AMG GW&K ESG Bond Fund
Schedule of Portfolio Investments (unaudited)
March 31, 2021
Principal Amount | Value | |
Corporate Bonds and Notes - 51.9% | ||
Financials - 12.2% | ||
Aircastle, Ltd. (Bermuda) | ||
5.250%, 08/11/251 | $1,000,000 | $1,089,068 |
Ally Financial, Inc. | ||
8.000%, 11/01/31 | 3,200,000 | 4,453,482 |
American Tower Corp. | ||
4.400%, 02/15/26 | 2,300,000 | 2,588,245 |
Bank of America Corp. | ||
(3.419% to 12/20/27 then 3 month LIBOR + 1.040%), 3.419%, 12/20/282,3 | 2,300,000 | 2,465,497 |
Series JJ, (5.125% to 06/20/24 then 3 month LIBOR + 3.926%), 5.125%, 06/20/242,3,4 | 5,000,000 | 5,297,500 |
The Bank of New York Mellon Corp. | ||
Series G, (4.700% to 09/20/25 then U.S. Treasury Yield Curve CMT 5 year + 4.358%), 4.700%, 09/20/252,3,4 | 5,000,000 | 5,417,250 |
Boston Properties, LP | ||
3.400%, 06/21/29 | 4,800,000 | 5,039,422 |
The Charles Schwab Corp. | ||
Series I, (4.000% to 06/01/26 then U.S. Treasury Yield Curve CMT 5 year + 3.168%), 4.000%, 06/01/262,3,4 | 5,000,000 | 5,062,000 |
CME Group, Inc. | ||
3.750%, 06/15/28 | 2,300,000 | 2,556,424 |
Crown Castle International Corp. | ||
4.000%, 03/01/27 | 2,300,000 | 2,542,633 |
Equinix, Inc. | ||
1.000%, 09/15/25 | 5,200,000 | 5,103,948 |
GLP Capital LP/GLP Financing II, Inc. | ||
4.000%, 01/15/31 | 1,800,000 | 1,860,255 |
The Goldman Sachs Group, Inc. | ||
6.750%, 10/01/37 | 2,300,000 | 3,235,464 |
Host Hotels & Resorts LP | ||
Series H, 3.375%, 12/15/29 | 5,200,000 | 5,156,369 |
Iron Mountain, Inc. | ||
4.500%, 02/15/311 | 4,000,000 | 3,954,400 |
JPMorgan Chase & Co. | ||
4.125%, 12/15/26 | 2,800,000 | 3,151,301 |
Series U, (6.125% to 04/30/24 then 3 month LIBOR + 3.330%), 6.125%, 04/30/242,3,4 | 4,900,000 | 5,251,257 |
Lloyds Banking Group PLC (United Kingdom) | ||
4.582%, 12/10/25 | 2,400,000 | 2,678,641 |
Marsh & McLennan Cos., Inc. | ||
5.875%, 08/01/33 | 1,900,000 | 2,494,135 |
Mastercard, Inc. | ||
3.375%, 04/01/24 | 2,300,000 | 2,493,488 |
MBIA Insurance Corp. | ||
11.501%, 01/15/331 | 525,000 | 236,250 |
Principal Amount | Value | |
MetLife, Inc. | ||
Series G, (3.850% to 09/15/25 then U.S. Treasury Yield Curve CMT 5 year + 3.576%), 3.850%, 09/15/252,3,4 | $5,000,000 | $5,162,500 |
Morgan Stanley | ||
3.950%, 04/23/27 | 2,300,000 | 2,543,496 |
Nationwide Mutual Insurance Co. | ||
4.350%, 04/30/501 | 2,400,000 | 2,511,960 |
OneMain Finance Corp. | ||
8.250%, 10/01/23 | 3,600,000 | 4,050,000 |
Owl Rock Capital Corp. | ||
4.250%, 01/15/26 | 2,400,000 | 2,517,595 |
Prudential Financial, Inc. | ||
3.700%, 03/13/51 | 2,400,000 | 2,532,640 |
SBA Communications Corp. | ||
3.875%, 02/15/27 | 4,000,000 | 4,088,800 |
SLM Corp. | ||
4.200%, 10/29/25 | 1,900,000 | 1,995,038 |
Sprint Capital Corp. | ||
6.875%, 11/15/28 | 3,300,000 | 4,161,201 |
Starwood Property Trust, Inc. | ||
4.750%, 03/15/25 | 1,800,000 | 1,868,904 |
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||
0.508%, 01/12/24 | 3,200,000 | 3,184,651 |
The Toronto-Dominion Bank, MTN (Canada) | ||
0.250%, 01/06/23 | 2,500,000 | 2,495,804 |
Truist Financial Corp. | ||
Series P, (4.950% to 12/01/25 then U.S. Treasury Yield Curve CMT 5 year + 4.605%), 4.950%, 09/01/252,3,4 | 5,000,000 | 5,418,750 |
VICI Properties LP/VICI Note Co., Inc. | ||
3.500%, 02/15/251 | 4,000,000 | 4,072,500 |
Visa, Inc. | ||
4.150%, 12/14/35 | 2,200,000 | 2,598,621 |
Weyerhaeuser Co. | ||
6.875%, 12/15/33 | 3,100,000 | 4,153,568 |
Total Financials | 125,483,057 | |
Industrials - 38.1% | ||
Adient Global Holdings, Ltd. (Jersey) | ||
4.875%, 08/15/261 | 4,000,000 | 4,105,000 |
Advocate Health & Hospitals Corp. | ||
4.272%, 08/15/48 | 2,200,000 | 2,616,779 |
Air Products and Chemicals, Inc. | ||
2.700%, 05/15/40 | 2,700,000 | 2,575,955 |
Alcoa Nederland Holding, B.V. (Netherlands) | ||
4.125%, 03/31/291 | 4,000,000 | 4,034,160 |
American Axle & Manufacturing, Inc. | ||
6.875%, 07/01/28 | 3,800,000 | 3,983,844 |
Anheuser-Busch InBev Worldwide, Inc. | ||
4.375%, 04/15/38 | 2,300,000 | 2,608,778 |
1
AMG GW&K ESG Bond Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |
Industrials - 38.1% (continued) | ||
Aramark Services, Inc. | ||
4.750%, 06/01/26 | $4,000,000 | $4,112,000 |
ArcelorMittal, S.A. (Luxembourg) | ||
4.550%, 03/11/26 | 3,700,000 | 4,102,201 |
AT&T, Inc. | ||
4.300%, 02/15/30 | 2,300,000 | 2,588,622 |
Ball Corp. | ||
2.875%, 08/15/30 | 4,200,000 | 4,045,650 |
BorgWarner, Inc. | ||
2.650%, 07/01/27 | 2,400,000 | 2,490,665 |
Broadcom Corp./Broadcom Cayman Finance, Ltd. | ||
3.875%, 01/15/27 | 2,300,000 | 2,498,315 |
Caesars Entertainment, Inc. | ||
6.250%, 07/01/251 | 3,800,000 | 4,042,440 |
Campbell Soup Co. | ||
2.375%, 04/24/30 | 2,600,000 | 2,541,122 |
CDK Global, Inc. | ||
4.875%, 06/01/27 | 3,800,000 | 3,970,050 |
CDW LLC/CDW Finance Corp. | ||
3.250%, 02/15/29 | 4,000,000 | 3,950,000 |
Centene Corp. | ||
3.375%, 02/15/30 | 4,000,000 | 4,037,480 |
Central Garden & Pet Co. | ||
4.125%, 10/15/30 | 1,800,000 | 1,818,000 |
Cisco Systems, Inc. | ||
5.500%, 01/15/40 | 1,900,000 | 2,565,466 |
The Coca-Cola Co. | ||
2.500%, 06/01/40 | 2,700,000 | 2,530,777 |
Comcast Corp. | ||
4.150%, 10/15/28 | 2,200,000 | 2,517,025 |
CommonSpirit Health | ||
3.347%, 10/01/29 | 2,400,000 | 2,559,146 |
Corning, Inc. | ||
6.850%, 03/01/29 | 2,000,000 | 2,544,628 |
Crown Americas LLC/Crown Americas Capital Corp. V | ||
4.250%, 09/30/26 | 3,800,000 | 4,037,500 |
CVS Health Corp. | ||
5.125%, 07/20/45 | 2,100,000 | 2,564,340 |
Dana, Inc. | ||
5.375%, 11/15/27 | 3,800,000 | 3,990,000 |
Dell International LLC/EMC Corp. | ||
8.100%, 07/15/361 | 1,800,000 | 2,634,854 |
Dell, Inc. | ||
7.100%, 04/15/28 | 3,200,000 | 4,024,000 |
Delta Air Lines, Inc. | ||
7.375%, 01/15/26 | 3,500,000 | 4,107,972 |
Donnelley Financial Solutions, Inc. | ||
8.250%, 10/15/24 | 3,800,000 | 3,961,500 |
Principal Amount | Value | |
Elanco Animal Health, Inc. | ||
5.900%, 08/28/285 | $3,500,000 | $3,968,125 |
Encompass Health Corp. | ||
4.750%, 02/01/30 | 4,000,000 | 4,114,804 |
Energean Israel Finance, Ltd. (Israel) | ||
5.375%, 03/30/281 | 1,195,000 | 1,208,258 |
5.875%, 03/30/311 | 1,400,000 | 1,397,076 |
FedEx Corp. | ||
3.100%, 08/05/29 | 2,400,000 | 2,515,327 |
Fiserv, Inc. | ||
4.200%, 10/01/28 | 2,300,000 | 2,590,254 |
FMG Resources August 2006 Pty, Ltd. (Australia) | ||
4.500%, 09/15/271 | 3,800,000 | 4,060,072 |
The Ford Foundation | ||
Series 2020, 2.415%, 06/01/50 | 3,000,000 | 2,696,694 |
Freeport-McMoRan, Inc. | ||
5.400%, 11/14/34 | 3,400,000 | 4,047,751 |
The George Washington University | ||
Series 2018, 4.126%, 09/15/48 | 2,200,000 | 2,559,561 |
Georgia-Pacific LLC | ||
2.300%, 04/30/301 | 2,500,000 | 2,488,629 |
GLP Capital LP/GLP Financing II Inc. | ||
5.750%, 06/01/28 | 1,600,000 | 1,845,712 |
The Goodyear Tire & Rubber Co. | ||
9.500%, 05/31/25 | 3,500,000 | 3,924,375 |
Graphic Packaging International LLC | ||
3.500%, 03/01/291 | 4,000,000 | 3,890,000 |
Hanesbrands, Inc. | ||
4.875%, 05/15/261 | 3,800,000 | 4,075,500 |
Hasbro, Inc. | ||
3.900%, 11/19/29 | 4,400,000 | 4,729,002 |
HB Fuller Co. | ||
4.250%, 10/15/28 | 4,000,000 | 4,064,240 |
HCA, Inc. | ||
3.500%, 09/01/30 | 3,700,000 | 3,742,716 |
7.500%, 11/06/33 | 75,000 | 99,966 |
Hilton Domestic Operating Co., Inc. | ||
4.875%, 01/15/30 | 3,900,000 | 4,137,120 |
The Home Depot, Inc. | ||
5.875%, 12/16/36 | 1,800,000 | 2,489,763 |
Howmet Aerospace, Inc. | ||
6.875%, 05/01/25 | 3,500,000 | 4,055,625 |
Hudbay Minerals, Inc. (Canada) | ||
4.500%, 04/01/261 | 4,000,000 | 4,157,240 |
Intel Corp. | ||
3.400%, 03/25/25 | 2,300,000 | 2,502,031 |
John Deere Capital Corp. | ||
0.700%, 01/15/26 | 2,600,000 | 2,548,060 |
Johnson Controls International plc/Tyco Fire & Security Finance SCA (Ireland) | ||
1.750%, 09/15/30 | 5,300,000 | 4,966,940 |
2
AMG GW&K ESG Bond Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |
Industrials - 38.1% (continued) | ||
Kaiser Foundation Hospitals | ||
3.150%, 05/01/27 | $4,600,000 | $5,016,427 |
KLA Corp. | ||
5.650%, 11/01/34 | 2,600,000 | 3,247,075 |
Klabin Finance, S.A. (Luxembourg) | ||
4.875%, 09/19/271 | 3,700,000 | 4,042,250 |
Kohl's Corp. | ||
9.500%, 05/15/25 | 3,300,000 | 4,277,411 |
Kraft Heinz Foods Co. | ||
4.250%, 03/01/31 | 3,700,000 | 4,074,759 |
Lamar Media Corp. | ||
4.875%, 01/15/29 | 3,800,000 | 3,975,750 |
Lowe's Cos., Inc. | ||
4.000%, 04/15/25 | 2,300,000 | 2,543,714 |
Lumen Technologies Inc | ||
5.625%, 04/01/25 | 2,000,000 | 2,157,500 |
Magna International, Inc. (Canada) | ||
2.450%, 06/15/30 | 2,500,000 | 2,502,410 |
Masco Corp. | ||
6.500%, 08/15/32 | 254,000 | 328,673 |
7.750%, 08/01/29 | 499,000 | 662,236 |
McDonald's Corp., MTN | ||
3.700%, 01/30/26 | 2,300,000 | 2,534,658 |
MDC Holdings, Inc. | ||
2.500%, 01/15/31 | 4,000,000 | 3,770,000 |
MercadoLibre, Inc. | ||
2.375%, 01/14/26 | 4,000,000 | 3,970,800 |
Merck & Co., Inc. | ||
2.350%, 06/24/40 | 2,800,000 | 2,584,950 |
Methanex Corp. (Canada) | ||
5.125%, 10/15/27 | 1,800,000 | 1,840,500 |
MGM Resorts International | ||
5.750%, 06/15/25 | 3,700,000 | 4,033,000 |
Microsoft Corp. | ||
2.525%, 06/01/50 | 2,800,000 | 2,549,904 |
Murphy Oil USA, Inc. | ||
4.750%, 09/15/29 | 3,800,000 | 3,990,000 |
Netflix, Inc. | ||
4.375%, 11/15/26 | 3,500,000 | 3,910,375 |
Newell Brands, Inc. | ||
4.700%, 04/01/265 | 3,700,000 | 4,091,682 |
Nordstrom, Inc. | ||
4.000%, 03/15/27 | 4,000,000 | 4,120,000 |
Northrop Grumman Corp. | ||
3.200%, 02/01/27 | 2,300,000 | 2,491,660 |
Nuance Communications, Inc. | ||
5.625%, 12/15/26 | 3,800,000 | 3,985,250 |
Owens Corning | ||
7.000%, 12/01/36 | 1,900,000 | 2,593,586 |
Principal Amount | Value | |
Parker-Hannifin Corp. | ||
3.250%, 06/14/29 | $2,300,000 | $2,442,410 |
Penn National Gaming, Inc. | ||
5.625%, 01/15/271 | 4,000,000 | 4,150,000 |
Penske Automotive Group, Inc. | ||
3.500%, 09/01/25 | 4,000,000 | 4,094,200 |
PepsiCo, Inc. | ||
3.000%, 10/15/27 | 2,300,000 | 2,488,095 |
Prime Security Services Borrower LLC/Prime Finance, Inc. | ||
5.750%, 04/15/261 | 3,800,000 | 4,101,055 |
PTC, Inc. | ||
3.625%, 02/15/251 | 3,800,000 | 3,899,750 |
PulteGroup, Inc. | ||
6.000%, 02/15/35 | 4,200,000 | 5,250,000 |
Qwest Corp. | ||
7.250%, 09/15/25 | 560,000 | 656,600 |
Raytheon Technologies Corp. | ||
3.950%, 08/16/25 | 2,300,000 | 2,553,574 |
RELX Capital, Inc. | ||
4.000%, 03/18/29 | 2,300,000 | 2,535,514 |
Sally Holdings LLC/Sally Capital, Inc. | ||
8.750%, 04/30/251 | 3,500,000 | 3,895,938 |
Service Corp. International | ||
3.375%, 08/15/30 | 4,200,000 | 4,099,410 |
SK Hynix, Inc. (South Korea) | ||
2.375%, 01/19/311 | 3,200,000 | 3,023,580 |
Starbucks Corp. | ||
2.550%, 11/15/30 | 2,500,000 | 2,503,108 |
Steel Dynamics, Inc. | ||
3.250%, 01/15/31 | 2,500,000 | 2,643,892 |
Sysco Corp. | ||
2.400%, 02/15/30 | 5,000,000 | 4,961,162 |
Telecom Italia Capital, S.A. (Luxembourg) | ||
6.000%, 09/30/34 | 4,665,000 | 5,290,810 |
6.375%, 11/15/33 | 3,400,000 | 4,029,000 |
Teleflex, Inc. | ||
4.250%, 06/01/281 | 4,000,000 | 4,145,000 |
Tenet Healthcare Corp. | ||
4.875%, 01/01/261 | 3,900,000 | 4,053,504 |
Texas Instruments, Inc. | ||
1.375%, 03/12/25 | 2,500,000 | 2,542,701 |
Toll Brothers Finance Corp. | ||
3.800%, 11/01/29 | 3,700,000 | 3,908,125 |
The Toro Co. | ||
6.625%, 05/01/37 | 2,100,000 | 2,722,504 |
Travel + Leisure Co. | ||
5.650%, 04/01/245 | 3,800,000 | 4,113,500 |
TreeHouse Foods, Inc. | ||
4.000%, 09/01/28 | 4,000,000 | 4,028,280 |
3
AMG GW&K ESG Bond Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |
Industrials - 38.1% (continued) | ||
TWDC Enterprises 18 Corp., MTN | ||
1.850%, 07/30/26 | $2,500,000 | $2,555,174 |
United Parcel Service, Inc. | ||
6.200%, 01/15/38 | 1,800,000 | 2,523,184 |
United Rentals North America Inc. | ||
3.875%, 02/15/31 | 4,000,000 | 4,028,240 |
Valvoline, Inc. | ||
4.250%, 02/15/301 | 4,100,000 | 4,182,000 |
VeriSign, Inc. | ||
5.250%, 04/01/25 | 2,300,000 | 2,596,240 |
Verizon Communications, Inc. | ||
3.875%, 02/08/29 | 4,500,000 | 5,003,050 |
VF Corp. | ||
2.950%, 04/23/30 | 2,500,000 | 2,587,424 |
Videotron, Ltd. (Canada) | ||
5.375%, 06/15/241 | 3,700,000 | 4,042,250 |
Walmart, Inc. | ||
4.050%, 06/29/48 | 2,200,000 | 2,584,426 |
WESCO Distribution, Inc. | ||
7.125%, 06/15/251 | 3,700,000 | 4,045,950 |
Xylem, Inc. | ||
2.250%, 01/30/31 | 5,200,000 | 5,098,300 |
Yum! Brands, Inc. | ||
3.625%, 03/15/31 | 4,100,000 | 3,942,109 |
Total Industrials | 391,647,739 | |
Utilities - 1.6% | ||
Dominion Energy, Inc. | ||
Series B, (4.650% to 12/15/24 then U.S. Treasury Yield Curve CMT 5 year + 2.993%), 4.650%, 12/15/242,3,4 | 5,000,000 | 5,264,000 |
Empresa Nacional de Electricidad S.A. (Chile) | ||
7.875%, 02/01/27 | 1,500,000 | 1,905,152 |
National Rural Utilities Cooperative Finance Corp. | ||
1.350%, 03/15/31 | 5,300,000 | 4,770,202 |
Northern States Power Co. | ||
2.900%, 03/01/50 | 5,300,000 | 5,045,853 |
Total Utilities | 16,985,207 | |
Total Corporate Bonds and Notes (Cost $522,832,580) | 534,116,003 | |
Asset-Backed Securities - 0.4% | ||
FAN Engine Securitization, Ltd. (Ireland) | ||
Series 2013-1A, Class 1A 4.625%, 10/15/431,6 | 7,795,272 | 3,858,659 |
Total Asset-Backed Securities (Cost $7,718,616) | 3,858,659 |
Principal Amount | Value | |
Mortgage-Backed Securities - 0.1% | ||
PRPM LLC | ||
Series 2021-2, Class A1 2.115, 03/25/241,3 | $895,000 | $893,757 |
Total Mortgage-Backed Securities (Cost $894,989) | 893,757 | |
Municipal Bonds - 1.9% | ||
California State General Obligation, School Improvements 7.550%, 04/01/39 | 3,000,000 | 4,846,348 |
Los Angeles Unified School District, School Improvements 5.750%, 07/01/34 | 3,800,000 | 5,025,014 |
Massachusetts School Building Authority Series B, 1.753%, 08/15/30 | 5,000,000 | 4,932,792 |
New Jersey Economic Development Authority, Pension Funding, Series A (National Insured) 7.425%, 02/15/29 | 4,000,000 | 5,116,650 |
Total Municipal Bonds (Cost $20,054,544) | 19,920,804 | |
U.S. Government and Agency Obligations - 28.9% | ||
Fannie Mae - 12.8% | ||
FNMA | ||
2.000%, 04/01/51 | 22,000,000 | 21,950,476 |
2.500%, 11/01/50 | 7,696,098 | 7,899,303 |
3.500%, 02/01/35 to 08/01/49 | 48,190,760 | 51,453,720 |
4.000%, 06/01/48 to 06/01/49 | 39,288,811 | 42,203,425 |
5.000%, 10/01/49 | 6,883,937 | 7,605,994 |
Total Fannie Mae | 131,112,918 | |
Freddie Mac - 9.8% | ||
FHLMC | ||
2.000%, 03/01/36 | 20,811,261 | 21,391,629 |
3.000%, 04/01/51 | 25,000,000 | 26,212,749 |
3.500%, 02/01/50 | 28,605,054 | 30,182,374 |
4.500%, 12/01/48 | 21,047,309 | 22,929,362 |
Total Freddie Mac | 100,716,114 | |
U.S. Treasury Obligations - 6.3% | ||
U.S. Treasury Bonds | ||
3.500%, 02/15/39 | 13,200,000 | 15,795,140 |
U.S. Treasury Notes | ||
0.125%, 08/31/22 to 02/28/23 | 49,395,000 | 49,364,466 |
Total U.S. Treasury Obligations | 65,159,606 | |
Total U.S. Government and Agency Obligations (Cost $297,778,156) | 296,988,638 | |
Foreign Government Obligations - 1.9% | ||
Chile Government International Bond (Chile) 2.550%, 01/27/32 | 5,000,000 | 5,036,350 |
The Korea Development Bank (South Korea) 0.500%, 10/27/23 | 5,000,000 | 4,999,602 |
4
AMG GW&K ESG Bond Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |
Foreign Government Obligations - 1.9% (continued) | ||
Province of Ontario Canada (Canada) 1.050%, 05/21/27 | $5,000,000 | $4,890,143 |
Province of Quebec Canada (Canada) 1.350%, 05/28/30 | 5,200,000 | 4,939,379 |
Total Foreign Government Obligations (Cost $20,024,609) | 19,865,474 |
Shares | ||
Short-Term Investments - 0.0%# | ||
Other Investment Companies - 0.0%# | ||
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%7 | 88,129 | 88,129 |
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 0.01%7 | 88,129 | 88,129 |
JPMorgan U.S. Government Money Market Fund, IM Shares, 0.04%7 | 90,800 | 90,800 |
Total Short-Term Investments (Cost $267,058) | 267,058 |
Value | ||
Total Investments - 85.1% (Cost $869,570,552) | $875,910,393 | |
Other Assets, less Liabilities - 14.9% | 153,376,035 | |
Net Assets - 100.0% | $1,029,286,428 |
# | Less than 0.05%. |
1 | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2021, the value of these securities amounted to $96,291,100 or 9.4% of net assets. |
2 | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at March 31, 2021. Rate will reset at a future date. |
3 | Variable rate security. The rate shown is based on the latest available information as of March 31, 2021. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
4 | Perpetuity Bond. The date shown represents the next call date. |
5 | Step Bond: A debt instrument with either deferred interest payments or an interest rate that resets at specific times during its term. |
6 | Security's value was determined by using significant unobservable inputs. |
7 | Yield shown represents the March 31, 2021, seven day average yield, which refers to the sum of the previous seven days' dividends paid, expressed as an annual percentage. |
CMT | Constant Maturity Treasury |
FHLMC | Freddie Mac |
FNMA | Fannie Mae |
LIBOR | London Interbank Offered Rate |
MTN | Medium-Term Note |
National Insured | National Public Finance Guarantee Corp. |
Description | Currency | Number of Contracts | Position | Expiration Date | Current Notional Amount | Value and Unrealized Gain/(Loss) |
10-Year U.S. Treasury Note | USD | 370 | Long | 06/21/21 | $48,446,875 | $(93,007) |
U.S. Long Bond | USD | 148 | Long | 06/21/21 | 22,879,875 | (101,960) |
U.S. Ultra Treasury Bond | USD | 72 | Long | 06/21/21 | 13,047,750 | (121,387) |
Total | $(316,354) |
CURRENCY ABBREVIATIONS: | |
USD | US Dollar |
5
AMG GW&K ESG Bond Fund
Schedule of Portfolio Investments (continued)
The following table summarizes the inputs used to value the Fund's investments by the fair value hierarchy levels as of March 31, 2021:
Level 1 | Level 21 | Level 3 | Total | ||||
Investments in Securities | |||||||
Corporate Bonds and Notes† | — | $534,116,003 | — | $534,116,003 | |||
Asset-Backed Securities | — | — | $3,858,659 | 3,858,659 | |||
Mortgage-Backed Securities | — | 893,757 | — | 893,757 | |||
Municipal Bonds | — | 19,920,804 | — | 19,920,804 | |||
U.S. Government and Agency Obligations† | — | 296,988,638 | — | 296,988,638 | |||
Foreign Government Obligations | — | 19,865,474 | — | 19,865,474 | |||
Short-Term Investments | |||||||
Other Investment Companies | $267,058 | — | — | 267,058 | |||
Total Investments in Securities | $267,058 | $871,784,676 | $3,858,659 | $875,910,393 | |||
Financial Derivative Instruments - Liabilities | |||||||
Interest Rate Futures Contracts | $(316,354) | — | — | $(316,354) | |||
Total Financial Derivative Instruments | $(316,354) | — | — | $(316,354) |
† | All corporate bonds and notes and U.S. government and agency obligations held in the Fund are Level 2 securities. For a detailed breakout of corporate bonds and notes and U.S. government and agency obligations by major industry or agency classification, please refer to the Fund's Schedule of Portfolio Investments. |
1 | An external pricing service is used to reflect any impact on security value due to market movements between the time the Fund valued such foreign securities and the earlier closing of foreign markets. |
The following table below is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value at March 31, 2021:
Asset-Backed Securities | |
Balance as of December 31, 2020 | $5,105,499 |
Accrued discounts (premiums) | 1,437 |
Realized gain (loss) | 5,551 |
Change in unrealized appreciation/depreciation | (697,665) |
Purchases | — |
Sales | (556,163) |
Transfers in to Level 3 | — |
Transfers out of Level 3 | — |
Balance as of March 31, 2021 | $3,858,659 |
Net change in unrealized appreciation/depreciation on investments still held at March 31, 2021 | $(906,840) |
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AMG GW&K ESG Bond Fund
Schedule of Portfolio Investments (continued)
The following table summarizes the quantitative inputs and assumptions used for investments categorized in Level 3 of the fair value hierarchy as of March 31, 2021. The table below is not intended to be all-inclusive, but rather provides information on the significant Level 3 inputs as they relate to the Fund’s fair value measurements:
Quantitative Information about Level 3 Fair Value Measurements | ||||||
Fair Value as of March 31, 2021 | Valuation Technique(s) | Unobservable Inputs(s) | Range | Median | Impact to Valuation from an Increase in Input(a) | ||||||
Asset-Backed Securities | $3,858,659 | Market Approach | Broker Quote Discount Rate | N/A 10% | N/A N/A | Increase Decrease | |||||
(a) Represents the directional change in the fair value of the Level 3 investments that could have resulted from an increase in the corresponding input as of period end. A decrease to the unobservable input would have had the opposite effect. Significant changes in these inputs may have resulted in a significantly higher or lower fair value measurement at period end. |
For additional information about significant accounting policies, including valuation of investments, refer to the Fund’s most recent semi or annual report.
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