AMG GW&K ESG Bond Fund
Schedule of Portfolio Investments (unaudited)
March 31, 2024
Principal Amount | Value | |
Corporate Bonds and Notes - 50.3% | ||
Basic Materials - 5.6% | ||
Air Products and Chemicals, Inc. | ||
2.700%, 05/15/40 | $1,950,000 | $1,423,481 |
Alcoa Nederland Holding, B.V. (Netherlands) | ||
4.125%, 03/31/291,2 | 5,150,000 | 4,728,179 |
Celanese US Holdings LLC | ||
6.550%, 11/15/302 | 3,999,000 | 4,206,224 |
CF Industries, Inc. | ||
5.150%, 03/15/34 | 1,170,000 | 1,151,350 |
FMG Resources August 2006 Pty, Ltd. (Australia) | ||
4.500%, 09/15/271 | 2,750,000 | 2,641,677 |
Freeport-McMoRan, Inc. | ||
4.625%, 08/01/302 | 2,111,000 | 2,027,543 |
HB Fuller Co. | ||
4.250%, 10/15/282 | 3,150,000 | 2,918,876 |
Methanex Corp. (Canada) | ||
5.125%, 10/15/27 | 1,205,000 | 1,165,511 |
Novelis Corp. | ||
3.250%, 11/15/261 | 3,175,000 | 2,958,402 |
Total Basic Materials | 23,221,243 | |
Communications - 4.1% | ||
AT&T, Inc. | ||
4.300%, 02/15/30 | 1,000,000 | 961,070 |
CCO Holdings LLC/CCO Holdings Capital Corp. | ||
5.500%, 05/01/261 | 2,000,000 | 1,969,474 |
Cisco Systems, Inc. | ||
5.500%, 01/15/40 | 1,400,000 | 1,473,390 |
Cogent Communications Group, Inc. | ||
3.500%, 05/01/261,2 | 3,365,000 | 3,203,047 |
Comcast Corp. | ||
4.650%, 02/15/332 | 2,717,000 | 2,666,325 |
Discovery Communications LLC | ||
3.950%, 03/20/28 | 2,047,000 | 1,938,384 |
Lamar Media Corp. | ||
4.875%, 01/15/292 | 3,250,000 | 3,131,618 |
Verizon Communications, Inc. | ||
5.500%, 02/23/54 | 1,650,000 | 1,667,806 |
Total Communications | 17,011,114 | |
Consumer, Cyclical - 8.0% | ||
Air Canada (Canada) | ||
3.875%, 08/15/261 | 1,200,000 | 1,145,305 |
Aramark Services, Inc. | ||
5.000%, 02/01/281,2 | 3,020,000 | 2,914,824 |
Caesars Entertainment, Inc. | ||
6.500%, 02/15/321,2 | 975,000 | 983,586 |
Hasbro, Inc. | ||
3.900%, 11/19/292 | 3,120,000 | 2,896,127 |
Hilton Domestic Operating Co., Inc. | ||
4.875%, 01/15/30 | 2,600,000 | 2,492,882 |
Principal Amount | Value | |
The Home Depot, Inc. | ||
5.875%, 12/16/36 | $1,450,000 | $1,557,217 |
KB Home | ||
4.800%, 11/15/29 | 1,222,000 | 1,166,328 |
6.875%, 06/15/27 | 1,751,000 | 1,806,839 |
Mattel, Inc. | ||
6.200%, 10/01/40 | 1,681,000 | 1,678,845 |
Murphy Oil USA, Inc. | ||
4.750%, 09/15/29 | 3,250,000 | 3,082,374 |
Penske Automotive Group, Inc. | ||
3.500%, 09/01/25 | 2,000,000 | 1,946,392 |
PulteGroup, Inc. | ||
6.000%, 02/15/35 | 2,050,000 | 2,139,924 |
Toll Brothers Finance Corp. | ||
4.875%, 03/15/27 | 2,750,000 | 2,718,199 |
Travel + Leisure Co. | ||
5.650%, 04/01/243 | 2,300,000 | 2,300,000 |
Walmart, Inc. | ||
4.050%, 06/29/48 | 1,850,000 | 1,607,383 |
Yum! Brands, Inc. | ||
3.625%, 03/15/312 | 3,050,000 | 2,699,027 |
Total Consumer, Cyclical | 33,135,252 | |
Consumer, Non-cyclical - 8.6% | ||
Advocate Health & Hospitals Corp. | ||
4.272%, 08/15/48 | 1,700,000 | 1,501,646 |
Anheuser-Busch InBev Worldwide, Inc. | ||
4.375%, 04/15/38 | 2,200,000 | 2,044,588 |
APi Group DE, Inc. | ||
4.125%, 07/15/291,2 | 1,275,000 | 1,148,752 |
Ashtead Capital, Inc. | ||
1.500%, 08/12/261 | 3,536,000 | 3,219,408 |
Campbell Soup Co. | ||
2.375%, 04/24/30 | 2,430,000 | 2,080,536 |
Centene Corp. | ||
3.375%, 02/15/30 | 3,650,000 | 3,230,001 |
CommonSpirit Health | ||
3.347%, 10/01/29 | 1,350,000 | 1,238,081 |
The Ford Foundation | ||
Series 2020, 2.415%, 06/01/50 | 2,725,000 | 1,720,135 |
HCA, Inc. | ||
3.500%, 09/01/30 | 3,050,000 | 2,758,289 |
Kraft Heinz Foods Co. | ||
4.625%, 10/01/39 | 2,480,000 | 2,256,204 |
Prime Security Services Borrower LLC/Prime Finance, Inc. | ||
5.750%, 04/15/261 | 2,800,000 | 2,791,832 |
Sysco Corp. | ||
2.400%, 02/15/30 | 2,125,000 | 1,838,722 |
Teleflex, Inc. | ||
4.250%, 06/01/281 | 3,100,000 | 2,908,916 |
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AMG GW&K ESG Bond Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |
Consumer, Non-cyclical - 8.6% (continued) | ||
Tenet Healthcare Corp. | ||
4.625%, 06/15/28 | $1,735,000 | $1,652,052 |
Teva Pharmaceutical Finance Netherlands III, B.V. (Netherlands) | ||
5.125%, 05/09/292 | 2,300,000 | 2,210,258 |
United Rentals North America, Inc. | ||
3.875%, 02/15/312 | 3,400,000 | 3,046,416 |
Total Consumer, Non-cyclical | 35,645,836 | |
Financial - 11.8% | ||
Bank of America Corp. | ||
MTN, (4.330% to 03/15/49 then 3 month SOFR + 1.782%), 4.330%, 03/15/504,5 | 2,775,000 | 2,388,580 |
(5.872% to 09/15/33 then SOFR + 1.840%), 5.872%, 09/15/344,5 | 3,100,000 | 3,215,227 |
The Bank of New York Mellon Corp. | ||
Series H, (3.700% to 03/20/26 then U.S. Treasury Yield Curve CMT 5 year + 3.352%), 3.700%, 03/20/264,5,6 | 2,165,000 | 2,042,114 |
Citigroup, Inc. | ||
Series P, (5.950% to 05/15/25 then 3 month SOFR + 4.167%), 5.950%, 05/15/252,4,5,6 | 1,550,000 | 1,547,672 |
Series T, (6.250% to 08/15/26 then 3 month SOFR + 4.779%), 6.250%, 08/15/262,4,5,6 | 1,075,000 | 1,077,761 |
Crown Castle, Inc. | ||
4.000%, 03/01/27 | 2,100,000 | 2,029,800 |
The Goldman Sachs Group, Inc. | ||
Series O, (5.300% to 11/10/26 then 3 month SOFR + 4.096%), 5.300%, 11/10/262,4,5,6 | 1,125,000 | 1,113,340 |
(6.561% to 10/24/33 then SOFR + 1.950%), 6.561%, 10/24/342,4,5 | 1,950,000 | 2,127,441 |
Huntington Bancshares, Inc. | ||
(4.443% to 08/04/27 then SOFR + 1.970%), 4.443%, 08/04/282,4,5 | 2,430,000 | 2,344,952 |
JPMorgan Chase & Co. | ||
(3.157% to 04/22/41 then SOFR + 1.460%), 3.157%, 04/22/424,5 | 2,730,000 | 2,077,063 |
MetLife, Inc. | ||
Series G, (3.850% to 09/15/25 then U.S. Treasury Yield Curve CMT 5 year + 3.576%), 3.850%, 09/15/254,5,6 | 2,130,000 | 2,047,363 |
Morgan Stanley | ||
(4.431% to 01/23/29 then 3 month SOFR + 1.890%), 4.431%, 01/23/304,5 | 4,178,000 | 4,046,034 |
The PNC Financial Services Group, Inc. | ||
(5.068% to 01/24/33 then SOFR + 1.933%), 5.068%, 01/24/344,5 | 2,386,000 | 2,311,323 |
SBA Communications Corp. | ||
3.875%, 02/15/27 | 2,950,000 | 2,805,710 |
SLM Corp. | ||
3.125%, 11/02/26 | 3,365,000 | 3,125,272 |
4.200%, 10/29/25 | 838,000 | 817,757 |
Principal Amount | Value | |
Starwood Property Trust, Inc. | ||
4.375%, 01/15/271,2 | $1,775,000 | $1,669,655 |
Truist Financial Corp., MTN | ||
(5.867% to 06/08/33 then SOFR + 2.361%), 5.867%, 06/08/344,5 | 2,288,000 | 2,316,053 |
US Bancorp | ||
(5.775% to 06/12/28 then SOFR + 2.020%), 5.775%, 06/12/294,5 | 2,350,000 | 2,391,011 |
Wells Fargo & Co. | ||
Series U, 5.875%, 06/15/252,5,6 | 4,328,000 | 4,318,479 |
Weyerhaeuser Co. | ||
6.875%, 12/15/33 | 2,600,000 | 2,857,680 |
Total Financial | 48,670,287 | |
Industrial - 7.7% | ||
AECOM | ||
5.125%, 03/15/27 | 1,650,000 | 1,620,881 |
Ball Corp. | ||
2.875%, 08/15/302 | 3,625,000 | 3,093,030 |
BWX Technologies, Inc. | ||
4.125%, 06/30/281 | 1,225,000 | 1,142,086 |
Clean Harbors, Inc. | ||
4.875%, 07/15/271 | 2,520,000 | 2,444,404 |
Clearwater Paper Corp. | ||
4.750%, 08/15/281 | 1,950,000 | 1,808,506 |
Crown Americas LLC/Crown Americas Capital Corp. V | ||
4.250%, 09/30/262 | 2,850,000 | 2,760,984 |
Graphic Packaging International LLC | ||
3.500%, 03/01/291 | 2,850,000 | 2,563,053 |
Howmet Aerospace, Inc. | ||
6.875%, 05/01/25 | 1,050,000 | 1,061,651 |
Jacobs Engineering Group, Inc. | ||
5.900%, 03/01/33 | 4,068,000 | 4,118,084 |
Mueller Water Products, Inc. | ||
4.000%, 06/15/291 | 3,000,000 | 2,721,094 |
Owens Corning | ||
7.000%, 12/01/363 | 1,800,000 | 2,025,103 |
Packaging Corp. of America | ||
5.700%, 12/01/33 | 2,155,000 | 2,225,720 |
Sensata Technologies, B.V. (Netherlands) | ||
4.000%, 04/15/291,2 | 1,275,000 | 1,164,186 |
Sonoco Products Co. | ||
2.850%, 02/01/32 | 1,822,000 | 1,545,644 |
United Parcel Service, Inc. | ||
6.200%, 01/15/38 | 1,500,000 | 1,660,003 |
Total Industrial | 31,954,429 | |
Technology - 3.7% | ||
Broadcom, Inc. | ||
4.300%, 11/15/32 | 2,820,000 | 2,649,697 |
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AMG GW&K ESG Bond Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |
Technology - 3.7% (continued) | ||
Crowdstrike Holdings, Inc. | ||
3.000%, 02/15/29 | $1,285,000 | $1,139,625 |
Dell International LLC/EMC Corp. | ||
8.100%, 07/15/36 | 972,000 | 1,174,993 |
Microsoft Corp. | ||
2.525%, 06/01/50 | 2,450,000 | 1,610,049 |
MSCI, Inc. | ||
3.250%, 08/15/331 | 2,015,000 | 1,660,023 |
SK Hynix, Inc. (South Korea) | ||
2.375%, 01/19/311 | 3,000,000 | 2,466,360 |
Twilio, Inc. | ||
3.625%, 03/15/29 | 600,000 | 539,654 |
3.875%, 03/15/31 | 2,194,000 | 1,915,339 |
Western Digital Corp. | ||
4.750%, 02/15/26 | 1,916,000 | 1,871,709 |
Total Technology | 15,027,449 | |
Utilities - 0.8% | ||
National Rural Utilities Cooperative Finance Corp. 1.350%, 03/15/31 | 4,185,000 | 3,280,979 |
Total Corporate Bonds and Notes (Cost $221,514,187) | 207,946,589 | |
Asset-Backed Securities - 2.6% | ||
American Express Credit Account Master Trust Series 2022-4, Class A 4.950%, 10/15/27 | 2,145,000 | 2,137,546 |
Ford Credit Auto Owner Trust Series 2022-B, Class A4 3.930%, 08/15/27 | 2,193,000 | 2,146,430 |
John Deere Owner Trust Series 2022-A, Class A4 2.490%, 01/16/29 | 2,206,000 | 2,115,028 |
Santander Drive Auto Receivables Trust | ||
Series 2020-4, Class D 1.480%, 01/15/27 | 1,533,787 | 1,506,946 |
Series 2022-7, Class B 5.950%, 01/17/28 | 2,100,000 | 2,109,039 |
Toyota Auto Receivables Owner Trust Series 2021-B, Class A4 0.530%, 10/15/26 | 858,000 | 816,198 |
Total Asset-Backed Securities (Cost $10,824,067) | 10,831,187 | |
Mortgage-Backed Securities - 1.8% | ||
Chase Home Lending Mortgage Trust Series Series 2024-1, Class A6 6.500%, 01/25/551,5 | 1,558,150 | 1,554,427 |
GS Mortgage-Backed Securities Corp. Trust | ||
Series 2021-PJ4, Class A6 2.500%, 09/25/511,5 | 2,943,805 | 2,664,709 |
Series 2021-PJ9, Class A8 2.500%, 02/26/521,5 | 1,638,310 | 1,419,389 |
Principal Amount | Value | |
Morgan Stanley Residential Mortgage Loan Trust Series 2024-1, Class A4 5.500%, 12/25/531,5 | $1,948,457 | $1,918,058 |
Total Mortgage-Backed Securities (Cost $7,580,419) | 7,556,583 | |
Municipal Bonds - 6.0% | ||
California Health Facilities Financing Authority 4.190%, 06/01/37 | 3,500,000 | 3,251,497 |
California State General Obligation, School Improvements, Build America Bonds 7.550%, 04/01/39 | 2,300,000 | 2,815,983 |
Commonwealth of Massachusetts, Series B 4.110%, 07/15/31 | 1,754,078 | 1,732,495 |
Dallas Fort Worth International Airport, Series A 4.507%, 11/01/51 | 1,000,000 | 918,892 |
JobsOhio Beverage System, Series A 2.833%, 01/01/38 | 3,700,000 | 3,024,288 |
Los Angeles Unified School District, School Improvements, Build America Bonds 5.750%, 07/01/34 | 3,225,000 | 3,344,968 |
Massachusetts School Building Authority, Series B, 1.753%, 08/15/30 | 3,750,000 | 3,235,678 |
New Jersey Economic Development Authority, Pension Funding, Series A (National Insured) 7.425%, 02/15/29 | 3,300,000 | 3,537,089 |
Port Authority of New York & New Jersey 6.040%, 12/01/29 | 1,750,000 | 1,870,895 |
University of California, Series BI 1.697%, 05/15/29 | 1,200,000 | 1,048,194 |
Total Municipal Bonds (Cost $28,712,568) | 24,779,979 | |
U.S. Government and Agency Obligations - 38.2% | ||
Fannie Mae - 15.2% | ||
FNMA | ||
3.500%, 02/01/35 to 02/01/51 | 32,009,882 | 29,640,916 |
4.000%, 07/01/44 to 06/01/49 | 19,473,002 | 18,323,256 |
4.500%, 05/01/48 to 06/01/49 | 5,901,162 | 5,770,082 |
5.000%, 05/01/50 | 2,606,119 | 2,595,302 |
5.500%, 11/01/52 | 6,222,711 | 6,302,769 |
Total Fannie Mae | 62,632,325 | |
Freddie Mac - 12.9% | ||
FHLMC | ||
2.000%, 03/01/36 | 7,508,180 | 6,692,787 |
3.000%, 04/01/51 | 14,973,637 | 13,024,396 |
3.500%, 02/01/50 | 8,425,729 | 7,655,881 |
4.500%, 10/01/48 to 12/01/48 | 8,697,619 | 8,424,234 |
5.500%, 07/01/53 | 6,356,427 | 6,376,045 |
Freddie Mac Multifamily Structured Pass Through Certificates | ||
Series K134, Class A2 2.243%, 10/25/315 | 10,730,000 | 9,107,741 |
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AMG GW&K ESG Bond Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |
Freddie Mac - 12.9% (continued) | ||
Freddie Mac REMICS | ||
Series 5297, Class DA 5.000%, 12/25/52 | $2,108,107 | $2,055,748 |
Total Freddie Mac | 53,336,832 | |
Ginnie Mae - 0.5% | ||
GNMA | ||
Series 2023-111, Class FD (SOFR + 1.000%, Cap 7.000%, Floor 1.000%), 6.319%, 08/20/535 | 2,081,583 | 2,077,089 |
U.S. Treasury Obligations - 9.6% | ||
U.S. Treasury Bonds | ||
1.250%, 05/15/50 | 4,625,000 | 2,365,435 |
1.875%, 02/15/51 | 15,247,000 | 9,185,126 |
2.250%, 05/15/41 | 15,109,000 | 11,162,954 |
2.500%, 02/15/46 | 2,096,000 | 1,515,834 |
3.125%, 05/15/48 | 10,968,000 | 8,771,829 |
3.500%, 02/15/39 | 5,500,000 | 5,052,910 |
3.625%, 02/15/53 | 2,010,000 | 1,765,031 |
Total U.S. Treasury Obligations | 39,819,119 | |
Total U.S. Government and Agency Obligations (Cost $184,823,875) | 157,865,365 | |
Short-Term Investments - 7.5% | ||
Joint Repurchase Agreements - 7.2%7 | ||
Bethesda Securities LLC, dated 03/28/24, due 04/01/24, 5.430% total to be received $5,654,948 (collateralized by various U.S. Government Agency Obligations, 2.500% - 6.070%, 10/01/27 - 01/01/57, totaling $5,764,569) | 5,651,538 | 5,651,538 |
Cantor Fitzgerald Securities, Inc., dated 03/28/24, due 04/01/24, 5.370% total to be received $7,372,785 (collateralized by various U.S. Government Agency Obligations, 0.000% - 7.500%, 12/24/26 - 02/20/74, totaling $7,515,757) | 7,368,389 | 7,368,389 |
HSBC Securities USA, Inc., dated 03/28/24, due 04/01/24, 5.330% total to be received $1,362,279 (collateralized by various U.S. Government Agency Obligations, 2.000% - 7.000%, 04/20/43 - 10/20/53, totaling $1,388,702) | 1,361,473 | 1,361,473 |
Principal Amount | Value | |
Mirae Asset Securities USA, Inc., dated 03/28/24, due 04/01/24, 5.380% total to be received $4,324,201 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 7.645%, 04/30/24 - 04/20/73, totaling $4,410,686) | $4,321,618 | $4,321,618 |
RBC Dominion Securities, Inc., dated 03/28/24, due 04/01/24, 5.330% total to be received $596,581 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 8.000%, 04/04/24 - 03/01/54, totaling $608,153) | 596,228 | 596,228 |
Santander U.S. Capital Markets LLC, dated 03/28/24, due 04/01/24, 5.390% total to be received $3,031,979 (collateralized by various U.S. Government Agency Obligations, 0.010% - 5.894%, 03/25/25 - 06/20/69, totaling $3,090,767) | 3,030,164 | 3,030,164 |
State of Wisconsin Investment Board, dated 03/28/24, due 04/01/24, 5.400% total to be received $7,447,284 (collateralized by various U.S. Treasuries, 0.125% - 3.625%, 04/15/25 - 02/15/53, totaling $7,594,528) | 7,442,818 | 7,442,818 |
Total Joint Repurchase Agreements | 29,772,228 | |
Repurchase Agreements - 0.3% | ||
Fixed Income Clearing Corp., dated 03/28/24, due 04/01/24, 5.150% total to be received $1,204,689 (collateralized by a U.S. Treasury, 0.125%, 07/15/24, totaling $1,228,109) | 1,204,000 | 1,204,000 |
Total Short-Term Investments (Cost $30,976,228) | 30,976,228 | |
Total Investments - 106.4% (Cost $484,431,344) | 439,955,931 | |
Other Assets, less Liabilities - (6.4)% | (26,513,919) | |
Net Assets - 100.0% | $413,442,012 |
1 | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2024, the value of these securities amounted to $55,809,352 or 13.5% of net assets. |
2 | Some of these securities, amounting to $40,166,263 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. |
3 | Step Bond: A debt instrument with either deferred interest payments or an interest rate that resets at specific times during its term. |
4 | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at March 31, 2024. Rate will reset at a future date. |
5 | Variable rate security. The rate shown is based on the latest available information as of March 31, 2024. 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. |
6 | Perpetuity Bond. The date shown represents the next call date. |
7 | Cash collateral received for securities lending activity was invested in these joint repurchase agreements. |
4
AMG GW&K ESG Bond Fund
Schedule of Portfolio Investments (continued)
CMT | Constant Maturity Treasury |
FHLMC | Freddie Mac |
FNMA | Fannie Mae |
GNMA | Ginnie Mae |
MTN | Medium-Term Note |
National Insured | National Public Finance Guarantee Corp. |
REMICS | Real Estate Mortgage Investment Conduit |
SOFR | Secured Overnight Financing Rate |
The following table summarizes the inputs used to value the Fund's investments by the fair value hierarchy levels as of March 31, 2024:
Level 1 | Level 2 | Level 3 | Total | ||||
Investments in Securities | |||||||
Corporate Bonds and Notes† | — | $207,946,589 | — | $207,946,589 | |||
Asset-Backed Securities | — | 10,831,187 | — | 10,831,187 | |||
Mortgage-Backed Securities | — | 7,556,583 | — | 7,556,583 | |||
Municipal Bonds† | — | 24,779,979 | — | 24,779,979 | |||
U.S. Government and Agency Obligations† | — | 157,865,365 | — | 157,865,365 | |||
Short-Term Investments | |||||||
Joint Repurchase Agreements | — | 29,772,228 | — | 29,772,228 | |||
Repurchase Agreements | — | 1,204,000 | — | 1,204,000 | |||
Total Investments in Securities | — | $439,955,931 | — | $439,955,931 |
† | All corporate bonds and notes, municipal bonds and U.S. government and agency obligations held in the Fund are Level 2 securities. For a detailed breakout of corporate bonds and notes, municipal bonds and U.S. government and agency obligations by major industry or agency classification, please refer to the Fund's Schedule of Portfolio Investments. |
For the period ended March 31, 2024, 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, 2024, were as follows:
Securities Loaned | Cash Collateral Received | Securities Collateral Received | Total Collateral Received | |
$40,166,263 | $29,772,228 | $11,900,762 | $41,672,990 |
The following table summarizes the securities received as collateral for securities lending at March 31, 2024:
Collateral Type | Coupon Range | Maturity Date Range | |
U.S. Treasury Obligations | 0.125%-5.000% | 04/15/24-11/15/53 |
For additional information about significant accounting policies, including valuation of investments, refer to the Fund’s most recent semi or annual report.
5