AMG GW&K ESG Bond Fund
Schedule of Portfolio Investments (unaudited)
March 31, 2023
| Principal Amount | Value | |
| Corporate Bonds and Notes - 54.3% | ||
| Financials - 11.2% | ||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) | ||
| 1.650%, 10/29/24 | $5,300,000 | $4,957,822 |
| Aircastle, Ltd. (Bermuda) | ||
| 5.250%, 08/11/251 | 2,282,000 | 2,230,340 |
| American Express Co. | ||
| (3.550% to 09/15/26 then U.S. Treasury Yield Curve CMT 5 year + 2.854%), 3.550%, 09/15/262,3,4 | 1,195,000 | 1,010,014 |
| American Tower Corp. | ||
| 4.400%, 02/15/26 | 1,900,000 | 1,873,085 |
| Bank of America Corp. | ||
| (3.559% to 04/23/26 then 3 month LIBOR + 1.060%), 3.559%, 04/23/272,4 | 2,850,000 | 2,706,936 |
| MTN, (4.330% to 03/15/49 then 3 month LIBOR + 1.520%), 4.330%, 03/15/502,4 | 2,775,000 | 2,378,047 |
| 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 | 4,300,000 | 4,068,957 |
| Citigroup, Inc. | ||
| Series P, (5.950% to 05/15/25 then 3 Month Term SOFR + 4.167%), 5.950%, 05/15/252,3,4 | 1,550,000 | 1,444,516 |
| Crown Castle, Inc. | ||
| 4.000%, 03/01/27 | 2,300,000 | 2,228,103 |
| First-Citizens Bank & Trust Co. | ||
| 6.125%, 03/09/28 | 2,825,000 | 2,751,110 |
| The Goldman Sachs Group, Inc. | ||
| 6.750%, 10/01/37 | 1,850,000 | 2,000,402 |
| JPMorgan Chase & Co. | ||
| (1.470% to 09/22/26 then SOFR + 0.765%), 1.470%, 09/22/272,4 | 3,104,000 | 2,737,445 |
| Morgan Stanley | ||
| 3.950%, 04/23/27 | 2,200,000 | 2,126,896 |
| (4.431% to 01/23/29 then 3 month LIBOR + 1.628%), 4.431%, 01/23/302,4 | 2,948,000 | 2,843,393 |
| SBA Communications Corp. | ||
| 3.875%, 02/15/27 | 3,700,000 | 3,492,924 |
| SLM Corp. | ||
| 3.125%, 11/02/265 | 3,365,000 | 2,860,250 |
| 4.200%, 10/29/25 | 838,000 | 754,200 |
| Starwood Property Trust, Inc. | ||
| 4.750%, 03/15/25 | 1,700,000 | 1,598,850 |
| 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 | 3,400,000 | 3,142,557 |
| US Bancorp | ||
| (4.548% to 07/22/27 then SOFR + 1.660%), 4.548%, 07/22/282,4 | 2,016,000 | 1,964,389 |
| Principal Amount | Value | |
| Wells Fargo & Co., MTN | ||
| (2.879% to 10/30/29 then 3 Month Term SOFR + 1.432%), 2.879%, 10/30/302,4 | $3,435,000 | $2,985,075 |
| Weyerhaeuser Co. | ||
| 6.875%, 12/15/33 | 2,600,000 | 2,849,824 |
| Total Financials | 55,005,135 | |
| Industrials - 40.9% | ||
| Advocate Health & Hospitals Corp. | ||
| 4.272%, 08/15/48 | 1,700,000 | 1,519,688 |
| AECOM | ||
| 5.125%, 03/15/27 | 1,650,000 | 1,634,441 |
| Air Products and Chemicals, Inc. | ||
| 2.700%, 05/15/40 | 2,450,000 | 1,880,508 |
| 4.800%, 03/03/33 | 1,621,000 | 1,665,899 |
| Alcoa Nederland Holding, B.V. (Netherlands) | ||
| 4.125%, 03/31/291 | 5,150,000 | 4,584,890 |
| Amazon.com, Inc. | ||
| 4.600%, 12/01/25 | 4,803,000 | 4,842,182 |
| Anheuser-Busch InBev Worldwide, Inc. | ||
| 4.375%, 04/15/38 | 2,200,000 | 2,089,096 |
| Aramark Services, Inc. | ||
| 5.000%, 02/01/281 | 3,120,000 | 2,952,971 |
| Ashtead Capital, Inc. | ||
| 1.500%, 08/12/261 | 3,536,000 | 3,099,183 |
| AT&T, Inc. | ||
| 4.300%, 02/15/30 | 2,200,000 | 2,137,786 |
| Ball Corp. | ||
| 2.875%, 08/15/305 | 3,875,000 | 3,227,701 |
| Broadcom Corp./Broadcom Cayman Finance, Ltd. | ||
| 3.875%, 01/15/27 | 3,019,000 | 2,918,475 |
| CCO Holdings LLC/CCO Holdings Capital Corp. | ||
| 5.500%, 05/01/261 | 2,000,000 | 1,945,000 |
| Celanese US Holdings LLC | ||
| 6.050%, 03/15/25 | 4,785,000 | 4,812,465 |
| Centene Corp. | ||
| 3.375%, 02/15/30 | 3,650,000 | 3,184,421 |
| Cisco Systems, Inc. | ||
| 5.500%, 01/15/40 | 1,650,000 | 1,800,096 |
| Clean Harbors, Inc. | ||
| 4.875%, 07/15/271 | 2,520,000 | 2,430,560 |
| Clearwater Paper Corp. | ||
| 4.750%, 08/15/281 | 1,950,000 | 1,751,880 |
| Cogent Communications Group, Inc. | ||
| 3.500%, 05/01/261 | 3,365,000 | 3,137,862 |
| Comcast Corp. | ||
| 4.650%, 02/15/335 | 3,717,000 | 3,735,945 |
| CommonSpirit Health | ||
| 3.347%, 10/01/29 | 1,950,000 | 1,753,552 |
| Crown Americas LLC/Crown Americas Capital Corp. V | ||
| 4.250%, 09/30/26 | 3,350,000 | 3,211,536 |
1
AMG GW&K ESG Bond Fund
Schedule of Portfolio Investments (continued)
| Principal Amount | Value | |
| Industrials - 40.9% (continued) | ||
| Dell International LLC/EMC Corp. | ||
| 8.100%, 07/15/365 | $972,000 | $1,133,911 |
| Dell, Inc. | ||
| 7.100%, 04/15/28 | 2,750,000 | 2,937,006 |
| Delta Air Lines, Inc. | ||
| 7.375%, 01/15/265 | 3,100,000 | 3,225,674 |
| Discovery Communications LLC | ||
| 3.950%, 03/20/28 | 2,047,000 | 1,919,241 |
| Eastman Chemical Co. | ||
| 5.750%, 03/08/335 | 4,810,000 | 4,892,311 |
| FMG Resources August 2006 Pty, Ltd. (Australia) | ||
| 4.500%, 09/15/271 | 3,000,000 | 2,880,900 |
| The Ford Foundation | ||
| Series 2020, 2.415%, 06/01/50 | 2,725,000 | 1,805,134 |
| Freeport-McMoRan, Inc. | ||
| 4.625%, 08/01/305 | 2,961,000 | 2,796,807 |
| Graphic Packaging International LLC | ||
| 3.500%, 03/01/291 | 2,850,000 | 2,462,142 |
| Hasbro, Inc. | ||
| 3.900%, 11/19/29 | 3,320,000 | 3,022,516 |
| HB Fuller Co. | ||
| 4.250%, 10/15/28 | 3,400,000 | 3,016,108 |
| HCA, Inc. | ||
| 3.500%, 09/01/30 | 3,050,000 | 2,716,604 |
| Hilton Domestic Operating Co., Inc. | ||
| 4.875%, 01/15/30 | 3,600,000 | 3,448,296 |
| The Home Depot, Inc. | ||
| 5.875%, 12/16/36 | 1,600,000 | 1,783,929 |
| Howmet Aerospace, Inc. | ||
| 6.875%, 05/01/25 | 2,000,000 | 2,076,210 |
| Jacobs Engineering Group, Inc. | ||
| 5.900%, 03/01/33 | 4,293,000 | 4,297,454 |
| KB Home | ||
| 4.800%, 11/15/29 | 1,222,000 | 1,118,130 |
| 6.875%, 06/15/27 | 1,751,000 | 1,779,111 |
| Kraft Heinz Foods Co. | ||
| 4.625%, 10/01/39 | 2,730,000 | 2,502,382 |
| Lamar Media Corp. | ||
| 4.875%, 01/15/295 | 3,250,000 | 3,058,412 |
| Merck & Co., Inc. | ||
| 1.900%, 12/10/28 | 6,710,000 | 5,949,751 |
| Microsoft Corp. | ||
| 2.525%, 06/01/50 | 2,450,000 | 1,733,575 |
| MSCI, Inc. | ||
| 3.250%, 08/15/331 | 2,015,000 | 1,650,183 |
| Mueller Water Products, Inc. | ||
| 4.000%, 06/15/291 | 3,000,000 | 2,679,817 |
| Murphy Oil USA, Inc. | ||
| 4.750%, 09/15/29 | 3,250,000 | 2,960,458 |
| Principal Amount | Value | |
| Netflix, Inc. | ||
| 4.875%, 06/15/301,5 | $4,905,000 | $4,883,148 |
| Newell Brands, Inc. | ||
| 4.700%, 04/01/266 | 3,400,000 | 3,272,500 |
| Novelis Corp. | ||
| 3.250%, 11/15/261 | 3,175,000 | 2,901,521 |
| Owens Corning | ||
| 7.000%, 12/01/36 | 1,800,000 | 2,003,620 |
| Parker-Hannifin Corp. | ||
| 3.250%, 06/14/29 | 1,900,000 | 1,750,174 |
| Penske Automotive Group, Inc. | ||
| 3.500%, 09/01/25 | 2,000,000 | 1,880,769 |
| Prime Security Services Borrower LLC/Prime Finance, Inc. | ||
| 5.750%, 04/15/261 | 3,250,000 | 3,225,625 |
| PulteGroup, Inc. | ||
| 6.000%, 02/15/355 | 2,050,000 | 2,074,192 |
| SK Hynix, Inc. (South Korea) | ||
| 2.375%, 01/19/311,5 | 3,000,000 | 2,246,416 |
| Sonoco Products Co. | ||
| 2.850%, 02/01/32 | 3,682,000 | 3,102,115 |
| Sysco Corp. | ||
| 2.400%, 02/15/30 | 4,475,000 | 3,908,929 |
| Teleflex, Inc. | ||
| 4.250%, 06/01/281 | 3,350,000 | 3,185,565 |
| Tenet Healthcare Corp. | ||
| 4.875%, 01/01/26 | 3,250,000 | 3,186,170 |
| Toll Brothers Finance Corp. | ||
| 4.875%, 03/15/27 | 3,250,000 | 3,152,105 |
| Travel + Leisure Co. | ||
| 5.650%, 04/01/246 | 2,700,000 | 2,691,684 |
| Twilio, Inc. | ||
| 3.625%, 03/15/29 | 600,000 | 517,500 |
| 3.875%, 03/15/315 | 2,694,000 | 2,285,913 |
| United Parcel Service, Inc. | ||
| 6.200%, 01/15/38 | 1,500,000 | 1,709,072 |
| United Rentals North America, Inc. | ||
| 3.875%, 02/15/315 | 3,650,000 | 3,221,125 |
| Verizon Communications, Inc. | ||
| 3.875%, 02/08/29 | 5,108,000 | 4,935,240 |
| VF Corp. | ||
| 2.950%, 04/23/305 | 2,100,000 | 1,765,881 |
| VMware, Inc. | ||
| 3.900%, 08/21/27 | 3,200,000 | 3,063,323 |
| Walgreens Boots Alliance, Inc. | ||
| 4.800%, 11/18/44 | 2,520,000 | 2,147,244 |
| Walmart, Inc. | ||
| 4.050%, 06/29/48 | 1,850,000 | 1,716,910 |
| WESCO Distribution, Inc. | ||
| 7.125%, 06/15/251 | 1,600,000 | 1,626,320 |
2
AMG GW&K ESG Bond Fund
Schedule of Portfolio Investments (continued)
| Principal Amount | Value | |
| Industrials - 40.9% (continued) | ||
| Western Digital Corp. | ||
| 4.750%, 02/15/26 | $1,916,000 | $1,838,315 |
| Yum! Brands, Inc. | ||
| 3.625%, 03/15/31 | 3,550,000 | 3,116,900 |
| Total Industrials | 199,570,475 | |
| Utilities - 2.2% | ||
| 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 | 3,750,000 | 3,294,525 |
| National Rural Utilities Cooperative Finance Corp. | ||
| 1.350%, 03/15/31 | 4,635,000 | 3,570,598 |
| Northern States Power Co. | ||
| 2.900%, 03/01/50 | 5,365,000 | 3,788,847 |
| Total Utilities | 10,653,970 | |
| Total Corporate Bonds and Notes (Cost $291,961,718) | 265,229,580 | |
| Municipal Bonds - 6.2% | ||
| California Health Facilities Financing Authority 4.190%, 06/01/37 | 3,500,000 | 3,276,528 |
| California State General Obligation, School Improvements 7.550%, 04/01/39 | 2,300,000 | 2,977,572 |
| Commonwealth of Massachusetts, Series B 4.110%, 07/15/31 | 3,660,000 | 3,622,184 |
| Dallas Fort Worth International Airport, Series A 4.507%, 11/01/51 | 1,000,000 | 924,061 |
| JobsOhio Beverage System, Series A 2.833%, 01/01/38 | 3,700,000 | 3,029,511 |
| Los Angeles Unified School District, School Improvements 5.750%, 07/01/34 | 3,225,000 | 3,494,840 |
| Massachusetts School Building Authority Series B, 1.753%, 08/15/30 | 4,500,000 | 3,811,516 |
| New Jersey Economic Development Authority, Pension Funding, Series A (National Insured) 7.425%, 02/15/29 | 3,550,000 | 3,874,937 |
| Port Authority of New York & New Jersey 6.040%, 12/01/29 | 2,000,000 | 2,164,314 |
| University of California, Series BI 1.697%, 05/15/29 | 3,650,000 | 3,136,122 |
| Total Municipal Bonds (Cost $34,733,482) | 30,311,585 | |
| U.S. Government and Agency Obligations - 37.0% | ||
| Fannie Mae - 16.3% | ||
| FNMA | ||
| 2.000%, 04/01/51 | 12,280,906 | 10,180,923 |
| 3.500%, 02/01/35 to 02/01/51 | 38,686,279 | 36,881,578 |
| Principal Amount | Value | |
| FNMA | ||
| 4.000%, 07/01/44 to 01/01/51 | $23,363,295 | $22,727,446 |
| 4.500%, 05/01/48 to 06/01/49 | 6,804,232 | 6,818,192 |
| 5.000%, 05/01/50 | 3,116,672 | 3,160,573 |
| Total Fannie Mae | 79,768,712 | |
| Freddie Mac - 8.5% | ||
| FHLMC | ||
| 2.000%, 03/01/36 | 8,547,702 | 7,732,851 |
| 3.000%, 04/01/51 | 16,430,913 | 14,822,391 |
| 3.500%, 02/01/50 | 9,346,117 | 8,798,880 |
| 4.500%, 10/01/48 to 12/01/48 | 9,889,412 | 9,857,582 |
| Total Freddie Mac | 41,211,704 | |
| U.S. Treasury Obligations - 12.2% | ||
| U.S. Treasury Bonds | ||
| 1.250%, 05/15/50 | 4,625,000 | 2,688,642 |
| 1.875%, 02/15/51 | 13,662,000 | 9,331,253 |
| 2.250%, 05/15/41 | 19,209,000 | 15,255,398 |
| 2.500%, 02/15/46 | 2,096,000 | 1,664,682 |
| 3.125%, 05/15/48 | 10,968,000 | 9,788,940 |
| 3.500%, 02/15/39 | 7,727,000 | 7,633,431 |
| 5.000%, 05/15/37 | 2,221,000 | 2,589,981 |
| U.S. Treasury Notes | ||
| 2.500%, 01/31/25 | 1,000,000 | 971,016 |
| 3.500%, 02/15/33 | 4,829,000 | 4,836,545 |
| 4.000%, 02/29/28 | 4,758,000 | 4,843,867 |
| Total U.S. Treasury Obligations | 59,603,755 | |
| Total U.S. Government and Agency Obligations (Cost $207,890,064) | 180,584,171 | |
| Foreign Government Obligation - 0.9% | ||
| The Korea Development Bank (South Korea) | ||
| 0.500%, 10/27/23 (Cost $4,552,035) | 4,550,000 | 4,445,497 |
| Short-Term Investments - 5.1% | ||
| Joint Repurchase Agreements - 4.5%7 | ||
| Bank of America Securities, Inc., dated 03/31/23, due 04/03/23, 4.820% total to be received $5,475,117 (collateralized by various U.S. Government Agency Obligations, 1.500% - 3.000%, 11/01/49 - 02/01/51, totaling $5,582,377) | 5,472,919 | 5,472,919 |
| Cantor Fitzgerald Securities, Inc., dated 03/31/23, due 04/03/23, 4.830% total to be received $3,019,397 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 9.000%, 04/25/23 - 02/20/73, totaling $3,078,546) | 3,018,182 | 3,018,182 |
| Citadel Securities LLC, dated 03/31/23, due 04/03/23, 4.880% total to be received $2,134,015 (collateralized by various U.S. Treasuries, 0.000% - 5.375%, 04/04/23 - 02/15/53, totaling $2,176,696) | 2,133,148 | 2,133,148 |
3
AMG GW&K ESG Bond Fund
Schedule of Portfolio Investments (continued)
| Principal Amount | Value | |
| Joint Repurchase Agreements - 4.5%7 (continued) | ||
| Citigroup Global Markets, Inc., dated 03/31/23, due 04/03/23, 4.810% total to be received $3,767,108 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 1.500% - 7.000%, 12/26/24 - 03/20/53, totaling $3,840,911) | $3,765,599 | $3,765,599 |
| RBC Dominion Securities, Inc., dated 03/31/23, due 04/03/23, 4.820% total to be received $5,475,117 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 6.375%, 04/06/23 - 02/20/53, totaling $5,582,377) | 5,472,919 | 5,472,919 |
| State of Wisconsin Investment Board, dated 03/31/23, due 04/03/23, 4.910% total to be received $2,027,629 (collateralized by various U.S. Treasuries, 0.125% - 3.875%, 07/15/25 - 02/15/51, totaling $2,067,337) | 2,026,800 | 2,026,800 |
| Total Joint Repurchase Agreements | 21,889,567 |
| Principal Amount | Value | |
| Repurchase Agreements - 0.6% | ||
| Fixed Income Clearing Corp. dated 03/31/23, due 04/03/23, 4.650% total to be received $3,164,226 (collateralized by a U.S. Treasury, 1.750%, 07/31/24, totaling $3,226,343) | $3,163,000 | $3,163,000 |
| Total Short-Term Investments (Cost $25,052,567) | 25,052,567 | |
| Total Investments - 103.5% (Cost $564,189,866) | 505,623,400 | |
| Other Assets, less Liabilities - (3.5)% | (17,267,765) | |
| Net Assets - 100.0% | $488,355,635 |
| 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, 2023, the value of these securities amounted to $49,874,323 or 10.2% of net assets. |
| 2 | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at March 31, 2023. Rate will reset at a future date. |
| 3 | Perpetuity Bond. The date shown represents the next call date. |
| 4 | Variable rate security. The rate shown is based on the latest available information as of March 31, 2023. 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 | Some of these securities, amounting to $27,854,757 or 5.7% 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. |
| 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 |
| FHLMC | Freddie Mac |
| FNMA | Fannie Mae |
| LIBOR | London Interbank Offered Rate |
| MTN | Medium-Term Note |
| National Insured | National Public Finance Guarantee Corp. |
| SOFR | Secured Overnight Financing Rate |
4
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, 2023:
| Level 1 | Level 2 | Level 3 | Total | ||||
| Investments in Securities | |||||||
| Corporate Bonds and Notes† | — | $265,229,580 | — | $265,229,580 | |||
| Municipal Bonds† | — | 30,311,585 | — | 30,311,585 | |||
| U.S. Government and Agency Obligations† | — | 180,584,171 | — | 180,584,171 | |||
| Foreign Government Obligation† | — | 4,445,497 | — | 4,445,497 | |||
| Short-Term Investments | |||||||
| Joint Repurchase Agreements | — | 21,889,567 | — | 21,889,567 | |||
| Repurchase Agreements | — | 3,163,000 | — | 3,163,000 | |||
| Total Investments in Securities | — | $505,623,400 | — | $505,623,400 | |||
| † | All corporate bonds and notes, municipal bonds, U.S. government and agency obligations and foreign government obligation held in the Fund are Level 2 securities. For a detailed breakout of corporate bonds and notes, municipal bonds, U.S. government and agency obligations and foreign government obligation by major industry or agency classification, please refer to the Fund's Schedule of Portfolio Investments. |
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, 2023, were as follows:
| Securities Loaned | Cash Collateral Received | Securities Collateral Received | Total Collateral Received | |
| $27,854,757 | $21,889,567 | $6,703,513 | $28,593,080 |
The following table summarizes the securities received as collateral for securities lending at March 31, 2023:
| Collateral Type | Coupon Range | Maturity Date Range | |
| U.S. Treasury Obligations | 0.125%-4.625% | 07/15/23-05/15/52 |
For additional information about significant accounting policies, including valuation of investments, refer to the Fund’s most recent semi or annual report.
5