AMG GW&K High Income Fund
Schedule of Portfolio Investments (unaudited)
March 31, 2022
Principal Amount | Value | |
Corporate Bonds and Notes - 96.9% | ||
Financials - 17.2% | ||
Ally Financial, Inc. Series B (4.700% to 05/15/26 then U.S. Treasury Yield Curve CMT 5 year + 3.868%), 4.700%, 05/15/261,2,3 | $190,000 | $178,853 |
American Express Co. (3.550% to 09/15/26 then U.S. Treasury Yield Curve CMT 5 year + 2.854%), 3.550%, 09/15/261,2,3 | 205,000 | 186,817 |
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%, 06/01/261,2,3 | 241,000 | 230,757 |
Citigroup, Inc. (3.875% to 02/18/26 then U.S. Treasury Yield Curve CMT 5 year + 3.417%), 3.875%, 02/18/261,2,3 | 310,000 | 292,175 |
MetLife, Inc. Series G (3.850% to 09/15/25 then U.S. Treasury Yield Curve CMT 5 year + 3.576%), 3.850%, 09/15/251,2,3,4 | 189,000 | 186,392 |
Morgan Stanley Series M (5.875% to 09/15/26 then 3 month LIBOR + 4.435%), 5.875%, 09/15/261,2,3,4 | 210,000 | 222,420 |
Navient Corp. 6.125%, 03/25/24 | 193,000 | 196,377 |
OneMain Finance Corp. 7.125%, 03/15/26 | 275,000 | 293,945 |
SBA Communications Corp. 3.875%, 02/15/27 | 180,000 | 175,577 |
Service Properties Trust 7.500%, 09/15/25 | 350,000 | 367,167 |
SLM Corp. 4.200%, 10/29/25 | 286,000 | 283,715 |
Starwood Property Trust, Inc. 4.750%, 03/15/25 | 446,000 | 451,566 |
VICI Properties LP/VICI Note Co., Inc. | ||
3.500%, 02/15/255 | 120,000 | 118,230 |
4.250%, 12/01/265 | 85,000 | 84,643 |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.500%, 03/01/255 | 185,000 | 185,004 |
Total Financials | 3,453,638 | |
Industrials - 77.3% | ||
AECOM 5.125%, 03/15/27 | 184,000 | 188,182 |
Principal Amount | Value | |
Alcoa Nederland Holding BV (Netherlands) 6.125%, 05/15/285 | $200,000 | $209,500 |
Allegheny Technologies, Inc. 4.875%, 10/01/29 | 156,000 | 147,840 |
American Airlines Inc/AAdvantage Loyalty IP, Ltd. 5.500%, 04/20/265 | 235,000 | 236,763 |
American Axle & Manufacturing, Inc. 6.250%, 03/15/264 | 163,360 | 164,789 |
Aramark Services, Inc. 5.000%, 02/01/284,5 | 100,000 | 97,000 |
ArcelorMittal, S.A. (Luxembourg) 4.250%, 07/16/294 | 81,000 | 82,249 |
Avient Corp. 5.750%, 05/15/255 | 140,000 | 143,724 |
Ball Corp. 5.250%, 07/01/25 | 283,000 | 299,838 |
Bath & Body Works, Inc. 6.694%, 01/15/27 | 135,000 | 143,420 |
Caesars Entertainment, Inc. 6.250%, 07/01/255 | 185,000 | 191,001 |
CDW LLC/CDW Finance Corp. 5.500%, 12/01/24 | 145,000 | 149,997 |
Centennial Resource Production LLC 5.375%, 01/15/265 | 150,000 | 145,500 |
Clearwater Paper Corp. 5.375%, 02/01/255 | 255,000 | 257,869 |
Cleveland-Cliffs, Inc. 5.875%, 06/01/27 | 195,000 | 200,016 |
Cogent Communications Group, Inc. 3.500%, 05/01/265 | 200,000 | 190,000 |
Continental Resources, Inc. 4.375%, 01/15/28 | 138,000 | 139,904 |
Crown Cork & Seal Co., Inc. 7.375%, 12/15/26 | 205,000 | 231,331 |
CSC Holdings LLC 5.250%, 06/01/24 | 167,000 | 167,211 |
Dana, Inc. 5.625%, 06/15/28 | 100,000 | 101,050 |
DCP Midstream Operating LP 5.375%, 07/15/25 | 276,000 | 284,586 |
Delta Air Lines, Inc. 7.375%, 01/15/264 | 251,000 | 272,582 |
Embraer Netherlands Finance BV (Netherlands) 5.050%, 06/15/25 | 220,000 | 222,202 |
Encompass Health Corp. 4.500%, 02/01/28 | 191,000 | 187,180 |
FMG Resources August 2006 Pty, Ltd. (Australia) 5.125%, 05/15/245 | 135,000 | 137,585 |
Ford Motor Co. | ||
4.346%, 12/08/26 | 364,000 | 366,213 |
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AMG GW&K High Income Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |
Industrials - 77.3% (continued) | ||
Ford Motor Co. | ||
5.291%, 12/08/46 | $88,000 | $85,413 |
Fortress Transportation and Infrastructure Investors LLC 6.500%, 10/01/255 | 175,000 | 173,688 |
G-III Apparel Group, Ltd. 7.875%, 08/15/255 | 180,000 | 189,027 |
The Goodyear Tire & Rubber Co. 4.875%, 03/15/274 | 283,000 | 274,749 |
Griffon Corp. 5.750%, 03/01/28 | 100,000 | 96,150 |
Hanesbrands, Inc. 4.875%, 05/15/265 | 170,000 | 170,973 |
HCA, Inc. 5.375%, 02/01/25 | 192,000 | 199,776 |
Howmet Aerospace, Inc. 6.875%, 05/01/25 | 212,000 | 230,211 |
Hudbay Minerals, Inc. (Canada) 4.500%, 04/01/265 | 300,000 | 291,501 |
KB Home 4.000%, 06/15/31 | 95,000 | 85,973 |
Kraft Heinz Foods Co. 4.375%, 06/01/46 | 86,000 | 84,937 |
Lumen Technologies Inc 5.625%, 04/01/25 | 279,000 | 281,092 |
Macy's Retail Holdings, LLC 4.500%, 12/15/34 | 107,000 | 91,218 |
Matador Resources Co. 5.875%, 09/15/26 | 357,000 | 363,533 |
Mattel, Inc. 3.375%, 04/01/265 | 240,000 | 234,980 |
MEG Energy Corp. (Canada) 5.875%, 02/01/295 | 145,000 | 146,994 |
MercadoLibre, Inc. 2.375%, 01/14/26 | 200,000 | 186,502 |
Meritage Homes Corp. 6.000%, 06/01/25 | 163,000 | 171,316 |
Meritor, Inc. 6.250%, 06/01/255 | 260,000 | 268,450 |
Methanex Corp. (Canada) 5.125%, 10/15/27 | 200,000 | 201,000 |
MGM Resorts International 5.750%, 06/15/25 | 233,000 | 238,830 |
Mueller Water Products, Inc. 4.000%, 06/15/295 | 200,000 | 189,446 |
Murphy Oil Corp. 6.375%, 07/15/28 | 131,000 | 136,240 |
Nordstrom, Inc. 4.000%, 03/15/274 | 282,000 | 271,637 |
Principal Amount | Value | |
Novelis Corp. 3.250%, 11/15/265 | $210,000 | $200,609 |
NuStar Logistics LP | ||
5.625%, 04/28/27 | 186,000 | 181,978 |
5.750%, 10/01/25 | 115,000 | 117,156 |
Oasis Petroleum, Inc. 6.375%, 06/01/265 | 140,000 | 143,500 |
Occidental Petroleum Corp. | ||
3.400%, 04/15/26 | 260,000 | 258,375 |
7.875%, 09/15/31 | 80,000 | 99,800 |
Owens-Brockway Glass Container, Inc. 6.375%, 08/15/255 | 220,000 | 223,508 |
Penn National Gaming, Inc. 4.125%, 07/01/295 | 200,000 | 179,040 |
Penske Automotive Group, Inc. 3.500%, 09/01/254 | 192,000 | 190,560 |
Prime Security Services Borrower LLC/Prime Finance, Inc. 5.750%, 04/15/265 | 250,000 | 255,044 |
PTC, Inc. 3.625%, 02/15/255 | 295,000 | 291,681 |
QVC, Inc. 4.750%, 02/15/27 | 204,000 | 195,330 |
Royal Caribbean Cruises, Ltd. (Liberia) 7.500%, 10/15/27 | 181,000 | 192,313 |
Sally Holdings LLC/Sally Capital, Inc. 8.750%, 04/30/255 | 130,000 | 135,850 |
Sealed Air Corp. 5.500%, 09/15/255 | 200,000 | 209,568 |
Silgan Holdings, Inc. 4.125%, 02/01/28 | 153,000 | 146,880 |
Southwestern Energy Co. | ||
5.950%, 01/23/256 | 47,000 | 49,134 |
8.375%, 09/15/28 | 235,000 | 257,913 |
Sprint Corp. 7.125%, 06/15/24 | 169,000 | 181,261 |
Taseko Mines, Ltd. (Canada) 7.000%, 02/15/264,5 | 100,000 | 102,975 |
Telecom Italia S.P.A. (Italy) 5.303%, 05/30/245 | 400,000 | 403,000 |
Tenet Healthcare Corp. 4.875%, 01/01/265 | 190,000 | 191,663 |
Teva Pharmaceutical Finance Netherlands III, B.V. (Netherlands) 3.150%, 10/01/26 | 224,000 | 202,807 |
TransDigm, Inc. 6.250%, 03/15/265 | 190,000 | 195,062 |
Travel + Leisure Co. 5.650%, 04/01/246 | 181,000 | 187,467 |
Trinity Industries, Inc. 4.550%, 10/01/24 | 199,000 | 202,393 |
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AMG GW&K High Income Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |
Industrials - 77.3% (continued) | ||
United Airlines Holdings, Inc. 5.000%, 02/01/24 | $290,000 | $287,715 |
United States Steel Corp. 6.875%, 03/01/294 | 94,000 | 97,760 |
Wabash National Corp. 4.500%, 10/15/285 | 155,000 | 139,500 |
WESCO Distribution, Inc. 7.250%, 06/15/285 | 90,000 | 95,592 |
Western Midstream Operating LP 4.650%, 07/01/26 | 294,000 | 301,350 |
Total Industrials | 15,537,952 | |
Utilities - 2.4% | ||
NRG Energy, Inc. 5.250%, 06/15/295 | 185,000 | 180,787 |
SM Energy Co. 5.625%, 06/01/25 | 312,000 | 311,610 |
Total Utilities | 492,397 | |
Total Corporate Bonds and Notes (Cost $20,359,435) | 19,483,987 | |
Short-Term Investments - 9.7% | ||
Joint Repurchase Agreements - 9.7%7 | ||
Daiwa Capital Markets America, dated 03/31/22, due 04/01/22, 0.300% total to be received $945,697 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 6.500%, 04/05/22 - 04/01/52, totaling $964,603) | 945,689 | 945,689 |
Principal Amount | Value | |
RBC Dominion Securities, Inc., dated 03/31/22, due 04/01/22, 0.300% total to be received $1,000,008 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 5.500%, 04/26/22 - 03/20/52, totaling $1,020,000) | $1,000,000 | $1,000,000 |
Total Joint Repurchase Agreements | 1,945,689 | |
Total Short-Term Investments (Cost $1,945,689) | 1,945,689 | |
Total Investments - 106.6% (Cost $22,305,124) | 21,429,676 | |
Other Assets, less Liabilities - (6.6)% | (1,330,377) | |
Net Assets - 100.0% | $20,099,299 |
1 | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at March 31, 2022. Rate will reset at a future date. |
2 | Perpetuity Bond. The date shown represents the next call date. |
3 | Variable rate security. The rate shown is based on the latest available information as of March 31, 2022. 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 | Some of these securities, amounting to $1,943,482 or 9.7% of net assets, were out on loan to various borrowers and are collateralized by cash and various U.S. Treasury Obligations. See below for more information. |
5 | 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, 2022, the value of these securities amounted to $6,609,257 or 32.9% of net assets. |
6 | Step Bond: A debt instrument with either deferred interest payments or an interest rate that resets at specific times during its term. |
7 | Cash collateral received for securities lending activity was invested in these joint repurchase agreements. |
CMT | Constant Maturity Treasury |
LIBOR | London Interbank Offered Rate |
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AMG GW&K High Income 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, 2022:
Level 1 | Level 2 | Level 3 | Total | ||||
Investments in Securities | |||||||
Corporate Bonds and Notes† | — | $19,483,987 | — | $19,483,987 | |||
Short-Term Investments | |||||||
Joint Repurchase Agreements | — | 1,945,689 | — | 1,945,689 | |||
Total Investments in Securities | — | $21,429,676 | — | $21,429,676 |
† | All corporate bonds and notes held in the Fund are level 2 securities. For a detailed breakout of corporate bonds and notes by major industry classification, please refer to the Fund's Schedule of Portfolio Investments. |
For the period ended March 31, 2022, there were no transfers in or out of Level 3.
The Fund participates in the securities lending program offered by The Bank of New York Mellon providing for the lending of securities to qualified brokers. The value of securities loaned on positions held, cash collateral and securities collateral received at March 31, 2022, were as follows:
Securities Loaned | Cash Collateral Received | Securities Collateral Received | Total Collateral Received | |
$1,943,482 | $1,945,689 | $55,578 | $2,001,267 |
The following table summarizes the securities received as collateral for securities lending at March 31, 2022:
Collateral Type | Coupon Range | Maturity Date Range | |
U.S. Treasury Obligations | 0.010%-3.000% | 04/30/22-05/15/50 |
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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