AMG GW&K High Income Fund
Schedule of Portfolio Investments (unaudited)
September 30, 2022
Principal Amount | Value | |
Corporate Bonds and Notes - 95.2% | ||
Financials - 15.6% | ||
Aircastle, Ltd. (Bermuda) 4.250%, 06/15/26 | $304,000 | $272,672 |
Ally Financial, Inc. Series B (4.700% to 05/15/26 then U.S. Treasury Yield Curve CMT 5 year + 3.868%), 4.700%, 05/15/261,2,3,4 | 198,000 | 154,343 |
American Express Co. (3.550% to 09/15/26 then U.S. Treasury Yield Curve CMT 5 year + 2.854%), 3.550%, 09/15/261,2,4 | 205,000 | 157,989 |
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%, 06/01/261,2,4 | 241,000 | 197,670 |
Citigroup, Inc. (3.875% to 02/18/26 then U.S. Treasury Yield Curve CMT 5 year + 3.417%), 3.875%, 02/18/261,2,4 | 310,000 | 255,635 |
The Goldman Sachs Group, Inc. Series U (3.650% to 08/10/26 then U.S. Treasury Yield Curve CMT 5 year + 2.915%), 3.650%, 08/10/261,2,4 | 165,000 | 126,638 |
JPMorgan Chase & Co. Series HH (4.600% to 02/01/25 then SOFR + 3.125%), 4.600%, 02/01/251,2,4 | 109,000 | 94,950 |
MetLife, Inc. Series G (3.850% to 09/15/25 then U.S. Treasury Yield Curve CMT 5 year + 3.576%), 3.850%, 09/15/251,2,4 | 189,000 | 169,078 |
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 | 202,847 |
Navient Corp. 6.125%, 03/25/24 | 193,000 | 187,934 |
SBA Communications Corp. 3.875%, 02/15/27 | 251,000 | 222,614 |
SLM Corp. 4.200%, 10/29/25 | 286,000 | 256,021 |
Starwood Property Trust, Inc. 4.750%, 03/15/25 | 281,000 | 255,387 |
VICI Properties LP/VICI Note Co., Inc. | ||
3.500%, 02/15/255 | 120,000 | 110,923 |
4.250%, 12/01/265 | 85,000 | 76,721 |
Principal Amount | Value | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.500%, 03/01/255 | $185,000 | $173,206 |
Total Financials | 2,914,628 | |
Industrials - 76.2% | ||
AECOM 5.125%, 03/15/27 | 184,000 | 171,728 |
Alcoa Nederland Holding BV (Netherlands) 6.125%, 05/15/285 | 200,000 | 188,963 |
American Airlines Inc/AAdvantage Loyalty IP, Ltd. 5.500%, 04/20/265 | 235,000 | 220,705 |
American Axle & Manufacturing, Inc. 6.250%, 03/15/26 | 224,000 | 205,351 |
Aramark Services, Inc. 5.000%, 02/01/283,5 | 100,000 | 89,071 |
ATI, Inc. 4.875%, 10/01/29 | 156,000 | 129,522 |
Avient Corp. 5.750%, 05/15/255 | 140,000 | 135,093 |
Ball Corp. 5.250%, 07/01/25 | 283,000 | 276,573 |
Bath & Body Works, Inc. 6.694%, 01/15/27 | 135,000 | 126,205 |
Caesars Entertainment, Inc. 6.250%, 07/01/255 | 185,000 | 178,294 |
CDW LLC/CDW Finance Corp. 5.500%, 12/01/24 | 145,000 | 144,205 |
Cheniere Energy Partners LP 4.500%, 10/01/29 | 150,000 | 132,059 |
Chord Energy Corp. 6.375%, 06/01/265 | 190,000 | 180,500 |
Clearwater Paper Corp. 5.375%, 02/01/255 | 255,000 | 251,468 |
Cleveland-Cliffs, Inc. 5.875%, 06/01/273 | 195,000 | 175,480 |
Cogent Communications Group, Inc. 3.500%, 05/01/265 | 200,000 | 176,030 |
Crown Cork & Seal Co., Inc. 7.375%, 12/15/26 | 205,000 | 205,000 |
CSC Holdings LLC 5.250%, 06/01/24 | 242,000 | 223,850 |
Dana, Inc. 5.625%, 06/15/28 | 100,000 | 82,515 |
DCP Midstream Operating LP 5.375%, 07/15/25 | 276,000 | 268,035 |
Delta Air Lines, Inc. 7.375%, 01/15/263 | 251,000 | 253,730 |
Elanco Animal Health, Inc. 6.400%, 08/28/286 | 140,000 | 123,591 |
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AMG GW&K High Income Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |
Industrials - 76.2% (continued) | ||
Embraer Netherlands Finance BV (Netherlands) 5.050%, 06/15/25 | $220,000 | $209,275 |
Encompass Health Corp. 4.500%, 02/01/28 | 191,000 | 163,590 |
EQT Corp. 5.700%, 04/01/287 | 200,000 | 196,070 |
FMG Resources August 2006 Pty, Ltd. (Australia) 4.500%, 09/15/275 | 100,000 | 88,000 |
Ford Motor Co. | ||
4.346%, 12/08/263 | 364,000 | 334,039 |
5.291%, 12/08/46 | 88,000 | 62,040 |
Fortress Transportation and Infrastructure Investors LLC 6.500%, 10/01/255 | 193,000 | 181,307 |
General Motors Co. 6.800%, 10/01/273 | 179,000 | 180,899 |
G-III Apparel Group, Ltd. 7.875%, 08/15/255 | 180,000 | 163,350 |
The Goodyear Tire & Rubber Co. 4.875%, 03/15/273 | 283,000 | 250,455 |
Hanesbrands, Inc. 4.875%, 05/15/263,5 | 170,000 | 152,822 |
HB Fuller Co. 4.250%, 10/15/28 | 160,000 | 134,624 |
HCA, Inc. 5.375%, 02/01/25 | 192,000 | 189,729 |
Hillenbrand, Inc. 5.000%, 09/15/266 | 140,000 | 130,454 |
Howmet Aerospace, Inc. 6.875%, 05/01/25 | 212,000 | 213,545 |
Hudbay Minerals, Inc. (Canada) 4.500%, 04/01/265 | 105,000 | 87,295 |
KB Home 4.000%, 06/15/31 | 95,000 | 69,801 |
Kraft Heinz Foods Co. 4.375%, 06/01/46 | 86,000 | 66,856 |
Lamar Media Corp. 4.875%, 01/15/293 | 195,000 | 173,812 |
Lumen Technologies Inc 5.625%, 04/01/25 | 279,000 | 270,630 |
Matador Resources Co. 5.875%, 09/15/263 | 357,000 | 344,387 |
Mattel, Inc. 3.375%, 04/01/265 | 240,000 | 214,185 |
MEG Energy Corp. (Canada) 5.875%, 02/01/295 | 195,000 | 175,013 |
Meritage Homes Corp. 6.000%, 06/01/25 | 163,000 | 158,109 |
Principal Amount | Value | |
Methanex Corp. (Canada) 5.125%, 10/15/27 | $200,000 | $168,000 |
MGM Resorts International 5.750%, 06/15/253 | 233,000 | 222,671 |
Mueller Water Products, Inc. 4.000%, 06/15/295 | 200,000 | 170,202 |
Murphy Oil Corp. 6.375%, 07/15/28 | 185,000 | 174,825 |
Newell Brands, Inc. 4.450%, 04/01/266 | 197,000 | 181,240 |
Novelis Corp. 3.250%, 11/15/265 | 210,000 | 175,293 |
NuStar Logistics LP | ||
5.625%, 04/28/27 | 186,000 | 162,179 |
5.750%, 10/01/25 | 115,000 | 106,579 |
Occidental Petroleum Corp. 7.875%, 09/15/31 | 150,000 | 160,125 |
Olin Corp. 5.125%, 09/15/27 | 232,000 | 209,640 |
Owens-Brockway Glass Container, Inc. 6.375%, 08/15/255 | 220,000 | 205,988 |
Penn Entertainment, Inc. 4.125%, 07/01/295 | 200,000 | 153,091 |
Penske Automotive Group, Inc. 3.500%, 09/01/253 | 192,000 | 175,758 |
Permian Resources Operating LLC 5.375%, 01/15/265 | 190,000 | 173,375 |
Prime Security Services Borrower LLC/Prime Finance, Inc. 5.750%, 04/15/265 | 250,000 | 235,235 |
PTC, Inc. 3.625%, 02/15/255 | 295,000 | 274,801 |
Sealed Air Corp. 5.500%, 09/15/255 | 200,000 | 191,000 |
Silgan Holdings, Inc. 4.125%, 02/01/28 | 153,000 | 135,711 |
Southwestern Energy Co. | ||
5.700%, 01/23/256 | 47,000 | 46,018 |
8.375%, 09/15/28 | 235,000 | 243,295 |
Sprint Corp. 7.125%, 06/15/24 | 229,000 | 232,426 |
Tenet Healthcare Corp. 4.875%, 01/01/265 | 190,000 | 176,561 |
Teva Pharmaceutical Finance Netherlands III, B.V. (Netherlands) 3.150%, 10/01/26 | 224,000 | 183,792 |
Toll Brothers Finance Corp. 4.350%, 02/15/28 | 160,000 | 139,465 |
TransDigm, Inc. 6.250%, 03/15/265 | 190,000 | 184,300 |
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AMG GW&K High Income Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |
Industrials - 76.2% (continued) | ||
Travel + Leisure Co. 5.650%, 04/01/246 | $181,000 | $176,938 |
Trinity Industries, Inc. 4.550%, 10/01/24 | 199,000 | 189,195 |
United Airlines Holdings, Inc. 5.000%, 02/01/243 | 290,000 | 276,987 |
United Rentals North America, Inc. 4.875%, 01/15/28 | 155,000 | 142,110 |
United States Steel Corp. 6.875%, 03/01/293 | 34,000 | 30,901 |
Wabash National Corp. 4.500%, 10/15/285 | 155,000 | 120,157 |
WESCO Distribution, Inc. 7.250%, 06/15/285 | 90,000 | 88,151 |
Western Digital Corp. 4.750%, 02/15/26 | 152,000 | 140,749 |
Western Midstream Operating LP 4.650%, 07/01/26 | 294,000 | 274,890 |
Westlake Corp. 0.875%, 08/15/24 | 192,000 | 179,080 |
Total Industrials | 14,248,983 | |
Telecommunications - 0.9% | ||
CCO Holdings LLC/CCO Holdings Capital Corp. 5.500%, 05/01/265 | 185,000 | 175,287 |
Utilities - 2.5% | ||
NRG Energy, Inc. 5.250%, 06/15/295 | 185,000 | 161,875 |
SM Energy Co. 5.625%, 06/01/25 | 312,000 | 299,520 |
Total Utilities | 461,395 | |
Total Corporate Bonds and Notes (Cost $19,991,075) | 17,800,293 |
Principal Amount | Value | |
Short-Term Investments - 19.1% | ||
Joint Repurchase Agreements - 14.7%8 | ||
Amherst Pierpont Securities LLC, dated 09/30/22, due 10/03/22, 3.140% total to be received $1,000,262 (collateralized by various U.S. Government Agency Obligations, 0.000% - 5.000%, 03/31/23 - 11/20/69, totaling $1,020,000) | $1,000,000 | $1,000,000 |
Bank of Montreal, dated 09/30/22, due 10/03/22, 3.050% total to be received $751,980 (collateralized by various U.S. Government Agency Obligations, 2.000% - 6.000%, 08/01/36 - 09/01/52, totaling $766,825) | 751,789 | 751,789 |
National Bank Financial, dated 09/30/22, due 10/03/22, 3.090% total to be received $1,000,258 (collateralized by various U.S. Treasuries, 0.000% - 3.875%, 10/03/22 - 09/09/49, totaling $1,020,088) | 1,000,000 | 1,000,000 |
Total Joint Repurchase Agreements | 2,751,789 | |
Repurchase Agreements - 4.4% | ||
Fixed Income Clearing Corp., dated 09/30/2022 due 10/03/2022, 2.90% total to be received $821,198 (collateralized by a U.S. Treasury, 1.50%, 11/30/28, totaling $837,501) | 821,000 | 821,000 |
Total Short-Term Investments (Cost $3,572,789) | 3,572,789 | |
Total Investments - 114.3% (Cost $23,563,864) | 21,373,082 | |
Other Assets, less Liabilities - (14.3)% | (2,667,810) | |
Net Assets - 100.0% | $18,705,272 |
1 | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at September 30, 2022. Rate will reset at a future date. |
2 | Perpetuity Bond. The date shown represents the next call date. |
3 | Some of these securities, amounting to $2,806,358 or 15.0% 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. |
4 | Variable rate security. The rate shown is based on the latest available information as of September 30, 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. |
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 September 30, 2022, the value of these securities amounted to $5,328,262 or 28.5% 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 | All or part of a security is delayed delivery transaction. The market value for delayed delivery securities at September 30, 2022, amounted to $196,070, or 1.1% of net assets. |
8 | Cash collateral received for securities lending activity was invested in these joint repurchase agreements. |
CMT | Constant Maturity Treasury |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing 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 September 30, 2022:
Level 1 | Level 2 | Level 3 | Total | ||||
Investments in Securities | |||||||
Corporate Bonds and Notes† | — | $17,800,293 | — | $17,800,293 | |||
Short-Term Investments | |||||||
Joint Repurchase Agreements | — | 2,751,789 | — | 2,751,789 | |||
Repurchase Agreements | — | 821,000 | — | 821,000 | |||
Total Investments in Securities | — | $21,373,082 | — | $21,373,082 |
† | 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 September 30, 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 September 30, 2022, were as follows:
Securities Loaned | Cash Collateral Received | Securities Collateral Received | Total Collateral Received | |
$2,806,358 | $2,751,789 | $229,816 | $2,981,605 |
The following table summarizes the securities received as collateral for securities lending at September 30, 2022:
Collateral Type | Coupon Range | Maturity Date Range | |
U.S. Treasury Obligations | 0.010%-3.875% | 01/31/23-05/15/50 |
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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