A 6.230%, 4/20/54(2) |
310
|
|
311
|
MVW
LLC 2024-1A, A 144A 5.320%, 2/20/43(2) |
404
|
|
402
|
Octane
Receivables Trust 2023-3A, C 144A 6.740%, 8/20/29(2) |
425
|
|
431
|
Oportun
Funding XIV LLC 2021-A, B 144A 1.760%, 3/8/28(2) |
186
|
|
181
|
Planet
Fitness Master Issuer LLC 2018-1A, A2II 144A 4.666%, 9/5/48(2) |
510
|
|
500
|
Progress
Residential Trust 2021-SFR6, D 144A 2.225%, 7/17/38(2) |
190
|
|
174
|
Purchasing
Power Funding LLC 2024-A, B 144A 6.430%, 8/15/28(2) |
420
|
|
419
|
Reach
ABS Trust 2024-1A, B 144A 6.290%, 2/18/31(2) |
425
|
|
424
|
Trinity
Rail Leasing LLC 2019-1A, A 144A 3.820%, 4/17/49(2) |
281
|
|
268
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Other—continued
|
|
|
VFI
ABS LLC 2022-1A, B 144A 3.040%, 7/24/28(2) |
$ 585
|
|
$
574 |
Zaxby’s
Funding LLC 2021-1A, A2 144A 3.238%, 7/30/51(2) |
256
|
|
225
|
|
|
|
6,965
|
|
|
|
|
|
Total
Asset-Backed Securities (Identified Cost $13,005) |
|
12,829
|
|
|
|
|
|
Corporate
Bonds and Notes—62.0% |
Communication
Services—3.7% |
|
|
Altice
France Holding S.A. 144A 6.000%, 2/15/28(2) |
185
|
|
58
|
Altice
France S.A. |
|
|
|
144A
5.125%, 7/15/29(2) |
125
|
|
84
|
144A
5.500%, 10/15/29(2) |
185
|
|
124
|
CMG
Media Corp. 144A 8.875%, 12/15/27(2) |
225
|
|
113
|
CSC
Holdings LLC |
|
|
|
144A
7.500%, 4/1/28(2) |
295
|
|
165
|
144A
11.750%, 1/31/29(2) |
200
|
|
159
|
CT
Trust 144A 5.125%, 2/3/32(2) |
550
|
|
478
|
DISH
DBS Corp. |
|
|
|
5.875%,
11/15/24 |
180
|
|
171
|
7.750%,
7/1/26 |
170
|
|
108
|
Gray
Television, Inc. 144A 7.000%, 5/15/27(2)(5) |
330
|
|
291
|
Grupo
Televisa SAB 4.625%, 1/30/26 |
525
|
|
512
|
Level
3 Financing, Inc. 144A 3.625%, 1/15/29(2) |
365
|
|
120
|
Millennium
Escrow Corp. 144A 6.625%, 8/1/26(2) |
250
|
|
127
|
Rackspace
Technology Global, Inc. 144A 5.375%, 12/1/28(2) |
275
|
|
73
|
Sprint
Capital Corp. 8.750%, 3/15/32(5) |
235
|
|
281
|
Telecomunicaciones
Digitales S.A. 144A 4.500%, 1/30/30(2)(5) |
725
|
|
636
|
See Notes to Financial Statements
Global Multi-Sector Income
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Communication
Services—continued |
|
|
Telesat
Canada 144A 6.500%, 10/15/27(2)(5) |
$ 180
|
|
$ 52
|
|
|
|
3,552
|
|
|
|
|
|
Consumer
Discretionary—2.7% |
|
|
Amer
Sports Co. 144A 6.750%, 2/16/31(2)(5) |
20
|
|
20
|
Ashtead
Capital, Inc. 144A 2.450%, 8/12/31(2)(5) |
570
|
|
459
|
Ashton
Woods USA LLC 144A 4.625%, 4/1/30(2)(5) |
160
|
|
142
|
Clarios
Global LP 144A 8.500%, 5/15/27(2)(5) |
245
|
|
247
|
Ford
Motor Credit Co. LLC 7.350%, 3/6/30(5) |
200
|
|
211
|
Meritage
Homes Corp. 144A 3.875%, 4/15/29(2)(5) |
183
|
|
167
|
Newell
Brands, Inc. 6.625%, 9/15/29(5) |
227
|
|
222
|
Nissan
Motor Acceptance Co. LLC 144A 7.050%, 9/15/28(2)(5) |
145
|
|
150
|
Ontario
Gaming GTA LP 144A 8.000%, 8/1/30(2)(5) |
175
|
|
179
|
PetSmart,
Inc. 144A 7.750%, 2/15/29(2)(5) |
85
|
|
81
|
Prime
Security Services Borrower LLC 144A 6.250%, 1/15/28(2)(5) |
215
|
|
211
|
Royal
Caribbean Cruises Ltd. 144A 9.250%, 1/15/29(2)(5) |
12
|
|
13
|
Tapestry,
Inc. 7.850%, 11/27/33(5) |
220
|
|
232
|
Wand
NewCo 3, Inc. 144A 7.625%, 1/30/32(2)(5) |
10
|
|
10
|
Weekley
Homes LLC 144A 4.875%, 9/15/28(2)(5) |
255
|
|
234
|
|
|
|
2,578
|
|
|
|
|
|
Consumer
Staples—2.0% |
|
|
BAT
Capital Corp. 7.750%, 10/19/32(5) |
330
|
|
373
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Consumer
Staples—continued |
|
|
Central
American Bottling Corp. 144A 5.250%, 4/27/29(2) |
$ 370
|
|
$ 346
|
Herbalife
Nutrition Ltd. 144A 7.875%, 9/1/25(2)(5) |
80
|
|
78
|
Minerva
Luxembourg S.A. 144A 8.875%, 9/13/33(2)(5) |
710
|
|
741
|
Pilgrim’s
Pride Corp. 6.250%, 7/1/33(5) |
160
|
|
162
|
Post
Holdings, Inc. 144A 6.250%, 2/15/32(2)(5) |
105
|
|
104
|
Triton
Water Holdings, Inc. 144A 6.250%, 4/1/29(2)(5) |
125
|
|
115
|
|
|
|
1,919
|
|
|
|
|
|
Energy—14.8%
|
|
|
Alliance
Resource Operating Partners LP 144A 8.625%, 6/15/29(2) |
150
|
|
153
|
Ascent
Resources Utica Holdings LLC 144A 8.250%, 12/31/28(2)(5) |
255
|
|
261
|
Blue
Racer Midstream LLC 144A 7.250%, 7/15/32(2)(5) |
35
|
|
36
|
BP
Capital Markets plc 4.875% (5)(7) |
375
|
|
354
|
Civitas
Resources, Inc. 144A 8.750%, 7/1/31(2)(5) |
180
|
|
192
|
Columbia
Pipelines Operating Co. LLC |
|
|
|
144A
6.036%, 11/15/33(2)(5) |
215
|
|
219
|
144A
6.714%, 8/15/63(2)(5) |
40
|
|
42
|
Coronado
Finance Pty Ltd. 144A 10.750%, 5/15/26(2)(5) |
382
|
|
397
|
CrownRock
LP 144A 5.625%, 10/15/25(2)(5) |
255
|
|
254
|
CVR
Energy, Inc. 144A 8.500%, 1/15/29(2)(5) |
215
|
|
216
|
Ecopetrol
S.A. |
|
|
|
4.625%,
11/2/31(5) |
695
|
|
563
|
8.875%,
1/13/33(5) |
585
|
|
599
|
See Notes to Financial Statements
Global Multi-Sector Income
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Energy—continued
|
|
|
Encino
Acquisition Partners Holdings LLC 144A 8.750%, 5/1/31(2)(5) |
$ 20
|
|
$ 21
|
Energy
Transfer LP Series H 6.500% (7) |
245
|
|
240
|
EQM
Midstream Partners LP 144A 6.375%, 4/1/29(2)(5) |
55
|
|
55
|
Fermaca
Enterprises S de RL de C.V. 144A 6.375%, 3/30/38(2) |
687
|
|
676
|
Flex
Intermediate Holdco LLC 144A 3.363%, 6/30/31(2)(5) |
175
|
|
144
|
Genesis
Energy LP 8.875%, 4/15/30(5) |
205
|
|
214
|
Greensaif
Pipelines Bidco S.a.r.l. 144A 6.129%, 2/23/38(2)(5) |
235
|
|
235
|
Helix
Energy Solutions Group, Inc. 144A 9.750%, 3/1/29(2)(5) |
185
|
|
195
|
International
Petroleum Corp. 144A, RegS 7.250%, 2/1/27(2)(4)(5) |
500
|
|
487
|
KazMunayGas
National Co. JSC |
|
|
|
144A
5.375%, 4/24/30(2) |
310
|
|
300
|
144A
5.750%, 4/19/47(2) |
640
|
|
545
|
144A
6.375%, 10/24/48(2) |
350
|
|
322
|
RegS
6.375%, 10/24/48(4) |
230
|
|
212
|
Kinder
Morgan, Inc. 7.750%, 1/15/32(5) |
195
|
|
219
|
Magnolia
Oil & Gas Operating LLC 144A 6.000%, 8/1/26(2)(5) |
120
|
|
118
|
Mesquite
Energy, Inc. 144A 7.250%, 2/15/23(2) |
135
|
|
8
|
Nabors
Industries Ltd. 144A 7.250%, 1/15/26(2)(5) |
195
|
|
195
|
Northriver
Midstream Finance LP 144A 5.625%, 2/15/26(2)(5) |
255
|
|
252
|
Occidental
Petroleum Corp. 6.125%, 1/1/31(5) |
70
|
|
71
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Energy—continued
|
|
|
Odebrecht
Oil & Gas Finance Ltd. 144A 0.000% (2)(7)(8) |
$ 154
|
|
$ 10
|
Pertamina
Persero PT |
|
|
|
144A
2.300%, 2/9/31(2)(5) |
1,075
|
|
883
|
RegS
6.450%, 5/30/44(4)(5) |
815
|
|
846
|
Petroleos
de Venezuela S.A. 144A 6.000%, 5/16/24(2)(3) |
1,820
|
|
215
|
Petroleos
Mexicanos |
|
|
|
6.500%,
3/13/27 |
625
|
|
590
|
5.950%,
1/28/31 |
395
|
|
320
|
6.500%,
6/2/41 |
350
|
|
242
|
7.690%,
1/23/50(5) |
30
|
|
22
|
6.375%,
1/23/45 |
730
|
|
479
|
6.350%,
2/12/48 |
520
|
|
335
|
Petronas
Capital Ltd. 144A 3.500%, 4/21/30(2)(5) |
630
|
|
576
|
State
Oil Co. of the Azerbaijan Republic RegS 6.950%, 3/18/30(4) |
825
|
|
842
|
Teine
Energy Ltd. 144A 6.875%, 4/15/29(2)(5) |
250
|
|
244
|
Transocean,
Inc. |
|
|
|
144A
8.250%, 5/15/29(2)(5) |
35
|
|
35
|
144A
8.750%, 2/15/30(2)(5) |
203
|
|
211
|
144A
8.500%, 5/15/31(2)(5) |
55
|
|
55
|
Venture
Global LNG, Inc. 144A 9.875%, 2/1/32(2)(5) |
270
|
|
290
|
Western
Midstream Operating LP 5.250%, 2/1/50(5) |
160
|
|
139
|
|
|
|
14,129
|
|
|
|
|
|
Financials—19.3%
|
|
|
Acrisure
LLC |
|
|
|
144A
8.250%, 2/1/29(2) |
90
|
|
90
|
144A
6.000%, 8/1/29(2)(5) |
145
|
|
132
|
AerCap
Ireland Capital DAC 3.300%, 1/30/32(5) |
170
|
|
145
|
Allianz
SE 144A 6.350%, 9/6/53(2)(5) |
200
|
|
207
|
See Notes to Financial Statements
Global Multi-Sector Income
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Financials—continued
|
|
|
Allstate
Corp. (The) Series B (3 month Term SOFR + 3.200%) 8.522%, 8/15/53(5)(6) |
$ 391
|
|
$ 392
|
Altice
Financing S.A. 144A 5.000%, 1/15/28(2)(5) |
355
|
|
280
|
American
Express Co. 5.625%, 7/28/34(5) |
160
|
|
159
|
Apollo
Debt Solutions BDC 144A 6.900%, 4/13/29(2)(5) |
170
|
|
171
|
Aston
Martin Capital Holdings Ltd. 144A 10.000%, 3/31/29(2) |
215
|
|
208
|
Baldwin
Insurance Group Holdings LLC 144A 7.125%, 5/15/31(2)(5) |
20
|
|
20
|
Banco
de Credito del Peru S.A. |
|
|
|
144A
3.125%, 7/1/30(2)(5) |
500
|
|
478
|
RegS
3.125%, 7/1/30(4)(5) |
124
|
|
119
|
Banco
de Credito e Inversiones S.A. |
|
|
|
144A
8.750%(2)(5)(7) |
350
|
|
366
|
144A
3.500%, 10/12/27(2)(5) |
990
|
|
928
|
Banco
Mercantil del Norte S.A. 144A 6.625% (2)(7) |
780
|
|
701
|
Banco
Nacional de Comercio Exterior SNC 144A 4.375%, 10/14/25(2)(5) |
510
|
|
500
|
Bancolombia
S.A. 4.625%, 12/18/29 |
300
|
|
292
|
Bank
of America Corp. |
|
|
|
5.015%,
7/22/33(5) |
295
|
|
287
|
2.482%,
9/21/36(5) |
395
|
|
316
|
Bank
of New York Mellon Corp. (The) Series G 4.700% (5)(7) |
140
|
|
137
|
Barclays
plc 7.437%, 11/2/33(5) |
295
|
|
324
|
BBVA
Bancomer S.A. 144A 5.125%, 1/18/33(2)(5) |
700
|
|
646
|
Blackstone
Private Credit Fund 2.625%, 12/15/26(5) |
155
|
|
142
|
Block,
Inc. 144A 6.500%, 5/15/32(2)(5) |
110
|
|
111
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Financials—continued
|
|
|
Blue
Owl Credit Income Corp. 4.700%, 2/8/27(5) |
$ 174
|
|
$ 166
|
BNSF
Funding Trust I 6.613%, 12/15/55(5) |
210
|
|
208
|
BroadStreet
Partners, Inc. 144A 5.875%, 4/15/29(2)(5) |
160
|
|
146
|
Brookfield
Finance, Inc. 6.350%, 1/5/34(5) |
345
|
|
361
|
Capital
One Financial Corp. 2.359%, 7/29/32(5) |
145
|
|
113
|
Charles
Schwab Corp. (The) Series H 4.000% (7) |
360
|
|
300
|
Citigroup,
Inc. |
|
|
|
6.270%,
11/17/33(5) |
270
|
|
283
|
6.174%,
5/25/34(5) |
134
|
|
136
|
Citizens
Bank N.A. 2.250%, 4/28/25(5) |
35
|
|
34
|
Citizens
Financial Group, Inc. 5.841%, 1/23/30(5) |
19
|
|
19
|
Corebridge
Financial, Inc. 6.875%, 12/15/52(5) |
337
|
|
339
|
Drawbridge
Special Opportunities Fund LP 144A 3.875%, 2/15/26(2)(5) |
585
|
|
553
|
Export-Import
Bank Korea 5.125%, 1/11/33 |
670
|
|
670
|
Fifth
Third Bancorp 4.337%, 4/25/33(5) |
245
|
|
223
|
Foundry
JV Holdco LLC 144A 6.250%, 1/25/35(2)(5) |
275
|
|
280
|
Gaci
First Investment Co. RegS 4.875%, 2/14/35(4)(5) |
560
|
|
527
|
GGAM
Finance Ltd. 144A 6.875%, 4/15/29(2)(5) |
150
|
|
151
|
Global
Atlantic Fin Co. 144A 7.950%, 6/15/33(2)(5) |
137
|
|
151
|
Goldman
Sachs Group, Inc. (The) |
|
|
|
3.102%,
2/24/33(5) |
175
|
|
149
|
6.450%,
5/1/36(5) |
135
|
|
144
|
Grifols
S.A. 144A 4.750%, 10/15/28(2)(5) |
175
|
|
152
|
HUB
International Ltd. 144A 7.375%, 1/31/32(2)(5) |
35
|
|
35
|
See Notes to Financial Statements
Global Multi-Sector Income
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Financials—continued
|
|
|
Huntington
Bancshares, Inc. 2.550%, 2/4/30(5) |
$ 280
|
|
$ 238
|
ION
Trading Technologies S.a.r.l. 144A 9.500%, 5/30/29(2)(5) |
105
|
|
106
|
JPMorgan
Chase & Co. |
|
|
|
5.350%,
6/1/34 |
135
|
|
134
|
6.254%,
10/23/34(5) |
200
|
|
211
|
Liberty
Mutual Group, Inc. 144A 4.125%, 12/15/51(2)(5) |
400
|
|
370
|
Lincoln
National Corp. (3 month Term SOFR + 2.302%) 7.626%, 4/20/67(5)(6) |
214
|
|
166
|
Medline
Borrower LP 144A 6.250%, 4/1/29(2)(5) |
45
|
|
45
|
Melco
Resorts Finance Ltd. 144A 7.625%, 4/17/32(2) |
565
|
|
560
|
MetLife,
Inc. Series G 3.850% (7) |
220
|
|
212
|
Midcap
Financial Issuer Trust 144A 6.500%, 5/1/28(2)(5) |
370
|
|
345
|
Morgan
Stanley |
|
|
|
6.342%,
10/18/33(5) |
225
|
|
238
|
5.948%,
1/19/38(5) |
174
|
|
173
|
MSCI,
Inc. 144A 3.625%, 9/1/30(2)(5) |
261
|
|
232
|
National
Rural Utilities Cooperative Finance Corp. (3 month Term SOFR + 3.172%) 8.501%, 4/30/43(5)(6) |
165
|
|
165
|
Nationstar
Mortgage Holdings, Inc. 144A 5.750%, 11/15/31(2)(5) |
225
|
|
208
|
NatWest
Group plc 6.475%, 6/1/34 |
200
|
|
204
|
Nippon
Life Insurance Co. 144A 6.250%, 9/13/53(2)(5) |
200
|
|
206
|
Panther
Escrow Issuer LLC 144A 7.125%, 6/1/31(2)(5) |
20
|
|
20
|
Prudential
Financial, Inc. 6.750%, 3/1/53(5) |
220
|
|
225
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Financials—continued
|
|
|
Societe
Generale S.A. 144A 6.066%, 1/19/35(2)(5) |
$ 370
|
|
$ 370
|
State
Street Corp. Series I 6.700% (5)(7) |
170
|
|
172
|
Synchrony
Financial |
|
|
|
4.875%,
6/13/25(5) |
65
|
|
64
|
3.700%,
8/4/26(5) |
93
|
|
88
|
Toronto-Dominion
Bank (The) 8.125%, 10/31/82(5) |
435
|
|
451
|
UBS
Group AG |
|
|
|
144A
9.250%(2)(5)(7) |
35
|
|
39
|
144A
4.988%, 8/5/33(2)(5) |
310
|
|
296
|
Vistra
Operations Co. LLC 144A 6.875%, 4/15/32(2)(5) |
120
|
|
121
|
Wells
Fargo & Co. |
|
|
|
5.389%,
4/24/34(5) |
145
|
|
143
|
Series
BB 3.900%(7) |
400
|
|
378
|
|
|
|
18,471
|
|
|
|
|
|
Health
Care—2.0% |
|
|
Catalent
Pharma Solutions, Inc. 144A 3.500%, 4/1/30(2)(5) |
255
|
|
242
|
DENTSPLY
SIRONA, Inc. 3.250%, 6/1/30 |
335
|
|
292
|
Endo
Finance Holdings, Inc. 144A 8.500%, 4/15/31(2) |
20
|
|
21
|
HCA,
Inc. 5.500%, 6/1/33 |
290
|
|
287
|
LifePoint
Health, Inc. |
|
|
|
144A
9.875%, 8/15/30(2)(5) |
360
|
|
385
|
144A
10.000%, 6/1/32(2) |
85
|
|
85
|
ModivCare,
Inc. 144A 5.875%, 11/15/25(2)(5) |
50
|
|
50
|
Organon
& Co. 144A 7.875%, 5/15/34(2)(5) |
15
|
|
15
|
Teva
Pharmaceutical Finance Netherlands III B.V. 5.125%, 5/9/29 |
280
|
|
267
|
See Notes to Financial Statements
Global Multi-Sector Income
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Health
Care—continued |
|
|
Universal
Health Services, Inc. 2.650%, 1/15/32(5) |
$ 315
|
|
$ 256
|
|
|
|
1,900
|
|
|
|
|
|
Industrials—5.1%
|
|
|
Adani
Ports & Special Economic Zone Ltd. 144A 4.375%, 7/3/29(2)(5) |
781
|
|
684
|
Alaska
Airlines Pass-Through Trust 2020-1, A 144A 4.800%, 2/15/29(2)(5) |
323
|
|
314
|
Avolon
Holdings Funding Ltd. 144A 4.375%, 5/1/26(2)(5) |
301
|
|
292
|
Boeing
Co. (The) |
|
|
|
3.750%,
2/1/50 |
215
|
|
140
|
5.930%,
5/1/60(5) |
160
|
|
141
|
British
Airways Pass-Through Trust 2021-1, A 144A 2.900%, 9/15/36(2)(5) |
364
|
|
313
|
CoStar
Group, Inc. 144A 2.800%, 7/15/30(2)(5) |
481
|
|
408
|
Fortress
Transportation & Infrastructure Investors LLC 144A 7.000%, 5/1/31(2)(5) |
140
|
|
142
|
GFL
Environmental, Inc. 144A 6.750%, 1/15/31(2)(5) |
15
|
|
15
|
Global
Infrastructure Solutions, Inc. 144A 7.500%, 4/15/32(2)(5) |
265
|
|
259
|
Hertz
Corp. (The) |
|
|
|
144A
4.625%, 12/1/26(2) |
80
|
|
62
|
144A
5.000%, 12/1/29(2) |
180
|
|
119
|
Icahn
Enterprises LP 6.250%, 5/15/26(5) |
235
|
|
229
|
LBM
Acquisition LLC 144A 6.250%, 1/15/29(2)(5) |
250
|
|
226
|
Regal
Rexnord Corp. 6.400%, 4/15/33(5) |
371
|
|
382
|
Sempra
Global 144A 3.250%, 1/15/32(2)(5) |
405
|
|
333
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Industrials—continued
|
|
|
TransDigm,
Inc. 144A 6.625%, 3/1/32(2)(5) |
$ 235
|
|
$ 236
|
United
Airlines Pass-Through Trust 2023-1, A 5.800%, 7/15/37 |
240
|
|
241
|
Veralto
Corp. 144A 5.450%, 9/18/33(2)(5) |
210
|
|
208
|
VistaJet
Malta Finance plc 144A 9.500%, 6/1/28(2) |
155
|
|
141
|
|
|
|
4,885
|
|
|
|
|
|
Information
Technology—1.2% |
|
|
Booz
Allen Hamilton, Inc. |
|
|
|
144A
3.875%, 9/1/28(2)(5) |
195
|
|
183
|
144A
4.000%, 7/1/29(2)(5) |
145
|
|
135
|
CommScope
Technologies LLC 144A 6.000%, 6/15/25(2)(5) |
225
|
|
185
|
Consensus
Cloud Solutions, Inc. |
|
|
|
144A
6.000%, 10/15/26(2)(5) |
35
|
|
34
|
144A
6.500%, 10/15/28(2)(5) |
55
|
|
51
|
Helios
Software Holdings, Inc. 144A 8.750%, 5/1/29(2)(5) |
85
|
|
86
|
Insight
Enterprises, Inc. 144A 6.625%, 5/15/32(2)(5) |
20
|
|
20
|
Rocket
Software, Inc. 144A 9.000%, 11/28/28(2)(5) |
100
|
|
101
|
Viasat,
Inc. 144A 5.625%, 9/15/25(2)(5) |
345
|
|
335
|
|
|
|
1,130
|
|
|
|
|
|
Materials—3.5%
|
|
|
ASP
Unifrax Holdings, Inc. 144A 5.250%, 9/30/28(2) |
455
|
|
229
|
Bayport
Polymers LLC 144A 5.140%, 4/14/32(2)(5) |
370
|
|
341
|
Berry
Global, Inc. 144A 5.650%, 1/15/34(2)(5) |
125
|
|
122
|
See Notes to Financial Statements
Global Multi-Sector Income
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Materials—continued
|
|
|
Corp.
Nacional del Cobre de Chile 144A 5.950%, 1/8/34(2)(5) |
$ 235
|
|
$ 233
|
Graham
Packaging Co., Inc. 144A 7.125%, 8/15/28(2)(5) |
320
|
|
302
|
Illuminate
Buyer LLC 144A 9.000%, 7/1/28(2)(5) |
220
|
|
220
|
INEOS
Quattro Finance 2 plc 144A 9.625%, 3/15/29(2)(5) |
200
|
|
211
|
LSB
Industries, Inc. 144A 6.250%, 10/15/28(2)(5) |
260
|
|
250
|
Mauser
Packaging Solutions Holding Co. 144A 9.250%, 4/15/27(2)(5) |
215
|
|
214
|
OCP
S.A. |
|
|
|
144A
3.750%, 6/23/31(2) |
200
|
|
169
|
144A
6.750%, 5/2/34(2) |
600
|
|
606
|
Taseko
Mines Ltd. 144A 8.250%, 5/1/30(2)(5) |
85
|
|
87
|
Trivium
Packaging Finance B.V. 144A 8.500%, 8/15/27(2)(5) |
259
|
|
259
|
WR
Grace Holdings LLC 144A 5.625%, 8/15/29(2)(5) |
172
|
|
158
|
|
|
|
3,401
|
|
|
|
|
|
Real
Estate—2.1% |
|
|
EPR
Properties |
|
|
|
4.750%,
12/15/26(5) |
260
|
|
251
|
3.600%,
11/15/31(5) |
95
|
|
79
|
GLP
Capital LP |
|
|
|
3.250%,
1/15/32(5) |
132
|
|
110
|
6.750%,
12/1/33 |
135
|
|
140
|
Office
Properties Income Trust 4.500%, 2/1/25 |
575
|
|
440
|
Ontario
Teachers’ Cadillac Fairview Properties Trust 144A 2.500%, 10/15/31(2)(5) |
285
|
|
231
|
Safehold
GL Holdings LLC 6.100%, 4/1/34(5) |
210
|
|
208
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Real
Estate—continued |
|
|
Service
Properties Trust 4.500%, 3/15/25 |
$ 290
|
|
$ 287
|
VICI
Properties LP |
|
|
|
5.125%,
5/15/32(5) |
185
|
|
175
|
144A
4.625%, 6/15/25(2)(5) |
70
|
|
69
|
|
|
|
1,990
|
|
|
|
|
|
Utilities—5.6%
|
|
|
AES
Corp. (The) 7.600%, 1/15/55(5) |
135
|
|
136
|
CMS
Energy Corp. 4.750%, 6/1/50 |
460
|
|
423
|
Dominion
Energy, Inc. Series A 6.875%, 2/1/55(5) |
245
|
|
253
|
Electricite
de France S.A. |
|
|
|
144A
6.250%, 5/23/33(2)(5) |
200
|
|
208
|
144A
6.900%, 5/23/53(2)(5) |
365
|
|
391
|
Enel
Finance International N.V. 144A 7.500%, 10/14/32(2)(5) |
400
|
|
444
|
Entergy
Corp. 7.125%, 12/1/54(5) |
210
|
|
209
|
Eskom
Holdings SOC Ltd. 144A 7.125%, 2/11/25(2) |
640
|
|
637
|
Ferrellgas
LP |
|
|
|
144A
5.375%, 4/1/26(2)(5) |
90
|
|
88
|
144A
5.875%, 4/1/29(2)(5) |
170
|
|
160
|
KeySpan
Gas East Corp. 144A 5.994%, 3/6/33(2)(5) |
255
|
|
255
|
NGL
Energy Operating LLC |
|
|
|
144A
8.125%, 2/15/29(2)(5) |
30
|
|
31
|
144A
8.375%, 2/15/32(2)(5) |
50
|
|
51
|
NRG
Energy, Inc. 144A 7.000%, 3/15/33(2)(5) |
320
|
|
338
|
PacifiCorp
5.800%, 1/15/55(5) |
230
|
|
219
|
Perusahaan
Perseroan Persero PT Perusahaan Listrik Negara 144A 4.125%, 5/15/27(2)(5) |
950
|
|
912
|
Southern
Co. (The) Series 21-A 3.750%, 9/15/51(5) |
490
|
|
456
|
See Notes to Financial Statements
Global Multi-Sector Income
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Utilities—continued
|
|
|
Vistra
Corp. 144A 8.000% (2)(5)(7) |
$ 125
|
|
$
127 |
|
|
|
5,338
|
|
|
|
|
|
Total
Corporate Bonds and Notes (Identified Cost $63,619) |
|
59,293
|
|
|
|
|
|
Leveraged
Loans—17.0% |
Aerospace—0.8%
|
|
|
Amentum
Government Services Holdings LLC (1 month Term SOFR + 4.000%) 9.321%, 2/15/29(6) |
128
|
|
128
|
Brown
Group Holding LLC (1 month Term SOFR + 2.850%) 8.179%, 6/7/28(6) |
161
|
|
162
|
Dynasty
Acquisition Co., Inc. |
|
|
|
2024,
Tranche B-1 (1 month Term SOFR + 3.500%) 8.829%, 8/24/28(6) |
132
|
|
133
|
2024,
Tranche B-2 (1 month Term SOFR + 3.500%) 8.829%, 8/24/28(6) |
51
|
|
51
|
Mileage
Plus Holdings LLC (3 month Term SOFR + 5.400%) 10.733%, 6/21/27(6) |
159
|
|
163
|
Peraton
Corp. Tranche B, First Lien (1 month Term SOFR + 3.850%) 9.179%, 2/1/28(6) |
146
|
|
146
|
|
|
|
783
|
|
|
|
|
|
Chemicals—0.4%
|
|
|
LSF11
A5 Holdco LLC (1 month Term SOFR + 4.350%) 9.679%, 10/15/28(6) |
149
|
|
149
|
Lummus
Technology Hodings V LLC 2024, Tranche B (1 month Term SOFR + 3.614%) 8.944%, 12/31/29(6) |
55
|
|
55
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Chemicals—continued
|
|
|
Starfruit
Finco B.V. Tranche B (3 month Term SOFR + 3.500%) 8.826%, 4/3/28(6) |
$ 60
|
|
$ 60
|
Windsor
Holdings III LLC 2024, Tranche B (1 month Term SOFR + 4.000%) 9.320%, 8/1/30(6) |
124
|
|
126
|
|
|
|
390
|
|
|
|
|
|
Consumer
Durables—0.1% |
|
|
Gloves
Buyer, Inc. First Lien (1 month Term SOFR + 4.114%) 0.000%, 12/29/27(6)(9) |
105
|
|
105
|
Consumer
Non-Durables—0.6% |
|
|
DS
Parent, Inc. Tranche B (3 month Term SOFR + 5.500%) 10.802%, 1/31/31(6) |
170
|
|
170
|
Kronos
Acquisition Holdings, Inc. Tranche B-1 (3 month Term SOFR + 4.012%) 9.314%, 12/22/26(6) |
148
|
|
147
|
Osmosis
Buyer Ltd. 2023, Tranche B (1 month Term SOFR + 4.250%) 9.571% - 9.579%, 7/31/28(6) |
138
|
|
139
|
Simply
Good Foods USA, Inc. Tranche B (1 month Term SOFR + 2.600%) 0.000%, 3/17/27(6)(9) |
70
|
|
70
|
|
|
|
526
|
|
|
|
|
|
Energy—0.6%
|
|
|
Hamilton
Projects Acquiror LLC First Lien (1 month Term SOFR + 3.750%) 0.000%, 5/22/31(6)(9) |
30
|
|
30
|
Medallion
Midland Acquisition LLC First Lien (3 month Term SOFR + 3.500%) 8.830%, 10/18/28(6) |
156
|
|
156
|
See Notes to Financial Statements
Global Multi-Sector Income
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Energy—continued
|
|
|
Oryx
Midstream Services Permian Basin LLC 2024 (1 month Term SOFR + 3.114%) 8.436%, 10/5/28(6) |
$ 138
|
|
$ 139
|
Traverse
Midstream Partners LLC Tranche B (3 month Term SOFR + 3.500%) 8.829%, 2/16/28(6) |
145
|
|
146
|
Whitewater
DBR Holdco LLC (3 month Term SOFR + 2.750%) 8.052%, 2/17/31(6) |
95
|
|
95
|
|
|
|
566
|
|
|
|
|
|
Financials—0.5%
|
|
|
Acrisure
LLC 2023, Tranche B (1 month Term SOFR + 4.500%) 9.829%, 11/6/30(6) |
100
|
|
100
|
AssuredPartners,
Inc. 2024 (1 month Term SOFR + 3.500%) 8.829%, 2/14/31(6) |
55
|
|
55
|
Asurion
LLC Tranche B-9 (1 month Term SOFR + 3.364%) 8.694%, 7/31/27(6) |
134
|
|
132
|
Blackhawk
Network Holdings, Inc. Tranche B (1 month Term SOFR + 5.000%) 10.329%, 3/12/29(6) |
72
|
|
72
|
Truist
Insurance Holdings LLC (2 month Term SOFR + 3.250%) 8.586%, 5/6/31(6) |
105
|
|
106
|
|
|
|
465
|
|
|
|
|
|
Food
/ Tobacco—1.2% |
|
|
Del
Monte Foods, Inc. (3 month Term SOFR + 4.400%) 9.736%, 5/16/29(6) |
143
|
|
111
|
Fiesta
Purchaser, Inc. (1 month Term SOFR + 4.000%) 9.329%, 2/12/31(6) |
75
|
|
76
|
Naked
Juice LLC (3 month Term SOFR + 3.350%) 8.659%, 1/24/29(6) |
232
|
|
221
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Food
/ Tobacco—continued |
|
|
Pegasus
Bidco B.V. 2024 (3 month Term SOFR + 3.750%) 9.072%, 7/12/29(6) |
$ 119
|
|
$ 119
|
Sigma
Holdco B.V. Tranche B-7 (6 month Term SOFR + 4.910%) 10.337%, 1/3/28(6) |
278
|
|
279
|
Triton
Water Holdings, Inc. First Lien (3 month Term SOFR + 3.512%) 8.814%, 3/31/28(6) |
290
|
|
289
|
|
|
|
1,095
|
|
|
|
|
|
Forest
Prod / Containers—0.5% |
|
|
Klockner
Pentaplast of America, Inc. Tranche B (3 month Term SOFR + 4.975%) 10.267%, 2/12/26(6) |
224
|
|
204
|
Mauser
Packaging Solutions Holding Co. (1 month Term SOFR + 3.500%) 8.813%, 4/15/27(6) |
20
|
|
20
|
TricorBraun,
Inc. (1 month Term SOFR + 3.364%) 8.694%, 3/3/28(6) |
211
|
|
210
|
|
|
|
434
|
|
|
|
|
|
Gaming
/ Leisure—0.9% |
|
|
Alterra
Mountain Co. Tranche B (1 month Term SOFR + 3.750%) 0.000%, 5/31/30(6)(9) |
5
|
|
5
|
ECL
Entertainment LLC Tranche B (1 month Term SOFR + 4.000%) 9.329%, 8/31/30(6) |
154
|
|
155
|
Entain
plc Tranche B-3 (1 month Term SOFR + 2.750%) 0.000%, 10/31/29(6)(9) |
140
|
|
140
|
Motion
Finco LLC Tranche B-3 (3 month Term SOFR + 3.762%) 9.071%, 11/12/29(6) |
85
|
|
85
|
See Notes to Financial Statements
Global Multi-Sector Income
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Gaming
/ Leisure—continued |
|
|
Ontario
Gaming GTA Ltd. Partnership Tranche B (3 month Term SOFR + 4.250%) 9.559%, 8/1/30(6) |
$ 100
|
|
$ 100
|
Playa
Hotels & Resorts B.V. (1 month Term SOFR + 3.250%) 8.572%, 1/5/29(6) |
145
|
|
146
|
Scientific
Games Holdings LP (2-3 month Term SOFR + 3.250%) 8.556%, 4/4/29(6) |
214
|
|
215
|
|
|
|
846
|
|
|
|
|
|
Health
Care—2.0% |
|
|
Bausch
& Lomb Corp. (1 month Term SOFR + 4.000%) 9.329%, 9/29/28(6) |
99
|
|
99
|
CHG
Healthcare Services, Inc. First Lien (1 month Term SOFR + 3.364%) 8.694%, 9/29/28(6) |
106
|
|
107
|
Cotiviti,
Inc. (3 month Term SOFR + 3.250%) 8.563%, 5/1/31(6) |
135
|
|
135
|
Endo
Finance Holdings, Inc. Tranche B (3 month Term SOFR + 4.500%) 9.826%, 4/9/31(6) |
25
|
|
25
|
Gainwell
Acquisition Corp. Tranche B (3 month Term SOFR + 4.100%) 9.409%, 10/1/27(6) |
147
|
|
142
|
Hunter
Holdco 3 Ltd. First Lien (3 month Term SOFR + 4.350%) 9.659%, 8/19/28(6) |
114
|
|
114
|
IVC
Acquisition Ltd. Tranche B-9 (3 month Term SOFR + 5.500%) 10.809%, 12/12/28(6) |
95
|
|
95
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Health
Care—continued |
|
|
Lannett
Co., Inc. First Lien (1 month Term SOFR + 2.000%) 2.000%, 6/16/30(6)(10) |
$ 10
|
|
$ 2
|
LifePoint
Health, Inc. 2024 (3 month Term SOFR + 4.000%) 9.329%, 5/17/31(6) |
25
|
|
25
|
Medline
Borrower LP Tranche B (1 month Term SOFR + 2.750%) 8.079%, 10/23/28(6) |
147
|
|
148
|
Phoenix
Guarantor, Inc. Tranche B-4 (1 month Term SOFR + 3.250%) 8.579%, 2/21/31(6) |
134
|
|
134
|
Radiology
Partners, Inc. Tranche C (3 month Term SOFR + 3.762%) 9.088%, 1/31/29(6) |
215
|
|
205
|
Radnet
Management, Inc. Tranche B (3 month Term SOFR + 2.500%) 7.827%, 4/23/31(6) |
40
|
|
40
|
Star
Parent, Inc. Tranche B (3 month Term SOFR + 4.000%) 9.309%, 9/27/30(6) |
170
|
|
170
|
Upstream
Newco, Inc. 2021 (1-3 month Term SOFR + 4.512%) 9.694% - 9.841%, 11/20/26(6) |
186
|
|
172
|
Viant
Medical Holdings, Inc. First Lien (1 month Term SOFR + 3.864%) 9.194%, 7/2/25(6) |
252
|
|
252
|
Waystar
Technologies, Inc. (1 month Term SOFR + 4.000%) 9.329%, 10/22/29(6) |
50
|
|
50
|
|
|
|
1,915
|
|
|
|
|
|
See
Notes to Financial Statements
Global Multi-Sector Income
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Housing—0.6%
|
|
|
Chariot
Buyer LLC First Lien (1 month Term SOFR + 3.750%) 9.079%, 11/3/28(6) |
$ 120
|
|
$ 120
|
Cornerstone
Building Brands, Inc. Tranche C (1 month Term SOFR + 4.500%) 9.817%, 5/2/31(6) |
80
|
|
80
|
Hunter
Douglas Holding B.V. Tranche B-1 (3 month Term SOFR + 3.500%) 8.836%, 2/26/29(6) |
149
|
|
148
|
LBM
Acquisition LLC Tranche B (1 month Term SOFR + 3.750%) 0.000%, 5/30/31(6)(9) |
165
|
|
164
|
MI
Windows & Doors LLC 2024 (1 month Term SOFR + 3.500%) 8.829%, 3/28/31(6) |
20
|
|
20
|
|
|
|
532
|
|
|
|
|
|
Information
Technology—3.1% |
|
|
Ahead
DB Holdings LLC 2024 (3 month Term SOFR + 4.250%) 9.559%, 2/1/31(6) |
50
|
|
50
|
Applied
Systems, Inc. |
|
|
|
2024,
First Lien (3 month Term SOFR + 3.500%) 8.809%, 2/24/31(6) |
134
|
|
135
|
2024,
Second Lien (3 month Term SOFR + 5.250%) 10.559%, 2/23/32(6) |
15
|
|
16
|
BMC
Software 2028 (1 month Term SOFR + 4.000%) 9.329%, 12/29/28(6) |
45
|
|
45
|
Boost
Newco Borrower LLC Tranche B (3 month Term SOFR + 3.000%) 8.309%, 1/31/31(6) |
85
|
|
85
|
Central
Parent LLC 2024 (3 month Term SOFR + 3.250%) 8.577%, 7/6/29(6) |
143
|
|
144
|
ConnectWise
LLC (3 month Term SOFR + 3.762%) 9.064%, 9/29/28(6) |
82
|
|
83
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Information
Technology—continued |
|
|
Delivery
Hero SE Tranche B (3 month Term SOFR + 5.000%) 10.324%, 12/12/29(6) |
$ 217
|
|
$ 219
|
Endurance
International Group Holdings, Inc. (1 month Term SOFR + 3.614%) 8.935%, 2/10/28(6) |
210
|
|
196
|
Epicor
Software Corp. |
|
|
|
Tranche
C (1 month Term SOFR + 3.364%) 8.680%, 7/30/27(6) |
92
|
|
92
|
Tranche
E (1 month Term SOFR + 3.250%) 0.000%, 5/23/31(6)(9) |
9
|
|
9
|
Fortress
Intermediate 3, Inc. (1 month Term SOFR + 3.750%) 0.000%, 5/9/31(6)(9) |
85
|
|
85
|
Indicor
Tranche B (3 month Term SOFR + 4.000%) 9.302%, 11/22/29(6) |
193
|
|
194
|
Infinite
Bidco LLC First Lien (3 month Term SOFR + 4.012%) 9.341%, 3/2/28(6) |
224
|
|
218
|
ION
Trading Finance Ltd. 2024 (3 month Term SOFR + 4.000%) 0.000%, 4/1/28(6)(9) |
170
|
|
170
|
Mosel
Bidco SE Tranche B (3 month Term SOFR + 4.750%) 10.059%, 9/16/30(6) |
92
|
|
93
|
NCR
Atleos LLC Tranche B (1-3 month Term SOFR + 4.850%) 10.179% - 10.180%, 3/27/29(6) |
150
|
|
151
|
Polaris
Newco LLC First Lien (3 month Term SOFR + 4.262%) 9.591%, 6/2/28(6) |
154
|
|
154
|
Project
Ruby Ultimate Parent Corp. First Lien (1 month Term SOFR + 3.364%) 8.694%, 3/10/28(6) |
193
|
|
193
|
Proofpoint,
Inc. 2024 (1 month Term SOFR + 3.000%) 8.325%, 8/31/28(6) |
40
|
|
40
|
See Notes to Financial Statements
Global Multi-Sector Income
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Information
Technology—continued |
|
|
RealPage,
Inc. First Lien (1 month Term SOFR + 3.114%) 8.444%, 4/24/28(6) |
$ 145
|
|
$ 143
|
Rocket
Software, Inc. (1 month Term SOFR + 4.750%) 10.079%, 11/28/28(6) |
150
|
|
151
|
Sophia
LP 2024, Tranche B (1 month Term SOFR + 3.600%) 8.929%, 10/9/29(6) |
172
|
|
173
|
UKG,
Inc. Tranche B (1 month Term SOFR + 3.250%) 8.570%, 2/10/31(6) |
145
|
|
146
|
|
|
|
2,985
|
|
|
|
|
|
Manufacturing—0.6%
|
|
|
Chart
Industries, Inc. Tranche B (1 month Term SOFR + 3.350%) 8.673%, 3/15/30(6) |
132
|
|
133
|
CPM
Holdings, Inc. (1 month Term SOFR + 4.500%) 9.813%, 9/28/28(6) |
166
|
|
165
|
Filtration
Group Corp. 2021 (1 month Term SOFR + 3.614%) 8.944%, 10/21/28(6) |
219
|
|
220
|
Star
U.S. Bidco LLC (1 month Term SOFR + 4.350%) 9.679%, 3/17/27(6) |
86
|
|
87
|
|
|
|
605
|
|
|
|
|
|
Media
/ Telecom - Broadcasting—0.2% |
|
|
Terrier
Media Buyer, Inc. 2021, Tranche B (3 month Term SOFR + 3.600%) 8.909%, 12/17/26(6) |
149
|
|
117
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Media
/ Telecom - Broadcasting—continued |
|
|
Univision
Communications, Inc. 2024, First Lien (1 month Term SOFR + 3.614%) 0.000%, 1/1/40(6)(9) |
$ 100
|
|
$ 100
|
|
|
|
217
|
|
|
|
|
|
Media
/ Telecom - Cable/Wireless Video—0.6% |
|
|
CSC
Holdings LLC 2022 (1 month Term SOFR + 4.500%) 9.817%, 1/18/28(6) |
219
|
|
211
|
DIRECTV
Financing LLC 2024, Tranche B (1 month Term SOFR + 5.364%) 10.694%, 8/2/29(6) |
228
|
|
228
|
Eagle
Broadband Investments LLC (3 month Term SOFR + 3.262%) 8.571%, 11/12/27(6) |
144
|
|
142
|
|
|
|
581
|
|
|
|
|
|
Media
/ Telecom - Diversified Media—0.7% |
|
|
Century
DE Buyer LLC (3 month Term SOFR + 4.000%) 9.329%, 10/30/30(6) |
108
|
|
107
|
McGraw-Hill
Education, Inc. (1 month Term SOFR + 4.864%) 10.194%, 7/28/28(6) |
169
|
|
169
|
MH
Sub I LLC 2023 (1 month Term SOFR + 4.250%) 9.579%, 5/3/28(6) |
195
|
|
195
|
See Notes to Financial Statements
Global Multi-Sector Income
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Media
/ Telecom - Diversified Media—continued |
|
|
Neptune
Bidco U.S., Inc. Tranche B (3 month Term SOFR + 5.100%) 10.406%, 4/11/29(6) |
$ 173
|
|
$ 166
|
|
|
|
637
|
|
|
|
|
|
Media
/ Telecom - Telecommunications—0.2% |
|
|
Numericable
U.S. LLC |
|
|
|
Tranche
B-11 (3 month LIBOR + 2.750%) 8.341%, 7/31/25(6) |
214
|
|
185
|
Tranche
B-12 (3 month LIBOR + 3.688%) 9.278%, 1/31/26(6) |
20
|
|
17
|
|
|
|
202
|
|
|
|
|
|
Media
/ Telecom - Wireless Communications—0.1% |
|
|
Viasat,
Inc. (1 month Term SOFR + 4.500%) 0.000%, 3/2/29(6)(9) |
140
|
|
128
|
Retail—0.4%
|
|
|
CNT
Holdings I Corp. First Lien (3 month Term SOFR + 3.500%) 8.829%, 11/8/27(6) |
149
|
|
150
|
EG
America LLC Tranche C (3 month Term SOFR + 5.928%) 11.289%, 2/7/28(6) |
145
|
|
142
|
PetsMart
LLC (1 month Term SOFR + 3.850%) 9.179%, 2/11/28(6) |
126
|
|
125
|
|
|
|
417
|
|
|
|
|
|
Service—2.2%
|
|
|
Ascend
Learning LLC (1 month Term SOFR + 3.600%) 8.929%, 12/11/28(6) |
153
|
|
153
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Service—continued
|
|
|
BIFM
U.S. Finance LLC (1 month Term SOFR + 4.250%) 9.579%, 5/31/28(6) |
$ 75
|
|
$ 75
|
BrightView
Landscapes LLC Tranche B (1 month Term SOFR + 2.500%) 7.836%, 4/20/29(6) |
180
|
|
181
|
Crisis
Prevention Institute, Inc. (3 month Term SOFR + 4.750%) 10.043%, 4/9/31(6) |
80
|
|
80
|
DG
Investment Intermediate Holdings 2, Inc. 2022 (1 month Term SOFR + 4.750%) 10.079%, 3/31/28(6) |
164
|
|
164
|
DXP
Enterprises, Inc. (3 month Term SOFR + 4.850%) 10.164%, 10/11/30(6) |
109
|
|
110
|
Garda
World Security Corp. (3 month Term SOFR + 4.250%) 9.583%, 2/1/29(6) |
155
|
|
156
|
Grant
Thornton Advisors LLC Tranche B (3 month Term SOFR + 3.250%) 0.000%, 6/2/31(6)(9) |
70
|
|
71
|
Kuehg
Corp. Tranche B (3 month Term SOFR + 4.500%) 9.823%, 6/12/30(6) |
224
|
|
225
|
Omnia
Partners LLC (1 month LIBOR + 0.000%) 0.000%, 7/25/30(6)(9) |
75
|
|
75
|
Planet
U.S. Buyer LLC (3 month Term SOFR + 3.500%) 8.823%, 2/7/31(6) |
60
|
|
60
|
Spin
Holdco, Inc. (3 month Term SOFR + 4.262%) 9.585%, 3/4/28(6) |
244
|
|
210
|
The
Hertz Corp. 2023 (1 month Term SOFR + 8.750%) 9.071%, 6/30/28(6) |
163
|
|
149
|
See Notes to Financial Statements
Global Multi-Sector Income
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Service—continued
|
|
|
TMF
Sapphire Bidco B.V. Tranche B-2 (3 month Term SOFR + 4.000%) 9.306%, 5/3/28(6) |
$ 70
|
|
$
70 |
Trugreen
Ltd. Partnership First Lien (1 month Term SOFR + 4.100%) 9.429%, 11/2/27(6) |
149
|
|
140
|
WIN
Waste Innovations Holdings, Inc. (1 month Term SOFR + 2.864%) 8.194%, 3/24/28(6) |
154
|
|
144
|
|
|
|
2,063
|
|
|
|
|
|
Transportation
- Automotive—0.5% |
|
|
American
Axle & Manufacturing, Inc. Tranche B (1 month Term SOFR + 3.000%) 8.320%, 12/12/29(6) |
94
|
|
94
|
First
Brands Group LLC 2022 (3 month Term SOFR + 5.262%) 10.591%, 3/30/27(6) |
255
|
|
253
|
PAI
Holdco, Inc. Tranche B (3 month Term SOFR + 4.012%) 9.341%, 10/28/27(6) |
136
|
|
123
|
Wand
NewCo 3, Inc. (1 month Term SOFR + 3.750%) 9.079%, 1/30/31(6) |
35
|
|
35
|
|
|
|
505
|
|
|
|
|
|
Utilities—0.2%
|
|
|
Generation
Bridge Northeast LLC Tranche B (1 month Term SOFR + 3.500%) 8.829%, 8/22/29(6) |
93
|
|
94
|
Waterbridge
NDB Operating LLC (3 month Term SOFR + 4.500%) 9.826%, 5/7/29(6) |
130
|
|
131
|
|
|
|
225
|
|
|
|
|
|
Total
Leveraged Loans (Identified Cost $16,232) |
|
16,222
|
|
Shares
|
|
Value
|
Preferred
Stocks—0.8% |
Financials—0.8%
|
|
|
Capital
Farm Credit ACA Series 1 144A, 5.000%(2) |
275
(11) |
|
$
263 |
MetLife,
Inc. Series D, 5.875% |
213
(11) |
|
212
|
Truist
Financial Corp. Series Q, 5.100% |
315
(11) |
|
292
|
|
|
|
767
|
|
|
|
|
|
Total
Preferred Stocks (Identified Cost $805) |
|
767
|
|
|
|
|
|
Common
Stocks—0.1% |
Consumer
Discretionary—0.1% |
|
|
MYT
Holding LLC Class B(10)(12) |
29,850
|
|
1
|
NMG
Parent LLC(10)(12) |
618
|
|
62
|
|
|
|
63
|
|
|
|
|
|
Health
Care—0.0% |
|
|
Lannett
Co., Inc.(10)(12) |
1,663
|
|
—
|
Total
Common Stocks (Identified Cost $275) |
|
63
|
|
|
|
|
|
Total
Long-Term Investments—142.6% (Identified Cost $144,478) |
|
136,410
|
|
|
|
|
|
TOTAL
INVESTMENTS—142.6% (Identified Cost $144,478) |
|
$136,410
|
Other
assets and liabilities, net—(42.6)% |
|
(40,780
) |
NET
ASSETS—100.0% |
|
$
95,630 |
Abbreviations:
|
ABS
|
Asset-Backed
Securities |
ACA
|
American
Capital Access Financial Guarantee Corp. |
BDC
|
Business
Development Companies |
DAC
|
Designated
Activity Company |
JSC
|
Joint Stock
Company |
LIBOR
|
London
Interbank Offered Rate |
LLC
|
Limited
Liability Company |
LP
|
Limited
Partnership |
MSCI
|
Morgan
Stanley Capital International |
SOFR
|
Secured
Overnight Financing Rate |
For information regarding the abbreviations, see the Key
Investment Terms starting on page 17.
See Notes to Financial Statements
Global Multi-Sector Income
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
Foreign
Currencies: |
BRL
|
Brazilian
Real |
Footnote
Legend: |
(1) |
Par
Value disclosed in foreign currency is reported in thousands. |
(2) |
Security
exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At May 31, 2024, these securities amounted to a value of
$75,015 or 78.4% of net assets. |
(3) |
Security
in default; no interest payments are being received. |
(4) |
Regulation
S security. Security is offered and sold outside of the United States; therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(5) |
All
or a portion of securities is segregated as collateral for margin loan financing. The value of securities segregated as collateral is $52,240. |
(6) |
Variable
rate security. Rate disclosed is as of May 31, 2024. Information in parenthesis represents benchmark and reference rate for each security. 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, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their
descriptions. |
(7) |
No
contractual maturity date. |
(8) |
Issued
with a zero coupon. Income is recognized through the accretion of discount. |
(9) |
This loan
will settle after May 31, 2024, at which time the interest rate, calculated on the base lending rate and the agreed upon spread on trade date, will be reflected. |
(10) |
The
value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(11) |
Value
shown as par value. |
(12) |
Non-income
producing. |
As of May 31, 2024, the Fund has
the following unfunded loan commitment:
Borrower
|
|
Par
Value |
|
Commitment
|
|
Value
|
|
Unrealized
Appreciation (Depreciation) |
Epicor
Software Corp. 2024 (1 month Term SOFR + 3.250%) 4.000%, 5/23/31 |
|
$1
|
|
$1
|
|
$1
|
|
$—
(1) |
(1) |
Amount
is less than $500 (not in thousands). |
For information regarding the abbreviations, see the Key
Investment Terms starting on page 17.
See Notes to Financial Statements
Global Multi-Sector Income
Fund
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
The following table summarizes the value of the
Fund’s investments as of May 31, 2024, based on the inputs used to value them (See Security Valuation Note 2A in the Notes to Financial Statements):
|
Total
Value at May 31, 2024 |
|
Level
2 Significant Observable Inputs |
|
Level
3 Significant Unobservable Inputs |
Assets:
|
|
|
|
|
|
Debt
Instruments: |
|
|
|
|
|
U.S.
Government Securities |
$
3,752 |
|
$
3,752 |
|
$—
|
Foreign
Government Securities |
29,944
|
|
29,944
|
|
—
|
Mortgage-Backed
Securities |
13,540
|
|
13,540
|
|
—
|
Asset-Backed
Securities |
12,829
|
|
12,829
|
|
—
|
Corporate
Bonds and Notes |
59,293
|
|
59,293
|
|
—
|
Leveraged
Loans |
16,222
|
|
16,220
|
|
2
|
Equity
Securities: |
|
|
|
|
|
Preferred
Stocks |
767
|
|
767
|
|
—
|
Common
Stocks |
63
|
|
—
|
|
63
(1) |
Total
Investments |
$136,410
|
|
$136,345
|
|
$65
|
(1) |
Includes
internally fair valued securities currently priced at zero ($0). |
There were no securities valued using quoted prices
(Level 1) at May 31, 2024.
Security held by the
Fund with an end of period value of $10 was transferred from Level 3 to Level 2 due to an increase in trading activities during the period.
Some of the Fund’s investments that were
categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations are based on unobservable inputs. A significant change in third party information could result in a
significantly lower or higher value of Level 3 investments.
Management has determined that the amount of Level 3
securities compared to total net assets is not material; therefore, the roll-forward of Level 3 securities and assumptions are not shown for the period ended May 31, 2024.
See Notes to
Financial Statements
STONE HARBOR EMERGING
MARKETS INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
Foreign
Government Securities—76.2% |
Angola
—6.2% |
|
|
Republic
of Angola |
|
|
|
144A
9.500%, 11/12/25(2)(3) |
$ 3,860
|
|
$ 3,937
|
144A
8.250%, 5/9/28(2) |
808
|
|
762
|
144A
8.750%, 4/14/32(2) |
182
|
|
163
|
144A
9.375%, 5/8/48(2) |
112
|
|
95
|
RegS
8.250%, 5/9/28(3)(4) |
1,850
|
|
1,744
|
Republic
of Angola Via Avenir Issuer II Ireland DAC RegS 6.927%, 2/19/27(4)(5) |
1,775
|
|
1,702
|
|
|
|
8,403
|
|
|
|
|
|
Argentina—10.5%
|
|
|
Provincia
De Buenos Aires RegS 6.375%, 9/1/37(4)(6) |
4,389
|
|
1,931
|
Republic
of Argentina |
|
|
|
1.000%,
7/9/29 |
13,947
|
|
8,124
|
0.750%,
7/9/30(6) |
7,510
|
|
4,274
|
|
|
|
14,329
|
|
|
|
|
|
Brazil—4.0%
|
|
|
Brazil
Notas do Tesouro Nacional |
|
|
|
Series
F 10.000%, 1/1/31 |
12,300
BRL |
|
2,162
|
Series
F 10.000%, 1/1/33 |
18,800
BRL |
|
3,251
|
|
|
|
5,413
|
|
|
|
|
|
Colombia—3.3%
|
|
|
Republic
of Colombia 4.500%, 3/15/29(3) |
1,336
|
|
1,208
|
Titulos
De Tesoreria |
|
|
|
7.000%,
6/30/32 |
7,900,000
COP |
|
1,640
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Colombia—continued
|
|
|
7.250%,
10/18/34 |
8,275,000
COP |
|
$ 1,656
|
|
|
|
4,504
|
|
|
|
|
|
Ecuador—5.8%
|
|
|
Republic
of Ecuador |
|
|
|
144A
6.000%, 7/31/30(2)(6) |
$ 5,914
|
|
3,957
|
RegS
6.000%, 7/31/30(4)(6) |
5,789
|
|
3,873
|
|
|
|
7,830
|
|
|
|
|
|
Egypt—7.4%
|
|
|
Arab
Republic of Egypt |
|
|
|
144A
3.875%, 2/16/26(2)(3) |
2,741
|
|
2,556
|
144A
4.750%, 4/16/26(2) |
7,000
EUR |
|
7,226
|
144A
6.375%, 4/11/31(2) |
246
EUR |
|
220
|
|
|
|
10,002
|
|
|
|
|
|
El
Salvador—4.5% |
|
|
Republic
of El Salvador |
|
|
|
RegS
5.875%, 1/30/25(3)(4) |
2,368
|
|
2,318
|
RegS
6.375%, 1/18/27(3)(4) |
1,298
|
|
1,140
|
RegS
8.625%, 2/28/29(4) |
683
|
|
595
|
RegS
8.250%, 4/10/32(4) |
1,909
|
|
1,480
|
RegS
7.650%, 6/15/35(4) |
855
|
|
611
|
|
|
|
6,144
|
|
|
|
|
|
Ethiopia—0.4%
|
|
|
Federal
Republic of Ethiopia 144A 6.625%, 12/11/24(2)(7) |
785
|
|
553
|
See
Notes to Financial Statements
STONE HARBOR EMERGING
MARKETS INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited)
(Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Gabon—4.7%
|
|
|
Republic
of Gabon |
|
|
|
144A
6.950%, 6/16/25(2)(3) |
$ 3,481
|
|
$ 3,281
|
144A
7.000%, 11/24/31(2)(3) |
1,800
|
|
1,433
|
RegS
6.950%, 6/16/25(3)(4) |
1,800
|
|
1,697
|
|
|
|
6,411
|
|
|
|
|
|
Indonesia—3.4%
|
|
|
Indonesia
Government Bond |
|
|
|
8.375%,
3/15/34 |
27,400,000
IDR |
|
1,853
|
8.375%,
4/15/39 |
40,300,000
IDR |
|
2,790
|
|
|
|
4,643
|
|
|
|
|
|
Iraq—3.0%
|
|
|
Republic
of Iraq RegS 5.800%, 1/15/28(4) |
4,250
|
|
4,032
|
Ivory
Coast—0.8% |
|
|
Republic
of Ivory Coast |
|
|
|
RegS
5.250%, 3/22/30(4) |
553
EUR |
|
550
|
RegS
5.875%, 10/17/31(4) |
565
EUR |
|
558
|
|
|
|
1,108
|
|
|
|
|
|
Kenya—1.1%
|
|
|
Republic
of Kenya 144A 7.000%, 5/22/27(2)(3) |
1,475
|
|
1,423
|
Lebanon—0.0%
|
|
|
Lebanese
Republic RegS 6.400%, 5/26/23(4)(7) |
848
|
|
58
|
Mexico—3.9%
|
|
|
Mex
Bonos Desarr |
|
|
|
7.750%,
11/23/34 |
58,000
MXN |
|
2,967
|
7.750%,
11/13/42 |
48,800
MXN |
|
2,358
|
|
|
|
5,325
|
|
|
|
|
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Mozambique—1.3%
|
|
|
Republic
of Mozambique 144A 9.000%, 9/15/31(2)(3)(6) |
$ 2,168
|
|
$ 1,778
|
Nigeria—3.5%
|
|
|
Republic
of Nigeria |
|
|
|
144A
6.500%, 11/28/27(2)(3) |
1,493
|
|
1,394
|
144A
6.125%, 9/28/28(2) |
543
|
|
482
|
144A
7.875%, 2/16/32(2) |
3,220
|
|
2,841
|
|
|
|
4,717
|
|
|
|
|
|
Pakistan—2.0%
|
|
|
Islamic
Republic of Pakistan 144A 6.000%, 4/8/26(2)(3) |
3,023
|
|
2,735
|
Papua
New Guinea —1.0% |
|
|
Papua
New Guinea Government International Bond RegS 8.375%, 10/4/28(3)(4) |
1,464
|
|
1,390
|
South
Africa—3.0% |
|
|
Republic
of South Africa |
|
|
|
6.250%,
3/31/36 |
16,700
ZAR |
|
557
|
6.500%,
2/28/41 |
38,600
ZAR |
|
1,183
|
8.750%,
1/31/44 |
25,700
ZAR |
|
967
|
8.750%,
2/28/48 |
36,800
ZAR |
|
1,372
|
|
|
|
4,079
|
|
|
|
|
|
Sri
Lanka—0.2% |
|
|
Republic
of Sri Lanka 144A 7.850%, 3/14/29(2)(7) |
560
|
|
326
|
Tunisia—1.0%
|
|
|
Tunisian
Republic |
|
|
|
144A
5.750%, 1/30/25(2)(3) |
860
|
|
809
|
See Notes to
Financial Statements
STONE HARBOR EMERGING
MARKETS INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited)
(Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Tunisia—continued
|
|
|
144A
6.375%, 7/15/26(2) |
608
EUR |
|
$
557 |
|
|
|
1,366
|
|
|
|
|
|
Turkey—1.0%
|
|
|
Republic
of Turkiye 9.875%, 1/15/28 |
$ 1,297
|
|
1,423
|
Ukraine—0.4%
|
|
|
Ukraine
Government Bond 144A 7.750%, 9/1/28(2)(7) |
1,775
|
|
520
|
Venezuela—2.0%
|
|
|
Bolivarian
Republic of Venezuela |
|
|
|
9.375%,
1/13/34(7) |
2,000
|
|
370
|
RegS
12.750%, 8/23/22(4)(7) |
125
|
|
23
|
RegS
7.650%, 4/21/25(4)(7) |
4,000
|
|
636
|
RegS
9.250%, 5/7/28(4)(7) |
3,000
|
|
510
|
RegS
11.950%, 8/5/31(4)(7) |
3,349
|
|
623
|
RegS
7.000%, 3/31/38(4)(7) |
4,000
|
|
604
|
|
|
|
2,766
|
|
|
|
|
|
Zambia—1.8%
|
|
|
Republic
of Zambia |
|
|
|
144A
5.375%, 9/20/24(2)(7) |
209
|
|
143
|
144A
8.970%, 7/30/27(2)(7) |
1,459
|
|
1,112
|
RegS
8.970%, 7/30/27(4)(7) |
1,525
|
|
1,162
|
|
|
|
2,417
|
|
|
|
|
|
Total
Foreign Government Securities (Identified Cost $103,035) |
|
103,695
|
|
|
|
|
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Corporate
Bonds and Notes—40.3% |
Brazil—0.6%
|
|
|
MC
Brazil Downstream Trading S.a.r.l. 144A 7.250%, 6/30/31(2)(3) |
$ 880
|
|
$ 792
|
Colombia—2.9%
|
|
|
Empresas
Publicas de Medellin ESP RegS 7.625%, 9/10/24(4) |
2,700,000
COP |
|
687
|
Gran
Tierra Energy, Inc. 144A 9.500%, 10/15/29(2)(3) |
3,445
|
|
3,276
|
|
|
|
3,963
|
|
|
|
|
|
Ghana—3.0%
|
|
|
Tullow
Oil plc RegS 7.000%, 3/1/25(3)(4) |
4,208
|
|
4,067
|
India—0.9%
|
|
|
Adani
Green Energy Ltd. RegS 4.375%, 9/8/24(4) |
1,275
|
|
1,263
|
Indonesia—1.0%
|
|
|
Theta
Capital Pte Ltd. RegS 6.750%, 10/31/26(4) |
1,500
|
|
1,403
|
Kazakhstan—1.4%
|
|
|
Development
Bank of Kazakhstan JSC |
|
|
|
144A
10.950%, 5/6/26(2) |
506,000
KZT |
|
1,064
|
144A
13.000%, 4/15/27(2) |
270,000
KZT |
|
597
|
QazaqGaz
NC JSC 144A 4.375%, 9/26/27(2) |
275
|
|
259
|
|
|
|
1,920
|
|
|
|
|
|
See Notes to Financial Statements
STONE HARBOR EMERGING
MARKETS INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited)
(Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Mexico—19.4%
|
|
|
Banco
Mercantil del Norte S.A. |
|
|
|
144A
5.875%(2)(3)(8) |
$ 1,268
|
|
$ 1,192
|
RegS
6.750%(4)(8) |
1,536
|
|
1,528
|
Petroleos
Mexicanos |
|
|
|
5.950%,
1/28/31 |
1,124
|
|
910
|
RegS
7.190%, 9/12/24(4) |
43,400
MXN |
|
2,507
|
RegS
6.700%, 2/16/32(4) |
293
|
|
244
|
Series
14-2 7.470%, 11/12/26 |
25,240
MXN |
|
1,310
|
6.375%,
1/23/45(3) |
10,500
|
|
6,891
|
Poinsettia
Finance Ltd. RegS 6.625%, 6/17/31(4) |
10,734
|
|
9,352
|
Sixsigma
Networks Mexico S.A. de C.V. 144A 7.500%, 5/2/25(2)(3) |
2,609
|
|
2,467
|
|
|
|
26,401
|
|
|
|
|
|
Nigeria—0.5%
|
|
|
IHS
Holding Ltd. 144A 6.250%, 11/29/28(2) |
683
|
|
610
|
Peru—1.9%
|
|
|
Petroleos
del Peru S.A. |
|
|
|
RegS
4.750%, 6/19/32(3)(4) |
2,625
|
|
1,886
|
RegS
5.625%, 6/19/47(4) |
1,225
|
|
729
|
|
|
|
2,615
|
|
|
|
|
|
South
Africa—1.4% |
|
|
Eskom
Holdings SOC Ltd. 144A 8.450%, 8/10/28(2)(3) |
1,840
|
|
1,831
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Turkey—1.2%
|
|
|
Aydem
Yenilenebilir Enerji AS 144A 7.750%, 2/2/27(2)(3) |
$ 1,067
|
|
$
1,033 |
Yapi
ve Kredi Bankasi AS 144A 9.250%, 1/17/34(2) |
638
|
|
658
|
|
|
|
1,691
|
|
|
|
|
|
Ukraine—0.5%
|
|
|
VF
Ukraine PAT via VFU Funding plc 144A 6.200%, 2/11/25(2)(5) |
825
|
|
701
|
Uzbekistan—1.5%
|
|
|
Uzauto
Motors AJ 144A 4.850%, 5/4/26(2)(3) |
2,166
|
|
2,031
|
Venezuela—3.2%
|
|
|
Petroleos
de Venezuela S.A. |
|
|
|
RegS
9.000%, 11/17/21(4)(7) |
13,249
|
|
1,649
|
RegS
12.750%, 2/17/22(4)(7) |
3,450
|
|
504
|
RegS
6.000%, 5/16/24(4)(7) |
7,395
|
|
873
|
RegS
9.750%, 5/17/35(4)(7) |
1,000
|
|
136
|
RegS
5.500%, 4/12/37(4)(7) |
10,000
|
|
1,180
|
|
|
|
4,342
|
|
|
|
|
|
Vietnam—0.9%
|
|
|
Mong
Duong Finance Holdings B.V. 144A 5.125%, 5/7/29(2) |
1,265
|
|
1,197
|
Total
Corporate Bonds and Notes (Identified Cost $54,965) |
|
54,827
|
See Notes to
Financial Statements
STONE HARBOR EMERGING
MARKETS INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited)
(Continued)
May 31, 2024
($ reported in
thousands)
|
Shares
|
|
Value
|
Purchased
Options—0.1% |
(See
open purchased options schedule) |
|
|
Total
Purchased Options (Premiums paid $153) |
|
$
159 |
|
Par
Value(1) |
|
Credit
Linked Notes—3.7% |
Iraq—3.7%
|
|
Republic
of Iraq |
|
|
(Counterparty:
BOA) 2.536%, 1/1/28(6)(9) |
178,982
JPY |
1,058
|
(Counterparty:
BOA) 3.304%, 1/1/28(6)(9) |
393,558
JPY |
2,321
|
(Counterparty:
BOA) 3.399%, 1/6/28(6)(9) |
294,393
JPY |
1,738
|
Total
Credit Linked Notes (Identified Cost $7,349) |
5,117
|
|
|
|
|
Total
Long-Term Investments—120.3% (Identified Cost $165,502) |
163,798
|
|
Shares
|
|
Short-Term
Investment—3.8% |
Money
Market Mutual Fund—3.8% |
Dreyfus
Government Cash Management Fund - Institutional Shares (seven-day effective yield 5.190%)(10) |
5,152,347
|
5,152
|
Total
Short-Term Investment (Identified Cost $5,152) |
5,152
|
|
|
|
|
TOTAL
INVESTMENTS—124.1% (Identified Cost $170,654) |
$
168,950 |
Other
assets and liabilities, net—(24.1)% |
(32,863)
|
NET
ASSETS—100.0% |
$
136,087 |
Abbreviations:
|
CDS
|
Credit
Default Swap |
DAC
|
Designated
Activity Company |
JSC
|
Joint Stock
Company |
Footnote
Legend: |
(1) |
Par
Value disclosed in foreign currency is reported in thousands. |
(2) |
Security
exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At May 31, 2024, these securities amounted to a value of
$56,011 or 41.2% of net assets. |
(3) |
All
or a portion is segregated as collateral for reverse repurchase agreements. On May 31, 2024, securities valued at $47,483 were pledged as collateral for reverse repurchase agreements. |
(4) |
Regulation
S security. Security is offered and sold outside of the United States; therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(5) |
This Note
was issued for the sole purpose of funding a leveraged loan between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower. |
(6) |
Variable
rate security. Rate disclosed is as of May 31, 2024. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by
the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their
descriptions. |
(7) |
Security
in default; no interest payments are being received. |
(8) |
No
contractual maturity date. |
For information regarding the abbreviations, see the Key
Investment Terms starting on page 17.
See Notes to Financial Statements
STONE HARBOR EMERGING
MARKETS INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited)
(Continued)
May 31, 2024
($ reported in
thousands)
(9) |
The
value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(10) |
Shares
of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Counterparties:
|
|
BCLY
|
Barclays
|
BOA
|
Bank of
America |
GS
|
Goldman
Sachs & Co. |
JPM
|
JPMorgan
Chase Bank N.A. |
Foreign
Currencies: |
AUD
|
Australian
Dollar |
BRL
|
Brazilian
Real |
CNH
|
Chinese
Yuan Offshore |
COP
|
Colombian
Peso |
EUR
|
Euro
|
IDR
|
Indonesian
Rupiah |
JPY
|
Japanese
Yen |
KZT
|
Kazakhstani
Tenge |
MXN
|
Mexican
Peso |
USD
|
United
States Dollar |
ZAR
|
South
African Rand |
Reverse
Repurchase Agreements as of May 31, 2024 were as follows: |
Counterparty
|
Interest
Rate |
Acquisition
Date* |
Amount
|
JPM
|
5.65%
|
02/01/24
|
$
(684) |
JPM
|
5.75
|
02/01/24
|
(1,612)
|
JPM
|
5.75
|
02/01/24
|
(338)
|
JPM
|
5.80
|
01/11/24
|
(928)
|
JPM
|
5.80
|
02/01/24
|
(463)
|
JPM
|
5.85
|
02/01/24
|
(1,015)
|
JPM
|
5.85
|
02/01/24
|
(1,465)
|
JPM
|
5.85
|
04/18/24
|
(1,149)
|
JPM
|
5.88
|
05/23/24
|
(2,960)
|
JPM
|
5.88
|
05/28/24
|
(1,164)
|
JPM
|
5.90
|
01/17/24
|
(1,568)
|
JPM
|
5.90
|
01/17/24
|
(1,104)
|
JPM
|
5.90
|
01/17/24
|
(1,292)
|
JPM
|
5.90
|
02/01/24
|
(1,046)
|
JPM
|
5.90
|
02/01/24
|
(2,232)
|
JPM
|
5.90
|
02/01/24
|
(978)
|
JPM
|
5.90
|
04/18/24
|
(1,511)
|
JPM
|
5.95
|
02/01/24
|
(1,498)
|
JPM
|
5.95
|
04/18/24
|
(1,102)
|
JPM
|
5.95
|
04/18/24
|
(1,217)
|
JPM
|
5.95
|
04/18/24
|
(613)
|
JPM
|
5.95
|
04/25/24
|
(831)
|
JPM
|
6.00
|
01/30/24
|
(462)
|
JPM
|
6.00
|
01/30/24
|
(1,359)
|
JPM
|
6.00
|
02/01/24
|
(1,754)
|
JPM
|
6.00
|
02/01/24
|
(599)
|
JPM
|
6.05
|
01/30/24
|
(707)
|
JPM
|
6.05
|
02/01/24
|
(1,430)
|
JPM
|
6.05
|
04/23/24
|
(1,452)
|
See Notes to Financial Statements
STONE HARBOR EMERGING
MARKETS INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited)
(Continued)
May 31, 2024
($ reported in
thousands)
Reverse
Repurchase Agreements as of May 31, 2024 were as follows: |
Counterparty
|
Interest
Rate |
Acquisition
Date* |
Amount
|
JPM
|
6.05%
|
05/20/24
|
$
(942) |
JPM
|
6.10
|
02/01/24
|
(893)
|
JPM
|
6.10
|
04/18/24
|
(1,502)
|
Total
|
|
|
$(37,870)
|
Footnote
Legend: |
* |
All
agreements can be terminated by either party on demand at value plus accrued interest. |
Open
purchased option contracts as of May 31, 2024 were as follows: |
Description
of Options |
Counterparty
|
Number
of Contracts |
Contract
Notional Amount |
Strike
Price(1) |
Expiration
Date |
Value
|
Call
Options(2) |
|
|
|
|
|
|
Call
USD 1,216 versus Put CNH 8,964 |
GS
|
1,216,268
|
$
8,964 |
$
7.37 |
05/14/25
|
$
11 |
Call
USD 3,450 versus Put MXN 66,585 |
GS
|
3,450,000
|
66,585
|
19.30
|
05/20/25
|
79
|
Call
USD 2,041 versus Put CNH 15,042 |
GS
|
2,041,000
|
15,042
|
7.37
|
05/29/25
|
19
|
Put
Option(2) |
|
|
|
|
|
|
Put
AUD 5,124 versus Call USD 3,228 |
GS
|
5,124,000
|
3,228
|
0.63
|
05/30/25
|
50
|
Total
|
|
$159
|
Footnote
Legend: |
(1) |
Strike
price not reported in thousands. |
(2) |
Over-the-counter
options. |
See Notes to Financial Statements
STONE HARBOR EMERGING
MARKETS INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited)
(Continued)
May 31, 2024
($ reported in
thousands)
Over-the-counter
credit default swaps - sell protection(1) outstanding as of May 31, 2024 were as follows: |
Reference
Entity |
Payment
Frequency |
Counterparty
|
Fixed
Rate |
Expiration
Date |
Notional
Amount(2) |
|
Value
|
|
Premiums
Paid (Received) |
|
Unrealized
Appreciation |
|
Unrealized
Depreciation |
Republic
of Argentina 5 Year CDS, CCC /CCCu(3),* |
Quarterly
|
BCLY
|
5.000%
|
12/20/25
|
$11,200
|
|
$(2,303)
|
|
$(1,097)
|
|
$—
|
|
$(1,206)
|
Total
|
|
|
|
|
|
|
$(2,303)
|
|
$(1,097)
|
|
$—
|
|
$(1,206)
|
Footnote Legend: |
(1) |
If
the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery
of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced
obligation or underlying investments comprising the referenced index. |
(2) |
The
maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) |
Based
on Republic of Argentina Sovereign Debt Obligation, USD Denominated 1.00% fixed coupon, 07/09/2029 maturity. |
* |
S&P
/ Morningstar DBRS, respectively. |
See Notes to Financial Statements
STONE HARBOR EMERGING
MARKETS INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited)
(Continued)
May 31, 2024
($ reported in
thousands)
The following table summarizes the value of the
Fund’s investments as of May 31, 2024, based on the inputs used to value them (See Security Valuation Note 2A in the Notes to Financial Statements):
|
Total
Value at May 31, 2024 |
|
Level
1 Quoted Prices |
|
Level
2 Significant Observable Inputs |
|
Level
3 Significant Unobservable Inputs |
Assets:
|
|
|
|
|
|
|
|
Debt
Instruments: |
|
|
|
|
|
|
|
Foreign
Government Securities |
$
103,695 |
|
$
— |
|
$
103,695 |
|
$
— |
Corporate
Bonds and Notes |
54,827
|
|
—
|
|
54,827
|
|
—
|
Credit
Linked Notes |
5,117
|
|
—
|
|
—
|
|
5,117
|
Money
Market Mutual Fund |
5,152
|
|
5,152
|
|
—
|
|
—
|
Other
Financial Instruments: |
|
|
|
|
|
|
|
Purchased
Options |
159
|
|
—
|
|
159
|
|
—
|
Total
Assets |
168,950
|
|
5,152
|
|
158,681
|
|
5,117
|
Liabilities:
|
|
|
|
|
|
|
|
Other
Financial Instruments: |
|
|
|
|
|
|
|
Over-the-Counter
Credit Default Swap* |
(2,303)
|
|
—
|
|
(2,303)
|
|
—
|
Reverse
Repurchase Agreements* |
(37,870)
|
|
—
|
|
(37,870)
|
|
—
|
Total
Liabilities |
(40,173)
|
|
—
|
|
(40,173)
|
|
—
|
Total
Investments |
$
128,777 |
|
$5,152
|
|
$
118,508 |
|
$5,117
|
* |
Other
financial instruments are derivative instruments reflected in the Schedule of Investments. Swaps are reported at value. For liabilities arising from reverse repurchase agreements, the carrying amount approximates fair value due to the
short-term maturity of these financial instruments. |
There were no transfers into or out of Level 3 related
to securities held at May 31, 2024.
Some of the
Fund’s investments that were categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations are based on unobservable inputs. A significant change in third party
information could result in a significantly lower or higher value of Level 3 investments.
See Notes to Financial Statements
STONE HARBOR EMERGING
MARKETS INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited)
(Continued)
May 31, 2024
($ reported in
thousands)
The following is a reconciliation of assets of the Fund
for Level 3 investments for which significant unobservable inputs were used to determine fair value.
|
Total
|
|
Credit
Linked Notes |
Investments
in Securities |
|
|
|
Balance
as of November 30, 2023: |
$ 2,833
|
|
$ 2,833
|
Accrued
discount/(premium) |
80
|
|
80
|
Net
realized gain (loss) |
(107)
|
|
(107)
|
Net
change in unrealized appreciation (depreciation)(a) |
(260)
|
|
(260)
|
Purchases
|
3,321
|
|
3,321
|
Sales
(b) |
(750)
|
|
(750)
|
Balance
as of May 31, 2024 |
$ 5,117
|
|
$ 5,117
|
(a) The net change in unrealized appreciation (depreciation) on investments still held at May 31, 2024, was $(260).
(b) Includes paydowns on securities.
See Notes to
Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
U.S.
Government Securities—1.2% |
U.S.
Treasury Bonds |
|
|
|
4.000%,
11/15/52(2) |
$ 830
|
|
$
745 |
4.750%,
11/15/53(2) |
610
|
|
621
|
4.250%,
2/15/54(2) |
3,055
|
|
2,866
|
U.S.
Treasury Note 4.000%, 2/15/34(2) |
545
|
|
524
|
Total
U.S. Government Securities (Identified Cost $5,036) |
|
4,756
|
|
|
|
|
|
Foreign
Government Securities—3.1% |
Arab
Republic of Egypt |
|
|
|
144A
7.500%, 1/31/27(3) |
90
|
|
88
|
144A
7.600%, 3/1/29(3) |
174
|
|
162
|
144A
8.500%, 1/31/47(3) |
122
|
|
95
|
Benin
Government International Bond 144A 7.960%, 2/13/38(3) |
15
|
|
14
|
Bolivarian
Republic of Venezuela |
|
|
|
9.375%,
1/13/34(4) |
225
|
|
42
|
RegS
8.250%, 10/13/24(4)(5) |
610
|
|
98
|
RegS
7.650%, 4/21/25(4)(5) |
830
|
|
132
|
Brazil
Notas do Tesouro Nacional Series F 10.000%, 1/1/29 |
1,415
BRL |
|
256
|
Costa
Rica Government |
|
|
|
144A
6.550%, 4/3/34(3) |
90
|
|
92
|
144A
7.300%, 11/13/54(3) |
90
|
|
94
|
Dominican
Republic 144A 4.875%, 9/23/32(3) |
405
|
|
361
|
Federative
Republic of Brazil 6.000%, 10/20/33 |
625
|
|
604
|
Finance
Department Government of Sharjah 144A 4.000%, 7/28/50(3) |
470
|
|
300
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Foreign
Government Securities—continued |
Hungary
Government International Bond 144A 6.250%, 9/22/32(3) |
$ 320
|
|
$ 327
|
Islamic
Republic of Pakistan 144A 7.375%, 4/8/31(3) |
225
|
|
184
|
Kingdom
of Jordan 144A 5.850%, 7/7/30(3) |
220
|
|
202
|
Kingdom
of Morocco |
|
|
|
144A
3.000%, 12/15/32(3) |
135
|
|
108
|
144A
5.500%, 12/11/42(3) |
205
|
|
178
|
Oman
Government International Bond 144A 6.750%, 1/17/48(3) |
230
|
|
231
|
Republic
of Angola 144A 8.750%, 4/14/32(3) |
245
|
|
219
|
Republic
of Argentina 3.500%, 7/9/41(6) |
1,064
|
|
435
|
Republic
of Armenia 144A 3.600%, 2/2/31(3) |
140
|
|
114
|
Republic
of Chile 3.500%, 1/31/34 |
85
|
|
73
|
Republic
of Colombia 8.000%, 11/14/35 |
325
|
|
331
|
Republic
of Ecuador 144A 6.000%, 7/31/30(3)(6) |
315
|
|
211
|
Republic
of El Salvador 144A 7.650%, 6/15/35(3) |
300
|
|
214
|
Republic
of Gabon 144A 6.950%, 6/16/25(3) |
45
|
|
42
|
Republic
of Ghana 144A 8.125%, 3/26/32(3)(4) |
150
|
|
77
|
Republic
of Indonesia 2.850%, 2/14/30 |
310
|
|
273
|
Republic
of Ivory Coast |
|
|
|
144A
6.375%, 3/3/28(3) |
210
|
|
204
|
144A
8.250%, 1/30/37(3) |
250
|
|
243
|
Republic
of Kenya 144A 8.000%, 5/22/32(3) |
95
|
|
87
|
Republic
of Nigeria 144A 7.375%, 9/28/33(3) |
340
|
|
283
|
See Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Foreign
Government Securities—continued |
Republic
of Panama |
|
|
|
3.875%,
3/17/28 |
$ 135
|
|
$
124 |
7.500%,
3/1/31 |
8
|
|
8
|
8.000%,
3/1/38 |
258
|
|
271
|
Republic
of Philippines 3.700%, 3/1/41 |
364
|
|
289
|
Republic
of Poland 4.875%, 10/4/33 |
360
|
|
347
|
Republic
of Serbia 144A 6.500%, 9/26/33(3) |
344
|
|
344
|
Republic
of South Africa 5.875%, 6/22/30 |
335
|
|
311
|
Republic
of Turkiye |
|
|
|
7.625%,
4/26/29 |
420
|
|
429
|
9.125%,
7/13/30 |
590
|
|
640
|
7.625%,
5/15/34 |
200
|
|
201
|
Romania
Government International Bond 144A 7.125%, 1/17/33(3) |
310
|
|
325
|
Saudi
International Bond |
|
|
|
144A
5.500%, 10/25/32(3) |
375
|
|
381
|
144A
4.500%, 10/26/46(3) |
745
|
|
624
|
State
of Qatar 144A 3.750%, 4/16/30(3) |
235
|
|
221
|
Ukraine
Government |
|
|
|
144A
7.750%, 9/1/26(3)(4) |
105
|
|
32
|
RegS
7.750%, 9/1/26(4)(5) |
290
|
|
88
|
United
Mexican States |
|
|
|
3.500%,
2/12/34 |
730
|
|
597
|
6.338%,
5/4/53 |
205
|
|
196
|
6.400%,
5/7/54 |
300
|
|
288
|
Total
Foreign Government Securities (Identified Cost $12,997) |
|
12,090
|
|
|
|
|
|
Mortgage-Backed
Securities—6.8% |
Agency—1.0%
|
|
|
Federal
National Mortgage Association |
|
|
|
Pool
#FS4438 5.000%, 11/1/52 |
819
|
|
789
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Agency—continued
|
|
|
Pool
#MA4785 5.000%, 10/1/52 |
$ 825
|
|
$ 795
|
Pool
#MA4805 4.500%, 11/1/52 |
866
|
|
811
|
Pool
#MA4980 6.000%, 4/1/53 |
1,540
|
|
1,544
|
|
|
|
3,939
|
|
|
|
|
|
Non-Agency—5.8%
|
|
|
Ajax
Mortgage Loan Trust 2019-D, A1 144A 2.956%, 9/25/65(3)(6) |
193
|
|
179
|
American
Homes 4 Rent Trust 2015-SFR2, C 144A 4.691%, 10/17/52(3) |
340
|
|
333
|
AMSR
Trust |
|
|
|
2021-SFR2,
C 144A 1.877%, 8/17/38(3) |
245
|
|
223
|
2021-SFR3,
D 144A 2.177%, 10/17/38(3) |
260
|
|
237
|
Angel
Oak Mortgage Trust 2023-1, A1 144A 4.750%, 9/26/67(3)(6) |
197
|
|
191
|
Arroyo
Mortgage Trust |
|
|
|
2019-1,
A1 144A 3.805%, 1/25/49(3)(6) |
347
|
|
328
|
2019-2,
A1 144A 3.347%, 4/25/49(3)(6) |
129
|
|
122
|
Benchmark
Mortgage Trust 2023-B38, A2 5.626%, 4/15/56 |
210
|
|
208
|
BPR
Trust 2022-OANA, A (1 month Term SOFR + 1.898%, Cap N/A, Floor 1.898%) 144A 7.215%, 4/15/37(3)(6) |
435
|
|
437
|
BX
Commercial Mortgage Trust 2024-XL5, A (1 month Term SOFR + 1.392%, Cap N/A, Floor 1.392%) 144A 6.708%, 3/15/41(3)(6) |
336
|
|
336
|
BX
Trust |
|
|
|
2019-OC11,
D 144A 3.944%, 12/9/41(3)(6) |
660
|
|
579
|
See Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Non-Agency—continued
|
|
|
2022-CLS,
A 144A 5.760%, 10/13/27(3) |
$ 663
|
|
$ 658
|
CENT
Trust 2023-CITY, A (1 month Term SOFR + 2.620%, Cap N/A, Floor 2.620%) 144A 7.937%, 9/15/38(3)(6) |
340
|
|
343
|
Chase
Mortgage Finance Corp. |
|
|
|
2016-SH1,
M2 144A 3.750%, 4/25/45(3)(6) |
91
|
|
81
|
2016-SH2,
M2 144A 3.750%, 12/25/45(3)(6) |
314
|
|
279
|
CIM
Trust 2022-R2, A1 144A 3.750%, 12/25/61(3)(6) |
386
|
|
354
|
Citigroup
Mortgage Loan Trust, Inc. 2018-RP1, A1 144A 3.000%, 9/25/64(3)(6) |
202
|
|
195
|
COMM
Mortgage Trust 2013-300P, A1 144A 4.353%, 8/10/30(3) |
350
|
|
326
|
CoreVest
American Finance Trust |
|
|
|
2019-3,
C 144A 3.265%, 10/15/52(3) |
400
|
|
350
|
2022-1,
A 144A 4.744%, 6/17/55(3)(6) |
415
|
|
407
|
Credit
Suisse Mortgage Capital Trust 2020-RPL4, A1 144A 2.000%, 1/25/60(3)(6) |
274
|
|
237
|
Deephaven
Residential Mortgage Trust 2022-1, A1 144A 2.205%, 1/25/67(3)(6) |
259
|
|
230
|
Ellington
Financial Mortgage Trust 2019-2, A3 144A 3.046%, 11/25/59(3)(6) |
34
|
|
32
|
ELM
Trust 2024-ELM, A10 144A 5.801%, 6/10/27(3)(6)(7) |
317
|
|
317
|
Extended
Stay America Trust 2021-ESH, C (1 month Term SOFR + 1.814%, Cap N/A, Floor 1.700%) 144A 7.131%, 7/15/38(3)(6) |
457
|
|
456
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Non-Agency—continued
|
|
|
FirstKey
Homes Trust 2021-SFR1, D 144A 2.189%, 8/17/38(3) |
$ 330
|
|
$ 301
|
Galton
Funding Mortgage Trust 2018-1, A23 144A 3.500%, 11/25/57(3)(6) |
15
|
|
13
|
INTOWN
Mortgage Trust 2022-STAY, A (1 month Term SOFR + 2.489%, Cap N/A, Floor 2.489%) 144A 7.806%, 8/15/39(3)(6) |
537
|
|
540
|
JPMBB
Commercial Mortgage Securities Trust 2014-C18, AS 4.439%, 2/15/47(6) |
559
|
|
557
|
JPMorgan
Chase Mortgage Trust |
|
|
|
2014-5,
B2 144A 2.729%, 10/25/29(3)(6) |
205
|
|
183
|
2017-3,
2A2 144A 2.500%, 8/25/47(3)(6) |
72
|
|
62
|
MetLife
Securitization Trust |
|
|
|
2017-1A,
M1 144A 3.475%, 4/25/55(3)(6) |
241
|
|
209
|
2019-1A,
A1A 144A 3.750%, 4/25/58(3)(6) |
37
|
|
36
|
MFA
Trust |
|
|
|
2022-INV2,
A1 144A 4.950%, 7/25/57(3)(6) |
644
|
|
628
|
2022-NQM2,
A1 144A 4.000%, 5/25/67(3)(6) |
193
|
|
182
|
Mill
City Mortgage Loan Trust |
|
|
|
2017-3,
B1 144A 3.250%, 1/25/61(3)(6) |
415
|
|
348
|
2019-1,
M2 144A 3.500%, 10/25/69(3)(6) |
354
|
|
312
|
New
Residential Mortgage Loan Trust |
|
|
|
2014-1A,
A 144A 3.750%, 1/25/54(3)(6) |
33
|
|
31
|
2016-3A,
A1 144A 3.750%, 9/25/56(3)(6) |
43
|
|
40
|
2016-3A,
B1 144A 4.000%, 9/25/56(3)(6) |
170
|
|
156
|
2016-4A,
A1 144A 3.750%, 11/25/56(3)(6) |
19
|
|
18
|
See Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Non-Agency—continued
|
|
|
2016-4A,
B1A 144A 4.500%, 11/25/56(3)(6) |
$ 886
|
|
$ 841
|
2017-2A,
A3 144A 4.000%, 3/25/57(3)(6) |
679
|
|
635
|
2019-RPL2,
M2 144A 3.750%, 2/25/59(3)(6) |
440
|
|
375
|
ORL
Trust 2023-GLKS, A (1 month Term SOFR + 2.350%, Cap N/A, Floor 2.350%) 144A 7.667%, 10/19/36(3)(6) |
438
|
|
440
|
Palisades
Mortgage Loan Trust 2021-RTL1, A1 144A 3.487%, 6/25/26(3)(6) |
177
|
|
177
|
Progress
Residential Trust 2021-SFR3, D 144A 2.288%, 5/17/26(3) |
830
|
|
763
|
RCKT
Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(3)(6) |
178
|
|
147
|
Sequoia
Mortgage Trust 2013-8, B1 3.480%, 6/25/43(6) |
65
|
|
61
|
Starwood
Mortgage Residential Trust 2021-3, A3 144A 1.518%, 6/25/56(3)(6) |
59
|
|
48
|
Towd
Point Mortgage Trust |
|
|
|
2016-4,
B1 144A 4.024%, 7/25/56(3)(6) |
480
|
|
449
|
2017-1,
A2 144A 3.500%, 10/25/56(3)(6) |
330
|
|
324
|
2017-1,
M1 144A 3.750%, 10/25/56(3)(6) |
385
|
|
366
|
2017-4,
A2 144A 3.000%, 6/25/57(3)(6) |
610
|
|
550
|
2018-6,
A1B 144A 3.750%, 3/25/58(3)(6) |
330
|
|
308
|
2018-6,
A2 144A 3.750%, 3/25/58(3)(6) |
480
|
|
426
|
2019-2,
A2 144A 3.750%, 12/25/58(3)(6) |
515
|
|
453
|
2019-4,
A2 144A 3.250%, 10/25/59(3)(6) |
445
|
|
388
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Non-Agency—continued
|
|
|
2021-1,
A2 144A 2.750%, 11/25/61(3)(6) |
$ 465
|
|
$
372 |
Tricon
American Homes Trust |
|
|
|
2019-SFR1,
C 144A 3.149%, 3/17/38(3) |
590
|
|
561
|
2020-SFR2,
D 144A 2.281%, 11/17/39(3) |
660
|
|
581
|
Tricon
Residential Trust 2021-SFR1, B 144A 2.244%, 7/17/38(3) |
185
|
|
171
|
VCAT
LLC 2021-NPL4, A1 144A 1.868%, 8/25/51(3)(6) |
145
|
|
142
|
Verus
Securitization Trust |
|
|
|
2022-4,
A1 144A 4.474%, 4/25/67(3)(6) |
349
|
|
338
|
2022-6,
A1 144A 4.910%, 6/25/67(3)(6) |
234
|
|
230
|
2022-6,
A3 144A 4.910%, 6/25/67(3)(6) |
493
|
|
476
|
2022-7,
A1 144A 5.152%, 7/25/67(3)(6) |
501
|
|
494
|
2023-8,
A1 144A 6.259%, 12/25/68(3)(6) |
317
|
|
318
|
Visio
Trust |
|
|
|
2020-1R,
A2 144A 1.567%, 11/25/55(3) |
52
|
|
47
|
2022-1,
A2 144A 5.850%, 8/25/57(3)(6) |
245
|
|
241
|
Wells
Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 |
649
|
|
630
|
Wells
Fargo Mortgage Backed Securities Trust 2020-4, A1 144A 3.000%, 7/25/50(3)(6) |
115
|
|
95
|
|
|
|
22,501
|
|
|
|
|
|
Total
Mortgage-Backed Securities (Identified Cost $28,058) |
|
26,440
|
|
|
|
|
|
See
Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Asset-Backed
Securities—5.6% |
Automobiles—2.2%
|
|
|
ACC
Auto Trust 2021-A, C 144A 3.790%, 4/15/27(3) |
$ 303
|
|
$ 302
|
ACM
Auto Trust 2023-2A, A 144A 7.970%, 6/20/30(3) |
201
|
|
202
|
American
Credit Acceptance Receivables Trust 2022-1, E 144A 3.640%, 3/13/28(3) |
560
|
|
542
|
Arivo
Acceptance Auto Loan Receivables Trust 2024-1A, B 144A 6.870%, 6/17/30(3) |
462
|
|
461
|
Avis
Budget Rental Car Funding LLC (AESOP) 2019-2A, D 144A 3.040%, 9/22/25(3) |
397
|
|
394
|
Carvana
Auto Receivables Trust |
|
|
|
2019-3A,
E 144A 4.600%, 7/15/26(3) |
214
|
|
213
|
2023-N4,
C 144A 6.590%, 2/11/30(3) |
485
|
|
495
|
2024-N1,
B 144A 5.630%, 5/10/30(3) |
530
|
|
529
|
Credit
Acceptance Auto Loan Trust 2024-1A, A 144A 5.680%, 3/15/34(3) |
316
|
|
316
|
Exeter
Automobile Receivables Trust 2023-3A, D 6.680%, 4/16/29 |
530
|
|
535
|
GLS
Auto Receivables Issuer Trust 2024-2A, C 144A 6.030%, 2/15/30(3) |
360
|
|
360
|
LAD
Auto Receivables Trust |
|
|
|
2023-1A,
D 144A 7.300%, 6/17/30(3) |
550
|
|
558
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Automobiles—continued
|
|
|
2023-2A,
D 144A 6.300%, 2/15/31(3) |
$ 450
|
|
$ 448
|
2023-4A,
C 144A 6.760%, 3/15/29(3) |
412
|
|
421
|
Lendbuzz
Securitization Trust 2023-2A, A2 144A 7.090%, 10/16/28(3) |
346
|
|
349
|
Lobel
Automobile Receivables Trust 2023-1, B 144A 7.050%, 9/15/28(3) |
535
|
|
535
|
OneMain
Direct Auto Receivables Trust 2022-1A, C 144A 5.310%, 6/14/29(3) |
410
|
|
402
|
Tricolor
Auto Securitization Trust 2023-1A, C 144A 7.240%, 2/16/27(3) |
554
|
|
556
|
United
Auto Credit Securitization Trust 2024-1, C 144A 7.060%, 10/10/29(3) |
405
|
|
406
|
Westlake
Automobile Receivables Trust 2024-1A, B 144A 5.550%, 11/15/27(3) |
469
|
|
467
|
|
|
|
8,491
|
|
|
|
|
|
Consumer
Loans—0.0% |
|
|
Republic
Finance Issuance Trust 2020-A, A 144A 2.470%, 11/20/30(3) |
142
|
|
141
|
Upstart
Securitization Trust 2022-2, A 144A 4.370%, 5/20/32(3) |
15
|
|
15
|
|
|
|
156
|
|
|
|
|
|
Credit
Card—0.4% |
|
|
Avant
Credit Card Master Trust 2021-1A, A 144A 1.370%, 4/15/27(3) |
590
|
|
575
|
See Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Credit
Card—continued |
|
|
Mercury
Financial Credit Card Master Trust 2023-1A, A 144A 8.040%, 9/20/27(3) |
$ 555
|
|
$ 559
|
Mission
Lane Credit Card Master Trust 2023-A, A 144A 7.230%, 7/17/28(3) |
447
|
|
449
|
|
|
|
1,583
|
|
|
|
|
|
Other—3.0%
|
|
|
Applebee’s
Funding LLC 2023-1A, A2 144A 7.824%, 3/5/53(3) |
422
|
|
436
|
Aqua
Finance Trust |
|
|
|
2017-A,
A 144A 3.720%, 11/15/35(3) |
1
|
|
1
|
2019-A,
C 144A 4.010%, 7/16/40(3) |
475
|
|
433
|
Auxilior
Term Funding LLC 2023-1A, D 144A 7.270%, 12/16/30(3) |
290
|
|
291
|
BHG
Securitization Trust |
|
|
|
2023-B,
A 144A 6.920%, 12/17/36(3) |
272
|
|
277
|
2024-1CON,
A 144A 5.810%, 4/17/35(3) |
395
|
|
395
|
BXG
Receivables Note Trust 2020-A, B 144A 2.490%, 2/28/36(3) |
225
|
|
206
|
Cajun
Global LLC 2021-1, A2 144A 3.931%, 11/20/51(3) |
335
|
|
303
|
CCG
Receivables Trust 2023-1, A2 144A 5.820%, 9/16/30(3) |
406
|
|
407
|
Dext
ABS LLC |
|
|
|
2020-1,
D 144A 7.210%, 2/15/28(3) |
475
|
|
474
|
2023-2,
B 144A 6.410%, 5/15/34(3) |
405
|
|
406
|
Diamond
Resorts Owner Trust 2021-1A, B 144A 2.050%, 11/21/33(3) |
113
|
|
106
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Other—continued
|
|
|
FAT
Brands Royalty LLC 2021-1A, A2 144A 5.750%, 4/25/51(3) |
$ 581
|
|
$ 489
|
Five
Guys Holdings, Inc. 2023-1A, A2 144A 7.549%, 1/26/54(3) |
405
|
|
418
|
Foundation
Finance Trust 2019-1A, A 144A 3.860%, 11/15/34(3) |
6
|
|
6
|
Hardee’s
Funding LLC 2024-1A, A2 144A 7.253%, 3/20/54(3) |
460
|
|
458
|
HIN
Timeshare Trust 2020-A, C 144A 3.420%, 10/9/39(3) |
70
|
|
65
|
Hotwire
Funding LLC 2021-1, C 144A 4.459%, 11/20/51(3) |
695
|
|
626
|
Jack
in the Box Funding LLC 2022-1A, A2I 144A 3.445%, 2/26/52(3) |
525
|
|
486
|
Jersey
Mike’s Funding LLC 2019-1A, A2 144A 4.433%, 2/15/50(3) |
431
|
|
411
|
Mariner
Finance Issuance Trust 2020-AA, A 144A 2.190%, 8/21/34(3) |
156
|
|
154
|
MetroNet
Infrastructure Issuer LLC 2024-1A, A2 144A 6.230%, 4/20/54(3) |
360
|
|
362
|
Momnt
Technologies Trust 2023-1A, A 144A 6.920%, 3/20/45(3) |
355
|
|
356
|
NBC
Funding LLC 2021-1, A2 144A 2.989%, 7/30/51(3) |
470
|
|
432
|
Octane
Receivables Trust 2023-3A, C 144A 6.740%, 8/20/29(3) |
545
|
|
553
|
Pawneee
Equipment Receivables LLC 2022-1, B 144A 5.400%, 7/17/28(3) |
500
|
|
491
|
See Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Other—continued
|
|
|
Progress
Residential Trust 2021-SFR6, D 144A 2.225%, 7/17/38(3) |
$ 235
|
|
$
216 |
Purchasing
Power Funding LLC 2024-A, B 144A 6.430%, 8/15/28(3) |
510
|
|
509
|
RCKT
Mortgage Trust 2024-CES1, A1A 144A 6.025%, 2/25/44(3)(6) |
289
|
|
288
|
Reach
ABS Trust 2024-1A, B 144A 6.290%, 2/18/31(3) |
500
|
|
498
|
Taco
Bell Funding LLC 2016-1A, A23 144A 4.970%, 5/25/46(3) |
352
|
|
345
|
Trafigura
Securitisation Finance plc 2024-1A, A2 144A 5.980%, 11/15/27(3) |
365
|
|
364
|
Zaxby’s
Funding LLC 2021-1A, A2 144A 3.238%, 7/30/51(3) |
556
|
|
489
|
|
|
|
11,751
|
|
|
|
|
|
Total
Asset-Backed Securities (Identified Cost $22,329) |
|
21,981
|
|
|
|
|
|
Corporate
Bonds and Notes—13.5% |
Communication
Services—0.7% |
|
|
Altice
France Holding S.A. 144A 6.000%, 2/15/28(3) |
200
|
|
62
|
Altice
France S.A. |
|
|
|
144A
5.125%, 1/15/29(3) |
300
|
|
203
|
144A
5.125%, 7/15/29(3) |
175
|
|
117
|
CCO
Holdings LLC 144A 4.750%, 3/1/30(2)(3) |
375
|
|
319
|
CMG
Media Corp. 144A 8.875%, 12/15/27(3) |
395
|
|
198
|
CSC
Holdings LLC |
|
|
|
144A
7.500%, 4/1/28(3) |
365
|
|
204
|
144A
11.750%, 1/31/29(3) |
250
|
|
199
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Communication
Services—continued |
|
|
CT
Trust 144A 5.125%, 2/3/32(3) |
$ 110
|
|
$ 96
|
DISH
DBS Corp. |
|
|
|
5.875%,
11/15/24 |
260
|
|
248
|
7.750%,
7/1/26 |
205
|
|
130
|
Gray
Television, Inc. 144A 7.000%, 5/15/27(3) |
350
|
|
309
|
Level
3 Financing, Inc. 144A 3.625%, 1/15/29(3) |
335
|
|
110
|
Millennium
Escrow Corp. 144A 6.625%, 8/1/26(3) |
350
|
|
177
|
Rackspace
Technology Global, Inc. 144A 5.375%, 12/1/28(3) |
490
|
|
129
|
Sprint
Capital Corp. 8.750%, 3/15/32(2) |
230
|
|
275
|
Telesat
Canada 144A 6.500%, 10/15/27(3) |
270
|
|
79
|
|
|
|
2,855
|
|
|
|
|
|
Consumer
Discretionary—0.5% |
|
|
Amer
Sports Co. 144A 6.750%, 2/16/31(3) |
25
|
|
25
|
Ashtead
Capital, Inc. 144A 5.500%, 8/11/32(2)(3) |
260
|
|
254
|
Ford
Motor Credit Co. LLC 7.350%, 3/6/30(2) |
192
|
|
202
|
Meritage
Homes Corp. 144A 3.875%, 4/15/29(2)(3) |
283
|
|
259
|
Newell
Brands, Inc. 6.625%, 9/15/29(2) |
238
|
|
233
|
Ontario
Gaming GTA LP 144A 8.000%, 8/1/30(2)(3) |
150
|
|
154
|
PetSmart,
Inc. 144A 7.750%, 2/15/29(2)(3) |
135
|
|
129
|
Prime
Security Services Borrower LLC 144A 6.250%, 1/15/28(2)(3) |
250
|
|
246
|
Royal
Caribbean Cruises Ltd. 144A 9.250%, 1/15/29(2)(3) |
18
|
|
19
|
Tapestry,
Inc. 7.850%, 11/27/33(2) |
244
|
|
257
|
See Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Consumer
Discretionary—continued |
|
|
Wand
NewCo 3, Inc. 144A 7.625%, 1/30/32(2)(3) |
$ 10
|
|
$ 10
|
Weekley
Homes LLC 144A 4.875%, 9/15/28(2)(3) |
355
|
|
325
|
|
|
|
2,113
|
|
|
|
|
|
Consumer
Staples—0.4% |
|
|
BAT
Capital Corp. 7.750%, 10/19/32(2) |
238
|
|
269
|
Central
American Bottling Corp. 144A 5.250%, 4/27/29(3) |
260
|
|
244
|
Herbalife
Nutrition Ltd. 144A 7.875%, 9/1/25(2)(3) |
95
|
|
92
|
HLF
Financing S.a.r.l. LLC 144A 4.875%, 6/1/29(2)(3) |
220
|
|
143
|
Minerva
Luxembourg S.A. 144A 8.875%, 9/13/33(3) |
215
|
|
224
|
Pilgrim’s
Pride Corp. 6.250%, 7/1/33(2) |
230
|
|
232
|
Post
Holdings, Inc. 144A 6.250%, 2/15/32(2)(3) |
150
|
|
149
|
Sigma
Holdco B.V. 144A 7.875%, 5/15/26(3) |
200
|
|
195
|
Triton
Water Holdings, Inc. 144A 6.250%, 4/1/29(3) |
145
|
|
134
|
|
|
|
1,682
|
|
|
|
|
|
Energy—2.6%
|
|
|
Alliance
Resource Operating Partners LP |
|
|
|
144A
7.500%, 5/1/25(2)(3) |
295
|
|
295
|
144A
8.625%, 6/15/29(3) |
190
|
|
194
|
Ascent
Resources Utica Holdings LLC 144A 8.250%, 12/31/28(2)(3) |
410
|
|
419
|
Blue
Racer Midstream LLC 144A 7.250%, 7/15/32(2)(3) |
35
|
|
36
|
BP
Capital Markets plc 4.875% (2)(8) |
437
|
|
412
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Energy—continued
|
|
|
Civitas
Resources, Inc. 144A 8.750%, 7/1/31(2)(3) |
$ 225
|
|
$ 240
|
Columbia
Pipelines Operating Co. LLC |
|
|
|
144A
6.036%, 11/15/33(2)(3) |
260
|
|
265
|
144A
6.714%, 8/15/63(2)(3) |
50
|
|
53
|
Coronado
Finance Pty Ltd. 144A 10.750%, 5/15/26(2)(3) |
526
|
|
546
|
Crescent
Energy Finance LLC 144A 7.625%, 4/1/32(2)(3) |
5
|
|
5
|
CrownRock
LP |
|
|
|
144A
5.625%, 10/15/25(2)(3) |
85
|
|
85
|
144A
5.000%, 5/1/29(2)(3) |
170
|
|
168
|
CVR
Energy, Inc. 144A 8.500%, 1/15/29(2)(3) |
340
|
|
341
|
Ecopetrol
S.A. |
|
|
|
4.625%,
11/2/31 |
180
|
|
146
|
8.875%,
1/13/33 |
250
|
|
256
|
Encino
Acquisition Partners Holdings LLC 144A 8.750%, 5/1/31(2)(3) |
25
|
|
26
|
Energy
Transfer LP Series H 6.500% (2)(8) |
350
|
|
343
|
EQM
Midstream Partners LP 144A 6.375%, 4/1/29(2)(3) |
85
|
|
85
|
Flex
Intermediate Holdco LLC 144A 3.363%, 6/30/31(2)(3) |
467
|
|
384
|
Genesis
Energy LP 8.875%, 4/15/30(2) |
180
|
|
188
|
Greensaif
Pipelines Bidco S.a.r.l. 144A 6.129%, 2/23/38(3) |
55
|
|
55
|
Helix
Energy Solutions Group, Inc. 144A 9.750%, 3/1/29(2)(3) |
275
|
|
290
|
International
Petroleum Corp. 144A, RegS 7.250%, 2/1/27(3)(5) |
380
|
|
370
|
See Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Energy—continued
|
|
|
KazMunayGas
National Co. JSC |
|
|
|
144A
5.375%, 4/24/30(3) |
$ 20
|
|
$ 19
|
144A
6.375%, 10/24/48(3) |
325
|
|
299
|
RegS
6.375%, 10/24/48(5) |
200
|
|
184
|
Kinder
Morgan Energy Partners LP 7.500%, 11/15/40 |
239
|
|
267
|
Mesquite
Energy, Inc. 144A 7.250%, 2/15/23(3) |
105
|
|
7
|
Nabors
Industries Ltd. 144A 7.250%, 1/15/26(3) |
285
|
|
286
|
Northriver
Midstream Finance LP 144A 5.625%, 2/15/26(2)(3) |
185
|
|
182
|
Occidental
Petroleum Corp. 6.125%, 1/1/31(2) |
230
|
|
235
|
Odebrecht
Oil & Gas Finance Ltd. 144A 0.000% (3)(8)(9) |
26
|
|
2
|
Pertamina
Persero PT 144A 2.300%, 2/9/31(3) |
480
|
|
394
|
Petroleos
de Venezuela S.A. 144A 6.000%, 5/16/24(3)(4) |
665
|
|
78
|
Petroleos
Mexicanos |
|
|
|
6.500%,
3/13/27 |
390
|
|
368
|
6.700%,
2/16/32 |
180
|
|
151
|
7.690%,
1/23/50 |
260
|
|
189
|
Petronas
Capital Ltd. 144A 3.500%, 4/21/30(3) |
205
|
|
187
|
State
Oil Co. of the Azerbaijan Republic RegS 6.950%, 3/18/30(5) |
280
|
|
286
|
Teine
Energy Ltd. 144A 6.875%, 4/15/29(2)(3) |
330
|
|
323
|
Transcanada
Trust 5.600%, 3/7/82 |
305
|
|
275
|
Transocean,
Inc. |
|
|
|
144A
8.250%, 5/15/29(3) |
50
|
|
50
|
144A
8.750%, 2/15/30(2)(3) |
257
|
|
268
|
144A
8.500%, 5/15/31(3) |
80
|
|
80
|
Venture
Global LNG, Inc. 144A 9.875%, 2/1/32(2)(3) |
390
|
|
418
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Energy—continued
|
|
|
Western
Midstream Operating LP 5.250%, 2/1/50(2) |
$ 285
|
|
$ 248
|
|
|
|
9,998
|
|
|
|
|
|
Financials—4.8%
|
|
|
Acrisure
LLC |
|
|
|
144A
8.250%, 2/1/29(3) |
130
|
|
131
|
144A
6.000%, 8/1/29(3) |
135
|
|
123
|
Allianz
SE 144A 6.350%, 9/6/53(2)(3) |
200
|
|
207
|
Allstate
Corp. (The) Series B (3 month Term SOFR + 3.200%) 8.522%, 8/15/53(2)(6) |
275
|
|
276
|
Altice
Financing S.A. 144A 5.000%, 1/15/28(2)(3) |
515
|
|
407
|
American
Express Co. 5.625%, 7/28/34(2) |
208
|
|
207
|
Apollo
Debt Solutions BDC 144A 6.900%, 4/13/29(2)(3) |
223
|
|
225
|
Ascot
Group Ltd. 144A 4.250%, 12/15/30(2)(3) |
509
|
|
422
|
Aston
Martin Capital Holdings Ltd. 144A 10.000%, 3/31/29(3) |
320
|
|
310
|
Baldwin
Insurance Group Holdings LLC 144A 7.125%, 5/15/31(2)(3) |
30
|
|
30
|
Banco
de Credito del Peru S.A. |
|
|
|
144A
3.125%, 7/1/30(3) |
278
|
|
266
|
RegS
3.125%, 7/1/30(5) |
73
|
|
70
|
Banco
de Credito e Inversiones S.A. 144A 8.750% (3)(8) |
330
|
|
345
|
Banco
Mercantil del Norte S.A. 144A 6.625% (3)(8) |
150
|
|
135
|
Bank
of America Corp. |
|
|
|
5.015%,
7/22/33 |
282
|
|
275
|
2.482%,
9/21/36 |
386
|
|
309
|
See Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Financials—continued
|
|
|
Bank
of New York Mellon Corp. (The) Series G 4.700% (2)(8) |
$ 427
|
|
$ 419
|
Barclays
plc 7.437%, 11/2/33(2) |
259
|
|
285
|
BBVA
Bancomer S.A. 144A 5.125%, 1/18/33(3) |
270
|
|
249
|
Blackstone
Private Credit Fund 2.625%, 12/15/26(2) |
256
|
|
234
|
Block,
Inc. 144A 6.500%, 5/15/32(2)(3) |
165
|
|
167
|
Blue
Owl Credit Income Corp. 4.700%, 2/8/27(2) |
216
|
|
206
|
Blue
Owl Finance LLC 144A 3.125%, 6/10/31(2)(3) |
415
|
|
347
|
BNSF
Funding Trust I 6.613%, 12/15/55(2) |
245
|
|
242
|
BPCE
S.A. 144A 7.003%, 10/19/34(3) |
250
|
|
269
|
Brixmor
Operating Partnership LP 5.750%, 2/15/35(2) |
95
|
|
94
|
BroadStreet
Partners, Inc. 144A 5.875%, 4/15/29(3) |
270
|
|
247
|
Brookfield
Finance, Inc. 6.350%, 1/5/34(2) |
221
|
|
231
|
Capital
One Financial Corp. 2.359%, 7/29/32(2) |
255
|
|
199
|
Charles
Schwab Corp. (The) Series H 4.000% (2)(8) |
334
|
|
278
|
Citigroup,
Inc. |
|
|
|
6.270%,
11/17/33 |
194
|
|
203
|
6.174%,
5/25/34(2) |
202
|
|
205
|
Citizens
Bank N.A. 2.250%, 4/28/25(2) |
165
|
|
160
|
Corebridge
Financial, Inc. 6.875%, 12/15/52(2) |
326
|
|
328
|
Drawbridge
Special Opportunities Fund LP 144A 3.875%, 2/15/26(2)(3) |
480
|
|
454
|
Export-Import
Bank Korea 5.125%, 1/11/33 |
220
|
|
220
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Financials—continued
|
|
|
F&G
Annuities & Life, Inc. 6.500%, 6/4/29 |
$ 165
|
|
$ 165
|
Fifth
Third Bancorp 4.337%, 4/25/33(2) |
273
|
|
248
|
Foundry
JV Holdco LLC 144A 6.250%, 1/25/35(2)(3) |
325
|
|
331
|
Gaci
First Investment Co. RegS 4.875%, 2/14/35(5) |
245
|
|
231
|
GGAM
Finance Ltd. 144A 6.875%, 4/15/29(2)(3) |
225
|
|
227
|
Global
Atlantic Fin Co. |
|
|
|
144A
7.950%, 6/15/33(2)(3) |
169
|
|
187
|
144A
6.750%, 3/15/54(2)(3) |
35
|
|
35
|
Goldman
Sachs Group, Inc. (The) |
|
|
|
3.102%,
2/24/33(2) |
245
|
|
208
|
6.450%,
5/1/36(2) |
190
|
|
202
|
Grifols
S.A. 144A 4.750%, 10/15/28(3) |
245
|
|
213
|
HUB
International Ltd. 144A 7.375%, 1/31/32(3) |
55
|
|
55
|
Huntington
Bancshares, Inc. 2.550%, 2/4/30(2) |
297
|
|
252
|
ION
Trading Technologies S.a.r.l. 144A 9.500%, 5/30/29(3) |
145
|
|
146
|
JPMorgan
Chase & Co. 1.953%, 2/4/32(2) |
470
|
|
380
|
KeyCorp
6.401%, 3/6/35(2) |
221
|
|
222
|
Ladder
Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(2)(3) |
210
|
|
197
|
Liberty
Mutual Group, Inc. 144A 4.125%, 12/15/51(2)(3) |
320
|
|
296
|
Lincoln
National Corp. (3 month Term SOFR + 2.302%) 7.626%, 4/20/67(2)(6) |
195
|
|
151
|
Medline
Borrower LP 144A 6.250%, 4/1/29(2)(3) |
65
|
|
65
|
Melco
Resorts Finance Ltd. 144A 7.625%, 4/17/32(3) |
300
|
|
297
|
See Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Financials—continued
|
|
|
Merlin
Entertainments Group U.S. Holdings, Inc. 144A 7.375%, 2/15/31(2)(3) |
$ 245
|
|
$ 248
|
MetLife,
Inc. Series G 3.850% (2)(8) |
340
|
|
327
|
Midcap
Financial Issuer Trust 144A 6.500%, 5/1/28(2)(3) |
265
|
|
247
|
Morgan
Stanley |
|
|
|
6.342%,
10/18/33(2) |
317
|
|
335
|
5.948%,
1/19/38(2) |
208
|
|
207
|
MSCI,
Inc. 144A 3.625%, 9/1/30(2)(3) |
256
|
|
227
|
National
Rural Utilities Cooperative Finance Corp. (3 month Term SOFR + 3.172%) 8.501%, 4/30/43(2)(6) |
270
|
|
270
|
Nationstar
Mortgage Holdings, Inc. 144A 5.750%, 11/15/31(2)(3) |
360
|
|
333
|
NatWest
Group plc 6.475%, 6/1/34(2) |
220
|
|
224
|
Nippon
Life Insurance Co. 144A 6.250%, 9/13/53(2)(3) |
200
|
|
206
|
Northern
Trust Corp. 6.125%, 11/2/32(2) |
209
|
|
217
|
Nuveen
LLC 144A 5.850%, 4/15/34(2)(3) |
245
|
|
246
|
Panther
Escrow Issuer LLC 144A 7.125%, 6/1/31(2)(3) |
30
|
|
30
|
Prudential
Financial, Inc. |
|
|
|
5.125%,
3/1/52(2) |
148
|
|
137
|
6.750%,
3/1/53(2) |
120
|
|
123
|
Societe
Generale S.A. 144A 6.066%, 1/19/35(2)(3) |
200
|
|
200
|
State
Street Corp. Series I 6.700% (2)(8) |
200
|
|
202
|
Synchrony
Financial |
|
|
|
4.875%,
6/13/25(2) |
80
|
|
79
|
3.700%,
8/4/26(2) |
117
|
|
111
|
Texas
Capital Bancshares, Inc. 4.000%, 5/6/31(2) |
495
|
|
450
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Financials—continued
|
|
|
Toronto-Dominion
Bank (The) 8.125%, 10/31/82 |
$ 239
|
|
$ 248
|
UBS
Group AG |
|
|
|
144A
9.250%(2)(3)(8) |
35
|
|
39
|
144A
4.988%, 8/5/33(2)(3) |
289
|
|
276
|
Vistra
Operations Co. LLC 144A 6.875%, 4/15/32(2)(3) |
165
|
|
166
|
Wells
Fargo & Co. |
|
|
|
5.389%,
4/24/34(2) |
270
|
|
266
|
Series
BB 3.900%(2)(8) |
470
|
|
444
|
|
|
|
18,741
|
|
|
|
|
|
Health
Care—0.7% |
|
|
Catalent
Pharma Solutions, Inc. 144A 3.500%, 4/1/30(2)(3) |
395
|
|
375
|
Community
Health Systems, Inc. 144A 4.750%, 2/15/31(3) |
285
|
|
225
|
DENTSPLY
SIRONA, Inc. 3.250%, 6/1/30(2) |
388
|
|
338
|
Endo
Finance Holdings, Inc. 144A 8.500%, 4/15/31(3) |
20
|
|
21
|
HCA,
Inc. 5.500%, 6/1/33(2) |
274
|
|
271
|
LifePoint
Health, Inc. |
|
|
|
144A
9.875%, 8/15/30(2)(3) |
305
|
|
326
|
144A
10.000%, 6/1/32(3) |
110
|
|
110
|
Medline
Borrower LP 144A 5.250%, 10/1/29(2)(3) |
205
|
|
193
|
ModivCare,
Inc. 144A 5.875%, 11/15/25(3) |
55
|
|
55
|
Organon
& Co. 144A 7.875%, 5/15/34(2)(3) |
20
|
|
20
|
Par
Pharmaceutical, Inc. 7.500%, 4/1/27(7) |
187
|
|
—
|
Smith
& Nephew plc 5.400%, 3/20/34 |
220
|
|
216
|
Universal
Health Services, Inc. 2.650%, 1/15/32(2) |
344
|
|
280
|
See Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Health
Care—continued |
|
|
Viatris,
Inc. |
|
|
|
2.700%,
6/22/30(2) |
$ 160
|
|
$ 135
|
4.000%,
6/22/50(2) |
135
|
|
91
|
|
|
|
2,656
|
|
|
|
|
|
Industrials—1.2%
|
|
|
Adani
Ports & Special Economic Zone Ltd. 144A 4.375%, 7/3/29(3) |
322
|
|
282
|
Alaska
Airlines Pass-Through Trust 2020-1, A 144A 4.800%, 2/15/29(2)(3) |
468
|
|
455
|
Aviation
Capital Group LLC 144A 3.500%, 11/1/27(2)(3) |
254
|
|
237
|
Avolon
Holdings Funding Ltd. 144A 4.375%, 5/1/26(2)(3) |
243
|
|
236
|
Boeing
Co. (The) |
|
|
|
3.750%,
2/1/50(2) |
205
|
|
133
|
5.930%,
5/1/60(2) |
147
|
|
130
|
CoStar
Group, Inc. 144A 2.800%, 7/15/30(2)(3) |
448
|
|
380
|
Fortress
Transportation & Infrastructure Investors LLC 144A 7.000%, 5/1/31(2)(3) |
210
|
|
212
|
GFL
Environmental, Inc. 144A 6.750%, 1/15/31(2)(3) |
20
|
|
20
|
Global
Infrastructure Solutions, Inc. 144A 7.500%, 4/15/32(2)(3) |
360
|
|
352
|
Hertz
Corp. (The) |
|
|
|
144A
4.625%, 12/1/26(3) |
185
|
|
144
|
144A
5.000%, 12/1/29(3) |
320
|
|
211
|
Icahn
Enterprises LP |
|
|
|
6.250%,
5/15/26(2) |
165
|
|
161
|
5.250%,
5/15/27(2) |
40
|
|
37
|
LBM
Acquisition LLC 144A 6.250%, 1/15/29(3) |
195
|
|
176
|
Regal
Rexnord Corp. 6.400%, 4/15/33(2) |
329
|
|
339
|
Sempra
Global 144A 3.250%, 1/15/32(2)(3) |
475
|
|
391
|
TransDigm,
Inc. 144A 6.625%, 3/1/32(2)(3) |
205
|
|
206
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Industrials—continued
|
|
|
United
Airlines Pass-Through Trust 2023-1, A 5.800%, 7/15/37(2) |
$ 296
|
|
$ 297
|
VistaJet
Malta Finance plc 144A 9.500%, 6/1/28(2)(3) |
420
|
|
382
|
|
|
|
4,781
|
|
|
|
|
|
Information
Technology—0.4% |
|
|
Booz
Allen Hamilton, Inc. |
|
|
|
144A
3.875%, 9/1/28(2)(3) |
226
|
|
212
|
144A
4.000%, 7/1/29(2)(3) |
90
|
|
84
|
CommScope
Technologies LLC 144A 6.000%, 6/15/25(3) |
270
|
|
222
|
Consensus
Cloud Solutions, Inc. |
|
|
|
144A
6.000%, 10/15/26(2)(3) |
75
|
|
73
|
144A
6.500%, 10/15/28(2)(3) |
115
|
|
106
|
Helios
Software Holdings, Inc. 144A 8.750%, 5/1/29(2)(3) |
100
|
|
101
|
Insight
Enterprises, Inc. 144A 6.625%, 5/15/32(2)(3) |
25
|
|
25
|
Rocket
Software, Inc. 144A 9.000%, 11/28/28(2)(3) |
145
|
|
147
|
Viasat,
Inc. 144A 5.625%, 9/15/25(3) |
445
|
|
432
|
Vontier
Corp. 2.950%, 4/1/31(2) |
200
|
|
164
|
|
|
|
1,566
|
|
|
|
|
|
Materials—0.7%
|
|
|
ASP
Unifrax Holdings, Inc. 144A 5.250%, 9/30/28(3) |
565
|
|
284
|
Bayport
Polymers LLC 144A 5.140%, 4/14/32(2)(3) |
415
|
|
383
|
Corp.
Nacional del Cobre de Chile 144A 5.950%, 1/8/34(3) |
200
|
|
198
|
Illuminate
Buyer LLC 144A 9.000%, 7/1/28(3) |
255
|
|
255
|
See Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Materials—continued
|
|
|
INEOS
Quattro Finance 2 plc 144A 9.625%, 3/15/29(2)(3) |
$ 200
|
|
$ 211
|
LSB
Industries, Inc. 144A 6.250%, 10/15/28(2)(3) |
240
|
|
231
|
Mauser
Packaging Solutions Holding Co. 144A 9.250%, 4/15/27(3) |
250
|
|
249
|
New
Enterprise Stone & Lime Co., Inc. 144A 9.750%, 7/15/28(3) |
230
|
|
235
|
Taseko
Mines Ltd. 144A 8.250%, 5/1/30(2)(3) |
130
|
|
133
|
Trivium
Packaging Finance B.V. 144A 8.500%, 8/15/27(3) |
382
|
|
381
|
WR
Grace Holdings LLC 144A 5.625%, 8/15/29(3) |
294
|
|
271
|
|
|
|
2,831
|
|
|
|
|
|
Real
Estate—0.5% |
|
|
EPR
Properties 4.750%, 12/15/26(2) |
455
|
|
439
|
GLP
Capital LP 6.750%, 12/1/33(2) |
320
|
|
332
|
Office
Properties Income Trust 4.500%, 2/1/25 |
235
|
|
180
|
Sabra
Health Care LP 3.200%, 12/1/31(2) |
270
|
|
223
|
Safehold
GL Holdings LLC 6.100%, 4/1/34(2) |
245
|
|
243
|
VICI
Properties LP |
|
|
|
5.125%,
5/15/32(2) |
135
|
|
128
|
144A
4.625%, 6/15/25(2)(3) |
65
|
|
64
|
144A
5.750%, 2/1/27(2)(3) |
190
|
|
190
|
|
|
|
1,799
|
|
|
|
|
|
Utilities—1.0%
|
|
|
AES
Corp. (The) 7.600%, 1/15/55 |
175
|
|
176
|
CMS
Energy Corp. 4.750%, 6/1/50(2) |
446
|
|
410
|
Dominion
Energy, Inc. Series A 6.875%, 2/1/55(2) |
280
|
|
289
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Utilities—continued
|
|
|
Electricite
de France S.A. |
|
|
|
144A
6.250%, 5/23/33(2)(3) |
$ 184
|
|
$
191 |
144A
6.900%, 5/23/53(2)(3) |
176
|
|
188
|
Enel
Finance International N.V. 144A 7.500%, 10/14/32(3) |
231
|
|
256
|
Entergy
Corp. 7.125%, 12/1/54 |
290
|
|
289
|
Ferrellgas
LP |
|
|
|
144A
5.375%, 4/1/26(2)(3) |
125
|
|
122
|
144A
5.875%, 4/1/29(2)(3) |
275
|
|
260
|
KeySpan
Gas East Corp. 144A 5.994%, 3/6/33(3) |
276
|
|
276
|
NGL
Energy Operating LLC |
|
|
|
144A
8.125%, 2/15/29(2)(3) |
55
|
|
56
|
144A
8.375%, 2/15/32(2)(3) |
90
|
|
92
|
NRG
Energy, Inc. 144A 7.000%, 3/15/33(2)(3) |
328
|
|
347
|
PacifiCorp
5.800%, 1/15/55(2) |
214
|
|
204
|
Perusahaan
Perseroan Persero PT Perusahaan Listrik Negara 144A 4.125%, 5/15/27(3) |
250
|
|
240
|
Southern
Co. (The) Series 21-A 3.750%, 9/15/51(2) |
419
|
|
390
|
Vistra
Corp. 144A 8.000% (2)(3)(8) |
190
|
|
193
|
|
|
|
3,979
|
|
|
|
|
|
Total
Corporate Bonds and Notes (Identified Cost $56,374) |
|
53,001
|
|
|
|
|
|
Leveraged
Loans—6.2% |
Aerospace—0.2%
|
|
|
Amentum
Government Services Holdings LLC (1 month Term SOFR + 4.000%) 9.321%, 2/15/29(6) |
162
|
|
163
|
Brown
Group Holding LLC (1 month Term SOFR + 2.850%) 8.179%, 6/7/28(6) |
208
|
|
209
|
See Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Aerospace—continued
|
|
|
Dynasty
Acquisition Co., Inc. |
|
|
|
2024,
Tranche B-1 (1 month Term SOFR + 3.500%) 8.829%, 8/24/28(6) |
$ 162
|
|
$ 163
|
2024,
Tranche B-2 (1 month Term SOFR + 3.500%) 8.829%, 8/24/28(6) |
62
|
|
63
|
Mileage
Plus Holdings LLC (3 month Term SOFR + 5.400%) 10.733%, 6/21/27(6) |
195
|
|
199
|
Peraton
Corp. Tranche B, First Lien (1 month Term SOFR + 3.850%) 9.179%, 2/1/28(6) |
194
|
|
194
|
|
|
|
991
|
|
|
|
|
|
Chemicals—0.2%
|
|
|
Ineos
Finance plc 2027 (1 month Term SOFR + 3.850%) 9.179%, 11/8/27(6) |
206
|
|
206
|
Innophos
Holdings, Inc. (1 month Term SOFR + 3.614%) 8.944%, 2/5/27(6) |
164
|
|
163
|
LSF11
A5 Holdco LLC (1 month Term SOFR + 4.350%) 9.679%, 10/15/28(6) |
174
|
|
174
|
Lummus
Technology Holdings V LLC 2024, Tranche B (1 month Term SOFR + 3.614%) 8.944%, 12/31/29(6) |
65
|
|
66
|
Starfruit
Finco B.V. Tranche B (3 month Term SOFR + 3.500%) 8.826%, 4/3/28(6) |
164
|
|
165
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Chemicals—continued
|
|
|
Windsor
Holdings III LLC 2024, Tranche B (1 month Term SOFR + 4.000%) 9.320%, 8/1/30(6) |
$ 149
|
|
$ 151
|
|
|
|
925
|
|
|
|
|
|
Consumer
Durables—0.0% |
|
|
Gloves
Buyer, Inc. First Lien (1 month Term SOFR + 4.114%) 0.000%, 12/29/27(6)(10) |
120
|
|
120
|
Consumer
Non-Durables—0.1% |
|
|
DS
Parent, Inc. Tranche B (3 month Term SOFR + 5.500%) 10.802%, 1/31/31(6) |
210
|
|
210
|
Simply
Good Foods USA, Inc. Tranche B (1 month Term SOFR + 2.600%) 0.000%, 3/17/27(6)(10) |
70
|
|
70
|
|
|
|
280
|
|
|
|
|
|
Energy—0.2%
|
|
|
Freeport
LNG Investments LLP Tranche B (3 month Term SOFR + 3.762%) 9.086%, 12/21/28(6) |
249
|
|
249
|
Hamilton
Projects Acquiror LLC First Lien (1 month Term SOFR + 3.750%) 0.000%, 5/22/31(6)(10) |
35
|
|
35
|
Medallion
Midland Acquisition LLC First Lien (3 month Term SOFR + 3.500%) 8.830%, 10/18/28(6) |
179
|
|
179
|
See Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Energy—continued
|
|
|
Oryx
Midstream Services Permian Basin LLC 2024 (1 month Term SOFR + 3.114%) 8.436%, 10/5/28(6) |
$ 195
|
|
$ 197
|
Traverse
Midstream Partners LLC Tranche B (3 month Term SOFR + 3.500%) 8.829%, 2/16/28(6) |
206
|
|
207
|
|
|
|
867
|
|
|
|
|
|
Financials—0.2%
|
|
|
Acrisure
LLC |
|
|
|
2020,
Tranche B (1 month LIBOR + 3.500%) 8.944%, 2/15/27(6) |
164
|
|
164
|
2023,
Tranche B (1 month Term SOFR + 4.500%) 9.829%, 11/6/30(6) |
115
|
|
115
|
AssuredPartners,
Inc. 2024 (1 month Term SOFR + 3.500%) 8.829%, 2/14/31(6) |
45
|
|
45
|
Asurion
LLC Tranche B-9 (1 month Term SOFR + 3.364%) 8.694%, 7/31/27(6) |
212
|
|
208
|
Blackhawk
Network Holdings, Inc. Tranche B (1 month Term SOFR + 5.000%) 10.329%, 3/12/29(6) |
164
|
|
165
|
HUB
International Ltd. (1-3 month Term SOFR + 3.250%) 8.575% - 8.579%, 6/20/30(6) |
250
|
|
252
|
|
|
|
949
|
|
|
|
|
|
Food
/ Tobacco—0.3% |
|
|
Del
Monte Foods, Inc. (3 month Term SOFR + 4.400%) 9.736%, 5/16/29(6) |
272
|
|
211
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Food
/ Tobacco—continued |
|
|
Naked
Juice LLC (3 month Term SOFR + 3.350%) 8.659%, 1/24/29(6) |
$ 191
|
|
$ 182
|
Pegasus
Bidco B.V. 2024 (3 month Term SOFR + 3.750%) 9.072%, 7/12/29(6) |
188
|
|
188
|
Sigma
Holdco B.V. Tranche B-7 (6 month Term SOFR + 4.910%) 10.337%, 1/3/28(6) |
169
|
|
169
|
Triton
Water Holdings, Inc. First Lien (3 month Term SOFR + 3.512%) 8.814%, 3/31/28(6) |
518
|
|
518
|
|
|
|
1,268
|
|
|
|
|
|
Forest
Prod / Containers—0.2% |
|
|
Klockner
Pentaplast of America, Inc. Tranche B (3 month Term SOFR + 4.975%) 10.267%, 2/12/26(6) |
282
|
|
257
|
Mauser
Packaging Solutions Holding Co. (1 month Term SOFR + 3.500%) 8.813%, 4/15/27(6) |
144
|
|
144
|
TricorBraun,
Inc. (1 month Term SOFR + 3.364%) 8.694%, 3/3/28(6) |
279
|
|
278
|
|
|
|
679
|
|
|
|
|
|
Gaming
/ Leisure—0.4% |
|
|
Alterra
Mountain Co. Tranche B (1 month Term SOFR + 3.750%) 0.000%, 5/31/30(6)(10) |
5
|
|
5
|
Caesars
Entertainment, Inc. Tranche B (3 month Term SOFR + 2.750%) 8.097%, 2/6/30(6) |
124
|
|
124
|
See Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Gaming
/ Leisure—continued |
|
|
ECL
Entertainment LLC Tranche B (1 month Term SOFR + 4.000%) 9.329%, 8/31/30(6) |
$ 184
|
|
$ 185
|
Entain
plc Tranche B-3 (1 month Term SOFR + 2.750%) 0.000%, 10/31/29(6)(10) |
165
|
|
165
|
Fertitta
Entertainment LLC Tranche B (1 month Term SOFR + 3.750%) 9.071%, 1/27/29(6) |
105
|
|
105
|
J&J
Ventures Gaming LLC (1 month Term SOFR + 4.114%) 9.444%, 4/26/28(6) |
219
|
|
219
|
Motion
Finco LLC Tranche B-3 (3 month Term SOFR + 3.762%) 9.071%, 11/12/29(6) |
190
|
|
190
|
Ontario
Gaming GTA Ltd. Partnership Tranche B (3 month Term SOFR + 4.250%) 9.559%, 8/1/30(6) |
214
|
|
215
|
Scientific
Games Holdings LP (2-3 month Term SOFR + 3.250%) 8.556%, 4/4/29(6) |
262
|
|
263
|
|
|
|
1,471
|
|
|
|
|
|
Health
Care—0.7% |
|
|
Bausch
& Lomb Corp. (1 month Term SOFR + 4.000%) 9.329%, 9/29/28(6) |
119
|
|
119
|
CHG
Healthcare Services, Inc. First Lien (1 month Term SOFR + 3.364%) 8.694%, 9/29/28(6) |
154
|
|
155
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Health
Care—continued |
|
|
Cotiviti,
Inc. (3 month Term SOFR + 3.250%) 8.563%, 5/1/31(6) |
$ 160
|
|
$ 161
|
Financiere
Mendel Tranche B (3 month Term SOFR + 4.250%) 9.573%, 11/12/30(6) |
65
|
|
65
|
Gainwell
Acquisition Corp. Tranche B (3 month Term SOFR + 4.100%) 9.409%, 10/1/27(6) |
182
|
|
176
|
Hunter
Holdco 3 Ltd. First Lien (3 month Term SOFR + 4.350%) 9.659%, 8/19/28(6) |
190
|
|
189
|
IVC
Acquisition Ltd. Tranche B-9 (3 month Term SOFR + 5.500%) 10.809%, 12/12/28(6) |
110
|
|
110
|
Lannett
Co., Inc. First Lien (1 month Term SOFR + 2.000%) 2.000%, 6/16/30(6)(7) |
23
|
|
5
|
LifePoint
Health, Inc. 2024 (3 month Term SOFR + 4.000%) 9.329%, 5/17/31(6) |
30
|
|
30
|
Packaging
Coordinators Midco, Inc. 2024 (1 month Term SOFR + 3.250%) 8.575%, 11/30/27(6) |
208
|
|
208
|
Parexel
International, Inc. First Lien (1 month Term SOFR + 3.364%) 8.694%, 11/15/28(6) |
127
|
|
128
|
Phoenix
Guarantor, Inc. Tranche B-4 (1 month Term SOFR + 3.250%) 8.579%, 2/21/31(6) |
223
|
|
223
|
See Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Health
Care—continued |
|
|
Radiology
Partners, Inc. Tranche C (3 month Term SOFR + 3.762%) 9.088%, 1/31/29(6) |
$ 250
|
|
$ 239
|
Star
Parent, Inc. Tranche B (3 month Term SOFR + 4.000%) 9.309%, 9/27/30(6) |
205
|
|
205
|
Upstream
Newco, Inc. 2021 (1-3 month Term SOFR + 4.512%) 9.694% - 9.841%, 11/20/26(6) |
227
|
|
210
|
Viant
Medical Holdings, Inc. First Lien (1 month Term SOFR + 3.864%) 9.194%, 7/2/25(6) |
304
|
|
304
|
Waystar
Technologies, Inc. (1 month Term SOFR + 4.000%) 9.329%, 10/22/29(6) |
55
|
|
55
|
|
|
|
2,582
|
|
|
|
|
|
Housing—0.3%
|
|
|
Chariot
Buyer LLC First Lien (1 month Term SOFR + 3.750%) 9.079%, 11/3/28(6) |
140
|
|
141
|
Cornerstone
Building Brands, Inc. |
|
|
|
Tranche
B (1 month Term SOFR + 3.350%) 0.000%, 4/12/28(6)(10) |
170
|
|
167
|
Tranche
C (1 month Term SOFR + 4.500%) 9.817%, 5/2/31(6) |
130
|
|
130
|
Hunter
Douglas Holding B.V. Tranche B-1 (3 month Term SOFR + 3.500%) 8.836%, 2/26/29(6) |
174
|
|
173
|
LBM
Acquisition LLC Tranche B (1 month Term SOFR + 3.750%) 0.000%, 5/30/31(6)(10) |
170
|
|
169
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Housing—continued
|
|
|
MI
Windows & Doors LLC 2024 (1 month Term SOFR + 3.500%) 8.829%, 3/28/31(6) |
$ 25
|
|
$ 25
|
SRS
Distribution, Inc. |
|
|
|
2021
(1 month Term SOFR + 3.614%) 8.944%, 6/2/28(6) |
166
|
|
166
|
2022
(1 month Term SOFR + 3.350%) 8.679%, 6/2/28(6) |
34
|
|
34
|
|
|
|
1,005
|
|
|
|
|
|
Information
Technology—1.0% |
|
|
Ahead
DB Holdings LLC 2024 (3 month Term SOFR + 4.250%) 9.559%, 2/1/31(6) |
55
|
|
55
|
Applied
Systems, Inc. |
|
|
|
2024,
First Lien (3 month Term SOFR + 3.500%) 8.809%, 2/24/31(6) |
169
|
|
170
|
2024,
Second Lien (3 month Term SOFR + 5.250%) 10.559%, 2/23/32(6) |
20
|
|
21
|
Barracuda
Parent LLC First Lien (3 month Term SOFR + 4.500%) 9.814%, 8/15/29(6) |
202
|
|
202
|
BMC
Software 2028 (1 month Term SOFR + 4.000%) 9.329%, 12/29/28(6) |
50
|
|
50
|
Central
Parent LLC 2024 (3 month Term SOFR + 3.250%) 8.577%, 7/6/29(6) |
213
|
|
214
|
ConnectWise
LLC (3 month Term SOFR + 3.762%) 9.064%, 9/29/28(6) |
107
|
|
107
|
Delivery
Hero SE Tranche B (3 month Term SOFR + 5.000%) 10.324%, 12/12/29(6) |
262
|
|
265
|
See Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Information
Technology—continued |
|
|
Endurance
International Group Holdings, Inc. (1 month Term SOFR + 3.614%) 8.935%, 2/10/28(6) |
$ 250
|
|
$ 233
|
Fortress
Intermediate 3, Inc. (1 month Term SOFR + 3.750%) 0.000%, 5/9/31(6)(10) |
90
|
|
90
|
Indicor
Tranche B (3 month Term SOFR + 4.000%) 9.302%, 11/22/29(6) |
243
|
|
244
|
Infinite
Bidco LLC First Lien (3 month Term SOFR + 4.012%) 9.341%, 3/2/28(6) |
259
|
|
252
|
ION
Trading Finance Ltd. 2024 (3 month Term SOFR + 4.000%) 0.000%, 4/1/28(6)(10) |
175
|
|
175
|
Mosel
Bidco SE Tranche B (3 month Term SOFR + 4.750%) 10.059%, 9/16/30(6) |
113
|
|
114
|
NCR
Atleos LLC Tranche B (1-3 month Term SOFR + 4.850%) 10.179% - 10.180%, 3/27/29(6) |
165
|
|
166
|
Polaris
Newco LLC First Lien (3 month Term SOFR + 4.262%) 9.591%, 6/2/28(6) |
194
|
|
194
|
Project
Ruby Ultimate Parent Corp. First Lien (1 month Term SOFR + 3.364%) 8.694%, 3/10/28(6) |
251
|
|
252
|
Proofpoint,
Inc. 2024 (1 month Term SOFR + 3.000%) 8.325%, 8/31/28(6) |
141
|
|
142
|
RealPage,
Inc. First Lien (1 month Term SOFR + 3.114%) 8.444%, 4/24/28(6) |
178
|
|
176
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Information
Technology—continued |
|
|
Rocket
Software, Inc. (1 month Term SOFR + 4.750%) 10.079%, 11/28/28(6) |
$ 240
|
|
$ 241
|
Sophia
LP 2024, Tranche B (1 month Term SOFR + 3.600%) 8.929%, 10/9/29(6) |
244
|
|
245
|
UKG,
Inc. Tranche B (1 month Term SOFR + 3.250%) 8.570%, 2/10/31(6) |
161
|
|
162
|
|
|
|
3,770
|
|
|
|
|
|
Manufacturing—0.3%
|
|
|
Alliance
Laundry Systems LLC Tranche B (1-3 month Term SOFR + 3.600%) 8.899% - 8.917%, 10/8/27(6) |
161
|
|
161
|
Arcline
FM Holdings LLC |
|
|
|
First
Lien (3 month Term SOFR + 4.991%) 10.321%, 6/23/28(6) |
165
|
|
166
|
Second
Lien (3 month Term SOFR + 8.512%) 13.821%, 6/25/29(6) |
49
|
|
48
|
Chart
Industries, Inc. Tranche B (1 month Term SOFR + 3.350%) 8.673%, 3/15/30(6) |
159
|
|
160
|
CPM
Holdings, Inc. (1 month Term SOFR + 4.500%) 9.813%, 9/28/28(6) |
199
|
|
200
|
Madison
IAQ LLC (1 month Term SOFR + 3.364%) 8.685%, 6/21/28(6) |
169
|
|
169
|
Star
U.S. Bidco LLC (1 month Term SOFR + 4.350%) 9.679%, 3/17/27(6) |
209
|
|
210
|
|
|
|
1,114
|
|
|
|
|
|
See
Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Media
/ Telecom - Broadcasting—0.1% |
|
|
Gray
Television, Inc. Tranche D (1 month Term SOFR + 3.114%) 8.428%, 12/1/28(6) |
$ 163
|
|
$ 149
|
Terrier
Media Buyer, Inc. 2021, Tranche B (3 month Term SOFR + 3.600%) 8.909%, 12/17/26(6) |
184
|
|
145
|
Univision
Communications, Inc. |
|
|
|
2021
(1 month Term SOFR + 3.364%) 8.694%, 3/15/26(6) |
191
|
|
191
|
2024,
First Lien (1 month Term SOFR + 3.614%) 0.000%, 1/1/40(6)(10) |
105
|
|
104
|
|
|
|
589
|
|
|
|
|
|
Media
/ Telecom - Cable/Wireless Video—0.3% |
|
|
Cogeco
Communications Finance USA LP Tranche B-1 (1 month Term SOFR + 3.250%) 8.579%, 9/18/30(6) |
329
|
|
322
|
CSC
Holdings LLC 2022 (1 month Term SOFR + 4.500%) 9.817%, 1/18/28(6) |
334
|
|
321
|
DIRECTV
Financing LLC 2024, Tranche B (1 month Term SOFR + 5.364%) 10.694%, 8/2/29(6) |
223
|
|
223
|
Eagle
Broadband Investments LLC (3 month Term SOFR + 3.262%) 8.571%, 11/12/27(6) |
334
|
|
330
|
|
|
|
1,196
|
|
|
|
|
|
Media
/ Telecom - Diversified Media—0.2% |
|
|
Century
DE Buyer LLC (3 month Term SOFR + 4.000%) 9.329%, 10/30/30(6) |
125
|
|
124
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Media
/ Telecom - Diversified Media—continued |
|
|
McGraw-Hill
Education, Inc. (1 month Term SOFR + 4.864%) 10.194%, 7/28/28(6) |
$ 215
|
|
$ 215
|
MH
Sub I LLC 2023 (1 month Term SOFR + 4.250%) 9.579%, 5/3/28(6) |
224
|
|
225
|
Neptune
Bidco U.S., Inc. Tranche B (3 month Term SOFR + 5.100%) 10.406%, 4/11/29(6) |
303
|
|
290
|
|
|
|
854
|
|
|
|
|
|
Media
/ Telecom - Telecommunications—0.1% |
|
|
Numericable
U.S. LLC |
|
|
|
Tranche
B-11 (3 month LIBOR + 2.750%) 8.341%, 7/31/25(6) |
249
|
|
215
|
Tranche
B-12 (3 month LIBOR + 3.688%) 9.278%, 1/31/26(6) |
50
|
|
42
|
|
|
|
257
|
|
|
|
|
|
Media
/ Telecom - Wireless Communications—0.1% |
|
|
Viasat,
Inc. (1 month Term SOFR + 4.500%) 0.000%, 3/2/29(6)(10) |
249
|
|
228
|
Metals
/ Minerals—0.1% |
|
|
Arsenal
AIC Parent LLC 2024, Tranche B (1 month Term SOFR + 3.750%) 9.079%, 8/19/30(6) |
94
|
|
95
|
Covia
Holdings Corp. (3 month Term SOFR + 4.262%) 9.568%, 7/31/26(6) |
275
|
|
274
|
|
|
|
369
|
|
|
|
|
|
See
Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Retail—0.2%
|
|
|
CNT
Holdings I Corp. First Lien (3 month Term SOFR + 3.500%) 8.829%, 11/8/27(6) |
$ 203
|
|
$ 204
|
EG
America LLC Tranche C (3 month Term SOFR + 5.928%) 11.289%, 2/7/28(6) |
170
|
|
166
|
PetsMart
LLC (1 month Term SOFR + 3.850%) 9.179%, 2/11/28(6) |
334
|
|
332
|
|
|
|
702
|
|
|
|
|
|
Service—0.8%
|
|
|
Ascend
Learning LLC (1 month Term SOFR + 3.600%) 8.929%, 12/11/28(6) |
281
|
|
281
|
BIFM
U.S. Finance LLC (1 month Term SOFR + 4.250%) 9.579%, 5/31/28(6) |
85
|
|
85
|
BrightView
Landscapes LLC Tranche B (1 month Term SOFR + 2.500%) 7.836%, 4/20/29(6) |
223
|
|
224
|
DG
Investment Intermediate Holdings 2, Inc. 2022 (1 month Term SOFR + 4.750%) 10.079%, 3/31/28(6) |
198
|
|
199
|
DXP
Enterprises, Inc. (3 month Term SOFR + 4.850%) 10.164%, 10/11/30(6) |
129
|
|
130
|
Garda
World Security Corp. (3 month Term SOFR + 4.250%) 9.583%, 2/1/29(6) |
185
|
|
186
|
|
Par
Value(1) |
|
Value
|
|
|
|
|
Service—continued
|
|
|
Grant
Thornton Advisors LLC Tranche B (3 month Term SOFR + 3.250%) 0.000%, 6/2/31(6)(10) |
$ 70
|
|
$ 70
|
Husky
Injection Molding Systems Ltd. (3 month Term SOFR + 5.000%) 10.326%, 2/15/29(6) |
225
|
|
226
|
Kuehg
Corp. Tranche B (3 month Term SOFR + 4.500%) 9.823%, 6/12/30(6) |
274
|
|
275
|
NAB
Holdings LLC First Lien (3 month Term SOFR + 2.900%) 8.209%, 11/23/28(6) |
266
|
|
266
|
Omnia
Partners LLC (1 month LIBOR + 0.000%) 0.000%, 7/25/30(6)(10) |
75
|
|
75
|
Planet
U.S. Buyer LLC (3 month Term SOFR + 3.500%) 8.823%, 2/7/31(6) |
70
|
|
71
|
Spin
Holdco, Inc. (3 month Term SOFR + 4.262%) 9.585%, 3/4/28(6) |
285
|
|
244
|
The
Hertz Corp. 2023 (1 month Term SOFR + 8.750%) 9.071%, 6/30/28(6) |
192
|
|
177
|
TMF
Sapphire Bidco B.V. Tranche B-2 (3 month Term SOFR + 4.000%) 9.306%, 5/3/28(6) |
125
|
|
125
|
Trugreen
Ltd. Partnership First Lien (1 month Term SOFR + 4.100%) 9.429%, 11/2/27(6) |
264
|
|
248
|
See Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Par
Value(1) |
|
Value
|
|
|
|
|
Service—continued
|
|
|
WIN
Waste Innovations Holdings, Inc. (1 month Term SOFR + 2.864%) 8.194%, 3/24/28(6) |
$ 179
|
|
$
167 |
|
|
|
3,049
|
|
|
|
|
|
Transportation
- Automotive—0.1% |
|
|
American
Axle & Manufacturing, Inc. Tranche B (1 month Term SOFR + 3.000%) 8.320%, 12/12/29(6) |
122
|
|
123
|
First
Brands Group LLC 2022 (3 month Term SOFR + 5.262%) 10.591%, 3/30/27(6) |
295
|
|
292
|
PAI
Holdco, Inc. Tranche B (3 month Term SOFR + 4.012%) 9.341%, 10/28/27(6) |
161
|
|
145
|
Wand
NewCo 3, Inc. (1 month Term SOFR + 3.750%) 9.079%, 1/30/31(6) |
40
|
|
40
|
|
|
|
600
|
|
|
|
|
|
Utilities—0.1%
|
|
|
Generation
Bridge Northeast LLC Tranche B (1 month Term SOFR + 3.500%) 8.829%, 8/22/29(6) |
108
|
|
109
|
Waterbridge
NDB Operating LLC (3 month Term SOFR + 4.500%) 9.826%, 5/7/29(6) |
150
|
|
151
|
|
|
|
260
|
|
|
|
|
|
Total
Leveraged Loans (Identified Cost $24,179) |
|
24,125
|
|
Shares
|
|
Preferred
Stocks—0.2% |
Financials—0.2%
|
|
Capital
Farm Credit ACA Series 1 144A, 5.000%(2)(3) |
310
(11) |
296
|
|
Shares
|
|
Value
|
Financials—continued
|
|
|
JPMorgan
Chase & Co. Series HH, 4.600%(2) |
256
(11) |
|
$
251 |
MetLife,
Inc. Series D, 5.875%(2) |
124
(11) |
|
124
|
Truist
Financial Corp. Series Q, 5.100%(2) |
301
(11) |
|
279
|
|
|
|
950
|
|
|
|
|
|
Total
Preferred Stocks (Identified Cost $993) |
|
950
|
|
|
|
|
|
Common
Stocks—105.5% |
Communication
Services—2.1% |
|
|
Cellnex
Telecom S.A. |
220,777
|
|
8,065
|
Consumer
Discretionary—0.0% |
|
|
MYT
Holding LLC Class B(7)(12) |
22,362
|
|
1
|
NMG
Parent LLC(7)(12) |
368
|
|
37
|
West
Marine(7)(12) |
475
|
|
1
|
|
|
|
39
|
|
|
|
|
|
Energy—14.6%
|
|
|
Cheniere
Energy, Inc.(2) |
83,456
|
|
13,169
|
Kinder
Morgan, Inc.(2) |
212,886
|
|
4,149
|
Koninklijke
Vopak N.V. |
149,920
|
|
6,163
|
ONEOK,
Inc.(2) |
113,764
|
|
9,215
|
Pembina
Pipeline Corp. |
178,733
|
|
6,639
|
Targa
Resources Corp.(2) |
73,231
|
|
8,658
|
Williams
Cos., Inc. (The)(2) |
216,336
|
|
8,980
|
|
|
|
56,973
|
|
|
|
|
|
Health
Care—0.0% |
|
|
Endo
DAC(7)(12) |
94,000
|
|
—
|
Endo,
Inc.(12) |
1,929
|
|
54
|
Lannett
Co., Inc.(7)(12) |
3,742
|
|
—
|
|
|
|
54
|
|
|
|
|
|
Industrials—31.6%
|
|
|
Aena
SME S.A. |
136,386
|
|
26,672
|
Aeroports
de Paris S.A. |
47,068
|
|
6,745
|
Atlas
Arteria Ltd. |
933,605
|
|
3,315
|
Auckland
International Airport Ltd. |
1,747,104
|
|
8,384
|
See Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
|
Shares
|
|
Value
|
|
|
|
|
Industrials—continued
|
|
|
Canadian
Pacific Kansas City Ltd.(2) |
47,102
|
|
$ 3,738
|
CSX
Corp. |
167,788
|
|
5,663
|
Ferrovial
SE |
179,224
|
|
7,083
|
Flughafen
Zurich AG Registered Shares |
53,108
|
|
11,323
|
Grupo
Aeroportuario del Centro Norte SAB de C.V. Class B |
185,400
|
|
1,902
|
Norfolk
Southern Corp.(2) |
49,430
|
|
11,112
|
Transurban
Group |
2,616,998
|
|
21,870
|
Union
Pacific Corp. |
43,162
|
|
10,049
|
Vinci
S.A. |
47,474
|
|
5,924
|
|
|
|
123,780
|
|
|
|
|
|
Real
Estate—7.8% |
|
|
American
Tower Corp.(2) |
110,450
|
|
21,619
|
Crown
Castle, Inc.(2) |
86,699
|
|
8,887
|
|
|
|
30,506
|
|
|
|
|
|
Utilities—49.4%
|
|
|
Ameren
Corp.(2) |
110,401
|
|
8,100
|
Atmos
Energy Corp.(2) |
75,182
|
|
8,715
|
CenterPoint
Energy, Inc.(2) |
258,785
|
|
7,895
|
CMS
Energy Corp.(2) |
65,739
|
|
4,137
|
DTE
Energy Co.(2) |
54,981
|
|
6,407
|
Duke
Energy Corp.(2) |
60,305
|
|
6,246
|
E.ON
SE |
304,234
|
|
4,074
|
Edison
International(2) |
143,070
|
|
10,995
|
EDP
- Energias de Portugal S.A.(2) |
1,376,227
|
|
5,600
|
Emera,
Inc. |
202,723
|
|
7,059
|
Entergy
Corp.(2) |
59,203
|
|
6,660
|
Eversource
Energy(2) |
167,438
|
|
9,917
|
Iberdrola
S.A. |
566,928
|
|
7,483
|
National
Grid plc |
1,010,492
|
|
11,449
|
NextEra
Energy, Inc.(2) |
344,610
|
|
27,576
|
NiSource,
Inc.(2) |
345,010
|
|
10,026
|
Public
Service Enterprise Group, Inc.(2) |
68,135
|
|
5,162
|
Redeia
Corp. S.A. |
306,392
|
|
5,522
|
Sempra
(2) |
204,223
|
|
15,731
|
Severn
Trent plc |
204,374
|
|
6,245
|
|
Shares
|
|
Value
|
|
|
|
|
Utilities—continued
|
|
|
Southern
Co. (The)(2) |
179,563
|
|
$
14,390 |
United
Utilities Group plc |
320,649
|
|
4,177
|
|
|
|
193,566
|
|
|
|
|
|
Total
Common Stocks (Identified Cost $408,207) |
|
412,983
|
|
|
|
|
|
Rights—0.2%
|
Utilities—0.2%
|
|
|
National
Grid plc, 06/12/24(12) |
296,182
|
|
740
|
Total
Rights (Identified Cost $—) |
|
740
|
|
|
|
|
|
Total
Long-Term Investments—142.3% (Identified Cost $558,173) |
|
557,066 |
|
|
|
|
|
TOTAL
INVESTMENTS—142.3% (Identified Cost $558,173) |
|
$
557,066 |
Other
assets and liabilities, net—(42.3)% |
|
(165,667)
|
NET
ASSETS—100.0% |
|
$
391,399 |
Abbreviations:
|
ABS
|
Asset-Backed
Securities |
ACA
|
American
Capital Access Financial Guarantee Corp. |
BDC
|
Business
Development Companies |
DAC
|
Designated
Activity Company |
JSC
|
Joint Stock
Company |
LIBOR
|
London
Interbank Offered Rate |
LLC
|
Limited
Liability Company |
LLLP
|
Limited
Liability Limited Partnership |
LLP
|
Limited
Liability Partnership |
LP
|
Limited
Partnership |
MSCI
|
Morgan
Stanley Capital International |
SOFR
|
Secured
Overnight Financing Rate |
Foreign
Currencies: |
BRL
|
Brazilian
Real |
For information regarding the abbreviations, see
the Key Investment Terms starting on page 17.
See Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
Footnote
Legend: |
(1) |
Par
Value disclosed in foreign currency is reported in thousands. |
(2) |
All
or a portion of securities is segregated as collateral for margin loan financing. The value of securities segregated as collateral is $253,152. |
(3) |
Security
exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At May 31, 2024, these securities amounted to a value of
$80,416 or 20.5% of net assets. |
(4) |
Security
in default; no interest payments are being received. |
(5) |
Regulation
S security. Security is offered and sold outside of the United States; therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(6) |
Variable
rate security. Rate disclosed is as of May 31, 2024. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by
the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their
descriptions. |
(7) |
The
value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(8) |
No
contractual maturity date. |
(9) |
Issued
with a zero coupon. Income is recognized through the accretion of discount. |
(10) |
This loan
will settle after May 31, 2024, at which time the interest rate, calculated on the base lending rate and the agreed upon spread on trade date, will be reflected. |
(11) |
Value
shown as par value. |
(12) |
Non-income
producing. |
See Notes to Financial Statements
Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2024
($ reported in
thousands)
The following table summarizes the value of the
Fund’s investments as of May 31, 2024, based on the inputs used to value them (See Security Valuation Note 2A in the Notes to Financial Statements):
|
Total
Value at May 31, 2024 |
|
Level
1 Quoted Prices |
|
Level
2 Significant Observable Inputs |
|
Level
3 Significant Unobservable Inputs |
Assets:
|
|
|
|
|
|
|
|
Debt
Instruments: |
|
|
|
|
|
|
|
U.S.
Government Securities |
$
4,756 |
|
$
— |
|
$
4,756 |
|
$
— |
Foreign
Government Securities |
12,090
|
|
—
|
|
12,090
|
|
—
|
Mortgage-Backed
Securities |
26,440
|
|
—
|
|
26,123
|
|
317
|
Asset-Backed
Securities |
21,981
|
|
—
|
|
21,981
|
|
—
|
Corporate
Bonds and Notes |
53,001
|
|
—
|
|
53,001
|
|
—
(1) |
Leveraged
Loans |
24,125
|
|
—
|
|
24,120
|
|
5
|
Equity
Securities: |
|
|
|
|
|
|
|
Preferred
Stocks |
950
|
|
—
|
|
950
|
|
—
|
Common
Stocks |
412,983
|
|
262,796
|
|
150,148
|
|
39
(1) |
Rights
|
740
|
|
740
|
|
—
|
|
—
|
Total
Investments |
$557,066
|
|
$263,536
|
|
$293,169
|
|
$361
|
(1) |
Includes
internally fair valued securities currently priced at zero ($0). |
Security held by the Fund with an end of period value of
$2 was transferred from Level 3 to Level 2 due to an increase in trading activities during the period.
Security held by the Fund with an end of period value of
$1 was transferred from Level 2 to Level 3 due to a decrease in trading activities during the period.
Some of the Fund’s investments that were
categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations are based on unobservable inputs. A significant change in third party information could result in a
significantly lower or higher value of Level 3 investments.
Management has determined that the amount of Level 3
securities compared to total net assets is not material; therefore, the roll-forward of Level 3 securities and assumptions are not shown for the period ended May 31, 2024.
See Notes to
Financial Statements
STATEMENTS OF ASSETS AND
LIABILITIES (Unaudited)
May 31, 2024
(Reported
in thousands except shares and per share amounts)
|
Global
Multi-Sector Income Fund |
|
Stone
Harbor Emerging Markets Income Fund |
|
Total
Return Fund Inc. |
Assets
|
|
|
|
|
|
Investment in securities at
value(1)
|
$
136,410 |
|
$
168,950 |
|
$
557,066 |
Cash
|
2,362
|
|
3,377
|
|
2,984
|
Cash collateral pledged for
swaps
|
—
|
|
2,452
|
|
—
|
Receivables
|
|
|
|
|
|
Investment securities sold
|
345
|
|
286
|
|
1,324
|
Dividends and
interest
|
1,603
|
|
3,141
|
|
2,325
|
Unrealized appreciation on unfunded loan
commitment(b)
|
—
(a) |
|
—
|
|
—
|
Tax reclaims
|
—
|
|
4
|
|
464
|
Prepaid Trustees’
retainer
|
1
|
|
1
|
|
3
|
Prepaid expenses and other assets (Note
4)
|
60
|
|
43
|
|
234
|
Total
assets
|
140,781
|
|
178,254
|
|
564,400
|
Liabilities
|
|
|
|
|
|
Due to
custodian
|
—
|
|
—
(a) |
|
1
|
Borrowings (Note
8)
|
43,000
|
|
37,870
|
|
168,300
|
Over-the-counter swaps at
value(2)
|
—
|
|
2,303
|
|
—
|
Payables
|
|
|
|
|
|
Investment securities
purchased
|
1,660
|
|
1,157
|
|
2,640
|
Interest on borrowings (Note
8)
|
298
|
|
552
|
|
993
|
Investment advisory fees (Note
4)
|
100
|
|
133
|
|
288
|
Trustee/Director deferred compensation plan (Note
4)
|
48
|
|
10
|
|
198
|
Administration and accounting
fees
|
25
|
|
31
|
|
102
|
Transfer agent fees and expenses
|
3
|
|
9
|
|
160
|
Other accrued
expenses
|
17
|
|
102
|
|
319
|
Total
liabilities
|
45,151
|
|
42,167
|
|
173,001
|
Net
Assets
|
$
95,630 |
|
$
136,087 |
|
$
391,399 |
Net
Assets Consist of: |
|
|
|
|
|
Common stock (Note
10)
|
$
— |
|
$
29 |
|
$
62 |
Capital paid on shares of beneficial
interest
|
143,094
|
|
276,362
|
|
424,469
|
Total distributable earnings (accumulated
losses)
|
(47,464)
|
|
(140,304)
|
|
(33,132)
|
Net
Assets
|
$
95,630 |
|
$
136,087 |
|
$
391,399 |
Common Shares
Outstanding
|
11,313,094
|
|
29,071,404
|
|
61,720,496
|
See Notes to Financial Statements
STATEMENTS OF ASSETS AND
LIABILITIES (Unaudited) (Continued)
May 31, 2024
(Reported in
thousands except shares and per share amounts)
|
Global
Multi-Sector Income Fund |
|
Stone
Harbor Emerging Markets Income Fund |
|
Total
Return Fund Inc. |
Net Asset Value Per
Share(c)
|
$
8.45 |
|
$
4.68 |
|
$
6.34 |
(1)Investment in securities at
cost
|
$
144,478 |
|
$
170,654 |
|
$
558,173 |
(2) Includes premiums paid (received) on over-the-counter credit default
swaps
|
$
— |
|
$
(1,097) |
|
$
— |
(a) |
Amount
is less than $500 (not in thousands). |
(b) |
See
Schedule of Investments for schedule of unfunded loan commitments. |
(c) |
Net
Asset Value Per Share is calculated using unrounded net assets. |
See Notes to Financial Statements
STATEMENTS OF OPERATIONS
(Unaudited)
SIX MONTHS
ENDED May 31, 2024
($ reported in thousands)
|
Global
Multi-Sector Income Fund |
|
Stone
Harbor Emerging Markets Income Fund |
Investment
Income |
|
|
|
Interest
|
$
4,571 |
|
$
8,330 |
Dividends
|
61
|
|
77
|
Foreign taxes withheld
|
—
|
|
(28)
|
Total investment
income
|
4,632
|
|
8,379
|
Expenses
|
|
|
|
Investment advisory
fees
|
665
|
|
819
|
Administration and accounting
fees
|
78
|
|
91
|
Professional fees
|
28
|
|
54
|
Printing fees and expenses
|
23
|
|
28
|
Transfer agent fees and
expenses
|
6
|
|
7
|
Trustees’/Directors’ fees and
expenses
|
5
|
|
6
|
Custodian fees
|
3
|
|
4
|
Miscellaneous
expenses
|
23
|
|
24
|
Total expenses before interest
expense
|
831
|
|
1,033
|
Interest expense on borrowings (Note
8)
|
1,394
|
|
1,099
|
Total expenses after interest
expense
|
2,225
|
|
2,132
|
Net investment income
(loss)
|
2,407
|
|
6,247
|
Net
Realized and Unrealized Gain (Loss) on Investments |
|
|
|
Net
realized gain (loss) from: |
|
|
|
Investments
|
(1,884)
|
|
(154)
|
Foreign currency
transactions
|
(—)
(a) |
|
191
|
Swaps
|
—
|
|
635
|
Net
change in unrealized appreciation (depreciation) on: |
|
|
|
Investments
|
4,960
|
|
9,864
|
Foreign currency
transactions
|
(1)
|
|
(8)
|
Swaps
|
—
|
|
3,498
|
Net realized and unrealized gain (loss) on
investments
|
3,075
|
|
14,026
|
Net increase (decrease) in net assets resulting from
operations
|
$
5,482 |
|
$20,273
|
(a) |
Amount
is less than $500 (not in thousands). |
See Notes to Financial Statements
STATEMENTS OF OPERATIONS
(Unaudited) (Continued)
SIX MONTHS ENDED May 31, 2024
($ reported in thousands)
|
Total
Return Fund Inc. |
Investment
Income |
|
Dividends
|
$
8,795 |
Interest
|
5,204
|
Foreign taxes withheld
|
(559)
|
Total investment
income
|
13,440
|
Expenses
|
|
Investment advisory
fees
|
2,120
|
Administration and accounting
fees
|
324
|
Printing fees and expenses
|
279
|
Professional fees
|
241
|
Transfer agent fees and
expenses
|
221
|
Trustees’/Directors’ fees and
expenses
|
20
|
Custodian fees
|
11
|
Miscellaneous
expenses
|
65
|
Total expenses before interest
expense
|
3,281
|
Interest expense on borrowings (Note
8)
|
5,817
|
Total expenses after interest
expense
|
9,098
|
Net investment income
(loss)
|
4,342
|
Net
Realized and Unrealized Gain (Loss) on Investments |
|
Net
realized gain (loss) from: |
|
Investments
|
1,502
|
Foreign currency
transactions
|
(8)
|
Net
change in unrealized appreciation (depreciation) on: |
|
Investments
|
17,753
|
Foreign currency
transactions
|
(5)
|
Net realized and unrealized gain (loss) on
investments
|
19,242
|
Net increase (decrease) in net assets resulting from
operations
|
$23,584
|
See Notes to Financial Statements
STATEMENTS OF CHANGES IN NET
ASSETS
($ reported in thousands)
|
Global
Multi-Sector Income Fund |
|
Six
Months Ended May 31, 2024 (Unaudited) |
|
Year
Ended November 30, 2023 |
Increase
(Decrease) In Net Assets From Operations |
|
|
|
Net investment income
(loss)
|
$
2,407 |
|
$
4,513 |
Net realized gain
(loss)
|
(1,884)
|
|
(7,168)
|
Net change in unrealized appreciation
(depreciation)
|
4,959
|
|
7,930
|
Increase (decrease) in net assets resulting from
operations
|
5,482
|
|
5,275
|
From
Dividends and Distributions to Shareholders |
|
|
|
Net investment income and net realized
gains
|
(5,430)
(1) |
|
(4,629)
|
Return of
capital
|
—
|
|
(6,232)
|
Dividends and Distributions to
Shareholders
|
(5,430)
|
|
(10,861)
|
Net increase (decrease) in net
assets
|
52
|
|
(5,586)
|
Net
Assets |
|
|
|
Beginning of
period
|
95,578
|
|
101,164
|
End of
period
|
$95,630
|
|
$
95,578 |
(1) |
Please
note that the tax status of the Fund’s distributions is determined at the end of the taxable year. See Notes to Financial Statements. |
See Notes to Financial Statements
STATEMENTS OF CHANGES IN NET
ASSETS (Continued)
($ reported in thousands)
|
Stone
Harbor Emerging Markets Income Fund |
|
Six
Months Ended May 31, 2024 (Unaudited) |
|
Year
Ended November 30, 2023 |
Increase
(Decrease) In Net Assets From Operations |
|
|
|
Net investment income
(loss)
|
$
6,247 |
|
$
8,151 |
Net realized gain
(loss)
|
672
|
|
(14,912)
|
Net change in unrealized appreciation
(depreciation)
|
13,354
|
|
20,687
|
Increase (decrease) in net assets resulting from
operations
|
20,273
|
|
13,926
|
From
Dividends and Distributions to Shareholders |
|
|
|
Net investment income and net realized
gains
|
(9,742)
(1) |
|
(11,445)
|
Return of
capital
|
—
|
|
(951)
|
Dividends and Distributions to
Shareholders
|
(9,742)
|
|
(12,396)
|
From
Capital Share Transactions |
|
|
|
Reinvestment of distributions resulting in the issuance of common stock (121,444 and 249,112 shares,
respectively)
|
596
|
|
1,083
|
Plan of reorganization (Note
12)
|
51,054
|
|
—
|
Increase (decrease) in net assets from capital
transactions
|
51,650
|
|
1,083
|
Net increase (decrease) in net
assets
|
62,181
|
|
2,613
|
Net
Assets |
|
|
|
Beginning of
period
|
73,906
|
|
71,293
|
End of
period
|
$
136,087 |
|
$
73,906 |
Supplemental
– Other Information Capital share transactions were as follows: |
|
|
|
Common shares outstanding at beginning of
period
|
17,351,391
|
|
17,102,279
|
Reinvestment of distributions resulting in the issuance of common
stock
|
121,444
|
|
249,112
|
Plan of reorganization (Note
12)
|
11,598,569
|
|
—
|
Common shares outstanding at end of
period
|
29,071,404
|
|
17,351,391
|
(1) |
Please
note that the tax status of the Fund’s distributions is determined at the end of the taxable year. See Notes to Financial Statements. |
See Notes to Financial Statements
STATEMENTS OF CHANGES IN NET
ASSETS (Continued)
($ reported in thousands)
|
Total
Return Fund Inc. |
|
Six
Months Ended May 31, 2024 (Unaudited) |
|
Year
Ended November 30, 2023 |
Increase
(Decrease) In Net Assets From Operations |
|
|
|
Net investment income
(loss)
|
$
4,342 |
|
$
9,208 |
Net realized gain
(loss)
|
1,494
|
|
(15,269)
|
Net change in unrealized appreciation
(depreciation)
|
17,748
|
|
(20,929)
|
Increase (decrease) in net assets resulting from
operations
|
23,584
|
|
(26,990)
|
From
Dividends and Distributions to Shareholders |
|
|
|
Net investment income and net realized
gains
|
(20,230)
(1) |
|
(9,660)
|
Return of
capital
|
—
|
|
(50,003)
|
Dividends and Distributions to
Shareholders
|
(20,230)
|
|
(59,663)
|
From
Capital Share Transactions |
|
|
|
Net proceeds from the sale of shares during rights offering (net of expenses of $600) (Note
10)
|
—
|
|
150
(2) |
Payment for tendered
shares
|
(41,131)
|
|
—
|
Increase (decrease) in net assets from capital
transactions
|
(41,131)
|
|
150
|
Net increase (decrease) in net
assets
|
(37,777)
|
|
(86,503)
|
Net
Assets |
|
|
|
Beginning of
period
|
429,176
|
|
515,679
|
End of
period
|
$391,399
|
|
$429,176
|
(1) |
Please
note that the tax status of the Fund’s distributions is determined at the end of the taxable year. Also refer to the inside front cover for information on the Managed Distribution Plan and see Notes to the Financial Statements. |
(2) |
Adjustment
to bring estimated costs in connection with rights offering to actual. |
See Notes to Financial Statements
STATEMENTS OF CASH FLOWS
(Unaudited)
SIX MONTHS ENDED
May 31, 2024
($ reported in thousands)
|
Global
Multi-Sector Income Fund |
|
Stone
Harbor Emerging Markets Income Fund |
Increase
(Decrease) in cash |
|
|
|
Cash
flows provided by (used for) operating activities: |
|
|
|
Net increase (decrease) in net assets resulting from operations
|
$
5,482 |
|
$
20,273 |
Adjustments
to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used for) operating activities: |
|
|
|
Proceeds from sales and paydowns of long-term investments
|
49,392
|
|
61,876
|
(Increase) Decrease in investment securities sold receivable
|
890
|
|
247
|
Purchases of long-term investments
|
(46,788)
|
|
(77,963)
|
Increase (Decrease) in investment securities purchased payable
|
22
|
|
776
|
Net (purchases) or sales of short-term
investments
|
—
|
|
(4,492)
|
Net (purchases) or sales in purchased options
|
—
|
|
(153)
|
Net change in unrealized (appreciation)/depreciation on
investments
|
(4,960)
|
|
(9,864)
|
Net realized (gain)/loss on investments
|
1,884
|
|
154
|
Net realized (gain)/loss on sales of investments from changes in the foreign exchange
rates
|
—
|
|
(195)
|
Amortization of premiums and inflation income and accretion of discounts on
investments
|
(254)
|
|
(2,295)
|
(Increase) Decrease in tax reclaims receivable
|
—
|
|
2
|
(Increase) Decrease in dividends and interest receivable
|
34
|
|
(336)
|
(Increase) Decrease in prepaid expenses and other
assets
|
(10)
|
|
(19)
|
(Increase) Decrease in prepaid Trustees’
retainer
|
—
|
|
(1)
|
Increase (Decrease) in interest payable on
borrowings
|
(193)
|
|
485
|
Increase (Decrease) in over-the-counter swaps at
value
|
—
|
|
(3,851)
|
Increase (Decrease) in affiliated expenses
payable
|
3
|
|
59
|
Increase (Decrease) in non-affiliated expenses
payable
|
(46)
|
|
(244)
|
Cash provided by (used for) operating
activities
|
5,456
|
|
(15,541)
|
Cash
provided (used for) financing activities: |
|
|
|
Cash receipts from
borrowings
|
—
|
|
76,861
|
Cash payments to reduce
borrowings
|
—
|
|
(54,886)
|
Cash distributions paid to
shareholders
|
(5,430)
|
|
(9,146)
|
Decrease in cash overdraft from plan of reorganization (Note
12)
|
—
|
|
(10)
|
Cash provided by (used for) financing
activities
|
(5,430)
|
|
12,819
|
Net increase (decrease) in
cash
|
26
|
|
(2,722)
|
Restricted and unrestricted cash at beginning of
period
|
2,336
|
|
8,551
|
Restricted and unrestricted cash at end of
period
|
$
2,362 |
|
$
5,829 |
Supplemental
cash flow information: |
|
|
|
Reinvestment of dividends and
distributions
|
$
— |
|
$
596 |
Cash paid during the period for interest expense on
borrowings
|
$
1,587 |
|
$
614 |
|
|
|
|
See Notes to Financial Statements
STATEMENTS OF CASH FLOWS
(Continued)
SIX MONTHS ENDED
May 31, 2024
($ reported in thousands)
|
Global
Multi-Sector Income Fund |
|
Stone
Harbor Emerging Markets Income Fund |
Reconciliation
of restricted and unrestricted cash at the end of period to the statement of assets and liabilities: |
|
|
|
Cash and foreign currency at
value
|
$
2,362 |
|
$
3,377 |
Cash collateral pledged for
swaps
|
$
— |
|
$
2,452 |
|
$2,362
|
|
$
5,829 |
Non cash
transactions from plan of reorganization: |
|
|
|
Investment in securities, identified
cost
|
$
— |
|
$54,382
|
Other
assets
|
$
— |
|
$
1,042 |
Borrowings
|
$
— |
|
$
1,723 |
Other
liabilities
|
$
— |
|
$
203 |
Capital
|
$
— |
|
$53,488
|
See Notes to Financial Statements
STATEMENTS OF CASH FLOWS
(Continued)
SIX MONTHS ENDED
May 31, 2024
($ reported in thousands)
|
Total
Return Fund Inc. |
Increase
(Decrease) in cash |
|
Cash
flows provided by (used for) operating activities: |
|
Net increase (decrease) in net assets resulting from operations
|
$
23,584 |
Adjustments
to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used for) operating activities: |
|
Proceeds from sales and paydowns of long-term investments
|
238,978
|
(Increase) Decrease in investment securities sold receivable
|
(14)
|
Purchases of long-term investments
|
(164,367)
|
Increase (Decrease) in investment securities purchased payable
|
1,144
|
Net change in unrealized (appreciation)/depreciation on
investments
|
(17,753)
|
Net realized (gain)/loss on investments
|
(1,502)
|
Non-cash adjustments from corporate
events
|
46
|
Return of capital distributions on
investments
|
417
|
Amortization of premiums and inflation income and accretion of discounts
on
investments
|
(302)
|
(Increase) Decrease in tax reclaims receivable
|
(46)
|
(Increase) Decrease in dividends and interest receivable
|
483
|
(Increase) Decrease in prepaid expenses and other
assets
|
(28)
|
Increase (Decrease) in interest payable on
borrowings
|
9
|
Increase (Decrease) in affiliated expenses
payable
|
(7)
|
Increase (Decrease) in non-affiliated expenses
payable
|
308
|
Cash provided by (used for) operating
activities
|
80,950
|
Cash
provided (used for) financing activities: |
|
Cash payments to reduce
borrowings
|
(18,700)
|
Cash distributions paid to
shareholders
|
(20,230)
|
Payment for tendered
shares
|
(41,131)
|
Cash provided by (used for) financing
activities
|
(80,061)
|
Net increase (decrease) in
cash
|
889
|
Restricted and unrestricted cash at beginning of
period
|
2,095
|
Restricted and unrestricted cash at end of
period
|
$
2,984 |
Supplemental
cash flow information: |
|
Cash paid during the period for interest expense on
borrowings
|
$
5,808 |
|
|
Reconciliation
of restricted and unrestricted cash at the end of period to the statement of assets and liabilities: |
|
Cash and foreign currency at
value
|
$
2,984 |
|
$
2,984 |
See Notes to Financial Statements
GLOBAL MULTI-SECTOR INCOME
FUND
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
|
Six
Months Ended May 31, 2024 (Unaudited) |
|
Year
Ended November 30, |
|
2023
|
|
2022
|
|
2021
|
|
2020
|
|
2019
|
PER
SHARE DATA: |
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of
period
|
$
8.45 |
|
$
8.94 |
|
$
11.67 |
|
$
12.55 |
|
$
13.16 |
|
$
13.30 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income
(loss)(1)
|
0.21
|
|
0.40
|
|
0.46
|
|
0.52
|
|
0.55
|
|
0.58
|
Net realized and unrealized gain
(loss)
|
0.27
|
|
0.07
|
|
(2.23)
|
|
(0.32)
|
|
0.20
|
|
0.79
|
Payment from
affiliate
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
(2) |
Total from investment
operations
|
0.48
|
|
0.47
|
|
(1.77)
|
|
0.20
|
|
0.75
|
|
1.37
|
Dividends
and Distributions to Shareholders: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.48)
|
|
(0.41)
|
|
(0.46)
|
|
(0.52)
|
|
(0.51)
|
|
(0.49)
|
Return of
capital
|
—
|
|
(0.55)
|
|
(0.50)
|
|
(0.56)
|
|
(0.85)
|
|
(1.02)
|
Total dividends and distributions to
shareholders
|
(0.48)
|
|
(0.96)
|
|
(0.96)
|
|
(1.08)
|
|
(1.36)
|
|
(1.51)
|
Net asset value, end of
period
|
$
8.45 |
|
$
8.45 |
|
$
8.94 |
|
$
11.67 |
|
$
12.55 |
|
$
13.16 |
Market value, end of
period(3)
|
$
7.45 |
|
$
7.35 |
|
$
8.12 |
|
$
11.56 |
|
$
11.69 |
|
$
12.54 |
Total return, net asset value(4),
(5)
|
6.49%
|
|
7.19%
|
|
(14.70)%
|
|
1.76%
|
|
7.70%
|
|
11.82%
|
Total return, market value(4),
(5)
|
7.94%
|
|
2.66%
|
|
(21.78)%
|
|
8.22%
|
|
5.28%
|
|
20.61%
|
RATIOS/SUPPLEMENTAL
DATA: |
|
|
|
|
|
|
|
|
|
|
|
Ratio of total expenses after interest expense to average net assets(6),
(7)
|
4.59%
|
|
4.46%
|
|
2.76%
|
|
2.14%
|
|
2.40%
|
|
3.13%
|
Ratio of net investment income (loss) to average net
assets(6)
|
4.96%
|
|
4.59%
|
|
4.62%
|
|
4.28%
|
|
4.51%
|
|
4.39%
|
Portfolio turnover
rate(4)
|
34%
|
|
57%
|
|
44%
|
|
54%
|
|
75%
|
|
62%
|
Net assets, end of period
(000’s)
|
$95,630
|
|
$95,578
|
|
$101,164
|
|
$132,058
|
|
$141,880
|
|
$148,730
|
Borrowings, end of period
(000’s)
|
$43,000
|
|
$43,000
|
|
$
45,400 |
|
$
52,500 |
|
$
52,500 |
|
$
57,000 |
Asset coverage, per $1,000 principal amount of
borrowings(8)
|
$
3,224 |
|
$
3,223 |
|
$
3,228 |
|
$
3,515 |
|
$
3,702 |
|
$
3,609 |
(1) |
Calculated
using average shares outstanding. |
(2) |
Amount
is less than $0.005 per share. |
(3) |
Closing
Price – New York Stock Exchange. |
(4) |
Not
annualized for periods less than one year. |
(5) |
Total return
on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to be
reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not reflected.
Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value for the
beginning, ending and reinvestment values. |
(6) |
Annualized
for periods less than one year. |
(7) |
Ratio of
total expenses, before interest expense on borrowings, was 1.71% for the six months ended May 31, 2024; 1.71%, 1.74%, 1.74%, 1.74% and 1.86% for the years ended November 30, 2023, 2022, 2021, 2020 and 2019, respectively. |
(8) |
Represents
value of net assets plus the borrowings at the end of the period divided by the borrowings at the end of the period multiplied by $1,000. |
See Notes to Financial Statements
STONE HARBOR EMERGING
MARKETS INCOME FUND
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
|
Six
Months Ended May 31, 2024 (Unaudited) |
|
Year
Ended November 30, |
|
2023
|
|
2022
|
|
2021
|
|
2020
|
|
2019
|
PER
SHARE DATA: |
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of
period
|
$
4.26 |
|
$
4.17 |
|
$
6.24 |
|
$
7.04 |
|
$
8.91 |
|
$
10.58 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income
(loss)(1)
|
0.22
|
|
0.47
|
|
0.52
|
|
0.60
|
|
0.64
|
|
0.89
|
Net realized and unrealized gain
(loss)
|
0.56
|
|
0.34
|
|
(1.87)
|
|
(0.52)
|
|
(1.08)
|
|
(0.40)
|
Total from investment
operations
|
0.78
|
|
0.81
|
|
(1.35)
|
|
0.08
|
|
(0.44)
|
|
0.49
|
Dividends
and Distributions to Shareholders: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.36)
|
|
(0.66)
|
|
(0.09)
|
|
(0.57)
|
|
(0.28)
|
|
(0.76)
|
Return of
capital
|
—
|
|
(0.06)
|
|
(0.63)
|
|
(0.31)
|
|
(1.15)
|
|
(1.40)
|
Total dividends and distributions to
shareholders
|
(0.36)
|
|
(0.72)
|
|
(0.72)
|
|
(0.88)
|
|
(1.43)
|
|
(2.16)
|
Net asset value, end of
period
|
$
4.68 |
|
$
4.26 |
|
$
4.17 |
|
$
6.24 |
|
$
7.04 |
|
$
8.91 |
Market value, end of
period
|
$
5.55 |
|
$
4.38 |
|
$
4.24 |
|
$
6.65 |
|
$
7.40 |
|
$
13.18 |
Total return, net asset value(2),
(3)
|
18.93%
|
|
21.20%
|
|
(22.31)%
|
|
0.36%
|
|
(3.32)%
|
|
4.45%
|
Total return, market value(2),
(3)
|
36.51%
|
|
22.14%
|
|
(25.98)%
|
|
0.66%
|
|
(32.92)%
|
|
29.86%
|
RATIOS/SUPPLEMENTAL
DATA: |
|
|
|
|
|
|
|
|
|
|
|
Ratio of total expenses after interest expense to average net assets(4),
(5)
|
3.34%
(6) |
|
3.70%
(7) |
|
2.95%
|
|
2.37%
|
|
2.56%
|
|
1.97%
|
Ratio of net investment income (loss) to average net
assets(4)
|
9.78%
|
|
11.21%
(7) |
|
10.55%
|
|
8.57%
|
|
9.04%
|
|
8.88%
|
Portfolio turnover
rate(2)
|
41%
|
|
76%
|
|
37%
|
|
47%
|
|
127%
|
|
107%
|
Net assets, end of period
(000’s)
|
$136,087
|
|
$73,906
|
|
$71,293
|
|
$105,134
|
|
$117,235
|
|
$146,213
|
Borrowings, end of period
(000’s)
|
$
37,870 |
|
$14,172
|
|
$28,600
|
|
$
45,481 |
|
$
46,000 |
|
$
8,976 |
Asset coverage, per $1,000 of
borrowings(8)
|
$
4,594 |
|
$
6,215 |
|
$
3,493 |
|
$
3,312 |
|
$
3,545 |
|
$
17,290 |
|
|
(1) |
Calculated
using average shares outstanding. |
(2) |
Not
annualized for periods less than one year. |
(3) |
Total return
on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to be
reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not reflected.
Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value for the
beginning, ending and reinvestment values. |
(4) |
Annualized
for periods less than one year. |
(5) |
Ratio of
total expenses before interest expense to average net assets was 1.62% for the six months ended May 31, 2024, and 2.11%, 2.03%, 1.96%, 1.99% and 1.59% for the years ended November 30, 2023, 2022, 2021, 2020 and 2019, respectively.
|
(6) |
The
Fund is currently below its expense limitation. |
See Notes to Financial Statements
STONE HARBOR EMERGING
MARKETS INCOME FUND
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
(7) |
The
Fund incurred some non-recurring reorganization expenses in 2023. When excluding these costs, the ratio of total expenses after interest expense to average net assets would be 3.33% and the ratio of net investment income to average net assets
would be 11.58%. |
(8) |
Represents
value of net assets plus the borrowings at the end of the period divided by the borrowings at the end of the period multiplied by $1,000. |
See Notes to Financial Statements
TOTAL RETURN FUND INC
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
|
Six
Months Ended May 31, 2024 (Unaudited) |
|
Year
Ended November 30, |
|
2023
|
|
2022
|
|
2021
|
|
2020
|
|
2019
(1) |
PER
SHARE DATA: |
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of
period
|
$
6.26 |
|
$
7.52 |
|
$
8.92 |
|
$
9.31 |
|
$
10.33 |
|
$
11.01 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income
(loss)(2)
|
0.06
|
|
0.13
|
|
0.19
|
|
0.22
|
|
0.25
|
|
0.24
|
Net realized and unrealized gain
(loss)
|
0.30
|
|
(0.52)
|
|
(0.37)
|
|
0.35
|
|
(0.11)
|
|
0.52
|
Payment from
affiliate
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
(3) |
Total from investment
operations
|
0.36
|
|
(0.39)
|
|
(0.18)
|
|
0.57
|
|
0.14
|
|
0.76
|
Dividends
and Distributions to Shareholders: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.30)
|
|
(0.14)
|
|
(0.47)
|
|
(0.24)
|
|
(0.27)
|
|
(0.31)
|
Return of
capital
|
—
|
|
(0.73)
|
|
(0.49)
|
|
(0.72)
|
|
(0.89)
|
|
(1.13)
|
Total dividends and distributions to
shareholders
|
(0.30)
|
|
(0.87)
|
|
(0.96)
|
|
(0.96)
|
|
(1.16)
|
|
(1.44)
|
Fund
Share Transactions (Note 9) |
|
|
|
|
|
|
|
|
|
|
|
Dilutive effect on net asset value as a result of rights
offering(4)
|
—
|
|
—
(3) |
|
(0.26)
|
|
—
|
|
—
|
|
—
|
Anti-dilutive impact of tender offer (Note
10)
|
0.02
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
Net asset value, end of
period
|
$
6.34 |
|
$
6.26 |
|
$
7.52 |
|
$
8.92 |
|
$
9.31 |
|
$
10.33 |
Market value, end of
period(5)
|
$
5.45 |
|
$
5.38 |
|
$
6.95 |
|
$
9.37 |
|
$
8.41 |
|
$
10.98 |
Total return, net asset value(6),
(7)
|
7.00%
|
|
(3.96)%
|
|
(1.45)%
|
|
6.36%
|
|
3.25%
|
|
16.67%
|
Total return, market value(6),
(7)
|
7.02%
|
|
(10.69)%
|
|
(16.43)%
(8) |
|
23.68%
|
|
(12.25)%
|
|
41.67%
|
RATIOS/SUPPLEMENTAL
DATA: |
|
|
|
|
|
|
|
|
|
|
|
Ratio of total expenses after interest expense to average net
assets(9)
|
4.32%
(10) |
|
3.87%
|
|
2.26%
|
|
1.73%
|
|
2.05%
|
|
2.99%
(11) |
Ratio of net investment income (loss) to average net
assets
|
2.06%
|
|
1.99%
|
|
2.30%
|
|
2.34%
|
|
2.73%
|
|
2.20%
(11) |
Portfolio turnover
rate(6)
|
27%
|
|
36%
|
|
47%
|
|
44%
|
|
46%
|
|
110%
(12) |
Net assets, end of period
(000’s)
|
$391,399
|
|
$429,176
|
|
$515,679
|
|
$426,461
|
|
$441,552
|
|
$487,899
|
Borrowings, end of period
(000’s)
|
$168,300
|
|
$187,000
|
|
$207,000
|
|
$159,750
|
|
$159,750
|
|
$184,750
|
Asset coverage, per $1,000 principal amount of
borrowings(13)
|
$
3,326 |
|
$
3,295 |
|
$
3,491 |
|
$
3,670 |
|
$
3,764 |
|
$
3,641 |
(1) |
On
November 18, 2019, Virtus Total Return Inc. (ZF) was reorganized into the Fund. The net asset values and other per share information for periods prior to the reorganization on November 18, 2019 were revised to reflect the share conversion ratio from
the reorganization of 1.039518. |
(2) |
Calculated
using average shares outstanding. |
(3) |
Amount
is less than $0.005 per share. |
(4) |
Shares
were sold at a 5% discount from a 5-day average market price from 9/12/22 to 9/16/22. |
(5) |
Closing
Price – New York Stock Exchange. |
(6) |
Not
annualized for periods less than one year. |
See Notes to Financial Statements
TOTAL RETURN FUND INC
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
(7) |
Total return
on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to be
reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not reflected.
Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value for the
beginning and ending values. |
(8) |
Total return
on market value includes the dilutive effect of the 2022 rights offering. Without this effect, the total market return would have been (16.12%). |
(9) |
Ratio of
total expenses, before interest expense on borrowings, was 1.56% for the six months ended May 31, 2024, and 1.31%, 1.32%, 1.34%, 1.38% and 1.79% for the years ended November 30, 2023, 2022, 2021, 2020 and 2019 respectively. |
(10) |
The
Fund incurred certain non-recurring tender offer costs in 2024. When excluding these costs, the ratio of total expenses to average net assets would be 4.08% and the ratio of net investment income (loss) to average net assets would be 2.30%.
|
(11) |
The
Fund incurred certain non-recurring merger costs in 2019. When excluding these costs, the ratio of total expenses after interest expense and before expense waivers to average net assets would be 2.83%, the ratio of net expenses to average net assets
would be 2.83% and the ratio of net investment income (loss) to average net assets would be 2.36%. |
(12) |
Portfolio
turnover increased due to repositioning of the portfolio related to the reorganization on November 18, 2019. |
(13) |
Represents
value of net assets plus the borrowings at the end of the period divided by the borrowings at the end of the period multiplied by $1,000. |
See Notes to Financial Statements
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
May 31, 2024
Note 1. Organization
Global Multi-Sector Income Fund, Stone
Harbor Emerging Markets Income Fund, and Total Return Fund Inc. (each, a “Fund” and, collectively, the “Funds”) are closed-end, management investment companies registered under the Investment Company Act of 1940, as amended
(the “1940 Act”). Global Multi-Sector Income Fund is diversified and was formed as a statutory trust under the laws of the State of Delaware on August 23, 2011. Stone Harbor Emerging Markets Income Fund is non-diversified and was
organized as a Massachusetts business trust under the laws of the Commonwealth of Massachusetts on December 22, 2010. Total Return Fund Inc. is diversified and was incorporated under the laws of the State of Maryland on July 21, 1988. The
Funds’ investment objectives are outlined in the Manager’s Discussion of Fund Performance pages. There is no guarantee that the Funds will achieve their investment objective.
Note 2. Significant Accounting Policies
Each Fund is an investment company that
follows the accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following is a summary of significant
accounting policies consistently followed by the Funds in the preparation of their financial statements and for derivatives, included in Note 3 below. The preparation of financial statements in conformity with U.S. generally accepted accounting
principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements, and the
reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be significant.
The Funds’ Board of
Trustees/Directors has designated the investment adviser as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the 1940 Act. Each Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques
used to measure fair value into three broad levels. The Funds’ policy is to recognize transfers into or out of Level 3 at the end of the reporting period.
•
Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities).
•
Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
•
Level 3 – prices determined using significant unobservable inputs (including the investment adviser’s Valuation Committee’s own assumptions in determining the fair value of investments).
A description of the valuation techniques
applied to a Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the
official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available,
NOTES TO FINANCIAL STATEMENTS
(Unaudited) (Continued)
May 31, 2024
at
the last bid price and are categorized as Level 1 in the hierarchy. Illiquid, restricted equity securities and illiquid private placements are internally fair valued by the investment adviser’s Valuation Committee, and are generally
categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair
valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local
developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that a Fund calculates its net asset value (“NAV”) at the close of regular trading on the New York Stock
Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Funds fair value non-U.S. securities using an independent pricing service which considers the
correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, and certain indexes, as well as prices for similar securities. Such
fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt instruments, including convertible
bonds, and restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that
considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, activity of the underlying equities, and current day trade information, as well as dealer supplied prices.
These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities may also incorporate collateral analysis and utilize cash flow models for valuation and are
generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are
generally categorized as Level 2 in the hierarchy. Debt instruments that are internally fair valued by the investment adviser’s Valuation Committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options and
futures, that are actively traded are valued at the last posted settlement price from the exchange where they are principally traded and are categorized as Level 1 in the hierarchy. Over-the-counter (“OTC”) derivative contracts, which
include forward currency contracts, swaps, swaptions, options and equity linked instruments, are valued based on model prices provided by independent pricing services or from dealer quotes. Depending on the derivative type and the specific terms of
the transaction, these models vary and include observable inputs in actively quoted markets including but not limited to: underlying reference entity details, indices, spreads, interest rates, yield curves, dividend and exchange rates. These
instruments are generally categorized as Level 2 in the hierarchy. Centrally cleared swaps listed or traded on a bilateral or trade facility platform, such as a registered exchange, are valued at the last posted settlement price determined by the
respective exchange. These securities are generally categorized as Level 2 within the hierarchy.
NOTES TO FINANCIAL STATEMENTS
(Unaudited) (Continued)
May 31, 2024
Investments in open-end mutual funds are
valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
A summary of the inputs used to value
a Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for each Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with
investing in those securities.
B.
|
Security Transactions and
Investment Income |
|
Security transactions are
recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income and capital gain distributions are recognized on the ex-dividend date or, in the case of certain foreign
securities, as soon as a Fund is notified. Interest income is recorded on the accrual basis. Each Fund amortizes premiums and accretes discounts using the effective interest method. Premiums on callable debt instruments are amortized to interest
income to the earliest call date using the effective interest method. Conversion premium is not amortized. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying
funds. |
|
Dividend income from Real
Estate Investment Trusts (“REITs”) is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return
of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). |
|
If the return of capital
distributions exceed their cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated
amounts. |
C.
|
Income Taxes |
|
Each Fund is treated as a
separate taxable entity. It is the intention of each Fund to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”) and to distribute substantially all of its taxable income and capital
gains, if any, to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made. |
|
Each Fund may be subject to
foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that
exist in the markets in which it invests. |
|
Management
of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Each Fund’s U.S. federal income tax return is generally subject to examination by the Internal Revenue
Service for a period of three years after it is filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.
|
NOTES TO FINANCIAL STATEMENTS
(Unaudited) (Continued)
May 31, 2024
D.
|
Distributions to Shareholders
|
|
Global Multi-Sector Income
Fund and Stone Harbor Emerging Markets Income Fund declare distributions on a monthly basis. Distributions are recorded by the Funds on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax
regulations which may differ from U.S. GAAP. |
|
Total Return Fund Inc. has a
Managed Distribution Plan which currently provides for the Fund to make a monthly distribution of $0.05 per share. Shareholders should not draw any conclusions about the Fund’s investment performance from the terms of the Fund’s Managed
Distribution Plan. |
|
Distributions may represent
earnings from net investment income, realized capital gains,or, if necessary, return of capital. |
E.
|
Foreign Currency Transactions
|
|
Non-U.S. investment
securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the
currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the
gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. For fixed income instruments, the Funds bifurcate that portion of the
results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held and such fluctuations are included with the net realized and unrealized gain or
loss on foreign currency transactions. For equity securities, the Funds do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the
market prices of securities held and such fluctuations are included with the net realized and unrealized gain or loss on investments. |
F.
|
Credit Linked Notes |
|
Stone Harbor Emerging Markets
Income Fund 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. |
G.
|
Payment-In-Kind Securities
|
|
The Funds
may invest in payment-in-kind securities, which are debt or preferred stock securities that require or permit payment of interest in the form of additional securities. Payment-in-kind securities allow the issuer to avoid or delay the need to
generate cash to meet current interest payments and, as a result, may involve greater risk than securities that pay interest currently or in cash. |
NOTES TO FINANCIAL STATEMENTS
(Unaudited) (Continued)
May 31, 2024
H.
|
When-Issued Purchases and
Forward Commitments (Delayed Delivery) |
|
The Funds may engage in
when-issued or forward commitment transactions. Securities purchased on a when-issued or forward commitment basis are also known as delayed delivery transactions. Delayed delivery transactions involve a commitment by a Fund to purchase or sell a
security at a future date (ordinarily up to 90 days later). When-issued or forward commitments enable the Funds to lock in what is believed to be an attractive price or yield on a particular security for a period of time, regardless of future
changes in interest rates. The Funds record when-issued and forward commitment securities on the trade date. The Funds maintain collateral for the securities purchased. Securities purchased on a when-issued or forward commitment basis begin earning
interest on the settlement date. |
I.
|
Leveraged Loans |
|
The Funds may invest in
direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Leveraged loans are generally non-investment grade and often involve borrowers that are highly leveraged.
The Funds may invest in obligations of borrowers who are in bankruptcy proceedings. Leveraged loans are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the
“lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the leveraged loan. A Fund’s investments in loans may be in the form of participations in loans or assignments of all or a
portion of loans from third parties. When investing in loan participations, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation
and only upon receipt by the lender of payments from the borrower. A Fund generally has no right to enforce compliance with the terms of the leveraged loan with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower
and the lender that is selling the leveraged loan. When a Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan. |
|
A Fund may invest in multiple
series or tranches of a loan, which may have varying terms and carry different associated risks. Leveraged loans may involve foreign borrowers and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries
involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due. |
|
The leveraged loans have
floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR, SOFR, the prime rate offered by one or more U.S.
banks or the certificate of deposit rate. When a leveraged loan is purchased a Fund may pay an assignment fee. On an ongoing basis, a Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a
leveraged loan. Prepayment penalty fees are received upon the prepayment of a leveraged loan by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid. |
|
A Fund may
invest in both secured loans and “covenant lite” loans which have few or no financial maintenance covenants that would require a borrower to maintain certain |
NOTES TO FINANCIAL STATEMENTS
(Unaudited) (Continued)
May 31, 2024
|
financial metrics. The lack
of financial maintenance covenants in covenant lite loans increases the risk that the applicable Fund will experience difficulty or delays in enforcing its rights on its holdings of such loans, which may result in losses, especially during a
downturn in the credit cycle. |
J.
|
Expenses
|
|
Expenses incurred together by
a Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expenses to a Fund and each such other fund, or an alternative allocation method, can be more appropriately
used. |
|
In addition to the net annual
operating expenses that a Fund bears directly, the shareholders of a Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which the Fund invests. |
K.
|
Cash and Cash Equivalents
|
|
Cash and
cash equivalents include deposits held at financial institutions, and are inclusive of dollar denominated cash, foreign currency, cash collateral pledged for swaps, and deposits with brokers for reverse repurchase agreements. |
Note 3. Derivative Financial Instruments and
Transactions
($ reported in
thousands)
Disclosures about
derivative instruments and hedging activities are intended to enable investors to understand how and why a Fund uses derivatives, how derivatives are accounted for, and how derivative instruments affect a Fund’s results of operations and
financial position. Summarized below are such disclosures and accounting policies for each specific type of derivative instrument used by Stone Harbor Emerging Markets Income Fund.
A.
|
Forward Foreign Currency
Exchange Contracts |
|
A forward foreign currency
exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Forward foreign currency exchange contracts, when used by a Fund, help to manage the overall exposure to the currencies in
which some of the investments held by a Fund are denominated. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized appreciation or depreciation. When the contract is closed, a Fund records a
realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward foreign currency exchange contracts involves the risk that the value of the contract changes
unfavorably due to movements in the value of the referenced foreign currencies. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency. |
|
During the
six months ended May 31, 2024, Stone Harbor Emerging Markets Income Fund entered into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge
exposure away from, foreign currencies (foreign currency exchange rate risk). Forward foreign currency contracts outstanding at period end, if any, are listed after a Fund’s Schedule of Investments. |
NOTES TO FINANCIAL STATEMENTS
(Unaudited) (Continued)
May 31, 2024
B.
|
Options Contracts |
|
An options contract provides
the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed upon price. The Funds may purchase or write both put and call options on portfolio securities. When doing so, the
Fund is subject to equity price risk and/or foreign currency risk in the normal course of pursuing its investment objectives. |
|
When a Fund purchases an
option, it pays a premium and an amount equal to that premium is recorded as an asset. When a Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to
reflect the current market value of the option. Holdings of the Fund designated to cover outstanding written options are noted in the Schedules of Investments. Purchased options are reported as an asset within “Investment in securities at
value” in the Statements of Assets and Liabilities. Written options are reported as a liability within “Written options at value.” Changes in value of the purchased option are included in “Net change in unrealized
appreciation (depreciation) from investments” in the Statements of Operations. Changes in value of written options are included in “Net change in unrealized appreciation (depreciation) from written options” in the Statements of
Operations. |
|
If an option expires
unexercised, the Fund realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The
difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in “Net realized gain (loss) on
investments” in the Statements of Operations. Gain or loss on written options is presented separately as “Net realized gain (loss) from written options” in the Statements of Operations. |
|
The risk in writing call
options is that the Fund gives up the opportunity for profit if the market price/foreign currency rate of the referenced security/currency increases and the option is exercised. The risk in writing put options is that the Fund may incur a loss if
the market price/foreign currency rate of the referenced security/currency decreases and the option is exercised. The risk in buying options is that the Fund pays a premium whether or not the option is exercised. The use of such instruments may
involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined
price which may, upon exercise of the option, be significantly different from the then-market value. As the writer of a covered call option, the Fund forgoes, during the option’s life, the opportunity to profit from increases in the market
value of the security covering the call option above the sum of the premium and the strike price of the call, but retains the risk of loss should the price of the underlying security decline. |
|
During the
six months ended May 31, 2024, Stone Harbor Emerging Markets Income Fund invested in purchased call and put options contracts in an attempt to manage foreign currency risk and with the purpose of generating realized gains. |
NOTES TO FINANCIAL STATEMENTS
(Unaudited) (Continued)
May 31, 2024
C.
|
Swaps
|
|
A Fund enters into swap
agreements, in which a Fund and a counterparty agree either to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are negotiated in the Over-the-Counter (“OTC”) market and may be
entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). The value of the swap is reflected on the Statement of Assets and Liabilities as “Over-the-counter swaps at
value” and as “Variation margin receivable/payable on cleared swaps” for centrally cleared swaps. Swaps are marked-to-market daily and changes in value are recorded as “Net change in unrealized appreciation (depreciation) on
swaps” in the Statement of Operations. |
|
Any upfront premiums paid are
recorded as assets and any upfront fees received are recorded as liabilities and are shown under “Over-the-counter swaps at value” in the Statement of Assets and Liabilities and are amortized over the term of the swap for OTC swaps. When
a swap is terminated, a Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the contract, if any. Generally, the basis of the contracts is the
unamortized premium received or paid. Cash settlements between a Fund and the counterparty are recognized as “Net realized gain (loss) on swaps” in the Statement of Operations. Swap contracts outstanding at period end, if any, are listed
after a Fund’s Schedule of Investments. |
|
In a centrally cleared swap,
immediately following execution of the swap agreement, the swap agreement is submitted to a central counterparty (the “CCP”) and a Fund’s counterparty on the swap agreement becomes the CCP. A Fund is required to interface with the
CCP through a clearing broker. Upon entering into a centrally cleared swap, a Fund is required to deposit initial margin with the clearing broker in the form of cash or securities in an amount that varies depending on the size and risk profile of
the particular swap. |
|
Securities deposited as
margin are designated on the Schedule of Investments and cash deposited is recorded on the Statement of Assets and Liabilities as “Cash collateral pledged for swaps.” |
|
Swap transactions involve, to
varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the
counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these
transactions. |
|
Credit
default swaps – A Fund may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps
on single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make specific payment should a negative credit event take place with respect to the
referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on a combination or basket of single-name issuers are agreements in which the buyer pays fixed periodic
payments to the seller in consideration for a guarantee from the |
NOTES TO FINANCIAL STATEMENTS
(Unaudited) (Continued)
May 31, 2024
|
protection seller to make
specific payment should a negative credit event take place with respect to any of the referenced entities (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes
are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying
securities included in the index occurs. As a buyer, if an underlying credit event occurs, a Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities
comprising the index or receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, a
Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap
less the recovery value of the security or underlying securities comprising the index. A Fund may enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of
corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). |
|
During the six months ended
May 31, 2024, Stone Harbor Emerging Markets Income Fund utilized single name credit default swaps to short individual securities or to gain exposure to a credit or asset-backed index. |
|
The
following is a summary of derivative instruments categorized by primary risk exposure, and location as presented in the Statement of Assets and Liabilities at May 31, 2024: |
Statement
Line Description |
|
Primary
Risk |
Stone
Harbor Emerging Markets Income Fund |
Asset
Derivatives |
Purchased
options at value(1) |
|
Foreign
currency contracts |
$ 159
|
|
Total
Assets |
|
|
$ 159
|
|
Liability
Derivatives |
Over-the-counter
swaps at value(2) |
|
Credit
contracts |
$ (1,206)
|
|
Total
Liabilities |
|
|
$ (1,206)
|
|
|
|
(1) |
Amount
included in Investment in securities at value. |
(2) |
Represents
cumulative appreciation (depreciation) on swap contracts as reported in the Schedule of Investments. For OTC swap contracts, the value (including premiums) at May 31, 2024 is shown in the Statement of Assets and Liabilities. |
NOTES TO FINANCIAL STATEMENTS
(Unaudited) (Continued)
May 31, 2024
The following is a summary of derivative
instruments categorized by primary risk exposure, and location as presented in the Statements of Operations for the six months ended May 31, 2024:
Statement
Line Description |
|
Primary
Risk |
Stone
Harbor Emerging Markets Income Fund |
|
Net
Realized Gain (Loss) from |
|
|
Swaps
|
|
Credit
contracts |
$
635 |
|
Total
|
|
|
$
635 |
|
Net
Change in Unrealized Appreciation (Depreciation) on |
|
|
Purchased
options(1) |
|
Foreign
currency contracts |
$
6 |
|
Swaps
|
|
Credit
contracts |
3,498
|
|
Total
|
|
|
$3,504
|
|
|
(1) Amount included in Net change in unrealized appreciation (depreciation) on investments. |
The table below shows the quarterly average
volume (unless otherwise specified) of the
derivatives held by Stone Harbor Emerging Markets Income Fund for the six months ended May 31, 2024.
|
|
Credit Default Swap Contracts - Sell
Protection(1)
|
$11,200
|
(1) Average notional amount. |
The purchased options outstanding as of
period-end as disclosed in the Schedule of Investments serve as an indicator of the volume for the Fund.
D.
|
Derivative Risks |
|
A derivative contract may
suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract. |
|
A Fund’s risk of loss
from counterparty credit risk on derivatives bought or sold OTC rather than traded on a securities exchange, is generally limited to the aggregate unrealized gain netted against any collateral held by a Fund. For OTC purchased options, a Fund bears
the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Fund should the counterparty fail to perform under the contracts. Options written by a Fund do not typically give rise
to counterparty credit risk, as options written generally obligate a Fund, and not the counterparty to perform. |
|
With
exchange traded purchased options and futures and centrally cleared swaps generally speaking, there is less counterparty credit risk to a Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible
default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of
offset against a |
NOTES TO FINANCIAL STATEMENTS
(Unaudited) (Continued)
May 31, 2024
|
clearing broker or
clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures and centrally cleared swaps with respect to initial and variation
margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that
time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro-rata basis across all the clearing broker’s customers, potentially resulting in
losses to a Fund. |
|
In order to better define its
contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement
with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting
provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with
collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However,
bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC
derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or a Fund fails to meet the terms of its ISDA Master Agreements, which would cause a Fund to accelerate payment of
any net liability owed to the counterparty. |
E.
|
Collateral Requirements and
Master Netting Agreements (“MNA”) |
|
For derivatives traded under
an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and
the counterparty. |
|
Cash collateral that has been
pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively.
Non-cash collateral pledged by a Fund, if any, is noted in the Schedule of Investments. Typically, a Fund and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to a Fund from its
counterparties are not fully collateralized, contractually or otherwise, a Fund bears the risk of loss from counterparty non-performance. A Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it
believes have the financial resources to honor its obligations and by monitoring the financial stability of those counterparties. |
|
For
financial reporting purposes, a Fund does not offset derivative assets and liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. |
NOTES TO FINANCIAL STATEMENTS
(Unaudited) (Continued)
May 31, 2024
|
The following tables present
Stone Harbor Emerging Markets Income Fund’s derivative assets and liabilities and reverse repurchase agreements by counterparty net of amounts available for offset under a MNA and net of the related collateral received/pledged by a Fund as of
May 31, 2024: |
At
May 31, 2024, Stone Harbor Emerging Markets Income Fund’s derivative assets and liabilities (by type) are as follows: |
|
|
|
Assets
|
Liabilities
|
Derivative
Financial Instruments: |
|
|
OTC
swaps |
$
— |
$2,303
|
Purchased
options |
159
|
—
|
Total
derivative assets and liabilities in the Statement of Assets and Liabilities |
$159
|
$2,303
|
Derivatives
not subject to a MNA or similar agreement |
—
|
—
|
Total
assets and liabilities subject to a MNA |
$159
|
$2,303
|
The following
tables present Stone Harbor Emerging Markets Income Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under a MNA and net of the related collateral received/pledged by each Fund as of May 31,
2024:
Counterparty
|
|
Gross Derivative
Assets Subject to a MNA by Counterparty |
|
Derivatives
Available for Offset |
|
Non-cash
Collateral Received(1) |
|
Cash
Collateral Received(1) |
|
Net
Amount of Derivative Assets(1) |
Goldman Sachs &
Co.
|
|
$159
|
|
$—
|
|
$—
|
|
$—
|
|
$159
|
Total
|
|
$159
|
|
$—
|
|
$—
|
|
$—
|
|
$159
|
Counterparty
|
|
Gross
Derivatives Liabilities Subject to a MNA by Counterparty |
|
Derivatives
Available for Offset |
|
Non-cash
Collateral Pledged(1) |
|
Cash
Collateral Pledged(1) |
|
Net
Amount of Derivative Liabilities(1) |
Barclays
|
|
$2,303
|
|
$—
|
|
$—
|
|
$(2,303)
|
|
$—
|
Total
|
|
$2,303
|
|
$—
|
|
$—
|
|
$(2,303)
|
|
$—
|
(1) These amounts are limited to the derivatives asset/liability balance and, accordingly, do not include excess collateral
received/pledged.
NOTES TO FINANCIAL STATEMENTS
(Unaudited) (Continued)
May 31, 2024
Note 4. Investment Advisory Fees and Related Party
Transactions
($ reported in
thousands)
A.
|
Investment Adviser |
|
Virtus Investment Advisers,
Inc., an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to Global Multi-Sector Income Fund and Total Return Fund Inc. Virtus Alternative Investment Advisers, Inc. (collectively
with Virtus Investment Advisers, Inc., the “Adviser”), an indirect, wholly-owned subsidiary of Virtus, is the investment adviser to Stone Harbor Emerging Markets Income Fund. The Adviser manages the Funds’ investment program and
general operations of the Funds, including oversight of the Funds’ subadvisers. |
|
As
compensation for its services to the Funds, the Adviser is entitled to a fee, which is calculated daily and paid monthly based upon the following annual rates as a percentage of the average daily total managed assets of each Fund. “Managed
Assets” is defined as the average daily value of the total assets of each Fund minus the sum of all accrued liabilities of the Fund (other than the aggregate amount of any outstanding borrowings or other indebtedness, entered into for the
purpose of leverage). |
Fund
|
|
Advisory
Fee |
Global Multi-Sector Income
Fund
|
|
0.95%
|
Stone Harbor Emerging Markets Income
Fund
|
|
1.00*
|
Total Return Fund
Inc.
|
|
0.70
|
*Provided the
Advisory Fee does not exceed 1.50% of the Fund’s net assets.
B.
|
Subadvisers
|
|
The
subadvisers are responsible for the day-to-day portfolio management of each Fund for which they are paid a fee by the Adviser. A list of the subadvisers and the Funds they serve as of the end of the year is as follows: |
Fund
|
|
Subadviser
|
Global Multi-Sector Income Fund
|
|
Newfleet(1) |
Stone Harbor Emerging Markets Income Fund
|
|
SHIP(2) |
Total Return Fund Inc.
(Equity
Portfolio)
|
|
DPIM(3) |
Total Return Fund Inc. (Fixed
Income
Portfolio)
|
|
Newfleet(1) |
(1) |
Newfleet
Asset Management (“Newfleet”), a division of Virtus Fixed Income Advisers LLC (“VFIA”), an indirect wholly owned subsidiary of Virtus. |
(2) |
Stone Harbor
Investment Partners (“SHIP”), a division of VFIA. |
(3) |
Duff
& Phelps Investment Management Co. (“DPIM”), an indirect, wholly-owned subsidiary of Virtus. |
C.
|
Expense Limitation |
|
The
Adviser has contractually agreed to limit Stone Harbor Emerging Markets Income Fund’s annual total operating expenses, subject to the exclusions listed below, so that such expenses do not exceed, on an annualized basis, 0.58% of average daily
net assets through April 10, 2025. Following the contractual period, the Adviser may discontinue these expense reimbursement arrangements at any time. The reimbursements are accrued daily and received monthly.
|
NOTES TO FINANCIAL STATEMENTS
(Unaudited) (Continued)
May 31, 2024
|
The exclusions include
investment advisory fees, interest, any other fees or expenses relating to financial leverage, preferred shares (such as dividends on preferred shares, auction agent fees and commissions and rating agency fees) or borrowing (such as interest,
commitment, amendment and renewal expenses on credit or redemption facilities), taxes, extraordinary, unusual or infrequently occurring expenses (such as litigation), costs related to share offerings, brokerage commissions, expenses incurred in
connection with any merger or reorganization, underlying fund expenses and dividend expenses, if any (each expressed as a percentage of average daily net assets attributable to common shares). |
|
During the six months ended
May 31, 2024, Stone Harbor Emerging Markets Income Fund’s expenses were below its expense limitation. |
D.
|
Expense Recapture |
|
Under certain conditions, the
Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. A Fund must pay its ordinary operating expenses before the Adviser is
entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. |
|
During the six months ended
May 31, 2024, the Adviser did not recapture expenses. |
E.
|
Administration Services
|
|
Virtus Fund Services, LLC, an
indirect, wholly-owned subsidiary of Virtus, serves as administrator to the Funds. For the services provided by the administrator under the Administration Agreement, the Funds pay the administrator an asset-based fee calculated on each Fund’s
average daily Managed Assets. This fee is calculated daily and paid monthly. |
|
For the six months ended May
31, 2024, the Funds incurred administration fees totaling $455 which are included in the Statement of Operations within the line item “Administration and accounting fees.” |
F.
|
Trustees’/Directors’ Fees
|
|
For the six months ended May
31, 2024, the Funds incurred independent Trustees’/Directors’ fees totaling $27 which are included in the Statement of Operations within the line item “Trustees’/Directors’ fees and expenses.” No remuneration was
paid to the officers or affiliated trustee. |
G.
|
Investments with Affiliates
|
|
The Funds are permitted to
purchase assets from or sell assets to certain related affiliates under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of assets by the Funds from or to another
fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers comply with Rule 17a-7 under the 1940 Act. Further, as
defined under the procedures, each transaction is effected at the current market price. |
|
During the
six months ended May 31, 2024, the Funds did not engage in any transactions pursuant to Rule 17a-7 under the 1940 Act. |
NOTES TO FINANCIAL STATEMENTS
(Unaudited) (Continued)
May 31, 2024
H.
|
Trustees/Director Deferred
Compensation Plan |
|
The Funds
provide a deferred compensation plan for its Trustees/Directors who receive compensation from the Funds. Under the deferred compensation plan, Trustees/Directors may elect to defer all or a portion of their compensation. Amounts deferred are
retained by each Fund, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees/Directors. Investments in such instruments are
included in “Prepaid expenses and other assets” in the Statement of Assets and Liabilities at May 31, 2024. |
Note 5. Purchases and Sales of Securities
($ reported in thousands)
Purchases and sales of securities (excluding
U.S. government and agency securities and short-term securities) during the six months ended May 31, 2024, were as follows:
|
Purchases
|
|
Sales
|
Global Multi-Sector Income
Fund
|
$
40,170 |
|
$
43,361 |
Stone Harbor Emerging Markets Income
Fund
|
77,963
|
|
61,876
|
Total Return Fund
Inc.
|
141,740
|
|
211,912
|
Purchases and
sales of long-term U.S. government and agency securities during the six months ended May 31, 2024, were as follows:
|
Purchases
|
|
Sales
|
Global Multi-Sector Income
Fund
|
$
6,618 |
|
$
6,031 |
Total Return Fund
Inc.
|
22,627
|
|
27,066
|
|
|
|
|
Note 6. Federal Income Tax Information
($ reported in thousands)
At May 31, 2024, the approximate cost basis
and aggregate unrealized appreciation (depreciation) of investments and other financial instruments held by the Funds for federal income tax purposes were as follows:
Fund
|
|
Federal
Tax Cost |
|
Unrealized
Appreciation |
|
Unrealized
(Depreciation) |
|
Net
Unrealized Appreciation (Depreciation) |
Global Multi-Sector Income
Fund
|
|
$
144,664 |
|
$
1,461 |
|
$
(9,715) |
|
$
(8,254) |
Stone Harbor Emerging Markets Income Fund (including purchased
options)
|
|
127,409
|
|
12,705
|
|
(11,337)
|
|
1,368
|
Total Return Fund
Inc.
|
|
558,391
|
|
29,696
|
|
(31,021)
|
|
(1,325)
|
The Funds have capital loss carryovers
available to offset future realized capital gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration
NOTES TO FINANCIAL STATEMENTS
(Unaudited) (Continued)
May 31, 2024
and
generally retain their short-term and/or long-term tax character, as applicable. For the fiscal year ended November 30, 2023, the Funds’ capital loss carryovers are as follows:
|
|
|
|
Fund
|
|
Short-Term
|
|
Long-Term
|
Global Multi-Sector Income
Fund
|
|
$
9,751 |
|
$23,130
|
Stone Harbor Emerging Markets Income
Fund
|
|
55,782
|
|
83,057
|
Total Return Fund
Inc.
|
|
2,774
|
|
12,474
|
Note 7. Credit and Market
Risk and Asset Concentration
In July
2017, the head of the United Kingdom Financial Conduct Authority (“FCA”) announced the intention to phase out the use of LIBOR by the end of 2021. However, after subsequent announcements by the FCA, the LIBOR administrator and other
regulators, certain of the most widely used LIBORs continued until June 30, 2023. The ICE Benchmark Administration Limited, which is regulated and authorized by FCA, and the administrator of LIBOR, ceased publishing certain LIBOR settings on
December 31, 2021. On April 3, 2023, the FCA announced its decision to require LIBOR’s administrator to continue to publish the 1-month, 3-month, and 6-month U.S. dollar settings under an unrepresentative synthetic methodology until September
30, 2024. On March 15, 2022, the Adjustable Interest Act (LIBOR) Act (the “LIBOR Act”) was enacted into law which directs the Federal Reserve Board, as a fallback mechanism, to identify benchmark rates based on SOFR to replace LIBOR in
certain financial contracts after June 30, 2023. On December 16, 2022, the Federal Reserve adopted regulations implementing the LIBOR Act. The Funds may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing
terms, hedging strategies or investment value. The discontinuation of LIBOR could have a significant impact on the financial markets and may present a material risk for certain market participants, including the Funds. Abandonment of or
modifications to LIBOR could lead to significant short- and long-term uncertainty and market instability. The risks associated with this discontinuation and transition may be exacerbated if the work necessary to effect an orderly transition to an
alternative reference rate is not completed in a timely manner. It remains uncertain the effects such changes will have on the Funds, issuers of instruments in which the Funds invests, and the financial markets generally.
Local, regional or global events such as war
or military conflict, acts of terrorism, the spread of infectious illness or other public health issue, recessions, or other events could have a significant impact on the Funds and their investments, including hampering the ability of each
Fund’s portfolio manager(s) to invest each Fund’s assets as intended.
Emerging market countries typically have
economic and political systems that are less fully developed, and can be expected to be less stable than those of more developed countries. For example, the economies of such countries can be subject to rapid and unpredictable rates of inflation or
deflation. Since these markets are often small, they may be more likely to suffer sharp and frequent price changes or long-term price depression because of adverse publicity, investor perceptions or the actions of a few large investors. They may
also have policies that restrict investment by foreigners, or that prevent foreign investors from withdrawing their money at will.
Certain emerging markets may also face other
significant internal or external risks, including the risk of war and civil unrest. Each of these factors can affect the value and liquidity of the
NOTES TO FINANCIAL STATEMENTS
(Unaudited) (Continued)
May 31, 2024
assets of the Fund. 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 each Fund’s assets invested in corporate debt obligations of emerging market companies would decline.
The imposition of sanctions, exchange
controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in registration, settlement or custody,
may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For
example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned
country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent the Funds from buying and selling securities (in the sanctioned country and other
markets), significantly delay or prevent the settlement of securities transactions, and significantly impact each Fund’s liquidity and performance.
Sanctions threatened or imposed may result
in a decline in the value and liquidity of each Fund’s assets. The securities of the Funds may be deemed to have a zero value. The Funds may make investments that are illiquid or that may become less liquid in response to market developments
or adverse investor perceptions. Illiquid investments may be more difficult to value. If the Funds are forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect each Fund’s NAV and
dilute investors’ interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential
for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income funds may be higher than normal, potentially causing increased supply in the market due to selling
activity. These risks may be more pronounced in connection with the Funds’ investments in securities of issuers located in emerging market countries.
For all these reasons, investments in
emerging markets may be considered speculative. To the extent that the Funds invests a significant portion of its assets in a particular emerging market, the Funds will be more vulnerable to financial, economic, political and other developments in
that country, and conditions that negatively impact that country will have a greater impact on the Funds as compared with a fund that does not have its holdings concentrated in a particular country.
High-yield/high-risk securities typically
entail greater price volatility and/or principal and interest rate risk. There is a greater chance that an issuer will not be able to make principal and interest payments on time. Analysis of the creditworthiness of issuers of high-yield/high-risk
securities may be complex, and as a result, it may be more difficult for the Adviser and/or subadviser to accurately predict risk.
The Funds may invest a high percentage of
their assets in specific sectors of the market in the pursuit of their investment objectives. Fluctuations in these sectors of concentration may
NOTES TO FINANCIAL STATEMENTS
(Unaudited) (Continued)
May 31, 2024
have
a greater impact on the Funds, positive or negative, than if the Funds did not concentrate their investments in such sectors.
At May 31, 2024, Total Return Fund Inc. held
securities issued by various companies in specific sectors as detailed below:
Sector
|
|
Percentage
of Total Investments |
|
|
Utilities
|
|
35%
|
|
|
Stone Harbor Emerging Markets Income Fund
leverages its portfolio through entering into reverse repurchase agreements or the issuance of debt securities. Global Multi-Sector Income Fund and Total Return Fund Inc. borrow through their margin financing facility for the purpose of leveraging
their portfolio. While leverage presents opportunities for increasing each fund’s total return, it also has the effect of potentially increasing losses. Accordingly, any event which adversely affects the value of an investment held by the
funds would be magnified to the extent the funds are leveraged.
Note 8. Borrowings
($ reported in thousands)
Margin
Financing
Global Multi-Sector
Income Fund had a Credit Agreement (the “Agreement”), with a commercial bank (the “Bank”) that allowed the Fund to borrow cash from the Bank, up to $55,000 (“Commitment Amount”). Borrowings under the Agreement
were collateralized by investments of the Fund. The Agreement resulted in the Fund being subject to certain covenants including asset coverage and portfolio composition (among others). If the Fund failed to meet or maintain certain covenants as
required under the Agreement, the Fund could have been required to repay immediately, in part or in full, the loan balance outstanding under the Agreement, necessitating the sale of securities at potentially inopportune times. Interest was charged
at SOFR plus an additional percentage rate on the amount borrowed. Commitment fees were charged on the undrawn balance.
As of January 5, 2024, Global Multi-Sector
Income Fund entered into a Master Margin Loan Agreement (the “New Agreement”) with a commercial bank (the “New Bank”) that allows the Fund to borrow cash from the Bank, up to a limit of $55,000 (the “New Commitment
Amount”). The New Agreement replaces the Agreement described above. Borrowings under the New Agreement are covered by investments of the Fund. The New Agreement results in the Fund being subject to certain covenants including
posting collateral. If the Fund may be required to repay immediately, in part or in full, the borrowed sum, necessitating the sale of securities at potentially inopportune times. Interest is charged at Overnight Bank Funding Rate
(“OBFR”) plus an additional percentage rate on the amount borrowed, and commitment fees are charged on the undrawn balance, if less than 75% of the New Commitment Amount is borrowed at a given time. Interest and commitment fees accrued
from January 5, 2024 through May 31, 2024 were $1,129 and $0, respectively, and are included in the “Interest expense on borrowings” line of the Statement of Operations. The carrying value approximates the fair value of the borrowing at
May 31, 2024. Total interest and commitment
NOTES TO FINANCIAL STATEMENTS
(Unaudited) (Continued)
May 31, 2024
fees
accrued from December 1, 2023 through January 4, 2024 were $265 and are included in the “Interest expense on borrowings” line of the Statement of Operations.
Outstanding
Borrowings |
|
Interest
Rate |
$43,000
|
|
6.17%
|
Total Return Fund
Inc. has a Master Margin Loan Agreement (the “Agreement”) with a commercial bank (the “Bank”) that allows the Fund to borrow cash from the Bank, up to a limit of $200,000 (the “Commitment Amount”). Prior to May 2,
2024, the Commitment Amount was $235,000. Cash borrowings under the Agreement are secured by assets of the Fund that are held with the Fund’s custodian in a separate account. Interest is charged at the OBFR plus an additional percentage rate
on the amount borrowed, and commitment fees are charged on the undrawn balance, if less than 75% of the Commitment Amount is borrowed at a given time. For the six months ended May 31, 2024, the Fund had average borrowings of $184,445 with an average
interest rate of 6.21%. For the same period, the interest expense related to the borrowings amounted to $5,817 and is included with in the “Interest expense on borrowings” line on the Statement of Operations. The carrying value
approximates fair value of the borrowing at May 31, 2024.
At May 31, 2024, the amount of outstanding
borrowings was as follows:
Outstanding
Borrowings |
|
Interest
Rate |
$168,300
|
|
6.15%
|
Reverse Repurchase Agreements
Stone Harbor Emerging Markets Income Fund
may borrow from banks and other financial institutions and may also borrow additional funds by entering into reverse repurchase agreements or the issuance of debt securities (collectively, “Borrowings”) in an amount that does not exceed
33 1/3% of the Fund’s Managed Assets (defined in Note 4) immediately after such transactions. It is possible that following such Borrowings, the assets of the Fund will decline due to market conditions such that this 33 1/3% limit will be
exceeded. In that case, the leverage risk to Common Shareholders will increase.
In a reverse repurchase agreement, the Fund
delivers a security to a financial institution, the counterparty, in exchange for cash with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. The Fund is entitled to receive
principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Fund to counterparties
are reflected as a liability on the Statement of Assets and Liabilities. Interest payments made by the Fund to counterparties are recorded as a component of interest expense on the Statement of Operations. In periods of increased demand for the
security, the Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. The Fund will segregate assets determined to be liquid to cover its obligations under reverse repurchase agreements.
The segregated assets are found on the Fund’s Schedule of Investments as full or partially pledged securities. The total amount of securities pledged at May 31, 2024 was $47,483. As all agreements can be terminated by either party
NOTES TO FINANCIAL STATEMENTS
(Unaudited) (Continued)
May 31, 2024
on
demand, face value approximates fair value at May 31, 2024. For the six months ended May 31, 2024, the average amount of reverse repurchase agreements outstanding was $36,147, at a weighted average interest rate of 5.98%.
The following table indicates the total
amount of reverse repurchase agreements, reconciled to gross liability as of May 31, 2024:
|
|
Overnight &
Continuous |
|
Up to 30 days
|
|
30-90
days |
|
Greater than
90 days |
|
Total
|
|
|
|
|
|
|
|
|
Sovereign
Debt Obligations |
$20,652
|
|
$—
|
|
$—
|
|
$—
|
|
$20,652
|
|
Corporate
Bonds |
17,218
|
|
—
|
|
—
|
|
—
|
|
17,218
|
|
Total
|
$37,870
|
|
$—
|
|
$—
|
|
$—
|
|
$37,870
|
|
Gross
amount of unrecognized liabilities of reverse repurchase agreements |
Note 9. Indemnifications
Under the Funds’ organizational
documents, the Funds, Trustees/Directors and officers are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide
a variety of indemnifications to other parties. The Funds maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds and that have not occurred. However, the Funds have not had prior
claims or losses pursuant to these arrangements and expects the risk of loss to be remote.
Note 10. Capital Shares and Capital Transactions
At May 31, 2024, Global Multi-Sector Income
Fund has one class of common stock with no par value of which unlimited shares are authorized and 11,313,094 shares are outstanding.
At May 31, 2024, Stone Harbor Emerging
Markets Income Fund has one class of common stock with $0.001 par value of which unlimited shares are authorized.
At May 31, 2024, Total Return Fund Inc. had
one class of common stock, par value $0.001 per share, of which 500,000,000 shares are authorized and 68,578,328 shares are outstanding.
On April 2, 2024, Total Return Fund Inc.
announced the commencement of a 10% tender offer (6,857,832 shares) at a price equal to 98% of the Fund’s NAV per share as of the close of regular trading on the business day immediately following the day the expiration date of the tender
offer. The tender offer expired on May 1, 2024. Total Return Fund Inc. purchased the maximum number of shares covered by the offer price of $5.9976 per share, which represented a price equal to 98% of the NAV per share as of the close of trading on
the NYSE on May 2, 2024. As a result of the tender offer, $41,131 (reported in thousands) was distributed to shareholders and there was an accretion of $0.02 to the NAV per share of all the outstanding shares after the close of the tender
offer.
As announced on March 11, 2024,
Total Return Fund Inc.’s Board of Directors approved two additional conditional tender offers. The first conditional tender offer is for up to 10% of the
NOTES TO FINANCIAL STATEMENTS
(Unaudited) (Continued)
May 31, 2024
Fund’s then outstanding shares at a price equal to
98% of the Fund’s NAV if the simple average trading discount, calculated using the NYSE closing market price on each day the NYSE is open for trading, is equal to or greater than 12% during the period May 31, 2024 through November 26, 2024.
The second conditional tender offer is for up to 10% of the Fund’s then outstanding shares at a price equal to 98% of the Fund’s NAV if the simple average trading discount, calculated using the NYSE closing market price on each day the
NYSE is open for trading, is equal to or greater than 10% during the consecutive 180 calendar day period beginning April 1, 2025.
Note 11. Restricted Securities
Restricted securities are not registered
under the Securities Act of 1933, as amended (the“1933 Act”). Generally, 144A securities are excluded from this category. Each Fund will bear any costs, including those involved in registration under the 1933 Act, in connection with the
disposition of such securities. At May 31, 2024, the Funds did not hold any securities that were restricted.
Note 12. Reorganization
($ reported in thousands)
On May 22, 2023, the shareholders of Stone
Harbor Emerging Markets Fund (the “Acquiring Fund”) approved the issuance of additional common shares in connection with the proposed reorganization of Virtus Stone Harbor Emerging Markets Total Income Fund (the “Acquired
Fund”) with and into the Acquiring Fund. Pursuant to an agreement and plan of reorganization, the Acquiring Fund acquired substantially all of the assets and assumed substantially all of the liabilities of the Acquired Fund in exchange for an
equal aggregate value of the Acquiring Fund’s shares. The Acquiring Fund is the legal and accounting survivor out of the reorganization.
Each shareholder of the Acquired Fund
received shares of the Acquiring Fund equal to the NAV of their Acquired Fund shares, as determined at the close of business on December 15, 2023. The reorganization was accomplished by a tax-free exchange of shares and was effective after the close
of business on December 15, 2023. The share transactions associated with the reorganization are as follows:
|
Acquired
Fund Shares Outstanding |
|
Shares Converted
to the Acquiring Fund |
|
Acquired
Fund Net Assets |
|
Conversion
Ratio |
|
10,053,109
|
|
11,598,599
|
|
$51,054*
|
|
1.153733
|
* Includes net
unrealized depreciation of $(2,434) at the close of business on December 15, 2023.
The net assets and composition of net assets
for the Fund on December 15, 2023, were as follows:
|
Acquiring Fund’s
Net Assets |
|
Common Stock
($0.001 par value unlimited shares authorized) |
|
Capital paid in
on shares of beneficial interest |
|
Total distributable
earnings (accumulated losses) |
|
$76,378
|
|
$17
|
|
$224,724
|
|
$(148,363)
|
NOTES TO FINANCIAL STATEMENTS
(Unaudited) (Continued)
May 31, 2024
For financial reporting purposes, assets
received and shares issued by the Acquiring Fund were recorded at fair value; however, the cost basis of the investments received from the Acquired Fund was carried forward to align ongoing reporting of the Acquiring Fund’s realized and
unrealized gains and losses with amounts distributable to shareholders for tax purposes. The aggregate net assets of the Acquiring Fund immediately after the acquisition amounted to $127,432.
Assuming the acquisition had been completed
on December 1, 2023, the beginning of the fiscal period of the Acquiring Fund, the pro forma results of operations for the period ended May 31, 2024 would have been as follows:
Net investment income
(loss)
|
$6,440 (a) |
Net realized and unrealized gain (loss) on
investments
|
15,538
(b) |
Net increase (decrease) in net assets resulting from
operations
|
$21,978
|
(a) $6,247 , as reported in the Statement of Operations, plus $193 net investment income from the Acquired Fund
pre-reorganization.
(b) $14,026, as reported in the Statement of Operations, plus $1,512 net realized and unrealized gain (loss) on investments from
the Acquired Fund pre-merger.
Because the Acquiring Fund and the Acquired
Fund have been managed as an integrated single fund since the merger was completed, it is also not feasible to separate the income/(losses) and gains/(losses) of the Acquired Fund that have been included in the Acquiring Fund’s Statement of
Operations since December 15, 2023.
Note 13. Regulatory Matters and Litigation
From time to time, the Funds, the Adviser,
the subadvisers, and/or their respective affiliates may be involved in litigation and arbitration as well as examinations and investigations by various regulatory bodies, including the SEC, involving compliance with, among other things, securities
laws, client investment guidelines, and laws and regulations affecting their activities. At this time, the Funds and the Adviser believe that the outcomes of such matters are not likely, either individually or in the aggregate, to be material to
these financial statements.
Note 14. Recent
Accounting Pronouncements
In March
2020, the FASB issued Accounting Standards Update (“ASU”) No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments
in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered reference rates as of the end of 2021. In
March 2021, the administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023. On December 21, 2022, the FASB issued ASU 2022-06 to defer the sunset date of ASU 2020-04 until December 31,
2024. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2024.
NOTES TO FINANCIAL STATEMENTS
(Unaudited) (Continued)
May 31, 2024
Management is currently evaluating ASU 2020-04 and ASU
2020-06, but does not believe there will be a material impact.
Note 15. Subsequent Events
Management has evaluated the impact of all
subsequent events on the Funds through the date the financial statements were available for issuance, and has determined that there are no events requiring recognition or disclosure in these financial statements.
CERTIFICATION
Each Fund files the required annual Chief
Executive Officer (“CEO”) certification regarding compliance with the NYSE’s listing standards no more than 30 days after each annual shareholder meeting for the Fund. Each Fund has included the certifications of the Fund’s
CEO and Principal Financial Officer required by Section 302 of the Sarbanes-Oxley Act in the Fund’s Form N-CSR filed with the SEC for the period of this report.
KEY INFORMATION
Shareholder Relations: 1-866-270-7788
For general information and literature, as well as updates
on net asset value, share price, major industry groups and other key information.
REINVESTMENT PLAN
The Dividend Reinvestment Plan offers
shareholders of Stone Harbor Emerging Markets Income Fund a convenient way to acquire additional shares of the Fund. Registered holders will be automatically placed in the Dividend Reinvestment Plan and may opt out by calling Shareholder Relations
at the number listed above. If shares are held at a brokerage firm, contact your broker about participation in the Dividend Reinvestment Plan.
The Automatic Reinvestment and Cash Purchase
Plan and Dividend Reinvestment Plan (the “Plan”) offers shareholders of Global Multi-Sector Income Fund and Total Return Fund, a convenient way to acquire additional shares of the funds. Registered holders will be automatically placed in
the Plan and may opt out by calling Shareholder Relations at the number listed above. If shares are held at a brokerage firm, contact your broker about participation in the Plan.
REPURCHASE OF SECURITIES
Notice is hereby given in accordance with
Section 23(c) of the 1940 Act that each Fund may from time to time purchase its shares of common stock in the open market when Fund shares are trading at a discount from their net asset value.
PROXY VOTING INFORMATION (FORM N-PX)
The subadviser votes proxies relating to
portfolio securities in accordance with procedures that have been approved by each Fund’s Board. You may obtain a description of these procedures, along with information regarding how each Fund voted proxies during the most recent 12-month
period ended June 30, free of charge, by calling toll-free 1-866-270-7788. This information is also available through the SEC’s website at https://www.sec.gov.
PORTFOLIO HOLDINGS INFORMATION
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 NPORT-P. Form NPORT-P is available on the SEC’s website at https://www.sec.gov.
Results of Annual Meeting of
Shareholders (Unaudited)
The Annual Meeting of Shareholders of each of Virtus Global
Multi-Sector Income Fund, Virtus Stone Harbor Emerging Markets Income Fund and Virtus Total Return Fund Inc. (each a “Fund”) was held on June 3, 2024. The meeting was held for purposes of electing four (4) nominees to each Fund’s
Board of Trustees/Directors. The results were as follows:
Virtus Global Multi-Sector Income Fund
Election
of Trustees |
Votes
For |
Votes
Withheld |
George
R. Aylward* |
9,041,042.706
|
488,380.000
|
F.
Ford Drummond |
9,133,585.706
|
395,837.000
|
Connie
D. McDaniel |
9,098,655.706
|
430,767.000
|
Philip
R. McLoughlin |
9,032,404.706
|
497,018.000
|
Based on the foregoing, Messrs.
Aylward, Drummond and McLoughlin and Ms. McDaniel were re-elected to the Board of Trustees. The Fund’s other Trustees who continue in office are Donald C. Burke, Sarah E. Cogan, Deborah A. DeCotis, Sidney E. Harris, John R. Mallin, Geraldine
M. McNamara, R. Keith Walton and Brian T. Zino.
*Interested Trustee
Virtus Stone Harbor Emerging Markets Income Fund
Election of Trustees
|
Votes For
|
Votes
Withheld |
George
R. Aylward* |
18,559,626.950
|
1,914,013.530
|
Deborah
A. DeCotis |
18,653,534.950
|
1,820,105.530
|
John
R. Mallin |
18,491,726.950
|
1,981,913.530
|
R.
Keith Walton |
18,532,574.950
|
1,941,065.530
|
Based on the foregoing, Messrs.
Aylward, Mallin and Walton and Ms. DeCotis were re-elected to the Board of Trustees. The Fund’s other Trustees who continue in office are Donald C. Burke, Sarah E. Cogan, F. Ford Drummond, Sidney E. Harris, Connie D. McDaniel, Philip R.
McLoughlin, Geraldine M. McNamara and Brian T. Zino.
*Interested Trustee
Results of Annual Meeting of
Shareholders (Unaudited) (Continued)
Virtus Total Return Fund Inc.
Election of Directors
|
Votes
For |
Votes Withheld
|
Donald
C. Burke |
42,948,062.134
|
6,001,109.514
|
Sarah
E. Cogan |
42,780,364.422
|
6,168,807.226
|
Deborah
A. DeCotis |
42,749,495.371
|
6,199,676.277
|
Sidney
E. Harris |
42,833,482.420
|
6,115,689.228
|
Based on the foregoing, Messrs.
Burke and Harris and Mses. Cogan and DeCotis were re-elected to the Board of Directors. The Fund’s other Directors who continue in office are George R. Aylward*, F. Ford Drummond, John R. Mallin, Connie D. McDaniel, Philip R. McLoughlin
Geraldine M. McNamara, R. Keith Walton and Brian T. Zino.
*Interested Director
101 Munson Street
Greenfield, MA 01301-9668
Board of Trustees/Directors
George R. Aylward
Donald C. Burke
Sarah E. Cogan
Deborah A. DeCotis
F. Ford Drummond
Sidney E. Harris
John R. Mallin
Connie D. McDaniel, Vice Chair
Philip R. McLoughlin, Chair
Geraldine M. McNamara
R. Keith Walton
Brian T. Zino
Principal Officers
George R. Aylward, President
and Chief Executive Officer
Peter Batchelar, Senior Vice President
W. Patrick Bradley, Executive
Vice President, Chief Financial Officer, and Treasurer
Timothy Branigan, Vice
President and Fund Chief Compliance Officer
Kathryn L. Santoro, Vice
President, Chief Legal Officer, Counsel and Secretary
Julia R. Short,
Senior Vice President
Richard W. Smirl, Executive Vice President
Nikita Thaker, Vice President,
Controller and Assistant Treasurer
Investment Advisers
Virtus Alternative Investment Advisers, Inc.
Virtus Investment Advisers, Inc.
One Financial Plaza
Hartford, CT 06103-2608
Administrator
Virtus Fund Services, LLC
One Financial Plaza
Hartford, CT 06103
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286-1048
Transfer Agent
Computershare Trust Company, N.A.
P.O. Box 43078
Providence, RI 02940-3078
How to Contact Us
Shareholder
Services |
1-866-270-7788
|
Important Notice to Shareholders
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share
the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-866-270-7788.
c/o Computershare Investor Services
P.O. Box 43078
Providence, RI 02940-3078
For more information about
Virtus Closed-End Funds, please
contact us
at 1-866-270-7788
or closedendfunds@virtus.com
or visit Virtus.com.
(b) Not applicable.
Item 2. Code of Ethics.
Response
not required for semi-annual report.
Item 3. Audit Committee Financial Expert.
Response not required for semi-annual report.
Item 4. Principal Accountant Fees and Services.
Response not required for semi-annual report.
Item 5. Audit Committee of Listed Registrants.
Response not required for semi-annual report.
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 shareholders filed under Item 1(a) of this form. |
Item 7. Financial Statements and Financial Highlights for Open-End Management Investment
Companies.
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment
Companies.
Not applicable.
Item 9. Proxy Disclosures for Open-End
Management Investment Companies.
Not applicable.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management
Investment Companies.
Not applicable.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
Not applicable.
Item 12. Disclosure of Proxy Voting Policies and Procedures for
Closed-End Management Investment Companies.
Not applicable.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
(a) |
Response not required for semi-annual report. |
(b) |
On March 1, 2024, the Registrant announced the addition of Darin Batchman and Richard Lange to
its team of investment professionals. |
Darin Batchman, Portfolio Manager, Emerging Markets Corporate
Debt
Darin joined the team in 2011 and has 25 years of industry experience. Prior to joining Stone Harbor, he
served as a Director of Latin America Integrated Credit Trading at Deutsche Bank Securities where he was responsible for structured debt and equity transactions for Latin American corporates. Prior to his time at Deutsche Bank, he served as an
Associate Director of Emerging Markets Fixed Income Research at Bear Stearns & Co. Inc., covering corporate bond issuers. He was also a High Yield Research Associate in the Emerging Markets Group at Credit Suisse First Boston/Donaldson,
Lufkin & Jenrette. Darin attained a BS in Business Administration from Kansas State University and an MBA with an emphasis in Finance from the Leonard N. Stern School of Business at New York University.
Richard Lange, Portfolio Manager, Emerging Markets Corporate Debt
Richard joined the team in 2010 and has 20 years of industry experience. Prior to joining Stone Harbor, Richard served as
a Trader for Autonomy Capital Group in London where he was responsible for private equity and debt investments in emerging market corporates. Prior to his time spent at Autonomy Capital, Richard served as the Director for Latin America Corporate
Credit Trading at Deutsche Bank. He attained a BA in Finance and Accounting from the Institut Commercial Superieur in Paris and an MBA from the Executive Program at Columbia University.
Other Accounts Managed by Portfolio Manager(s) or Management Team Member and Potential Conflicts of Interest
There may be certain inherent conflicts of interest that arise in connection with
the portfolio managers management of the Funds investments and the investments of any other accounts they manage. Such conflicts could include the aggregation of orders for all accounts managed by a particular portfolio manager, the
allocation of purchases across all such accounts, the allocation of IPOs and any soft dollar arrangements that the adviser/subadviser may have in place that could benefit the Fund and/or such other accounts. The Board of Trustees has adopted
policies and procedures designed to address any such conflicts of interest to ensure that all transactions are executed in the best interest of the Funds shareholders. Each adviser/subadviser is required to certify its compliance with these
procedures on a quarterly basis. There have been no material compliance issues with respect to any of these policies and procedures during the Funds most recent fiscal year. Additionally, there are no material conflicts of interest between the
investment strategy of the Fund and the investment strategy of other accounts managed by portfolio managers since the portfolio managers generally manage funds and other accounts having similar investment strategies.
As of May 31, 2024:
|
|
|
|
|
|
|
|
|
|
|
Name of Portfolio Manager or
Team Member |
|
Type of Accounts |
|
Total
No. of Accounts
Managed |
|
Total Assets
(in millions) |
|
No. of Accounts where Advisory Fee is Based
on Performance |
|
Total Assets in
Accounts where Advisory Fee is Based_on Performance (in millions)
|
Darin Batchman |
|
Registered Investment Companies: |
|
3 |
|
$266 |
|
0 |
|
0 |
|
|
Other Pooled Investment Vehicles: |
|
13 |
|
$858 |
|
1 |
|
$187 |
|
|
Other Accounts: |
|
15 |
|
$4,187 |
|
1 |
|
$163 |
Richard Lange |
|
Registered Investment Companies: |
|
3 |
|
$266 |
|
0 |
|
0 |
|
|
Other Pooled Investment Vehicles: |
|
13 |
|
$858 |
|
1 |
|
$187 |
|
|
Other Accounts: |
|
15 |
|
$4,187 |
|
1 |
|
$163 |
Compensation Structure of Portfolio Manager(s) or Management Team Members
Virtus, along with certain of its affiliated investment management firms, including Stone Harbor Investment Partners, a
division of Virtus Fixed Income Advisers, LLC (collectively, Virtus), believes that the firms compensation program is adequate and competitive to attract and retain high-caliber investment professionals. Investment professionals at
Virtus receive a competitive base salary, an incentive bonus opportunity, and a benefits package. Certain professionals who
supervise and manage others also participate in a management incentive program
reflecting their personal contribution and team performance. Certain key individuals also have the opportunity to take advantage of a long-term incentive compensation program, including potential awards of Virtus restricted stock units
(RSUs) with multi-year vesting, subject to Virtus board of directors approval.
Following is a more
detailed description of the compensation structure:
|
· |
|
Base Salary: Each portfolio manager is paid a fixed based salary, which is designed to be competitive
in light of the individuals experience and responsibilities. Base salary is determined using compensation survey results of investment industry compensation conducted by an independent third party in evaluating competitive market compensation
for its investment management professionals. |
|
· |
|
Incentive Bonus: Annual incentive payments are based on targeted compensation levels, adjusted based on
profitability investment performance factors and a subjective assessment of contribution to the team effort. The short-term incentive payment is generally paid in cash, but a portion may be payable in RSUs and mutual fund investments that appreciate
or depreciate in value based on the returns of one or more mutual funds managed by the investment professional. Individual payments are assessed using comparisons of actual investment performance with specific peer group or index measures.
Performance of funds managed is generally measured over one-, three-, and five-year periods and an individual managers participation is based on the performance of each fund/account managed.
|
|
· |
|
Other Benefits: Portfolio managers are also eligible to participate in broad-based plans offered
generally to employees of Virtus and its affiliates, including 401(k), health, and other employee benefit plans. |
While portfolio managers compensation contains a performance component, this component is adjusted to reward investment
personnel for managing within the stated framework and for not taking unnecessary risk. This approach helps ensure that investment management personnel remain focused on managing and acquiring securities that correspond to a funds mandate and
risk profile and are discouraged from taking on more risk and unnecessary exposure to chase performance for personal gain. Virtus believes it has appropriate controls in place to handle any potential conflicts that may result from a substantial
portion of portfolio manager compensation being tied to performance.
Disclosure of Securities Ownership
For the most recently completed fiscal period ended May 31, 2024, beneficial ownership of shares of the Fund by Messrs.
Batchman and Lange, are as follows. Beneficial ownership was determined in accordance with rule 16a-1(a)(2) under the Securities Exchange Act of 1934 (17 CFR
240.161-1(a)(2)).
|
|
|
Name of Portfolio Manager or Team
Member |
|
Dollar ($) Range of Fund Shares Beneficially Owned |
|
|
|
Darin Batchman |
|
$50,001-$100,000 |
|
|
Richard Lange |
|
None |
Item 14. Purchases of Equity Securities by Closed-End
Management Investment Company and Affiliated Purchasers.
(a) Not applicable.
Item 15. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrants board of
directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item
22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 16. Controls and
Procedures.
|
(a) |
The registrants principal executive and principal financial officers, or persons performing similar
functions, have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the 1940 Act) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required
by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or
15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
|
(b) |
There were no changes in the registrants internal control over financial reporting (as defined in Rule
30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to
materially affect, the registrants internal control over financial reporting. |
Item 17. |
Disclosure of Securities Lending Activities for Closed-End
Management Investment Companies. |
(a) Not applicable.
(b) Not applicable.
Item 18. Recovery of Erroneously Awarded Compensation.
Not Applicable.
Item 19. Exhibits.
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.
|
|
|
(Registrant) Virtus Stone Harbor Emerging Markets Income Fund |
|
By (Signature and Title)* /s/ George R.
Aylward |
|
|
George R. Aylward, President and Chief Executive Officer
(principal executive officer) |
|
Date
8/7/24
|
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.
|
|
|
|
By (Signature and Title)* /s/ George R.
Aylward |
|
|
George R. Aylward, President and Chief Executive Officer
(principal executive officer) |
|
Date
8/7/24
|
|
|
|
|
By (Signature and Title)* /s/ W. Patrick Bradley
|
|
|
W. Patrick Bradley, Executive Vice President,
Chief Financial Officer, and Treasurer (principal financial
officer) |
|
Date
8/7/24
|
* |
Print the name and title of each signing officer under his or her signature. |
Certification Pursuant to Rule 30a-2(a) under the 1940
Act and Section 302 of the Sarbanes-Oxley Act
I, George R. Aylward, certify that:
1. |
I have reviewed this report on Form N-CSR of Virtus Stone Harbor
Emerging Markets Income Fund; |
2. |
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state
a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. |
Based on my knowledge, the financial statements, and other financial information included in this report,
fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the
periods presented in this report; |
4. |
The registrants other certifying officer(s) and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule
30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
|
(a) |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be
designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is
being prepared; |
|
(b) |
Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
principles; |
|
(c) |
Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in
this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
|
(d) |
Disclosed in this report any change in the registrants internal control over financial reporting that
occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. |
The registrants other certifying officer(s) and I have disclosed to the registrants auditors and
the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
|
(a) |
All significant deficiencies and material weaknesses in the design or operation of internal control over
financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
|
(b) |
Any fraud, whether or not material, that involves management or other employees who have a significant role
in the registrants internal control over financial reporting. |
|
|
|
|
|
|
|
Date: |
|
8/7/24 |
|
|
|
/s/ George R. Aylward |
|
|
|
|
|
|
George R. Aylward, President and Chief Executive Officer |
|
|
|
|
|
|
(principal executive officer) |
Certification Pursuant to Rule 30a-2(a) under the 1940
Act and Section 302 of the Sarbanes-Oxley Act
I, W. Patrick Bradley, certify that:
1. |
I have reviewed this report on Form N-CSR of Virtus Stone Harbor
Emerging Markets Income Fund; |
2. |
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state
a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. |
Based on my knowledge, the financial statements, and other financial information included in this report,
fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the
periods presented in this report; |
4. |
The registrants other certifying officer(s) and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule
30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
|
(a) |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be
designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is
being prepared; |
|
(b) |
Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
principles; |
|
(c) |
Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in
this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
|
(d) |
Disclosed in this report any change in the registrants internal control over financial reporting that
occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. |
The registrants other certifying officer(s) and I have disclosed to the registrants auditors and
the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
|
(a) |
All significant deficiencies and material weaknesses in the design or operation of internal control over
financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
|
(b) |
Any fraud, whether or not material, that involves management or other employees who have a significant role
in the registrants internal control over financial reporting. |
|
|
|
|
|
|
|
Date: |
|
8/7/24 |
|
|
|
/s/ W. Patrick Bradley |
|
|
|
|
|
|
W. Patrick Bradley, Executive Vice President, |
|
|
|
|
|
|
Chief Financial Officer, and Treasurer |
|
|
|
|
|
|
(principal financial officer) |
Certification Pursuant to Rule 30a-2(b) under the 1940
Act and Section 906 of the Sarbanes-Oxley Act
I, George R. Aylward, President and Chief Executive Officer of Virtus Stone Harbor
Emerging Markets Income Fund (the Registrant), certify that:
|
1. |
The Form N-CSR of the Registrant (the Report) fully
complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
|
2. |
The information contained in the Report fairly presents, in all material respects, the financial condition
and results of operations of the Registrant. |
|
|
|
|
|
|
|
Date: |
|
8/7/24 |
|
|
|
/s/ George R. Aylward |
|
|
|
|
|
|
George R. Aylward, President and Chief Executive Officer |
|
|
|
|
|
|
(principal executive officer) |
I, W. Patrick Bradley, Executive Vice President, Chief Financial Officer, and Treasurer of Virtus Stone Harbor
Emerging Markets Income Fund (the Registrant), certify that:
|
1. |
The Form N-CSR of the Registrant (the Report) fully
complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
|
2. |
The information contained in the Report fairly presents, in all material respects, the financial condition
and results of operations of the Registrant. |
|
|
|
|
|
|
|
Date: |
|
8/7/24 |
|
|
|
/s/ W. Patrick Bradley |
|
|
|
|
|
|
W. Patrick Bradley, Executive Vice President, |
|
|
|
|
|
|
Chief Financial Officer, and Treasurer |
|
|
|
|
|
|
(principal financial officer) |
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