AMG GW&K High Income Fund
Schedule of Portfolio Investments (unaudited)
March 31, 2024
Principal Amount | Value | |
Corporate Bonds and Notes - 98.4% | ||
Basic Materials - 12.9% | ||
Alcoa Nederland Holding BV (Netherlands) 6.125%, 05/15/281 | $200,000 | $200,299 |
ATI, Inc. 4.875%, 10/01/29 | 78,000 | 73,398 |
Avient Corp. 5.750%, 05/15/251 | 66,000 | 65,705 |
Celanese US Holdings LLC 6.330%, 07/15/29 | 149,000 | 154,506 |
Cleveland-Cliffs, Inc. 5.875%, 06/01/272 | 172,000 | 171,694 |
Commercial Metals Co. 3.875%, 02/15/31 | 124,000 | 110,063 |
FMG Resources August 2006 Pty, Ltd. (Australia) 4.500%, 09/15/271 | 152,000 | 146,013 |
HB Fuller Co. 4.250%, 10/15/282 | 154,000 | 142,701 |
Hudbay Minerals, Inc. (Canada) 4.500%, 04/01/261 | 95,000 | 92,020 |
Methanex Corp. (Canada) 5.125%, 10/15/27 | 183,000 | 177,003 |
Novelis Corp. 3.250%, 11/15/261 | 192,000 | 178,902 |
Olin Corp. 5.125%, 09/15/27 | 202,000 | 197,328 |
United States Steel Corp. 6.875%, 03/01/292 | 133,000 | 134,276 |
Total Basic Materials | 1,843,908 | |
Communications - 3.7% | ||
CCO Holdings LLC/CCO Holdings Capital Corp. 5.500%, 05/01/261 | 179,000 | 176,268 |
Cogent Communications Group, Inc. 3.500%, 05/01/261,2 | 188,000 | 178,952 |
Lamar Media Corp. 4.875%, 01/15/292 | 173,000 | 166,698 |
Total Communications | 521,918 | |
Consumer, Cyclical - 21.0% | ||
Air Canada (Canada) 3.875%, 08/15/261 | 195,000 | 186,112 |
American Airlines Inc/AAdvantage Loyalty IP, Ltd. 5.500%, 04/20/261 | 134,250 | 133,336 |
American Axle & Manufacturing, Inc. 6.875%, 07/01/282 | 140,000 | 139,508 |
Aramark Services, Inc. 5.000%, 02/01/281 | 146,000 | 140,915 |
Caesars Entertainment, Inc. | ||
6.250%, 07/01/251,2 | 175,000 | 175,077 |
6.500%, 02/15/321,2 | 32,000 | 32,282 |
Principal Amount | Value | |
Dana, Inc. 5.625%, 06/15/28 | $123,000 | $120,035 |
Ford Motor Credit Co. LLC 4.134%, 08/04/25 | 200,000 | 195,463 |
General Motors Co. 6.800%, 10/01/27 | 70,000 | 73,295 |
KB Home 4.000%, 06/15/31 | 85,000 | 75,346 |
Mattel, Inc. 3.375%, 04/01/261 | 216,000 | 206,577 |
Meritage Homes Corp. 6.000%, 06/01/25 | 92,000 | 91,906 |
MGM Resorts International 4.750%, 10/15/282 | 224,000 | 213,038 |
Murphy Oil USA, Inc. 5.625%, 05/01/27 | 178,000 | 176,353 |
Penn Entertainment, Inc. 4.125%, 07/01/291,2 | 181,000 | 155,651 |
Penske Automotive Group, Inc. 3.500%, 09/01/25 | 184,000 | 179,068 |
Steelcase, Inc. 5.125%, 01/18/292 | 150,000 | 141,760 |
Toll Brothers Finance Corp. 4.350%, 02/15/282 | 120,000 | 115,967 |
Travel + Leisure Co. | ||
6.000%, 04/01/273 | 70,000 | 69,967 |
6.600%, 10/01/253 | 75,000 | 75,532 |
VF Corp. 2.950%, 04/23/302 | 55,000 | 45,404 |
Wabash National Corp. 4.500%, 10/15/281 | 163,000 | 149,477 |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.250%, 05/15/271,2 | 105,000 | 102,839 |
Total Consumer, Cyclical | 2,994,908 | |
Consumer, Non-cyclical - 9.0% | ||
APi Group DE, Inc. 4.125%, 07/15/291,2 | 200,000 | 180,196 |
Centene Corp. 4.250%, 12/15/27 | 93,000 | 88,674 |
Central Garden & Pet Co. 4.125%, 10/15/302 | 50,000 | 44,855 |
Encompass Health Corp. 4.500%, 02/01/28 | 146,000 | 139,053 |
Prime Security Services Borrower LLC/Prime Finance, Inc. 5.750%, 04/15/261 | 223,000 | 222,350 |
Teleflex, Inc. 4.250%, 06/01/281 | 155,000 | 145,446 |
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AMG GW&K High Income Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |
Consumer, Non-cyclical - 9.0% (continued) | ||
Tenet Healthcare Corp. 4.625%, 06/15/28 | $110,000 | $104,741 |
Teva Pharmaceutical Finance Netherlands III, B.V. (Netherlands) 3.150%, 10/01/26 | 199,000 | 186,043 |
United Rentals North America, Inc. 4.875%, 01/15/282 | 181,000 | 176,141 |
Total Consumer, Non-cyclical | 1,287,499 | |
Energy - 19.5% | ||
Apache Corp. 4.250%, 01/15/302 | 148,000 | 137,035 |
Callon Petroleum Co. 6.375%, 07/01/26 | 185,000 | 186,967 |
Cheniere Energy Partners LP 4.500%, 10/01/29 | 155,000 | 147,521 |
Chord Energy Corp. 6.375%, 06/01/261 | 175,000 | 175,730 |
EnLink Midstream LLC 5.375%, 06/01/292 | 180,000 | 176,717 |
EQT Corp. 5.700%, 04/01/28 | 105,000 | 105,980 |
Matador Resources Co. 5.875%, 09/15/26 | 231,000 | 231,025 |
MEG Energy Corp. (Canada) 5.875%, 02/01/291 | 185,000 | 181,784 |
Murphy Oil Corp. 6.375%, 07/15/282 | 170,000 | 171,127 |
NuStar Logistics LP 5.625%, 04/28/27 | 276,000 | 273,163 |
Occidental Petroleum Corp. 7.875%, 09/15/31 | 150,000 | 170,036 |
Permian Resources Operating LLC 5.375%, 01/15/261 | 190,000 | 187,814 |
SM Energy Co. 5.625%, 06/01/25 | 253,000 | 251,799 |
Southwestern Energy Co. 8.375%, 09/15/28 | 220,000 | 228,153 |
Western Midstream Operating LP 4.650%, 07/01/26 | 162,000 | 158,939 |
Total Energy | 2,783,790 | |
Financial - 14.6% | ||
Citigroup, Inc. Series X (3.875% to 02/18/26 then U.S. Treasury Yield Curve CMT 5 year + 3.417%), 3.875%, 02/18/264,5,6 | 255,000 | 240,662 |
Principal Amount | Value | |
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%, 08/10/262,4,5,6 | $151,000 | $137,918 |
Huntington Bancshares, Inc. 2.625%, 08/06/242 | 75,000 | 74,140 |
JPMorgan Chase & Co. Series S (9.348% to 05/01/24 then 3 month SOFR + 4.042%), 9.348%, 05/01/245,6 | 167,000 | 167,190 |
KeyCorp (3.878% to 05/23/24 then SOFR Index + 1.250%), 3.878%, 05/23/254,6 | 75,000 | 74,663 |
M&T Bank Corp. (4.553% to 08/16/27 then SOFR Index + 1.780%), 4.553%, 08/16/284,6 | 39,000 | 37,234 |
MetLife, Inc. Series G (3.850% to 09/15/25 then U.S. Treasury Yield Curve CMT 5 year + 3.576%), 3.850%, 09/15/252,4,5,6 | 135,000 | 129,762 |
Navient Corp. 5.000%, 03/15/272 | 220,000 | 210,769 |
SBA Communications Corp. 3.875%, 02/15/27 | 198,000 | 188,315 |
SLM Corp. 4.200%, 10/29/25 | 264,000 | 257,623 |
Starwood Property Trust, Inc. 4.375%, 01/15/271,2 | 225,000 | 211,646 |
Truist Financial Corp. Series P (4.950% to 09/01/25 then U.S. Treasury Yield Curve CMT 5 year + 4.605%), 4.950%, 09/01/254,5,6 | 140,000 | 137,352 |
Wells Fargo & Co. Series U 5.875%, 06/15/252,5,6 | 209,000 | 208,540 |
Total Financial | 2,075,814 | |
Industrial - 15.0% | ||
AECOM 5.125%, 03/15/27 | 167,000 | 164,053 |
Ball Corp. 2.875%, 08/15/302 | 82,000 | 69,967 |
The Boeing Co. 5.705%, 05/01/40 | 75,000 | 71,786 |
Bombardier, Inc. (Canada) 6.000%, 02/15/281,2 | 150,000 | 147,551 |
BWX Technologies, Inc. 4.125%, 06/30/281 | 195,000 | 181,801 |
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AMG GW&K High Income Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |
Industrial - 15.0% (continued) | ||
Clearwater Paper Corp. 4.750%, 08/15/281 | $150,000 | $139,116 |
Crown Cork & Seal Co., Inc. 7.375%, 12/15/262 | 185,000 | 194,087 |
Embraer Netherlands Finance BV (Netherlands) 5.400%, 02/01/27 | 110,000 | 109,402 |
Graphic Packaging International LLC 3.500%, 03/01/291,2 | 165,000 | 148,387 |
Hillenbrand, Inc. 3.750%, 03/01/31 | 161,000 | 139,718 |
Mueller Water Products, Inc. 4.000%, 06/15/291 | 186,000 | 168,708 |
Sealed Air Corp. 5.500%, 09/15/251,2 | 165,000 | 164,401 |
Sensata Technologies, B.V. (Netherlands) 4.000%, 04/15/291,2 | 200,000 | 182,617 |
Silgan Holdings, Inc. 4.125%, 02/01/282 | 155,000 | 146,657 |
Trinity Industries, Inc. 4.550%, 10/01/24 | 112,000 | 110,895 |
Total Industrial | 2,139,146 | |
Technology - 1.4% | ||
Twilio, Inc. 3.625%, 03/15/29 | 50,000 | 44,971 |
Western Digital Corp. 4.750%, 02/15/26 | 152,000 | 148,486 |
Total Technology | 193,457 | |
Utilities - 1.3% | ||
NRG Energy, Inc. 5.250%, 06/15/291,2 | 195,000 | 186,423 |
Total Corporate Bonds and Notes (Cost $14,083,467) | 14,026,863 | |
Short-Term Investments - 26.9% | ||
Joint Repurchase Agreements - 26.5%7 | ||
Bank of Montreal, dated 03/28/24, due 04/01/24, 5.330% total to be received $1,000,592 (collateralized by various U.S. Government Agency Obligations, 3.500% - 7.000%, 08/01/33 - 03/01/54, totaling $1,020,000) | 1,000,000 | 1,000,000 |
Principal Amount | Value | |
Daiwa Capital Markets America, dated 03/28/24, due 04/01/24, 5.360% total to be received $774,699 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.375% - 7.000%, 05/31/24 - 04/01/54, totaling $789,723) | $774,238 | $774,238 |
Deutsche Bank Securities, Inc., dated 03/28/24, due 04/01/24, 5.330% total to be received $1,000,592 (collateralized by various U.S. Government Agency Obligations, 1.500% - 7.500%, 06/01/36 - 04/01/54, totaling $1,020,000) | 1,000,000 | 1,000,000 |
Nomura Securities International, Inc., dated 03/28/24, due 04/01/24, 5.320% total to be received $1,000,591 (collateralized by various U.S. Government Agency Obligations, 2.000% - 6.000%, 01/01/28 - 07/15/58, totaling $1,020,001) | 1,000,000 | 1,000,000 |
Total Joint Repurchase Agreements | 3,774,238 | |
Repurchase Agreements - 0.4% | ||
Fixed Income Clearing Corp., dated 03/28/24, due 04/01/24, 5.150% total to be received $62,035 (collateralized by a U.S. Treasury, 0.125%, 07/15/24, totaling $63,276) | 62,000 | 62,000 |
Total Short-Term Investments (Cost $3,836,238) | 3,836,238 | |
Total Investments - 125.3% (Cost $17,919,705) | 17,863,101 | |
Other Assets, less Liabilities - (25.3)% | (3,606,464) | |
Net Assets - 100.0% | $14,256,637 |
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 $4,944,395 or 34.7% of net assets. |
2 | Some of these securities, amounting to $4,067,042 or 28.5% 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 | Perpetuity Bond. The date shown represents the next call date. |
6 | 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. |
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AMG GW&K High Income Fund
Schedule of Portfolio Investments (continued)
7 | Cash collateral received for securities lending activity was invested in these joint repurchase agreements. |
CMT | Constant Maturity Treasury |
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† | — | $14,026,863 | — | $14,026,863 | |||
Short-Term Investments | |||||||
Joint Repurchase Agreements | — | 3,774,238 | — | 3,774,238 | |||
Repurchase Agreements | — | 62,000 | — | 62,000 | |||
Total Investments in Securities | — | $17,863,101 | — | $17,863,101 |
† | 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, 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 | |
$4,067,042 | $3,774,238 | $449,290 | $4,223,528 |
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 | 0.000%-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.
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