AMG GW&K High Income Fund
Schedule of Portfolio Investments (unaudited)
September 30, 2023
Principal Amount | Value | |
Corporate Bonds and Notes - 99.6% | ||
Financials - 15.4% | ||
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 | $186,000 | $147,682 |
Citigroup, Inc. (3.875% to 02/18/26 then U.S. Treasury Yield Curve CMT 5 year + 3.417%), 3.875%, 02/18/261,2,3,4 | 275,000 | 234,669 |
Fifth Third Bancorp 3.650%, 01/25/24 | 25,000 | 24,760 |
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%, 08/10/261,2,3,4 | 151,000 | 121,718 |
Huntington Bancshares, Inc. 2.625%, 08/06/24 | 25,000 | 24,165 |
JPMorgan Chase & Co. Series S (6.750% to 02/01/24 then 3 month SOFR + 4.042%), 6.750%, 02/01/241,2,3 | 167,000 | 166,966 |
KeyCorp (3.878% to 05/23/24 then SOFR Index + 1.250%), 3.878%, 05/23/251,3 | 25,000 | 24,100 |
M&T Bank Corp. (4.553% to 08/16/27 then SOFR Index + 1.780%), 4.553%, 08/16/281,3 | 39,000 | 35,922 |
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 | 135,000 | 124,887 |
Morgan Stanley Series M 5.875%, 09/15/262,3,4 | 174,000 | 158,505 |
Navient Corp. 6.125%, 03/25/24 | 180,000 | 179,038 |
SBA Communications Corp. 3.875%, 02/15/27 | 223,000 | 204,329 |
SLM Corp. 4.200%, 10/29/25 | 259,000 | 242,349 |
Starwood Property Trust, Inc. 4.750%, 03/15/25 | 223,000 | 213,209 |
US Bancorp (4.548% to 07/22/27 then SOFR + 1.660%), 4.548%, 07/22/281,3 | 74,000 | 69,509 |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.500%, 03/01/255 | 170,000 | 167,146 |
Total Financials | 2,138,954 |
Principal Amount | Value | |
Industrials - 81.2% | ||
AECOM 5.125%, 03/15/27 | $167,000 | $158,166 |
Air Canada (Canada) 3.875%, 08/15/265 | 195,000 | 176,974 |
Alcoa Nederland Holding BV (Netherlands) 6.125%, 05/15/285 | 200,000 | 192,576 |
American Airlines Inc/AAdvantage Loyalty IP, Ltd. 5.500%, 04/20/265 | 191,583 | 187,112 |
Apache Corp. 4.250%, 01/15/304 | 148,000 | 131,530 |
APi Group DE, Inc. 4.125%, 07/15/295 | 200,000 | 168,069 |
Aramark Services, Inc. 5.000%, 02/01/285 | 136,000 | 125,777 |
ATI, Inc. 4.875%, 10/01/29 | 78,000 | 68,619 |
Avient Corp. 5.750%, 05/15/255 | 135,000 | 132,540 |
Ball Corp. 5.250%, 07/01/25 | 112,000 | 109,839 |
BWX Technologies, Inc. 4.125%, 06/30/285 | 190,000 | 167,980 |
Caesars Entertainment, Inc. 6.250%, 07/01/255 | 170,000 | 167,673 |
Callon Petroleum Co. 6.375%, 07/01/264 | 185,000 | 181,561 |
CCO Holdings LLC/CCO Holdings Capital Corp. 5.500%, 05/01/264,5 | 179,000 | 172,900 |
Celanese US Holdings LLC 6.330%, 07/15/294 | 149,000 | 146,051 |
Centene Corp. 4.250%, 12/15/27 | 93,000 | 85,738 |
Cheniere Energy Partners LP 4.500%, 10/01/29 | 155,000 | 140,348 |
Chord Energy Corp. 6.375%, 06/01/265 | 175,000 | 171,591 |
Clearwater Paper Corp. 5.375%, 02/01/255 | 228,000 | 221,160 |
Cleveland-Cliffs, Inc. 5.875%, 06/01/274 | 172,000 | 163,711 |
Cogent Communications Group, Inc. 3.500%, 05/01/265 | 188,000 | 173,656 |
Commercial Metals Co. 3.875%, 02/15/31 | 124,000 | 103,671 |
Crown Cork & Seal Co., Inc. 7.375%, 12/15/26 | 185,000 | 187,775 |
Dana, Inc. 5.625%, 06/15/284 | 123,000 | 112,586 |
1
AMG GW&K High Income Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |
Industrials - 81.2% (continued) | ||
Embraer Netherlands Finance BV (Netherlands) 5.400%, 02/01/274 | $130,000 | $126,492 |
Encompass Health Corp. 4.500%, 02/01/28 | 146,000 | 133,023 |
Energy Transfer LP 5.250%, 04/15/29 | 95,000 | 91,089 |
EnLink Midstream LLC 5.375%, 06/01/29 | 180,000 | 166,500 |
EQT Corp. 5.700%, 04/01/28 | 105,000 | 102,909 |
FMG Resources August 2006 Pty, Ltd. (Australia) 4.500%, 09/15/275 | 77,000 | 69,685 |
Ford Motor Credit Co. LLC 4.134%, 08/04/25 | 200,000 | 189,617 |
General Motors Co. 6.800%, 10/01/27 | 144,000 | 146,954 |
Graphic Packaging International LLC 3.500%, 03/01/295 | 155,000 | 130,842 |
HB Fuller Co. 4.250%, 10/15/28 | 79,000 | 69,710 |
Hillenbrand, Inc. 5.000%, 09/15/266 | 96,000 | 90,905 |
Howmet Aerospace, Inc. 5.900%, 02/01/27 | 40,000 | 39,295 |
Hudbay Minerals, Inc. (Canada) 4.500%, 04/01/264,5 | 95,000 | 88,880 |
KB Home 4.000%, 06/15/31 | 85,000 | 68,510 |
Kraft Heinz Foods Co. 4.375%, 06/01/46 | 76,000 | 59,222 |
Lamar Media Corp. 4.875%, 01/15/29 | 173,000 | 156,565 |
Matador Resources Co. 5.875%, 09/15/26 | 231,000 | 222,944 |
Mattel, Inc. 3.375%, 04/01/265 | 216,000 | 199,735 |
MEG Energy Corp. (Canada) 5.875%, 02/01/295 | 175,000 | 163,428 |
Meritage Homes Corp. 6.000%, 06/01/25 | 92,000 | 90,450 |
Methanex Corp. (Canada) 5.125%, 10/15/27 | 183,000 | 168,813 |
MGM Resorts International 5.750%, 06/15/25 | 210,000 | 205,119 |
Mueller Water Products, Inc. 4.000%, 06/15/295 | 181,000 | 157,634 |
Murphy Oil Corp. 6.375%, 07/15/28 | 170,000 | 167,105 |
Principal Amount | Value | |
Murphy Oil USA, Inc. 5.625%, 05/01/27 | $178,000 | $171,643 |
Newell Brands, Inc. 5.200%, 04/01/266 | 181,000 | 170,573 |
Novelis Corp. 3.250%, 11/15/264,5 | 189,000 | 168,795 |
NuStar Logistics LP 5.625%, 04/28/27 | 276,000 | 262,954 |
Occidental Petroleum Corp. 7.875%, 09/15/31 | 150,000 | 162,315 |
Olin Corp. 5.125%, 09/15/27 | 202,000 | 188,872 |
Owens-Brockway Glass Container, Inc. 6.375%, 08/15/255 | 196,000 | 195,545 |
Penn Entertainment, Inc. 4.125%, 07/01/295 | 181,000 | 147,911 |
Penske Automotive Group, Inc. 3.500%, 09/01/25 | 174,000 | 164,654 |
Permian Resources Operating LLC 5.375%, 01/15/265 | 190,000 | 181,904 |
Prime Security Services Borrower LLC/Prime Finance, Inc. 5.750%, 04/15/265 | 223,000 | 216,348 |
Sealed Air Corp. 5.500%, 09/15/255 | 165,000 | 161,676 |
Sensata Technologies, B.V. (Netherlands) 4.000%, 04/15/295 | 200,000 | 172,220 |
Silgan Holdings, Inc. 4.125%, 02/01/28 | 135,000 | 120,778 |
Southwestern Energy Co. 8.375%, 09/15/28 | 220,000 | 227,115 |
Spirit AeroSystems, Inc. 9.375%, 11/30/295 | 160,000 | 162,822 |
Teleflex, Inc. 4.250%, 06/01/285 | 150,000 | 134,183 |
Tenet Healthcare Corp. 4.875%, 01/01/26 | 175,000 | 167,655 |
Teva Pharmaceutical Finance Netherlands III, B.V. (Netherlands) 3.150%, 10/01/26 | 199,000 | 177,363 |
Toll Brothers Finance Corp. 4.350%, 02/15/28 | 170,000 | 157,828 |
Travel + Leisure Co. 6.600%, 10/01/256 | 75,000 | 74,250 |
Trinity Industries, Inc. 4.550%, 10/01/24 | 112,000 | 109,066 |
United Rentals North America, Inc. 4.875%, 01/15/28 | 181,000 | 169,073 |
United States Steel Corp. 6.875%, 03/01/294 | 133,000 | 130,746 |
2
AMG GW&K High Income Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |
Industrials - 81.2% (continued) | ||
Wabash National Corp. 4.500%, 10/15/285 | $153,000 | $128,881 |
WESCO Distribution, Inc. 7.250%, 06/15/285 | 98,000 | 98,475 |
Western Digital Corp. 4.750%, 02/15/26 | 137,000 | 130,540 |
Western Midstream Operating LP 4.650%, 07/01/26 | 162,000 | 155,607 |
Total Industrials | 11,262,821 | |
Utilities - 3.0% | ||
NRG Energy, Inc. 5.250%, 06/15/295 | 195,000 | 172,138 |
SM Energy Co. 5.625%, 06/01/25 | 253,000 | 247,611 |
Total Utilities | 419,749 | |
Total Corporate Bonds and Notes (Cost $14,481,003) | 13,821,524 | |
Short-Term Investments - 13.6% | ||
Joint Repurchase Agreements - 12.9%7 | ||
Bethesda Securities LLC, dated 09/29/23, due 10/02/23, 5.390% total to be received $1,000,449 (collateralized by various U.S. Government Agency Obligations, 3.062% - 6.000%, 08/01/28 - 07/01/53, totaling $1,020,000) | 1,000,000 | 1,000,000 |
Principal Amount | Value | |
Industrial and Commercial Bank of China Financial Services LLC, dated 09/29/23, due 10/02/23, 5.330% total to be received $758,337 (collateralized by various U.S. Treasuries, 0.000% - 7.500%, 10/31/23 - 02/15/53, totaling $773,160) | $758,000 | $758,000 |
Santander U.S. Capital Markets LLC, dated 09/29/23, due 10/02/23, 5.390% total to be received $36,016 (collateralized by various U.S. Government Agency Obligations, 2.000% - 6.814%, 01/25/25 - 08/20/71, totaling $36,720) | 36,000 | 36,000 |
Total Joint Repurchase Agreements | 1,794,000 | |
Repurchase Agreements - 0.7% | ||
Fixed Income Clearing Corp., dated 09/29/23 due 10/02/23, 5.150% total to be received $90,039 (collateralized by a U.S. Treasury, 3.250%, 05/15/42, totaling $91,846) | 90,000 | 90,000 |
Total Short-Term Investments (Cost $1,884,000) | 1,884,000 | |
Total Investments - 113.2% (Cost $16,365,003) | 15,705,524 | |
Other Assets, less Liabilities - (13.2)% | (1,832,968) | |
Net Assets - 100.0% | $13,872,556 |
1 | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at September 30, 2023. 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 September 30, 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. |
4 | Some of these securities, amounting to $1,724,878 or 12.4% of net assets, were out on loan to various borrowers and are collateralized by cash. 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 September 30, 2023, the value of these securities amounted to $4,976,256 or 35.9% 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 |
SOFR | Secured Overnight Financing Rate |
3
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, 2023:
Level 1 | Level 2 | Level 3 | Total | ||||
Investments in Securities | |||||||
Corporate Bonds and Notes† | — | $13,821,524 | — | $13,821,524 | |||
Short-Term Investments | |||||||
Joint Repurchase Agreements | — | 1,794,000 | — | 1,794,000 | |||
Repurchase Agreements | — | 90,000 | — | 90,000 | |||
Total Investments in Securities | — | $15,705,524 | — | $15,705,524 |
† | 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, 2023, 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, 2023, were as follows:
Securities Loaned | Cash Collateral Received | Securities Collateral Received | Total Collateral Received | |
$1,724,878 | $1,794,000 | — | $1,794,000 |
For additional information about significant accounting policies, including valuation of investments, refer to the Fund’s most recent semi or annual report.
4