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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-06431
AMG FUNDS II
(Exact name of registrant as specified in charter)
600 Steamboat Road, Suite 300, Greenwich, Connecticut 06830
(Address of principal executive offices) (Zip code)
AMG Funds LLC
600 Steamboat Road, Suite 300, Greenwich, Connecticut 06830
(Name and address of agent for service)
Registrant’s telephone number, including area code: (203) 299-3500
Date of fiscal year end: DECEMBER 31
Date of reporting period: JANUARY 1, 2018 – JUNE 30, 2018
(Semi-Annual Shareholder Report)
Table of Contents
Item 1. | Reports to Shareholders |
Table of Contents
SEMI-ANNUAL REPORT
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AMG Funds
June 30, 2018
AMG Chicago Equity Partners Balanced Fund
Class N: MBEAX | Class I: MBESX | Class Z: MBEYX
AMG Managers Amundi Intermediate Government Fund
Class N: MGIDX | Class I: MADIX | Class Z: MAMZX
AMG Managers Amundi Short Duration Government Fund
Class N: MGSDX | Class I: MANIX | Class Z: MATZX
amgfunds.com | | 063018 SAR009 |
Table of Contents
Table of Contents
AMG Funds |
Semi-Annual Report — June 30, 2018 (unaudited) |
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2 | ||||
3 | ||||
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18 | ||||
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FINANCIAL STATEMENTS | ||||
31 | ||||
Balance sheets, net asset value (NAV) per share computations and cumulative undistributed amounts | ||||
33 | ||||
Detail of sources of income, expenses, and realized and unrealized gains (losses) during the fiscal period | ||||
34 | ||||
Detail of changes in assets for the past two fiscal periods | ||||
35 | ||||
Historical net asset values per share, distributions, total returns, income and expense ratios, turnover ratios and net assets | ||||
44 | ||||
Accounting and distribution policies, details of agreements and transactions with Fund management and affiliates, and descriptions of certain investment risks | ||||
ANNUAL RENEWAL OF INVESTMENT MANAGEMENT AND SUBADVISORY AGREEMENTS | 52 |
Nothing contained herein is to be considered an offer, sale or solicitation of an offer to buy shares of any series of the AMG Funds family of mutual funds. Such offering is made only by prospectus, which includes details as to offering price and other material information.
Table of Contents
About Your Fund’s Expenses (unaudited)
As a shareholder of a Fund, you may incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on $1,000 invested at the beginning of the period and held for the entire period as indicated below.
ACTUAL EXPENSES
The first line of the following table provides information about the actual account values and
actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the following table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s
actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Six Months Ended June 30, 2018 | Expense Ratio for the Period | Beginning 01/01/18 | Ending 06/30/18 | Expenses During the Period* | ||||||||||||
AMG Chicago Equity Partners Balanced Fund |
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Based on Actual Fund Return |
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Class N | 1.09 | % | $ | 1,000 | $ | 1,030 | $ | 5.49 | ||||||||
Class I | 0.94 | % | $ | 1,000 | $ | 1,031 | $ | 4.73 | ||||||||
Class Z | 0.84 | % | $ | 1,000 | $ | 1,031 | $ | 4.23 | ||||||||
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Based on Hypothetical 5% Annual Return |
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Class N | 1.09 | % | $ | 1,000 | $ | 1,019 | $ | 5.46 | ||||||||
Class I | 0.94 | % | $ | 1,000 | $ | 1,020 | $ | 4.71 | ||||||||
Class Z | 0.84 | % | $ | 1,000 | $ | 1,021 | $ | 4.21 | ||||||||
AMG Managers Amundi Intermediate Government Fund |
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Based on Actual Fund Return |
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Class N | 0.84 | % | $ | 1,000 | $ | 985 | $ | 4.13 | ||||||||
Class I | 0.73 | % | $ | 1,000 | $ | 986 | $ | 3.57 | ||||||||
Class Z | 0.69 | % | $ | 1,000 | $ | 985 | $ | 3.40 | ||||||||
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Based on Hypothetical 5% Annual Return |
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Class N | 0.84 | % | $ | 1,000 | $ | 1,021 | $ | 4.21 | ||||||||
Class I | 0.73 | % | $ | 1,000 | $ | 1,021 | $ | 3.64 | ||||||||
Class Z | 0.69 | % | $ | 1,000 | $ | 1,021 | $ | 3.46 | ||||||||
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Six Months Ended June 30, 2018 | Expense Ratio for the Period | Beginning Account Value 01/01/18 | Ending Account Value 06/30/18 | Expenses Paid During the Period* | ||||||||||||
AMG Managers Amundi Short Duration Government Fund |
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Based on Actual Fund Return |
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Class N | 0.75 | % | $ | 1,000 | $ | 1,005 | $ | 3.73 | ||||||||
Class I | 0.65 | % | $ | 1,000 | $ | 1,006 | $ | 3.23 | ||||||||
Class Z | 0.60 | % | $ | 1,000 | $ | 1,006 | $ | 3.01 | ||||||||
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Based on Hypothetical 5% Annual Return |
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Class N | 0.75 | % | $ | 1,000 | $ | 1,021 | $ | 3.76 | ||||||||
Class I | 0.65 | % | $ | 1,000 | $ | 1,022 | $ | 3.26 | ||||||||
Class Z | 0.60 | % | $ | 1,000 | $ | 1,022 | $ | 3.03 | ||||||||
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* | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), then divided by 365. |
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Table of Contents
Periods ended June 30, 2018
The table below shows the average annual total returns for the periods indicated for each Fund, as well as each Fund’s relative index for the same time periods ended June 30, 2018.
Average Annual Total Returns1 | Six Months* | One Year | Five Years | Ten Years | Since Inception | Inception Date | ||||||||||||||||||
AMG Chicago Equity Partners Balanced Fund2, 3, 4, 5, 6, 7, 11, 12 |
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Class N | 2.96 | % | 11.15 | % | 8.88 | % | 8.10 | % | 8.00 | % | 01/02/97 | |||||||||||||
Class I | 3.07 | % | 11.34 | % | 9.08 | % | — | 9.32 | % | 11/30/12 | ||||||||||||||
Class Z | 3.06 | % | 11.46 | % | 9.16 | % | 8.38 | % | 8.38 | % | 01/02/97 | |||||||||||||
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60% Russell 1000® | ||||||||||||||||||||||||
Index8 /40% Bloomberg | ||||||||||||||||||||||||
Barclays U.S. Aggregate | ||||||||||||||||||||||||
Bond Index9 | 1.22 | % | 8.54 | % | 9.04 | % | 8.17 | % | 7.60 | % | 01/02/97 | † | ||||||||||||
Russell 1000® Index8 | 2.85 | % | 14.54 | % | 13.37 | % | 10.20 | % | 8.45 | % | 01/02/97 | † | ||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index9 | (1.62 | %) | (0.40 | %) | 2.27 | % | 3.72 | % | 5.02 | % | 01/02/97 | † | ||||||||||||
AMG Managers Amundi Intermediate Government Fund2, 3, 4, 10, 11, 12 |
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Class N | (1.55% | ) | (0.95% | ) | 2.02 | % | 3.68 | % | 5.32 | % | 03/31/92 | |||||||||||||
Class I | (1.40% | ) | (0.81% | ) | — | — | (0.20% | ) | 02/24/17 | |||||||||||||||
Class Z | (1.48% | ) | (0.80% | ) | — | — | (0.26% | ) | 02/24/17 | |||||||||||||||
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Bloomberg Barclays | ||||||||||||||||||||||||
U.S. Aggregate Bond Index9 | (1.62% | ) | (0.40% | ) | 2.27 | % | 3.72 | % | 5.48 | % | 03/31/92 | † | ||||||||||||
FTSE Mortgage Index13 | (0.97% | ) | 0.11 | % | 2.23 | % | 3.56 | % | 5.37 | % | 03/31/92 | † | ||||||||||||
AMG Managers Amundi Short Duration Government Fund2, 3, 4, 10, 11, 12 |
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Class N | 0.50 | % | 0.89 | % | 0.64 | % | 1.09 | % | 3.28 | % | 03/31/92 | |||||||||||||
Class I | 0.55 | % | 1.00 | % | — | — | 0.64 | % | 02/24/17 | |||||||||||||||
Class Z | 0.58 | % | 1.05 | % | — | — | 0.76 | % | 02/24/17 | |||||||||||||||
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ICE BofAML US 6-Month Treasury Bill Index14 | 0.81 | % | 1.39 | % | 0.57 | % | 0.62 | % | 2.87 | % | 03/31/92 | † | ||||||||||||
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The performance data shown represents past performance. Past performance is not a guarantee of future results. Current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Investors should carefully consider the Fund’s investment objectives, risks, charges and expenses before investing. For performance information through the most recent month end, current net asset values per share for the Funds and other information, please call 800.835.3879 or visit our website at amgfunds.com for a free prospectus. Read it carefully before investing or sending money.
Distributed by AMG Distributors, Inc., member FINRA/SIPC.
* | Not annualized. |
† | Date reflects inception date of the Fund, not the index. |
1 | Total return equals income yield plus share price change and assumes reinvestment of all dividends and capital gain distributions. Returns are net of fees and may reflect offsets of Fund expenses as described in the prospectus. No adjustment has been made for taxes payable by shareholders on their reinvested dividends and capital gain distributions. Returns for periods greater than one year are annualized. The listed returns on the Funds are net of expenses and based on the published NAV as of June 30, 2018. All returns are in U.S. dollars ($). |
2 | From time to time, the Fund’s adviser has waived its fees and/or absorbed Fund expenses, which has resulted in higher returns. |
3 | To the extent that the Fund invests in asset-backed or mortgage-backed securities, its exposure to prepayment and extension risks may be greater than investments in other fixed income securities. |
4 | The Fund is subject to the risks associated with investments in debt securities, such as default risk and fluctuations in the perception of the debtors’ ability to pay their creditors. Changing interest rates may adversely affect the value of an investment. An increase in interest rates typically causes the value of bonds and other fixed income securities to fall. |
5 | Investments in international securities are subject to certain risks of overseas investing including currency fluctuations and changes in political and economic conditions, which could result in significant market fluctuations. These risks are magnified in emerging markets. |
6 | The Fund is subject to risks associated with investments in mid-capitalization companies such as greater price volatility, lower trading volume, and less liquidity than the stocks of larger, more established companies. |
7 | The Fund invests in value stocks, which may perform differently from the market as a whole and may be undervalued by the market for a long period of time. |
8 | The Russell 1000® Index measures the performance of approximately 1,000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000®represents approximately 92% of the U.S. market. The Russell 1000® Index is unmanaged, is not available for investment, and does not incur expenses. |
9 | The Bloomberg Barclays U.S. Aggregate Bond Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. The Bloomberg Barclays U.S. Aggregate Bond Index is unmanaged, is not available for investment, and does not incur expenses. |
10 | The Fund may invest in derivatives such as options and futures; the complexity and rapidly changing structure of derivatives markets may increase the possibility of market losses. |
11 | Many bonds have call provisions which allow the debtors to pay them back before maturity. This is especially true with mortgage securities, which can be paid back anytime. Typically debtors prepay their debt when it is to their advantage (when interest rates drop making a new loan at current rates more attractive), and thus likely to the disadvantage of bondholders, who may have to reinvest prepayment proceeds in securities with lower yields. Prepayment risk will vary depending on the provisions of the security and current interest rates relative to the interest rate of the debt. |
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Table of Contents
Fund Performance
Periods ended June 30, 2018 (continued)
12 | Obligations of certain government agencies are not backed by the full faith and credit of the U.S. government. If one of these agencies defaulted on a loan, there is no guarantee that the U.S. government would provide financial support. Additionally, debt securities of the U.S. government may be affected by changing interest rates and subject to prepayment risk. |
13 | The FTSE Mortgage Index includes all outstanding |
government sponsored fixed-rate mortgage-backed securities, weighted in proportion to their current market capitalization. The Index reflects no deductions for fees, expenses, or taxes. Unlike the Fund, the FTSE Mortgage Index is unmanaged, is not available for investment, and does not incur expenses. |
14 | The ICE BofAML US 6-Month Treasury Bill Index is an unmanaged index that measures returns of six month Treasury Bills. Unlike the Fund, the ICE BofAML US |
6-Month Treasury Bill Index is unmanaged, is not available for investment, and does not incur expenses. |
The Russell 1000® Index is a trademark of the London Stock Exchange Group companies.
Not FDIC Insured, nor bank guaranteed. May lose value.
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Table of Contents
AMG Chicago Equity Partners Balanced Fund
June 30, 2018
PORTFOLIO BREAKDOWN
Sector | % of Net Assets | |||
U.S. Government and Agency Obligations | 28.4 | |||
Information Technology | 18.2 | |||
Industrials | 12.2 | |||
Consumer Discretionary | 9.6 | |||
Financials | 8.4 | |||
Health Care | 8.4 | |||
Consumer Staples | 4.1 | |||
Energy | 2.7 | |||
Real Estate | 2.2 | |||
Materials | 2.1 | |||
Utilities | 1.6 | |||
Telecommunication Services | 1.1 | |||
Short-Term Investments1 | 2.5 | |||
Other Assets Less Liabilities2 | (1.5 | ) | ||
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1 | Includes reinvestment of cash collateral into joint repurchase agreements on security lending transactions. |
2 | Includes repayment of cash collateral on security lending transactions. |
Rating | % of Market Value1 | |||
U.S. Government and Agency Obligations | 81.4 | |||
Aaa | 0.1 | |||
Aa | 2.1 | |||
A | 10.8 | |||
Baa | 5.6 | |||
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1 | Includes market value of fixed-income securities only. |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |||
Apple, Inc. | 2.5 | |||
Amazon.com, Inc. | 2.4 | |||
Alphabet, Inc., Class A | 1.9 | |||
Microsoft Corp. | 1.7 | |||
Facebook, Inc., Class A | 1.4 | |||
U.S. Treasury Notes, 1.625%, 07/31/20 | 1.1 | |||
U.S. Treasury Notes, 2.000%, 01/31/20 | 1.0 | |||
U.S. Treasury Notes, 1.375%, 01/31/20 | 1.0 | |||
U.S. Treasury Notes, 1.375%, 08/31/20 | 1.0 | |||
U.S. Treasury Bonds, 2.750%, 08/15/47 | 1.0 | |||
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Top Ten as a Group | 15.0 | |||
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Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service, Inc. (“Moody’s”). These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.
Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.
Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.
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Table of Contents
AMG Chicago Equity Partners Balanced Fund
Schedule of Portfolio Investments (unaudited)
June 30, 2018
Shares | Value | |||||||
Common Stocks - 64.1% | ||||||||
Consumer Discretionary - 9.6% | ||||||||
888 Holdings PLC (Gibraltar) | 21,500 | $ | 76,482 | |||||
Accent Group, Ltd. (Australia) | 93,300 | 113,962 | ||||||
Amazon.com, Inc.* | 3,100 | 5,269,380 | ||||||
AMC Networks, Inc., Class A* | 1,700 | 105,740 | ||||||
Aoyama Trading Co., Ltd. (Japan) | 1,300 | 43,375 | ||||||
Aptiv PLC (Ireland) | 4,040 | 370,185 | ||||||
Bellway PLC (United Kingdom) | 300 | 11,852 | ||||||
Beneteau, S.A. (France) | 4,800 | 89,920 | ||||||
BorgWarner, Inc. | 6,420 | 277,087 | ||||||
Burlington Stores, Inc.* | 7,410 | 1,115,427 | ||||||
Cable One, Inc.1 | 430 | 315,315 | ||||||
Carter’s, Inc. | 920 | 99,719 | ||||||
Chipotle Mexican Grill, Inc.* | 295 | 127,254 | ||||||
Choice Hotels International, Inc. | 1,840 | 139,104 | ||||||
Comcast Corp., Class A | 13,405 | 439,818 | ||||||
CTS Eventim AG & Co. KGaA (Germany)1 | 1,200 | 58,917 | ||||||
De’ Longhi S.P.A. (Italy) | 100 | 2,828 | ||||||
DFS Furniture PLC (United Kingdom) | 6,100 | 16,544 | ||||||
Dollar General Corp. | 3,340 | 329,324 | ||||||
Domino’s Pizza Group PLC (United Kingdom) | 2,800 | 12,779 | ||||||
Domino’s Pizza, Inc. | 1,895 | 534,712 | ||||||
EDION Corp. (Japan) | 100 | 1,006 | ||||||
Exedy Corp. (Japan) | 3,200 | 99,044 | ||||||
Fairfax Media, Ltd. (Australia) | 80,000 | 44,324 | ||||||
Harley-Davidson, Inc.1 | 2,360 | 99,309 | ||||||
Hilton Grand Vacations, Inc.* | 2,825 | 98,028 | ||||||
Hilton Worldwide Holdings, Inc. | 7,245 | 573,514 | ||||||
HIS Co., Ltd. (Japan) | 400 | 12,047 | ||||||
The Home Depot, Inc. | 6,815 | 1,329,606 | ||||||
Hyatt Hotels Corp., Class A | 7,385 | 569,753 | ||||||
IDP Education, Ltd. (Australia) | 9,700 | 75,446 | ||||||
The Interpublic Group of Cos., Inc. | 22,360 | 524,118 | ||||||
Kadokawa Dwango Corp. (Japan) | 4,500 | 49,733 | ||||||
Kindred Group PLC, SDR (Malta) | 3,100 | 38,836 | ||||||
Las Vegas Sands Corp. | 1,740 | 132,866 | ||||||
Live Nation Entertainment, Inc.*,1 | 5,420 | 263,249 | ||||||
Lululemon Athletica, Inc. (Canada)* | 2,100 | 262,185 | ||||||
Macy’s, Inc. | 4,925 | 184,343 | ||||||
The Madison Square Garden Co., Class A* | 480 | 148,891 | ||||||
Marriott International, Inc., Class A | 4,440 | 562,104 | ||||||
Michael Kors Holdings, Ltd. (United Kingdom)* | 10,570 | 703,962 |
Shares | Value | |||||||
Misawa Homes Co., Ltd. (Japan) | 12,000 | $ | 99,557 | |||||
N Brown Group PLC (United Kingdom) | 13,400 | 29,940 | ||||||
Netflix, Inc.* | 3,440 | 1,346,519 | ||||||
Nine Entertainment Co. Holdings, Ltd. (Australia) | 2,600 | 4,768 | ||||||
Nishimatsuya Chain Co., Ltd. (Japan) | 2,800 | 32,180 | ||||||
Nobia AB (Sweden) | 1,500 | 11,517 | ||||||
Omnicom Group, Inc.1 | 3,160 | 241,013 | ||||||
Polaris Industries, Inc. | 2,920 | 356,766 | ||||||
Pool Corp. | 2,375 | 359,812 | ||||||
Proto Corp. (Japan) | 800 | 10,471 | ||||||
Qurate Retail, Inc.* | 6,005 | 127,426 | ||||||
Ralph Lauren Corp. | 3,655 | 459,507 | ||||||
Redrow PLC (United Kingdom) | 6,500 | 45,664 | ||||||
Ross Stores, Inc. | 7,835 | 664,016 | ||||||
Sanoma OYJ (Finland) | 4,900 | 49,605 | ||||||
Sirius XM Holdings, Inc.1 | 36,585 | 247,680 | ||||||
Six Flags Entertainment Corp.1 | 1,180 | 82,659 | ||||||
SKY Perfect JSAT Holdings, Inc. (Japan) | 11,900 | 56,691 | ||||||
SSP Group PLC (United Kingdom) | 1,887 | 15,744 | ||||||
Target Corp. | 4,295 | 326,935 | ||||||
Thule Group AB (Sweden)2 | 2,000 | 49,574 | ||||||
Tokai Rika Co., Ltd. (Japan) | 1,800 | 34,127 | ||||||
Toll Brothers, Inc. | 3,630 | 134,274 | ||||||
Tupperware Brands Corp. | 1,340 | 55,262 | ||||||
Twenty-First Century Fox, Inc., Class A | 3,930 | 195,282 | ||||||
Vail Resorts, Inc. | 790 | 216,610 | ||||||
VF Corp. | 4,020 | 327,710 | ||||||
Viacom, Inc., Class B | 6,460 | 194,834 | ||||||
Wacoal Holdings Corp. (Japan) | 1,500 | 43,688 | ||||||
Xinyi Glass Holdings, Ltd. (Hong Kong) | 26,000 | 31,537 | ||||||
Total Consumer Discretionary | 21,173,456 | |||||||
Consumer Staples - 4.1% | ||||||||
Altria Group, Inc. | 7,625 | 433,024 | ||||||
Archer-Daniels-Midland Co. | 6,545 | 299,957 | ||||||
Austevoll Seafood A.S.A. (Norway) | 5,500 | 65,980 | ||||||
Axfood AB (Sweden) | 2,200 | 42,225 | ||||||
Brown-Forman Corp., Class B | 6,483 | 317,732 | ||||||
The Coca-Cola Co. | 11,535 | 505,925 | ||||||
Colgate-Palmolive Co. | 12,430 | 805,588 | ||||||
Conagra Brands, Inc. | 11,795 | 421,435 | ||||||
Constellation Brands, Inc., Class A | 1,840 | 402,721 | ||||||
Costco Wholesale Corp. | 2,600 | 543,348 | ||||||
CVS Health Corp. | 2,135 | 137,387 |
The accompanying notes are an integral part of these financial statements.
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Table of Contents
AMG Chicago Equity Partners Balanced Fund
Schedule of Portfolio Investments (continued)
Shares | Value | |||||||
Consumer Staples - 4.1% (continued) |
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Edgewell Personal Care Co.* | 2,835 | $ | 143,054 | |||||
The Estee Lauder Cos., Inc., Class A | 4,365 | 622,842 | ||||||
Flowers Foods, Inc. | 11,890 | 247,669 | ||||||
Kimberly-Clark Corp. | 1,540 | 162,224 | ||||||
La Doria S.P.A. (Italy) | 1,400 | 17,231 | ||||||
Lamb Weston Holdings, Inc. | 7,985 | 547,052 | ||||||
Oriflame Holding AG (Switzerland) | 100 | 3,211 | ||||||
Origin Enterprises PLC (Ireland) | 8,300 | 59,804 | ||||||
PepsiCo, Inc. | 6,460 | 703,300 | ||||||
Philip Morris International, Inc. | 7,820 | 631,387 | ||||||
The Procter & Gamble Co. | 6,950 | 542,517 | ||||||
Rami Levy Chain Stores Hashikma Marketing 2006, Ltd. (Israel) | 1,600 | 77,693 | ||||||
Salmar A.S.A. (Norway) | 2,000 | 83,888 | ||||||
Stock Spirits Group PLC (United Kingdom) | 9,900 | 29,789 | ||||||
Strauss Group, Ltd. (Israel) | 1,400 | 28,210 | ||||||
Sysco Corp. | 12,090 | 825,626 | ||||||
TreeHouse Foods, Inc.* | 1,400 | 73,514 | ||||||
Walmart, Inc. | 3,860 | 330,609 | ||||||
Total Consumer Staples | 9,104,942 | |||||||
Energy - 2.7% | ||||||||
Anadarko Petroleum Corp. | 2,800 | 205,100 | ||||||
Apache Corp.1 | 3,150 | 147,263 | ||||||
Baker Hughes, a GE Co. | 2,810 | 92,814 | ||||||
Beach Energy, Ltd. (Australia) | 9,200 | 11,908 | ||||||
Cabot Oil & Gas Corp. | 12,040 | 286,552 | ||||||
Cheniere Energy, Inc.* | 3,420 | 222,950 | ||||||
Chevron Corp. | 5,335 | 674,504 | ||||||
ConocoPhillips | 8,265 | 575,409 | ||||||
Continental Resources, Inc.* | 950 | 61,522 | ||||||
Devon Energy Corp. | 6,790 | 298,488 | ||||||
EOG Resources, Inc. | 920 | 114,476 | ||||||
Exxon Mobil Corp. | 13,035 | 1,078,386 | ||||||
Gaztransport Et Technigaz, S.A. (France) | 800 | 48,964 | ||||||
Halliburton Co. | 3,590 | 161,765 | ||||||
HollyFrontier Corp. | 905 | 61,929 | ||||||
Japan Petroleum Exploration Co., Ltd. (Japan) | 2,600 | 67,784 | ||||||
Laredo Petroleum, Inc.* | 9,150 | 88,023 | ||||||
Marathon Petroleum Corp. | 1,670 | 117,167 | ||||||
National Oilwell Varco, Inc. | 4,890 | 212,226 | ||||||
Noble Corp. PLC (United Kingdom)* | 16,620 | 105,205 | ||||||
Occidental Petroleum Corp. | 3,100 | 259,408 |
Shares | Value | |||||||
Ocean Yield A.S.A. (Norway) | 2,700 | $ | 23,524 | |||||
ONEOK, Inc. | 3,520 | 245,802 | ||||||
PBF Energy, Inc., Class A | 1,565 | 65,620 | ||||||
Petrofac, Ltd. (United Kingdom) | 7,500 | 57,615 | ||||||
Pioneer Natural Resources | 745 | 140,984 | ||||||
Valero Energy Corp. | 1,195 | 132,442 | ||||||
Whitehaven Coal, Ltd. (Australia) | 19,800 | 84,521 | ||||||
Whiting Petroleum Corp.* | 3,000 | 158,160 | ||||||
The Williams Cos., Inc. | 4,240 | 114,946 | ||||||
Total Energy | 5,915,457 | |||||||
Financials - 6.8% | ||||||||
The Allstate Corp. | 6,940 | 633,414 | ||||||
American Express Co. | 2,700 | 264,600 | ||||||
Ameriprise Financial, Inc. | 3,490 | 488,181 | ||||||
Aspen Insurance Holdings, Ltd. (Bermuda) | 3,540 | 144,078 | ||||||
Assured Guaranty, Ltd. (Bermuda) | 6,240 | 222,955 | ||||||
Banca Popolare Di Sondrio SCARL (Italy) | 3,900 | 15,643 | ||||||
Bank of America Corp. | 28,255 | 796,508 | ||||||
Berkshire Hathaway, Inc., Class B* | 5,330 | 994,844 | ||||||
BlackRock, Inc. | 420 | 209,597 | ||||||
BPER Banca (Italy) | 2,000 | 10,913 | ||||||
Cembra Money Bank AG (Switzerland) | 850 | 66,576 | ||||||
Chesnara PLC (United Kingdom) | 700 | 3,344 | ||||||
Citizens Financial Group, Inc. | 3,520 | 136,928 | ||||||
CME Group, Inc. | 1,930 | 316,366 | ||||||
Comerica, Inc. | 2,330 | 211,844 | ||||||
Commerce Bancshares, Inc. | 4,043 | 261,623 | ||||||
Corp. Financiera Alba, S.A. (Spain) | 1,700 | 98,656 | ||||||
Cullen/Frost Bankers, Inc. | 1,120 | 121,229 | ||||||
Dah Sing Financial Holdings, Ltd. (Hong Kong) | 9,400 | 54,815 | ||||||
Deutsche Pfandbriefbank AG (Germany)2 | 2,900 | 40,462 | ||||||
Discover Financial Services | 1,755 | 123,570 | ||||||
E*TRADE Financial Corp.* | 1,260 | 77,062 | ||||||
Eaton Vance Corp. | 7,260 | 378,899 | ||||||
esure Group PLC (United Kingdom) | 1,000 | 2,860 | ||||||
Fifth Third Bancorp | 8,240 | 236,488 | ||||||
FinecoBank Banca Fineco S.P.A. (Italy) | 900 | 10,131 | ||||||
Franklin Resources, Inc. | 7,205 | 230,920 | ||||||
Interactive Brokers Group, Inc., Class A | 780 | 50,240 | ||||||
Invesco, Ltd. | 4,150 | 110,224 | ||||||
Israel Discount Bank, Ltd. (Israel) | 2,400 | 7,012 | ||||||
Japan Securities Finance Co., Ltd. (Japan) | 2,500 | 13,672 | ||||||
JPMorgan Chase & Co. | 11,538 | 1,202,260 |
The accompanying notes are an integral part of these financial statements.
7
Table of Contents
AMG Chicago Equity Partners Balanced Fund
Schedule of Portfolio Investments (continued)
Shares | Value | |||||||
Financials - 6.8% (continued) | ||||||||
kabu.com Securities Co., Ltd. (Japan) | 11,600 | $ | 37,569 | |||||
Lincoln National Corp. | 5,150 | 320,587 | ||||||
LPL Financial Holdings, Inc. | 1,880 | 123,215 | ||||||
M&T Bank Corp. | 1,130 | 192,269 | ||||||
Marusan Securities Co., Ltd. (Japan) | 11,500 | 105,528 | ||||||
MetLife, Inc. | 5,650 | 246,340 | ||||||
Moody’s Corp. | 2,225 | 379,496 | ||||||
Navient Corp. | 12,920 | 168,348 | ||||||
Northern Trust Corp. | 6,350 | 653,351 | ||||||
Plus500, Ltd. (Israel) | 6,500 | 137,616 | ||||||
ProAssurance Corp. | 2,110 | 74,799 | ||||||
The Progressive Corp. | 20,170 | 1,193,055 | ||||||
Prudential Financial, Inc. | 1,770 | 165,513 | ||||||
Regions Financial Corp. | 12,230 | 217,449 | ||||||
S&P Global, Inc. | 2,100 | 428,169 | ||||||
SEI Investments Co. | 1,430 | 89,404 | ||||||
SpareBank 1 Nord Norge (Norway) | 7,500 | 55,987 | ||||||
Spirit MTA REIT, REIT * | 1,908 | 19,652 | ||||||
State Street Corp. | 2,800 | 260,652 | ||||||
SunTrust Banks, Inc. | 5,715 | 377,304 | ||||||
SVB Financial Group* | 1,175 | 339,293 | ||||||
T Rowe Price Group, Inc. | 950 | 110,285 | ||||||
TD Ameritrade Holding Corp. | 9,450 | 517,576 | ||||||
Tokai Tokyo Financial Holdings, Inc. (Japan) | 3,100 | 19,754 | ||||||
Topdanmark A/S (Denmark) | 2,500 | 109,178 | ||||||
Torchmark Corp. | 1,480 | 120,487 | ||||||
U.S. Bancorp | 6,565 | 328,381 | ||||||
Value Partners Group, Ltd. (Hong Kong) | 57,000 | 44,819 | ||||||
Waddell & Reed Financial, Inc., Class A1 | 12,210 | 219,414 | ||||||
Wells Fargo & Co. | 9,920 | 549,965 | ||||||
White Mountains Insurance Group, Ltd. | 2 | 1,813 | ||||||
Total Financials | 15,143,182 | |||||||
Health Care - 8.4% | ||||||||
AbbVie, Inc. | 11,125 | 1,030,731 | ||||||
ABIOMED, Inc.* | 1,060 | 433,593 | ||||||
ACADIA Pharmaceuticals, Inc.*,1 | 2,895 | 44,207 | ||||||
Aetna, Inc. | 740 | 135,790 | ||||||
Agilent Technologies, Inc. | 1,740 | 107,602 | ||||||
Align Technology, Inc.* | 700 | 239,498 | ||||||
Amgen, Inc. | 3,355 | 619,299 | ||||||
Anthem, Inc. | 830 | 197,565 | ||||||
Baxter International, Inc. | 5,530 | 408,335 |
Shares | Value | |||||||
BioGaia AB, Class B (Sweden) | 800 | $ | 35,615 | |||||
Bio-Techne Corp. | 680 | 100,606 | ||||||
Bristol-Myers Squibb Co. | 5,000 | 276,700 | ||||||
Bruker Corp. | 17,815 | 517,348 | ||||||
Celgene Corp.* | 1,480 | 117,542 | ||||||
Centene Corp.* | 4,450 | 548,284 | ||||||
Cigna Corp. | 1,370 | 232,832 | ||||||
Eli Lilly & Co. | 9,780 | 834,527 | ||||||
Exelixis, Inc.* | 27,460 | 590,939 | ||||||
Express Scripts Holding Co.* | 900 | 69,489 | ||||||
Gilead Sciences, Inc. | 4,915 | 348,179 | ||||||
Humana, Inc. | 2,610 | 776,814 | ||||||
IDEXX Laboratories, Inc.* | 6,800 | 1,481,992 | ||||||
Incyte Corp.* | 3,760 | 251,920 | ||||||
Intercept Pharmaceuticals, Inc.*,1 | 1,200 | 100,692 | ||||||
Ionis Pharmaceuticals, Inc.*,1 | 5,600 | 233,352 | ||||||
Johnson & Johnson | 6,125 | 743,207 | ||||||
Kaken Pharmaceutical Co., Ltd. (Japan) | 200 | 10,262 | ||||||
KYORIN Holdings, Inc. (Japan) | 4,800 | 99,620 | ||||||
McKesson Corp. | 2,710 | 361,514 | ||||||
Medtronic PLC (Ireland) | 6,345 | 543,195 | ||||||
Merck & Co., Inc. | 10,555 | 640,688 | ||||||
Paramount Bed Holdings Co., Ltd. (Japan) | 1,500 | 64,284 | ||||||
PerkinElmer, Inc.1 | 1,140 | 83,482 | ||||||
Perrigo Co. PLC (Ireland) | 4,925 | 359,082 | ||||||
Pfizer, Inc. | 12,427 | 450,852 | ||||||
Regeneron Pharmaceuticals, Inc.* | 1,060 | 365,689 | ||||||
Ship Healthcare Holdings, Inc. (Japan) | 1,500 | 56,524 | ||||||
Toho Holdings Co., Ltd. (Japan) | 5,200 | 126,764 | ||||||
UnitedHealth Group, Inc. | 6,540 | 1,604,524 | ||||||
Varian Medical Systems, Inc.* | 5,285 | 601,010 | ||||||
Veeva Systems, Inc., Class A* | 9,670 | 743,236 | ||||||
Vertex Pharmaceuticals, Inc.* | 3,715 | 631,401 | ||||||
WellCare Health Plans, Inc.* | 3,665 | 902,470 | ||||||
ZERIA Pharmaceutical Co., Ltd. (Japan) | 1,100 | 23,772 | ||||||
Zimmer Biomet Holdings, Inc. | 900 | 100,296 | ||||||
Zoetis, Inc. | 4,900 | 417,431 | ||||||
Total Health Care | 18,662,754 | |||||||
Industrials - 7.6% | ||||||||
3M Co. | 1,945 | 382,620 | ||||||
Aida Engineering, Ltd. (Japan) | 9,600 | 93,118 | ||||||
Air New Zealand, Ltd. (New Zealand) | 10,400 | 22,347 | ||||||
Allison Transmission Holdings, Inc. | 11,825 | 478,794 |
The accompanying notes are an integral part of these financial statements.
8
Table of Contents
AMG Chicago Equity Partners Balanced Fund
Schedule of Portfolio Investments (continued)
Shares | Value | |||||||
Industrials - 7.6% (continued) | ||||||||
Amadeus Fire AG (Germany) | 500 | $ | 54,011 | |||||
Biesse S.P.A. (Italy) | 300 | 11,671 | ||||||
The Boeing Co. | 4,460 | 1,496,375 | ||||||
Brunel International, N.V. (Netherlands) | 900 | 15,200 | ||||||
Caterpillar, Inc. | 10,365 | 1,406,220 | ||||||
Cintas Corp. | 1,940 | 359,036 | ||||||
Copa Holdings, S.A., Class A (Panama) | 1,490 | 140,984 | ||||||
Copart, Inc.* | 2,120 | 119,907 | ||||||
Costain Group PLC (United Kingdom) | 14,700 | 85,249 | ||||||
Cummins, Inc. | 1,660 | 220,780 | ||||||
Daetwyler Holding AG (Switzerland) | 30 | 5,756 | ||||||
Dart Group PLC (United Kingdom) | 5,100 | 52,286 | ||||||
DFDS A/S (Denmark) | 250 | 15,913 | ||||||
The Dun & Bradstreet Corp. | 3,760 | 461,164 | ||||||
Enav S.P.A. (Italy)2 | 5,100 | 25,514 | ||||||
Expeditors International of Washington, Inc. | 14,640 | 1,070,184 | ||||||
FACC AG (Austria) | 400 | 7,429 | ||||||
FedEx Corp. | 1,120 | 254,307 | ||||||
Flowserve Corp. | 2,050 | 82,820 | ||||||
Galliford Try PLC (United Kingdom) | 1,700 | 19,517 | ||||||
Go-Ahead Group PLC (United Kingdom) | 5,000 | 104,461 | ||||||
Graco, Inc. | 3,060 | 138,373 | ||||||
HD Supply Holdings, Inc.* | 9,290 | 398,448 | ||||||
HEICO Corp. | 1 | 91 | ||||||
Honeywell International, Inc. | 1,030 | 148,372 | ||||||
Hopewell Holdings, Ltd. (Hong Kong) | 22,700 | 77,445 | ||||||
Huntington Ingalls Industries, Inc. | 675 | 146,333 | ||||||
Implenia AG (Switzerland) | 1,450 | 110,263 | ||||||
Inabata & Co., Ltd. (Japan) | 600 | 8,322 | ||||||
Itoki Corp. (Japan) | 6,500 | 37,803 | ||||||
Kanematsu Corp. (Japan) | 2,900 | 41,827 | ||||||
KAR Auction Services, Inc. | 2,370 | 129,876 | ||||||
Kardex AG (Switzerland) | 280 | 38,745 | ||||||
Kokuyo Co., Ltd. (Japan) | 1,100 | 19,512 | ||||||
Komori Corp. (Japan) | 8,500 | 98,771 | ||||||
Kyodo Printing Co., Ltd. (Japan) | 3,400 | 87,987 | ||||||
Landstar System, Inc. | 4,820 | 526,344 | ||||||
Lockheed Martin Corp. | 2,860 | 844,930 | ||||||
Meitec Corp. (Japan) | 300 | 14,379 | ||||||
Mersen, S.A. (France) | 1,600 | 63,543 | ||||||
Morgan Advanced Materials | ||||||||
PLC (United Kingdom) | 10,800 | 46,551 |
Shares | Value | |||||||
Mota-Engil SGPS, S.A. (Portugal) | 9,200 | $ | 30,705 | |||||
Namura Shipbuilding Co., Ltd. (Japan) | 2,900 | 12,239 | ||||||
Nolato AB, Class B (Sweden) | 950 | 76,443 | ||||||
Norfolk Southern Corp. | 1,150 | 173,501 | ||||||
Northrop Grumman Corp. | 410 | 126,157 | ||||||
OC Oerlikon Corp. AG (Switzerland) | 2,100 | 31,993 | ||||||
Old Dominion Freight Line, Inc. | 1,910 | 284,514 | ||||||
PACCAR, Inc. | 6,985 | 432,791 | ||||||
QINETIQ GROUP PLC (United Kingdom) | 1,200 | 4,259 | ||||||
Raytheon Co. | 2,820 | 544,768 | ||||||
Redde PLC (United Kingdom) | 4,400 | 10,220 | ||||||
Rheinmetall AG (Germany) | 100 | 11,002 | ||||||
Robert Half International, Inc. | 13,860 | 902,286 | ||||||
Rockwell Automation, Inc. | 3,755 | 624,194 | ||||||
Rockwool International A/S, Class B (Denmark) | 220 | 85,757 | ||||||
Sojitz Corp. (Japan) | 2,700 | 9,778 | ||||||
Spirit AeroSystems Holdings, Inc., Class A | 2,425 | 208,332 | ||||||
Star Micronics Co., Ltd. (Japan) | 1,900 | 29,377 | ||||||
Sulzer AG (Switzerland) | 470 | 56,930 | ||||||
The Toro Co. | 1,290 | 77,723 | ||||||
TransUnion | 8,750 | 626,850 | ||||||
Union Pacific Corp. | 620 | 87,842 | ||||||
United Rentals, Inc.* | 6,025 | 889,411 | ||||||
Univar, Inc.* | 7,660 | 200,998 | ||||||
Valmont Industries, Inc. | 690 | 104,018 | ||||||
Waste Management, Inc. | 1,290 | 104,929 | ||||||
WW Grainger, Inc. | 2,340 | 721,656 | ||||||
XPO Logistics, Inc.* | 2,840 | 284,511 | ||||||
Total Industrials | 16,716,762 | |||||||
Information Technology - 18.2% | ||||||||
Azbil Corp. (Japan) | 500 | 21,756 | ||||||
Accenture PLC, Class A (Ireland) | 7,300 | 1,194,207 | ||||||
Adobe Systems, Inc.* | 4,780 | 1,165,412 | ||||||
Akamai Technologies, Inc.* | 1,120 | 82,018 | ||||||
Alphabet, Inc., Class A* | 3,755 | 4,240,108 | ||||||
Altium, Ltd. (Australia) | 2,500 | 41,551 | ||||||
Amphenol Corp., Class A | 2,020 | 176,043 | ||||||
Apple, Inc. | 30,200 | 5,590,322 | ||||||
Arista Networks, Inc.* | 675 | 173,806 | ||||||
AT&S Austria Technologie & Systemtechnik | ||||||||
AG (Austria) | 4,000 | 73,886 | ||||||
Atea A.S.A. (Norway) | 2,900 | 41,763 | ||||||
Autodesk, Inc.* | 660 | 86,519 |
The accompanying notes are an integral part of these financial statements.
9
Table of Contents
AMG Chicago Equity Partners Balanced Fund
Schedule of Portfolio Investments (continued)
Shares | Value | |||||||
Information Technology - 18.2% (continued) |
| |||||||
Automatic Data Processing, Inc. | 1,120 | $ | 150,237 | |||||
Booz Allen Hamilton Holding Corp. | 4,330 | 189,351 | ||||||
Broadridge Financial Solutions, Inc. | 3,060 | 352,206 | ||||||
CDW Corp. | 12,670 | 1,023,609 | ||||||
Cisco Systems, Inc. | 11,835 | 509,260 | ||||||
Dell Technologies, Inc., Class V* | 1,200 | 101,496 | ||||||
Diebold Nixdorf AG (Germany) | 50 | 3,334 | ||||||
DXC Technology Co. | 2,800 | 225,708 | ||||||
Electrocomponents PLC (United Kingdom) | 3,600 | 35,889 | ||||||
Facebook, Inc., Class A* | 16,085 | 3,125,637 | ||||||
First Solar, Inc.* | 1,230 | 64,772 | ||||||
FLIR Systems, Inc. | 3,060 | 159,028 | ||||||
Fortinet, Inc.* | 22,450 | 1,401,553 | ||||||
Harris Corp. | 4,550 | 657,657 | ||||||
Hewlett Packard Enterprise Co. | 15,410 | 225,140 | ||||||
HP, Inc. | 7,490 | 169,948 | ||||||
IAC/InterActiveCorp* | 910 | 138,766 | ||||||
Ines Corp. (Japan) | 7,700 | 73,654 | ||||||
Intel Corp. | 2,630 | 130,737 | ||||||
Intuit, Inc. | 3,980 | 813,134 | ||||||
IPG Photonics Corp.* | 820 | 180,917 | ||||||
Jabil, Inc. | 7,520 | 208,003 | ||||||
Juniper Networks, Inc.1 | 10,970 | 300,797 | ||||||
Kainos Group PLC (United Kingdom) | 11,100 | 58,597 | ||||||
Marvell Technology Group, Ltd. | 9,790 | 209,898 | ||||||
Mastercard, Inc., Class A | 5,730 | 1,126,060 | ||||||
Maxim Integrated Products, Inc. | 10,110 | 593,053 | ||||||
Micron Technology, Inc.* | 9,220 | 483,497 | ||||||
Microsoft Corp. | 38,055 | 3,752,604 | ||||||
Motorola Solutions, Inc. | 5,370 | 624,907 | ||||||
Nemetschek SE (Germany) | 60 | 7,191 | ||||||
NetApp, Inc. | 3,320 | 260,720 | ||||||
NSD Co., Ltd. (Japan) | 1,800 | 40,976 | ||||||
NVIDIA Corp. | 4,560 | 1,080,264 | ||||||
Palo Alto Networks, Inc.* | 3,420 | 702,707 | ||||||
PayPal Holdings, Inc.* | 7,800 | 649,506 | ||||||
Perspecta, Inc. | 1,400 | 28,770 | ||||||
QUALCOMM, Inc. | 2,365 | 132,724 | ||||||
Red Hat, Inc.* | 1,370 | 184,087 | ||||||
Seagate Technology PLC | 3,530 | 199,339 | ||||||
Shinko Electric Industries Co., Ltd. (Japan) | 12,100 | 107,989 |
Shares | Value | |||||||
Siltronic AG (Germany) | 400 | $ | 56,840 | |||||
Skyworks Solutions, Inc. | 3,505 | 338,758 | ||||||
Softcat PLC (United Kingdom) | 14,300 | 144,285 | ||||||
Splunk, Inc.* | 1,180 | 116,950 | ||||||
Square, Inc., Class A* | 4,650 | 286,626 | ||||||
Synopsys, Inc.* | 3,820 | 326,877 | ||||||
Take-Two Interactive Software, Inc.* | 3,955 | 468,114 | ||||||
Texas Instruments, Inc. | 14,390 | 1,586,497 | ||||||
Total System Services, Inc. | 980 | 82,830 | ||||||
Twitter, Inc. * | 11,180 | 488,231 | ||||||
The Ultimate Software Group, Inc.* | 380 | 97,778 | ||||||
VeriSign, Inc.* | 1,470 | 202,007 | ||||||
Viavi Solutions, Inc.* | 15,760 | 161,382 | ||||||
Visa, Inc., Class A | 7,270 | 962,912 | ||||||
VMware, Inc., Class A* | 1,740 | 255,728 | ||||||
VTech Holdings (Hong Kong) | 600 | 6,916 | ||||||
WEX, Inc.* | 1,080 | 205,718 | ||||||
Zebra Technologies Corp., Class A* | 8,070 | 1,156,027 | ||||||
Total Information Technology | 40,315,589 | |||||||
Materials - 2.1% | ||||||||
Air Products & Chemicals, Inc. | 2,255 | 351,171 | ||||||
Altri SGPS, S.A. (Portugal) | 2,800 | 28,217 | ||||||
Avery Dennison Corp. | 1,850 | 188,885 | ||||||
Cabot Corp. | 2,205 | 136,203 | ||||||
Celanese Corp. | 1,260 | 139,936 | ||||||
CF Industries Holdings, Inc. | 5,090 | 225,996 | ||||||
The Chemours Co. | 12,490 | 554,056 | ||||||
Crown Holdings, Inc.* | 9,610 | 430,144 | ||||||
Domtar Corp. | 4,990 | 238,223 | ||||||
DowDuPont, Inc. | 1,355 | 89,322 | ||||||
DuluxGroup, Ltd. (Australia) | 12,400 | 70,115 | ||||||
Ence Energia y Celulosa, S.A. (Spain) | 7,200 | 63,642 | ||||||
Eramet (France) | 350 | 45,916 | ||||||
FMC Corp. | 3,940 | 351,487 | ||||||
Freeport-McMoRan, Inc. | 8,515 | 146,969 | ||||||
Huntsman Corp. | 6,060 | 176,952 | ||||||
Metsa Board OYJ (Finland) | 4,600 | 51,856 | ||||||
Mitsubishi Steel Manufacturing Co., Ltd. (Japan) | 4,200 | 81,419 | ||||||
The Navigator Co., S.A. (Portugal) | 3,700 | 21,970 | ||||||
Nippon Soda Co., Ltd. (Japan) | 700 | 3,867 | ||||||
PPG Industries, Inc. | 935 | 96,987 | ||||||
Royal Gold, Inc. | 3,895 | 361,612 | ||||||
Sealed Air Corp. | 8,520 | 361,674 |
The accompanying notes are an integral part of these financial statements.
10
Table of Contents
AMG Chicago Equity Partners Balanced Fund
Schedule of Portfolio Investments (continued)
Shares | Value | |||||||
Materials - 2.1% (continued) | ||||||||
Steel Dynamics, Inc. | 1,980 | $ | 90,981 | |||||
Svenska Cellulosa AB SCA, Class B (Sweden) | 6,400 | 69,285 | ||||||
Toyo Ink SC Holdings Co., Ltd. (Japan) | 600 | 15,632 | ||||||
Vedanta Resources PLC (India) | 11,300 | 95,890 | ||||||
Westlake Chemical Corp. | 1,320 | 142,072 | ||||||
Yodogawa Steel Works, Ltd. (Japan) | 200 | 5,101 | ||||||
Total Materials | 4,635,580 | |||||||
Real Estate - 2.2% | ||||||||
Alexandria Real Estate Equities, Inc., REIT | 760 | 95,889 | ||||||
alstria office REIT-AG, REIT (Germany) | 1,500 | 22,536 | ||||||
Bayside Land Corp. (Israel) | 30 | 12,958 | ||||||
CapitaLand Retail China Trust, REIT (Singapore) | 7,500 | 8,360 | ||||||
CBRE Group, Inc., Class A* | 3,420 | 163,271 | ||||||
CoreSite Realty Corp., REIT | 4,990 | 552,992 | ||||||
Corporate Office Properties Trust, REIT | 5,380 | 155,966 | ||||||
DDR Corp., REIT 1 | 13,830 | 247,557 | ||||||
Digital Realty Trust, Inc., REIT | 2,180 | 243,244 | ||||||
Equity LifeStyle Properties, Inc., REIT | 2,250 | 206,775 | ||||||
Equity Residential, REIT | 3,475 | 221,323 | ||||||
Eurocommercial Properties, N.V. (Netherlands) | 600 | 25,466 | ||||||
GDI Property Group, REIT (Australia) | 46,500 | 44,411 | ||||||
Hemfosa Fastigheter AB (Sweden) | 6,200 | 72,418 | ||||||
Jones Lang LaSalle, Inc. | 400 | 66,396 | ||||||
Kungsleden AB (Sweden) | 12,600 | 86,728 | ||||||
The Macerich Co., REIT | 2,710 | 154,009 | ||||||
Mori Trust Sogo Reit, Inc., REIT (Japan) | 20 | 28,658 | ||||||
NSI, N.V., REIT (Netherlands) | 100 | 4,192 | ||||||
OUE Hospitality Trust (Singapore) | 31,700 | 18,506 | ||||||
Outfront Media, Inc., REIT | 5,135 | 99,876 | ||||||
Park Hotels & Resorts, Inc., REIT | 12,340 | 377,974 | ||||||
Piedmont Office Realty Trust, Inc., Class A, REIT | 16,590 | 330,639 | ||||||
Prologis, Inc., REIT | 3,920 | 257,505 | ||||||
RDI REIT PLC, REIT (United Kingdom) | 215,200 | 99,262 | ||||||
Savills PLC (United Kingdom) | 5,400 | 61,867 | ||||||
SBA Communications Corp., REIT * | 2,265 | 373,997 | ||||||
Senior Housing Properties Trust, REIT | 10,210 | 184,699 | ||||||
Soilbuild Business Space REIT, REIT (Singapore) | 215,700 | 102,922 | ||||||
Spirit Realty Capital, Inc., REIT | 19,080 | 153,212 | ||||||
Tanger Factory Outlet Centers, Inc., REIT 1 | 6,480 | 152,215 | ||||||
Taubman Centers, Inc., REIT | 2,280 | 133,973 | ||||||
Vastned Retail, N.V., REIT (Netherlands) | 200 | 9,422 | ||||||
Total Real Estate | 4,769,218 |
Shares | Value | |||||||
Telecommunication Services - 1.1% |
| |||||||
AT&T, Inc. | 29,394 | $ | 943,841 | |||||
B Communications, Ltd. (Israel)* | 6,200 | 56,776 | ||||||
Ei Towers S.P.A. (Italy) | 50 | 2,765 | ||||||
HKBN, Ltd. (Hong Kong) | 34,000 | 52,300 | ||||||
Telephone & Data Systems, Inc. | 5,970 | 163,697 | ||||||
T-Mobile US, Inc.* | 7,785 | 465,154 | ||||||
Verizon Communications, Inc. | 13,170 | 662,583 | ||||||
Total Telecommunication Services | 2,347,116 | |||||||
Utilities - 1.3% | ||||||||
American Water Works Co., Inc. | 4,585 | 391,467 | ||||||
Atmos Energy Corp. | 4,070 | 366,870 | ||||||
CenterPoint Energy, Inc. | 10,375 | 287,491 | ||||||
Consolidated Edison, Inc. | 3,530 | 275,269 | ||||||
Eversource Energy | 2,880 | 168,797 | ||||||
Hera S.P.A. (Italy) | 1,900 | 5,912 | ||||||
Hokuriku Electric Power Co. (Japan)* | 11,500 | 115,506 | ||||||
Italgas S.P.A. (Italy) | 600 | 3,302 | ||||||
Kenon Holdings, Ltd. (Singapore) | 1,000 | 15,188 | ||||||
NRG Energy, Inc. | 7,845 | 240,842 | ||||||
OGE Energy Corp. | 5,910 | 208,091 | ||||||
Pinnacle West Capital Corp. | 2,840 | 228,790 | ||||||
PPL Corp. | 8,450 | 241,248 | ||||||
Vectren Corp. | 3,250 | 232,213 | ||||||
Xcel Energy, Inc. | 3,180 | 145,262 | ||||||
Total Utilities | 2,926,248 | |||||||
Total Common Stocks | 141,710,304 | |||||||
Principal Amount | ||||||||
Corporate Bonds and Notes - 6.5% |
| |||||||
Financials - 1.6% | ||||||||
Aflac, Inc. | $ | 30,000 | 28,269 | |||||
The Allstate Corp. | 30,000 | 29,735 | ||||||
American Express Co. | ||||||||
3.400%, 02/27/23 | 220,000 | 217,678 | ||||||
4.050%, 12/03/421 | 165,000 | 161,856 | ||||||
American Express Credit Corp., GMTN | 10,000 | 9,940 | ||||||
American Financial Group, Inc. | 25,000 | 23,579 | ||||||
Aon Corp. | 20,000 | 20,706 |
The accompanying notes are an integral part of these financial statements.
11
Table of Contents
AMG Chicago Equity Partners Balanced Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||
Financials - 1.6% (continued) | ||||||||
Bank of America Corp., GMTN | $ | 825,000 | $ | 788,558 | ||||
The Bank of New York Mellon Corp., MTN | 50,000 | 50,055 | ||||||
Brown & Brown, Inc. | 25,000 | 25,097 | ||||||
CBRE Services, Inc. | 25,000 | 26,348 | ||||||
The Goldman Sachs Group Inc. | 125,000 | 118,631 | ||||||
The Hartford Financial Services Group, Inc. | 25,000 | 26,405 | ||||||
JPMorgan Chase & Co. | 830,000 | 815,662 | ||||||
Lazard Group LLC | ||||||||
3.625%, 03/01/27 | 140,000 | 131,417 | ||||||
3.750%, 02/13/25 | 25,000 | 24,245 | ||||||
Marsh & McLennan Cos., Inc. | 30,000 | 29,756 | ||||||
Mastercard, Inc. | 30,000 | 29,297 | ||||||
MetLife, Inc. | 40,000 | 39,484 | ||||||
Morgan Stanley | 355,000 | 337,794 | ||||||
Old Republic International Corp. | 25,000 | 24,089 | ||||||
The Progressive Corp. | 100,000 | 90,391 | ||||||
4.350%, 04/25/44 | 30,000 | 30,666 | ||||||
Regions Financial Corp. | 30,000 | 29,863 | ||||||
SunTrust Bank, BKNT | 30,000 | 29,381 | ||||||
Synovus Financial Corp. | 20,000 | 19,125 | ||||||
TD Ameritrade Holding Corp. | 25,000 | 24,576 | ||||||
Visa, Inc. | ||||||||
2.750%, 09/15/27 | 185,000 | 172,125 | ||||||
2.800%, 12/14/22 | 40,000 | 39,289 | ||||||
4.150%, 12/14/35 | 170,000 | 176,473 | ||||||
Total Financials | 3,570,490 | |||||||
Industrials - 4.6% | ||||||||
3M Co., MTN | 30,000 | 28,716 | ||||||
AbbVie, Inc. | 500,000 | 476,669 |
Principal Amount | Value | |||||||
Adobe Systems, Inc. | $ | 15,000 | $ | 14,770 | ||||
Aetna Inc. | 375,000 | 369,100 | ||||||
Agilent Technologies, Inc. | 30,000 | 29,935 | ||||||
Air Products & Chemicals, Inc. | 25,000 | 25,431 | ||||||
Altria Group, Inc. | 190,000 | 177,652 | ||||||
Amazon.com, Inc. | 45,000 | 43,324 | ||||||
AmerisourceBergen Corp. | 30,000 | 26,475 | ||||||
Amgen, Inc. | 40,000 | 40,603 | ||||||
Anthem, Inc. | 40,000 | 38,911 | ||||||
Apple, Inc. | 100,000 | 95,706 | ||||||
Applied Materials, Inc. | 30,000 | 31,001 | ||||||
Aptiv PLC (Ireland) | 25,000 | 24,958 | ||||||
AstraZeneca PLC (United Kingdom) | 35,000 | 33,698 | ||||||
AT&T, Inc. | 100,000 | 103,039 | ||||||
Automatic Data Processing, Inc. | 20,000 | 19,733 | ||||||
Baxter International, Inc. | 30,000 | 25,841 | ||||||
Biogen, Inc. | 30,000 | 31,954 | ||||||
Block Financial LLC | 25,000 | 25,874 | ||||||
The Boeing Co. | ||||||||
1.875%, 06/15/23 | 275,000 | 258,110 | ||||||
2.800%, 03/01/27 | 140,000 | 132,156 | ||||||
BP Capital Markets PLC (United Kingdom) | 55,000 | 53,050 | ||||||
Broadridge Financial Solutions, Inc. | 25,000 | 23,738 | ||||||
Brown-Forman Corp. | ||||||||
4.000%, 04/15/38 | 260,000 | 259,666 | ||||||
4.500%, 07/15/45 | 25,000 | 26,830 | ||||||
CA, Inc. | ||||||||
4.700%, 03/15/27 | 25,000 | 25,286 | ||||||
Caterpillar Financial Services Corp., | 340,000 | 328,379 |
The accompanying notes are an integral part of these financial statements.
12
Table of Contents
AMG Chicago Equity Partners Balanced Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||
Industrials - 4.6% (continued) | ||||||||
Chevron Corp. | $ | 45,000 | $ | 43,398 | ||||
Cigna Corp. | 10,000 | 8,541 | ||||||
Cisco Systems, Inc. | 45,000 | 43,799 | ||||||
Costco Wholesale Corp. | 30,000 | 29,534 | ||||||
CSX Corp. | 25,000 | 24,598 | ||||||
Cummins, Inc. | 25,000 | 27,127 | ||||||
Danaher Corp. | 20,000 | 19,768 | ||||||
Delta Air Lines, Inc. | 10,000 | 9,896 | ||||||
4.375%, 04/19/28 | 15,000 | 14,474 | ||||||
Dollar General Corp. | 165,000 | 157,846 | ||||||
Eastman Chemical Co. | 25,000 | 24,705 | ||||||
Emerson Electric Co. | 30,000 | 29,466 | ||||||
The Estee Lauder Cos. Inc. | 300,000 | 289,296 | ||||||
FedEx Corp. | 40,000 | 35,935 | ||||||
Fidelity National Information Services, Inc. | 30,000 | 27,971 | ||||||
Fiserv, Inc. | 30,000 | 29,574 | ||||||
General Dynamics Corp. | 30,000 | 27,632 | ||||||
2.875%, 05/11/20 | 10,000 | 9,992 | ||||||
General Motors Co. | 10,000 | 9,597 | ||||||
Gilead Sciences, Inc. | ||||||||
2.950%, 03/01/271 | 435,000 | 406,814 | ||||||
3.250%, 09/01/22 | 50,000 | 49,741 | ||||||
GlaxoSmithKline Capital, Inc. | 40,000 | 39,020 | ||||||
Hess Corp. | 30,000 | 29,027 | ||||||
Hewlett Packard Enterprise Co. | 380,000 | 388,438 | ||||||
HollyFrontier Corp. | 345,000 | 368,633 | ||||||
The Home Depot, Inc. | 50,000 | 48,845 |
Principal Amount | Value | |||||||
Honeywell International, Inc. | $ | 35,000 | $ | 32,389 | ||||
HP, Inc. | 30,000 | 30,254 | ||||||
Hyatt Hotels Corp. | 25,000 | 24,634 | ||||||
Intel Corp. | 40,000 | 43,614 | ||||||
International Paper Co. | 40,000 | 36,276 | ||||||
Kerr-McGee Corp. | 30,000 | 34,081 | ||||||
Kinder Morgan, Inc. | 50,000 | 48,669 | ||||||
KLA-Tencor Corp. | 25,000 | 25,454 | ||||||
Kohl’s Corp. | 360,000 | 358,771 | ||||||
Lear Corp. | 30,000 | 28,222 | ||||||
Lockheed Martin Corp. | 40,000 | 39,375 | ||||||
Lowe’s Cos., Inc. | 35,000 | 36,590 | ||||||
LYB International Finance BV (Netherlands) | 30,000 | 31,250 | ||||||
Macy’s Retail Holdings, Inc. | 30,000 | 28,250 | ||||||
McDonald’s Corp., MTN | 40,000 | 41,528 | ||||||
Microsoft Corp. | 95,000 | 93,649 | ||||||
Moody’s Corp. | 20,000 | 19,550 | ||||||
NetApp, Inc. | 25,000 | 24,790 | ||||||
Newmont Mining Corp. | 25,000 | 24,881 | ||||||
NIKE, Inc. | 30,000 | 27,939 | ||||||
Nordstrom, Inc. | 30,000 | 28,919 | ||||||
Norfolk Southern Corp. | 20,000 | 19,571 | ||||||
Northrop Grumman Corp. | 35,000 | 37,930 | ||||||
Occidental Petroleum Corp. | 35,000 | 36,685 | ||||||
ONEOK Partners, L.P. | 30,000 | 30,163 |
The accompanying notes are an integral part of these financial statements.
13
Table of Contents
AMG Chicago Equity Partners Balanced Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||
Industrials - 4.6% (continued) | ||||||||
Oracle Corp. | $ | 80,000 | $ | 76,586 | ||||
Pfizer, Inc. | 50,000 | 48,274 | ||||||
Philip Morris International, Inc. | 45,000 | 43,147 | ||||||
Praxair, Inc. | 30,000 | 29,851 | ||||||
QUALCOMM, Inc. 4.800%, 05/20/45 | 430,000 | 430,980 | ||||||
Ralph Lauren Corp. | 25,000 | 24,787 | ||||||
Raytheon Co. | 30,000 | 30,691 | ||||||
Republic Services, Inc. | 25,000 | 26,194 | ||||||
S&P Global, Inc. | 30,000 | 30,047 | ||||||
salesforce.com, Inc. | 25,000 | 24,870 | ||||||
Shell International Finance BV (Netherlands) | ||||||||
2.250%, 01/06/23 | 60,000 | 57,493 | ||||||
2.500%, 09/12/26 | 660,000 | 612,110 | ||||||
Spirit AeroSystems, Inc. | 25,000 | 24,043 | ||||||
Stanley Black & Decker, Inc. | 25,000 | 27,744 | ||||||
Starbucks Corp. | 30,000 | 28,662 | ||||||
Target Corp. | 40,000 | 36,792 | ||||||
The TJX Cos., Inc. | 30,000 | 26,782 | ||||||
Total System Services, Inc. | 130,000 | 128,976 | ||||||
4.800%, 04/01/26 | 25,000 | 25,668 | ||||||
Toyota Motor Credit Corp., MTN | 400,000 | 411,674 | ||||||
Union Pacific Corp. | 205,000 | 194,051 | ||||||
United Technologies Corp. | 50,000 | 46,541 | ||||||
UnitedHealth Group, Inc. | 55,000 | 54,720 | ||||||
Vale Overseas, Ltd. | 355,000 | 385,353 | ||||||
Verisk Analytics, Inc. | 25,000 | 25,859 |
Principal Amount | Value | |||||||
Verizon Communications, Inc. | $ | 345,000 | $ | 334,675 | ||||
VF Corp. | 25,000 | 25,238 | ||||||
VMware, Inc. | 30,000 | 27,753 | ||||||
Walmart, Inc. | 50,000 | 49,004 | ||||||
Warner Media LLC | 365,000 | 333,684 | ||||||
Waste Management, Inc. | 30,000 | 31,015 | ||||||
Westlake Chemical Corp. | 25,000 | 25,354 | ||||||
WW Grainger, Inc. | 185,000 | 190,936 | ||||||
Zoetis, Inc. | 30,000 | 30,089 | ||||||
Total Industrials | 10,047,349 | |||||||
Utilities - 0.3% | ||||||||
Commonwealth Edison Co. | 285,000 | 269,927 | ||||||
Exelon Generation Co. LLC | 50,000 | 51,190 | ||||||
Florida Power & Light Co. | 40,000 | 39,085 | ||||||
NextEra Energy Capital Holdings, Inc. | 385,000 | 370,764 | ||||||
Total Utilities | 730,966 | |||||||
Total Corporate Bonds and Notes |
| |||||||
U.S. Government and Agency Obligations -28.4% |
| |||||||
Fannie Mae - 2.3% | ||||||||
Federal National Mortgage Association, | ||||||||
1.000%, 10/24/19 | 410,000 | 402,246 | ||||||
1.375%, 10/07/21 | 195,000 | 187,006 | ||||||
1.625%, 01/21/20 | 425,000 | 419,393 | ||||||
2.625%, 09/06/24 | 345,000 | 339,542 | ||||||
FNMA, | ||||||||
2.000%, 01/01/30 | 53,709 | 51,658 | ||||||
2.500%, 04/01/28 to 05/01/43 | 1,637,686 | 1,565,626 | ||||||
3.000%, 03/01/42 to 08/01/43 | 547,517 | 535,258 | ||||||
3.500%, 11/01/25 to 04/01/42 | 275,678 | 278,050 | ||||||
4.000%, 12/01/21 to 11/01/44 | 292,062 | 299,627 | ||||||
4.500%, 06/01/39 to 09/01/43 | 670,532 | 705,445 | ||||||
5.000%, 09/01/33 to 10/01/41 | 278,876 | 299,168 | ||||||
5.500%, 02/01/35 to 05/01/39 | 131,843 | 142,524 | ||||||
Total Fannie Mae | 5,225,543 |
The accompanying notes are an integral part of these financial statements.
14
Table of Contents
AMG Chicago Equity Partners Balanced Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||
Freddie Mac - 7.3% | ||||||||
Federal Home Loan Mortgage Corp., | ||||||||
1.375%, 05/01/201 | $ | 170,000 | $ | 166,531 | ||||
2.375%, 01/13/22 | 120,000 | 118,485 | ||||||
FHLMC Gold Pool, | ||||||||
2.500%, 07/01/28 to 09/01/46 | 1,254,997 | 1,198,473 | ||||||
3.000%, 01/01/29 to 11/01/47 | 4,740,150 | 4,628,887 | ||||||
3.500%, 03/01/42 to 10/01/47 | 5,299,184 | 5,293,239 | ||||||
4.000%, 03/01/44 to 11/01/45 | 3,117,638 | 3,192,122 | ||||||
4.500%, 02/01/39 to 04/01/44 | 790,370 | 827,077 | ||||||
5.000%, 07/01/35 to 07/01/41 | 640,085 | 683,248 | ||||||
5.500%, 04/01/38 to 01/01/39 | 38,502 | 41,750 | ||||||
Total Freddie Mac | 16,149,812 | |||||||
U.S. Treasury Obligations - 18.8% | ||||||||
U.S. Treasury Notes, | ||||||||
0.875%, 07/31/19 | 760,000 | 747,843 | ||||||
1.000%, 09/30/19 | 760,000 | 746,774 | ||||||
1.125%, 07/31/21 | 1,180,000 | 1,127,730 | ||||||
1.375%, 01/31/20 to 08/31/20 | 6,200,000 | 6,069,817 | ||||||
1.500%, 01/31/22 | 1,525,000 | 1,464,179 | ||||||
1.625%, 07/31/20 to 05/15/26 | 6,535,000 | 6,234,846 | ||||||
1.750%, 05/15/22 to 06/30/22 | 2,365,000 | 2,282,024 | ||||||
1.875%, 06/30/20 to 11/30/21 | 1,505,000 | 1,472,217 | ||||||
2.000%, 01/31/20 to 02/15/25 | 5,480,000 | 5,369,656 | ||||||
2.125%, 12/31/21 | 1,545,000 | 1,517,419 | ||||||
2.250%, 11/15/24 to 08/15/27 | 5,360,000 | 5,142,423 | ||||||
2.500%, 08/15/23 to 05/15/24 | 2,795,000 | 2,754,619 | ||||||
2.875%, 05/15/28 | 845,000 | 846,799 | ||||||
U.S. Treasury Bonds, | ||||||||
2.750%, 08/15/42 to 08/15/47 | 3,655,000 | 3,500,410 | ||||||
3.000%, 11/15/45 to 02/15/48 | 2,290,000 | 2,298,441 | ||||||
Total U.S. Treasury Obligations | 41,575,197 | |||||||
Total U.S. Government and Agency Obligations | 62,950,552 | |||||||
Shares | ||||||||
Preferred Stock - 0.0%# | ||||||||
Industrials - 0.0%# | ||||||||
Sixt Se (Germany) | 150 | 11,745 | ||||||
Rights - 0.0% | ||||||||
Health Care - 0.0% | ||||||||
Dyax Corp., CVR Expiration 04/15/27*,4,5 | 670 | 0 |
* | Non-income producing security. |
# | Less than 0.05%. |
1 | Some or all of these securities, amounting to $3,136,709 or 1.4% of net assets, were out on loan to various brokers. |
2 | 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 buyers. At June 30, 2018, the value of these securities amounted to $115,550 or 0.1% of net assets. |
Principal Amount | Value | |||||||
Short-Term Investments - 2.5% | ||||||||
Joint Repurchase Agreements - 1.5%6 | ||||||||
Jefferies LLC, dated 06/29/18, due 07/02/18, 2.100% total to be received $1,000,175 (collateralized by various U.S. Government Agency Obligations, 3.000% - 4.500%, 06/01/46 - 05/15/58, totaling $1,020,000) | $ | 1,000,000 | $ | 1,000,000 | ||||
National Bank Financial dated 06/29/18, due 07/02/18, 2.010% total to be received $1,000,168 (collateralized by various U.S. Treasuries, 0.000% -6.000%, 09/06/18 -09/09/49, totaling $1,020,000) | 1,000,000 | 1,000,000 | ||||||
Nomura Securities International, Inc., dated 06/29/18, due 07/02/18, 2.120% total to be received $1,000,177 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 9.000%, 07/15/18 -05/20/68, totaling $1,020,000) | 1,000,000 | 1,000,000 | ||||||
RBC Dominion Securities, Inc., dated 06/29/18, due 07/02/18, 2.110% total to be received $268,637 (collateralized by various U.S. Government Agency Obligations, 3.000% -7.000%, 11/01/36 - 06/01/48, totaling $273,962) | 268,590 | 268,590 | ||||||
Total Joint Repurchase Agreements | 3,268,590 | |||||||
Shares | ||||||||
Other Investment Companies - 1.0% | ||||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Class Shares, 1.85%7 | 2,318,257 | 2,318,257 | ||||||
Total Short-Term Investments | 5,586,847 | |||||||
Total Investments - 101.5% | 224,608,253 | |||||||
Other Assets, less Liabilities - (1.5)% | (3,413,856 | ) | ||||||
Net Assets - 100.0% | $ | 221,194,397 |
3 | 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 | Security’s value was determined by using significant unobservable inputs. |
5 | This security is restricted and not available for re-sale. The security was received as part of a corporate action on January 22, 2016. |
6 | Collateral received from brokers for securities lending was invested in these joint repurchase agreements. |
The accompanying notes are an integral part of these financial statements.
15
Table of Contents
AMG Chicago Equity Partners Balanced Fund
Schedule of Portfolio Investments (continued)
7 | Yield shown represents the June 30, 2018, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
CVR | Contingent Value Rights | |
FHLMC | Freddie Mac | |
FNMA | Fannie Mae | |
GMTN | Global Medium-Term Notes |
MTN | Medium-Term Note | |
REIT | Real Estate Investment Trust | |
S&P | Standard & Poor’s | |
SDR | Sponsored Depositary Receipt |
The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of June 30, 2018:
Level 1 | Level 21 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Information Technology | $ | 39,659,559 | $ | 656,030 | — | $ | 40,315,589 | |||||||||
Consumer Discretionary | 20,033,228 | 1,140,228 | — | 21,173,456 | ||||||||||||
Health Care | 18,245,913 | 416,841 | — | 18,662,754 | ||||||||||||
Industrials | 15,311,221 | 1,405,541 | — | 16,716,762 | ||||||||||||
Financials | 14,311,991 | 831,191 | — | 15,143,182 | ||||||||||||
Consumer Staples | 8,786,504 | 318,438 | — | 9,104,942 | ||||||||||||
Energy | 5,621,141 | 294,316 | — | 5,915,457 | ||||||||||||
Real Estate | 4,274,966 | 494,252 | — | 4,769,218 | ||||||||||||
Materials | 4,082,670 | 552,910 | — | 4,635,580 | ||||||||||||
Utilities | 2,786,340 | 139,908 | — | 2,926,248 | ||||||||||||
Telecommunication Services | 2,294,816 | 52,300 | — | 2,347,116 | ||||||||||||
Corporate Bonds and Notes† | — | 14,348,805 | — | 14,348,805 | ||||||||||||
U.S. Government and Agency Obligations† | — | 62,950,552 | — | 62,950,552 | ||||||||||||
Preferred Stock†† | — | 11,745 | — | 11,745 | ||||||||||||
Rights | ||||||||||||||||
Health Care | — | — | $ | 0 | 0 | |||||||||||
Short-Term Investments | ||||||||||||||||
Joint Repurchase Agreements | — | 3,268,590 | — | 3,268,590 | ||||||||||||
Other Investment Companies | 2,318,257 | — | — | 2,318,257 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 137,726,606 | $ | 86,881,647 | $ | 0 | $ | 224,608,253 | ||||||||
|
|
|
|
|
|
|
|
† | All corporate bonds and notes and U.S. government and agency obligations held in the Fund are Level 2 securities. For a detailed breakout of corporate bonds and notes and U.S. government and agency obligations by major industry or agency classification, please refer to the Fund’s Schedule of Portfolio Investments. |
†† | All preferred stocks held in the Fund are Level 2 securities. For a detailed breakout of preferred stocks by major industry classification, please refer to the Fund’s Schedule of Portfolio Investments. |
1 | An external pricing service is used to reflect any impact on security value due to market movements between the time the Fund valued such foreign securities and the earlier closing of foreign markets. As a result, certain international equity securities may be level 2 and could result in transfers between level 1 and level 2. (See Note 1(a) in the Notes to Financial Statements.) |
At June 30, 2018, the Level 3 securities are Rights received as a result of a corporate action. The security’s value was determined by using significant unobservable inputs.
The accompanying notes are an integral part of these financial statements.
16
Table of Contents
AMG Chicago Equity Partners Balanced Fund
Schedule of Portfolio Investments (continued)
As of June 30, 2018, the Fund had transfers between Level 1 and Level 2 as follows:
Transfer into Level 11 | Transfer out of Level 11 | Transfer into Level 21 | Transfer out of Level 21 | |||||||||||||
Assets: | ||||||||||||||||
Common Stocks | $ | 219,789 | $ | (1,715,777 | ) | $ | 1,715,777 | $ | (219,789 | ) | ||||||
|
|
|
|
|
|
|
|
1 | An external pricing service is used to reflect any impact on security value due to market movements between the time the Fund valued such foreign securities and the earlier closing of foreign markets. As a result, certain international equity securities may be level 2 and could result in transfers between level 1 and level 2. (See Note 1(a) in the Notes to Financial Statements.) |
Country | % of Long-Term Investments | |||
Australia | 0.2 | |||
Austria | 0.0 | # | ||
Bermuda | 0.2 | |||
Brazil | 0.2 | |||
Canada | 0.1 | |||
Denmark | 0.1 | |||
Finland | 0.1 | |||
France | 0.1 | |||
Germany | 0.1 | |||
Gibraltar | 0.0 | # | ||
Hong Kong | 0.1 | |||
India | 0.0 | # | ||
Ireland | 1.2 | |||
Israel | 0.2 | |||
Italy | 0.1 | |||
Japan | 0.9 |
Country | % of Long-Term | |
Malta | 0.0# | |
Netherlands | 0.4 | |
New Zealand | 0.0# | |
Norway | 0.1 | |
Panama | 0.1 | |
Portugal | 0.0# | |
Singapore | 0.1 | |
Spain | 0.1 | |
Sweden | 0.2 | |
Switzerland | 0.1 | |
United Kingdom | 0.8 | |
United States | 94.5 | |
| ||
100.0 | ||
|
# | Less than 0.05%. |
The accompanying notes are an integral part of these financial statements.
17
Table of Contents
AMG Managers Amundi Intermediate Government Fund
Fund Snapshots (unaudited)
June 30, 2018
PORTFOLIO BREAKDOWN
Category | % of Net Assets | |||
U.S. Government and Agency Obligations | 125.1 | |||
Asset-Backed Securities | 5.7 | |||
Mortgage-Backed Securities | 0.5 | |||
Short-Term Investments | 12.2 | |||
TBA Forward Sale Commitments | (5.1 | ) | ||
Other Assets Less Liabilities1 | (38.4 | ) | ||
|
|
1 | Includes payable for delayed delivery securities. |
Rating | % of Market Value1 | |||
U.S. Government and Agency Obligations | 95.3 | |||
Aaa | 4.4 | |||
A | 0.0 | 2 | ||
Ba | 0.1 | |||
B0.2 |
| |||
Caa & lower | 0.0 | 2 | ||
N/R | 0.0 | 2 |
1 | Includes market value of fixed-income securities only. |
2 | Less than 0.05%. |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |||
FHLMC Gold Pool, 4.000%, TBA 30 years | 17.9 | |||
FNMA, 4.000%, TBA 30 years | 14.1 | |||
FHLMC Gold Pool, 3.500%, TBA 30 years | 7.2 | |||
FNMA, 4.500%, TBA 30 years | 5.2 | |||
Progress Residential Trust, Series 2015-SFR2, Class A, 2.740%, 06/12/32 | 3.3 | |||
FNMA, 4.000%, 09/01/55 | 2.9 | |||
FNMA, 3.000%, 06/01/45 | 2.6 | |||
FNMA, 4.500%, 09/01/53 | 2.4 | |||
FNMA, 5.000%, 08/01/40 | 2.0 | |||
Invitation Homes Trust, Series 2015-SFR3, Class A, 3.373%, 08/17/32 | 2.0 | |||
|
| |||
Top Ten as a Group | 59.6 | |||
|
|
Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service, Inc. (“Moody’s”). These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.
Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.
Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.
18
Table of Contents
AMG Managers Amundi Intermediate Government Fund
Schedule of Portfolio Investments (unaudited)
June 30, 2018
Principal Amount | Value | |||||||
Asset-Backed Securities - 5.7% | ||||||||
Invitation Homes Trust | $ | 1,795,474 | $ | 1,797,707 | ||||
Progress Residential Trust | ||||||||
Series 2015-SFR2, Class A | 2,948,845 | 2,907,751 | ||||||
Series 2016-SFR1, Class A | 350,806 | 351,341 | ||||||
Total Asset-Backed Securities | 5,056,799 | |||||||
Mortgage-Backed Securities - 0.5% | ||||||||
American Home Mortgage Assets Trust | 42,174 | 37,364 | ||||||
American Home Mortgage Investment Trust | ||||||||
Series 2004-1, Class 4A | 85,216 | 83,493 | ||||||
Series 2005-1, Class 5A1 | 2,035 | 2,034 | ||||||
Banc of America Funding | 59,969 | 48,938 | ||||||
GSR Mortgage Loan Trust | 11,736 | 11,545 | ||||||
Reperforming Loan REMIC Trust | 63,294 | 56,874 | ||||||
Structured Asset Securities Corp. | 149,403 | 138,652 | ||||||
Wells Fargo Mortgage Backed Securities Trust | 65,017 | 65,872 | ||||||
Total Mortgage-Backed Securities | 444,772 | |||||||
U.S. Government and Agency Obligations -125.1% | ||||||||
Fannie Mae - 52.2% | ||||||||
FNMA REMICS, | ||||||||
Series 2005-13, Class AF | 181,156 | 181,651 | ||||||
Series 1994-55, Class H | 277,451 | 301,171 |
Principal Amount | Value | |||||||
FNMA, | ||||||||
2.500%, 02/01/43 | $ | 613,983 | $ | 577,830 | ||||
3.000%, 01/01/43 to 06/01/453 | 4,117,515 | 4,017,577 | ||||||
3.500%, TBA 30 years5,6 | 1,400,000 | 1,393,414 | ||||||
3.500%, 05/01/42 to 10/01/453 | 6,534,377 | 6,535,100 | ||||||
(6 month LIBOR + 1.600%), 3.673%, 06/01/342,3 | 358,529 | 371,311 | ||||||
(12 month LIBOR + 1.638%), 3.703%, 08/01/342 | 96,181 | 100,650 | ||||||
4.000%, TBA 30 years5,6 | 12,200,000 | 12,437,922 | ||||||
4.000%, 12/01/26 to 09/01/553 | 6,507,207 | 6,683,774 | ||||||
4.500%, 11/01/26 to 09/01/533 | 3,835,160 | 4,038,220 | ||||||
4.500%, TBA 30 years5,6 | 4,400,000 | 4,573,288 | ||||||
4.750%, 07/01/34 to 09/01/34 | 181,176 | 191,568 | ||||||
5.000%, 11/01/39 to 08/01/40 | 1,770,598 | 1,898,149 | ||||||
5.500%, 10/01/18 to 08/01/413 | 1,764,790 | 1,888,218 | ||||||
6.000%, 11/01/22 to 06/01/393 | 681,093 | 734,459 | ||||||
6.500%, 07/01/32 | 58,349 | 59,066 | ||||||
7.000%, 11/01/223 | 142,739 | 148,077 | ||||||
FNMA REMICS Whole Loan | 46,899 | 51,392 | ||||||
Total Fannie Mae | 46,182,837 | |||||||
Freddie Mac - 37.9% | ||||||||
FHLMC Gold Pool, | ||||||||
3.000%, 10/01/42 to 06/01/45 | 2,055,010 | 1,999,812 | ||||||
3.500%, TBA 30 years5,6 | 6,400,000 | 6,366,405 | ||||||
3.500%, 04/01/32 to 02/01/473 | 2,896,478 | 2,914,877 | ||||||
4.000%, 09/01/31 | 273,402 | 282,836 | ||||||
4.000%, TBA 30 years5,6 | 15,600,000 | 15,878,078 | ||||||
4.500%, 05/01/23 to 09/01/413 | 1,369,450 | 1,433,721 | ||||||
5.000%, 10/01/18 to 06/01/413 | 1,876,780 | 1,999,785 | ||||||
5.500%, 01/01/19 to 01/01/393 | 1,447,218 | 1,557,819 | ||||||
6.000%, 09/01/21 to 01/01/24 | 123,059 | 126,995 | ||||||
7.000%, 07/01/19 | 14,717 | 14,872 | ||||||
7.500%, 07/01/343 | 477,647 | 544,092 | ||||||
FHLMC, | 369,423 | 389,524 | ||||||
Total Freddie Mac | 33,508,816 | |||||||
Ginnie Mae - 33.2% | ||||||||
GNMA, | ||||||||
3.000%, 11/15/42 to 06/20/45 | 3,031,937 | 2,977,474 | ||||||
3.500%, 08/15/43 to 11/20/453 | 7,327,747 | 7,368,560 | ||||||
4.000%, 06/20/43 to 04/20/473 | 11,883,752 | 12,235,463 | ||||||
4.500%, 05/15/39 to 02/15/463 | 2,237,654 | 2,365,161 | ||||||
5.000%, 12/15/35 to 12/15/453 | 3,307,580 | 3,521,937 | ||||||
5.500%, 10/15/39 to 11/15/393 | 764,651 | 834,081 | ||||||
7.500%, 09/15/28 to 11/15/31 | 18,866 | 19,421 | ||||||
Total Ginnie Mae | 29,322,097 | |||||||
Interest Only Strip - 1.8% | ||||||||
FHLMC | 713 | 151 | ||||||
FHLMC REMICS, | ||||||||
Series 2380, Class SI | 6,811 | 1,180 |
The accompanying notes are an integral part of these financial statements.
19
Table of Contents
AMG Managers Amundi Intermediate Government Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||
Interest Only Strip - 1.8% (continued) | ||||||||
FHLMC REMICS, | ||||||||
Series 2922, Class SE | $ | 68,300 | $ | 10,809 | ||||
Series 2934, Class HI | 9,369 | 245 | ||||||
Series 2934, Class KI | 6,135 | 150 | ||||||
Series 2965, Class SA | 140,493 | 15,326 | ||||||
Series 2967, Class JI | 19,301 | 568 | ||||||
Series 2980, Class SL | 105,771 | 20,167 | ||||||
Series 3065, Class DI | 214,042 | 32,488 | ||||||
Series 3308, Class S | 125,174 | 19,621 | ||||||
Series 3424, Class XI | 172,432 | 24,745 | ||||||
Series 3489, Class SD | 74,705 | 12,652 | ||||||
Series 3685, Class EI | 1,193 | 8 | ||||||
Series 3731, Class IO | 1,126 | 6 | ||||||
Series 3882, Class AI | 22,067 | 493 | ||||||
Series 3927, Class AI | 203,150 | 17,905 | ||||||
Series 4097, Class CI | 240,491 | 20,606 | ||||||
Series 4123, Class DI | 617,451 | 53,584 | ||||||
Series 4395, Class TI | 435,403 | 40,334 | ||||||
FNMA, | ||||||||
Series 222, Class 2 | 3,557 | 451 | ||||||
Series 343, Class 21 | 350 | 0 | ||||||
Series 343, Class 22 | 376 | 1 | ||||||
Series 351, Class 5 | 20,429 | 3,492 | ||||||
Series 351, Class 3 | 42,036 | 6,976 | ||||||
Series 351, Class 4 | 24,164 | 4,131 |
Principal Amount | Value | |||||||
FNMA REMICS, | ||||||||
Series 2004-51, Class SX | $ | 73,509 | $ | 11,526 | ||||
Series 2004-64, Class SW | 240,258 | 37,221 | ||||||
Series 2005-12, Class SC | 104,764 | 14,344 | ||||||
Series 2005-45, Class SR | 184,389 | 27,183 | ||||||
Series 2005-65, Class KI | 435,611 | 66,193 | ||||||
Series 2005-89, Class S | 442,561 | 64,819 | ||||||
Series 2006-3, Class SA | 90,461 | 10,922 | ||||||
Series 2007-75, Class JI | 84,959 | 12,436 | ||||||
Series 2008-86, Class IO | 8,743 | 106 | ||||||
Series 2009-31, Class PI | 522,409 | 83,959 | ||||||
Series 2010-121, Class IO | 8,234 | 123 | ||||||
Series 2010-37, Class GI | 844 | 2 | ||||||
Series 2010-65, Class IO | 49,380 | 1,316 | ||||||
Series 2011-124, Class IC | 83,636 | 1,904 | ||||||
Series 2011-88, Class WI | 189,907 | 17,362 | ||||||
Series 2012-126, Class SJ | 468,652 | 51,357 | ||||||
Series 2012-130, Class UI | 296,728 | 25,517 | ||||||
Series 2012-150, Class BI | 231,394 | 20,035 | ||||||
Series 2013-5, Class YI | 319,324 | 27,602 | ||||||
GNMA, | ||||||||
Series 2011-167, Class IO | 11,673 | 383 | ||||||
Series 2011-32, Class KS | 84,569 | 3,945 | ||||||
Series 2011-94, Class IS | 153,958 | 15,893 | ||||||
Series 2012-103, Class IB | 152,071 | 12,858 |
The accompanying notes are an integral part of these financial statements.
20
Table of Contents
AMG Managers Amundi Intermediate Government Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||
Interest Only Strip - 1.8% (continued) |
| |||||||
GNMA, | ||||||||
Series 2012-140, Class IC | $ | 453,167 | $ | 92,916 | ||||
Series 2012-34, Class KS | 343,019 | 70,517 | ||||||
Series 2012-69, Class QI | 189,304 | 28,184 | ||||||
Series 2014-173, Class AI | 155,819 | 10,049 | ||||||
Series 2016-108, Class QI | 273,124 | 59,956 | ||||||
Series 2016-118, Class DS | 323,553 | 62,108 | ||||||
Series 2016-145, Class UI | 420,423 | 83,750 | ||||||
Series 2016-17, Class JS | 332,415 | 49,981 | ||||||
Series 2016-20, Class SB | 354,603 | 53,906 | ||||||
Series 2016-46, Class JI | 212,015 | 48,761 | ||||||
Series 2016-5, Class CS | 321,454 | 51,388 |
Principal Amount | Value | |||||||
GNMA, | ||||||||
Series 2016-81, Class IO | $ | 399,094 | $ | 76,608 | ||||
Series 2016-88, Class SM | 330,270 | 54,596 | ||||||
Total Interest Only Strip | 1,535,815 | |||||||
Total U.S. Government and Agency Obligations | 110,549,565 | |||||||
Short-Term Investments - 12.2% | ||||||||
U.S. Government Obligation - 0.1% | ||||||||
U. S. Treasury Bill, 0.290%, 08/02/187,8 | 90,000 | 89,873 | ||||||
Shares | ||||||||
Other Investment Companies - 12.1% | ||||||||
Dreyfus Government Cash Management Fund, Institutional Class Shares, 1.81%3,9 | 10,707,618 | 10,707,618 | ||||||
Total Short-Term Investments | 10,797,491 | |||||||
Total Investments - 143.5% | 126,848,627 | |||||||
Other Assets, less Liabilities - (43.5)% | (38,433,085 | ) | ||||||
Net Assets - 100.0% | $ | 88,415,542 |
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 buyers. At June 30, 2018, the value of these securities amounted to $5,252,325 or 5.9% of net assets. |
2 | Variable rate security. The rate shown is based on the latest available information as of June 30, 2018. |
3 | Some of this security has been pledged as collateral for delayed delivery securities. |
4 | 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 | All or part of the security is delayed delivery transaction. The market value for delayed delivery security at June 30, 2018, amounted to $40,649,107, or 46.0% of net assets. |
6 | TBA Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. |
7 | Some or all of this security is held as collateral for futures contracts. The market value of collateral at June 30, 2018, amounted to $89,873, or 0.1% of net assets. |
8 | Represents yield to maturity at June 30, 2018. |
9 | Yield shown represents the June 30, 2018, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
CMT | Constant Maturity Treasury | |
FHLMC | Freddie Mac | |
FNMA | Fannie Mae | |
GNMA | Ginnie Mae | |
GSR | Goldman Sachs REMIC | |
IO | Interest Only | |
LIBOR | London Interbank Offered Rate | |
REMICS | Real Estate Mortgage Investment Conduit | |
TBA | To Be Announced |
TBA Forward Sale Commitments
Security | Principal Amount | Settlement Date | Market Value | Proceeds | ||||||||||||
FNMA, 4.00%, TBA 30 years | $ | 2,100,000 | 07/12/18 | $ | 2,140,954 | $ | (2,135,766 | ) | ||||||||
FHLMC Gold Pool, 3.50%, TBA 30 years | 2,400,000 | 07/12/18 | 2,387,402 | (2,379,562 | ) | |||||||||||
|
|
|
| |||||||||||||
Totals | $ | 4,528,356 | $ | (4,515,328 | ) | |||||||||||
|
|
|
|
The accompanying notes are an integral part of these financial statements.
21
Table of Contents
AMG Managers Amundi Intermediate Government Fund
Schedule of Portfolio Investments (continued)
Open Futures Contracts
Description | Currency | Number of Contracts | Position | Expiration Date | Current Notional Amount | Value and Unrealized Gain/(Loss) | ||||||||||||||||||
10-Year U.S. Treasury Note | USD | 2 | Long | 09/19/18 | $ | 240,375 | $ | 1,259 | ||||||||||||||||
U.S. Ultra Bond CBT Sept 18 | USD | 2 | Long | 09/19/18 | 319,125 | 6,165 | ||||||||||||||||||
10-Year Interest Rate Swap | USD | 35 | Short | 09/17/18 | (3,354,531 | ) | (36,634 | ) | ||||||||||||||||
2-Year U.S. Treasury Note | USD | 3 | Short | 09/28/18 | (635,485 | ) | 131 | |||||||||||||||||
5-Year Interest Rate Swap | USD | 23 | Short | 09/17/18 | (2,228,125 | ) | (9,055 | ) | ||||||||||||||||
5-Year U.S. Treasury Note | USD | 5 | Short | 09/28/18 | (568,086 | ) | (992 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||
Total | $ | (39,126 | ) | |||||||||||||||||||||
|
|
The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of June 30, 2018:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Asset-Backed Securities | — | $ | 5,056,799 | — | $ | 5,056,799 | ||||||||||
Mortgage-Backed Securities | — | 444,772 | — | 444,772 | ||||||||||||
U.S. Government and Agency Obligations† | — | 110,549,565 | — | 110,549,565 | ||||||||||||
Short-Term Investments | ||||||||||||||||
U.S. Government Obligation | — | 89,873 | — | 89,873 | ||||||||||||
Other Investment Companies | $ | 10,707,618 | — | — | 10,707,618 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 10,707,618 | $ | 116,141,009 | — | $ | 126,848,627 | |||||||||
|
|
|
|
|
|
|
| |||||||||
TBA Sale Commitments | — | (4,528,356 | ) | — | (4,528,356 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Financial Derivative Instruments - Assets | ||||||||||||||||
Interest Rate Futures Contracts | $ | 7,555 | — | — | $ | 7,555 | ||||||||||
Financial Derivative Instruments - Liabilities | ||||||||||||||||
Interest Rate Futures Contracts | (46,681 | ) | — | — | (46,681 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Financial Derivative Instruments | $ | (39,126 | ) | — | — | $ | (39,126 | ) | ||||||||
|
|
|
|
|
|
|
|
† | All U.S. government and agency obligations held in the Fund are Level 2 securities. For a detailed breakout of U.S. government and agency obligations by agency classification, please refer to the Fund’s Schedule of Portfolio Investments. |
As of June 30, 2018, the Fund had no transfers between levels from the beginning of the reporting period.
The following schedule shows the value of derivative instruments at June 30, 2018:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging instruments | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Interest rate futures contracts | Receivable for variation margin1 | $ | 2,023 | Payable for variation margin1 | $ | 125 | ||||||
|
|
|
|
1 | Only current day’s variation margin is reported within the Statement of Assets and Liabilities. The variation margin is included in the open futures cumulative appreciation/depreciation of $(39,126). |
The accompanying notes are an integral part of these financial statements.
22
Table of Contents
AMG Managers Amundi Intermediate Government Fund
Schedule of Portfolio Investments (continued)
For the six months ended June 30, 2018, the effect of derivative instruments on the Statement of Operations for the Fund and the amount of realized gain/loss and unrealized appreciation/depreciation on derivatives recognized in income was as follows:
Realized Gain/Loss | Change in Unrealized Appreciation/Depreciation | |||||||||||
Derivatives not accounted for as hedging instruments | Statement of Operations Location | Realized Gain/Loss | Statement of Operations Location | Change in Unrealized Appreciation/ Depreciation | ||||||||
Interest rate futures contracts | Net realized gain on futures contracts | $ | 251,901 | Net change in unrealized appreciation/ depreciation on futures contracts | $ | (55,710 | ) | |||||
|
|
|
|
The accompanying notes are an integral part of these financial statements.
23
Table of Contents
AMG Managers Amundi Short Duration Government Fund
Fund Snapshots (unaudited)
June 30, 2018
PORTFOLIO BREAKDOWN | ||||
Category | % of Net Assets | |||
U.S. Government and Agency Obligations | 82.2 | |||
Asset-Backed Securities | 6.7 | |||
Mortgage-Backed Securities | 0.2 | |||
Short-Term Investments | 12.9 | |||
Other Assets Less Liabilities1 | (2.0 | ) |
1 | Includes payable for delayed delivery securities. |
Rating | % of Market Value1 | |||
U.S. Government and Agency Obligations | 92.8 | |||
Aaa | 7.2 |
1 | Includes market value of fixed-income securities only. |
TOP TEN HOLDINGS |
| |||
Security Name | % of Net Assets | |||
GNMA, 6.000%, 01/15/36 | 3.6 | |||
United States Treasury Inflation Indexed Bonds, 2.375%, 01/15/27 | 2.5 | |||
FNMA, 5.500%, 05/01/34 | 2.4 | |||
FNMA, 4.500%, 04/01/35 | 2.4 | |||
FHLMC Gold Pool, 4.500%, 10/01/44 | 2.2 | |||
Colony American Homes, Series 2015-1A, Class A, 3.246%, 07/17/32 | 2.2 | |||
FHLMC Gold Pool, 4.500%, 03/01/42 | 2.2 | |||
FNMA, 5.500%, 08/01/41 | 1.9 | |||
FHLMC Gold Pool, 4.000%, 12/01/44 | 1.9 | |||
FNMA, 3.883%, 04/01/37 | 1.8 | |||
|
| |||
Top Ten as a Group | 23.1 | |||
|
|
Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service, Inc. (“Moody’s”). These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.
Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.
Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.
24
Table of Contents
AMG Managers Amundi Short Duration Government Fund
Schedule of Portfolio Investments (unaudited)
June 30, 2018
Principal Amount | Value | |||||||
Asset-Backed Securities - 6.7% | ||||||||
Colony American Homes Series 2015-1A, Class A (1 month LIBOR + 1.200%), 3.246%, 07/17/32 | $ | 3,360,648 | $ | 3,359,114 | ||||
Drive Auto Receivables Trust | ||||||||
Series 2015-AA, Class C 3.060%, 05/17/211 | 606,057 | 606,819 | ||||||
Series 2015-BA, Class C 2.760%, 07/15/211 | 215,952 | 216,106 | ||||||
Series 2015-CA, Class C 3.010%, 05/17/211 | 84,505 | 84,607 | ||||||
Series 2016-BA, Class C 3.190%, 07/15/221 | 1,259,392 | 1,261,459 | ||||||
Home Partners of America Trust | ||||||||
Series 2017-1, Class A (1 month LIBOR + 0.817%), 2.902%, 07/17/34 (07/17/18)1,2 | 1,746,525 | 1,745,438 | ||||||
Series 2018-1, Class A | 1,000,000 | 1,000,474 | ||||||
Invitation Homes Trust Series 2015-SFR3, Class A | 1,426,092 | 1,427,866 | ||||||
Progress Residential Trust Series 2016-SFR1, Class A | 508,916 | 509,692 | ||||||
Total Asset-Backed Securities | 10,211,575 | |||||||
Mortgage-Backed Security - 0.2% | ||||||||
Angel Oak Mortgage Trust | 361,741 | 358,318 | ||||||
Total Mortgage-Backed Security | 358,318 | |||||||
U.S. Government and Agency Obligations -82.2% | ||||||||
Fannie Mae - 52.9% | ||||||||
FNMA Grantor Trust, | ||||||||
Series 2002-T5, Class A1 | 127,700 | 127,406 | ||||||
Series 2003-T4, Class 1A | 57,776 | 57,514 | ||||||
FNMA REMICS Whole Loan, | ||||||||
Series 2005-W2, Class A1 | 598,762 | 596,521 | ||||||
Series 2003-W13, Class AV2 | 9,060 | 9,033 |
Principal Amount | Value | |||||||
FNMA REMICS Whole Loan, | ||||||||
Series 2004-W14, Class 1AF | $ | 1,406,144 | $ | 1,390,689 | ||||
Series 2004-W5, Class F1 | 314,253 | 310,545 | ||||||
Series 2003-W1, Class 2A 5.963%, 12/25/423 | 13,825 | 15,060 | ||||||
Series 2003-W4, Class 4A 7.500%, 10/25/423 | 281,396 | 308,351 | ||||||
FNMA REMICS, | ||||||||
Series 2007-56, Class FN | 112,415 | 111,727 | ||||||
Series 2002-47, Class FD | 335,213 | 335,514 | ||||||
Series 2005-13, Class AF | 337,695 | 338,617 | ||||||
Series 2010-12, Class AC 2.500%, 12/25/18 | 313 | 313 | ||||||
Series 2011-60, Class UC 2.500%, 09/25/39 | 116,741 | 115,537 | ||||||
Series 2003-2, Class FA | 239,681 | 240,762 | ||||||
Series 2001-63, Class FA | 273,175 | 277,261 | ||||||
Series 2010-8, Class FY | 702,354 | 716,574 | ||||||
Series 2011-101, Class KA | 925,870 | 927,698 | ||||||
Series 2004-1, Class AC | 360 | 359 | ||||||
Series 2004-21, Class AE | 6,866 | 6,867 | ||||||
Series 2004-27, Class HB | 16,306 | 16,341 | ||||||
Series 2008-59, Class KB | 8,057 | 8,086 | ||||||
Series 1994-76, Class J | 6,919 | 6,916 | ||||||
Series 2004-53, Class NC | 182,546 | 190,505 | ||||||
Series 2005-19, Class PA | 70,984 | 72,523 | ||||||
Series 2005-58, Class EP | 139,366 | 147,881 | ||||||
Series 2005-68, Class PC | 89,386 | 91,205 | ||||||
Series 2005-68, Class PB | 11,911 | 12,126 | ||||||
Series 1994-31, Class ZC | 215,819 | 226,707 |
The accompanying notes are an integral part of these financial statements.
25
Table of Contents
AMG Managers Amundi Short Duration Government Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||
Fannie Mae - 52.9% (continued) | ||||||||
FNMA, | ||||||||
(12 month LIBOR + 1.425%), 3.175%, 09/01/332 | $ | 424,063 | $ | 446,012 | ||||
(6 month LIBOR + 1.560%), 3.227%, 08/01/332 | 289,165 | 299,165 | ||||||
(6 month LIBOR + 1.500%), 3.241%, 02/01/332 | 629,510 | 649,198 | ||||||
(12 month LIBOR + 1.609%), 3.359%, 12/01/332 | 288,109 | 301,317 | ||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.121%), 3.383%, 09/01/332 | 177,110 | 183,193 | ||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.025%), 3.468%, 01/01/342 | 477,229 | 501,212 | ||||||
(12 month LIBOR + 1.649%), 3.496%, 07/01/342 | 786,545 | 823,775 | ||||||
(12 month LIBOR + 1.613%), 3.530%, 10/01/352 | 781,762 | 818,572 | ||||||
(12 month LIBOR + 1.616%), 3.549%, 03/01/342 | 150,149 | 157,167 | ||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.303%), 3.562%, 12/01/342 | 1,149,840 | 1,217,776 | ||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.359%), 3.583%, 11/01/342 | 1,928,059 | 2,050,779 | ||||||
(12 month LIBOR + 1.820%), 3.583%, 08/01/352 | 777,369 | 821,842 | ||||||
(12 month LIBOR + 1.730%), 3.605%, 06/01/352 | 69,898 | 73,805 | ||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.183%), 3.613%, 12/01/342 | 1,102,203 | 1,159,165 | ||||||
(12 month LIBOR + 1.857%), 3.658%, 01/01/362 | 19,757 | 20,832 | ||||||
(6 month LIBOR + 1.600%), 3.673%, 06/01/342 | 449,807 | 465,844 | ||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.332%), 3.684%, 04/01/342 | 252,989 | 267,571 | ||||||
(12 month LIBOR + 1.638%), 3.703%, 08/01/342 | 120,226 | 125,812 | ||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.350%), 3.722%, 04/01/342 | 362,977 | 385,330 | ||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.380%), 3.750%, 01/01/362 | 2,213,570 | 2,350,809 | ||||||
(12 month LIBOR + 1.810%), 3.792%, 01/01/332 | 656,095 | 689,749 | ||||||
(12 month LIBOR + 1.800%), 3.797%, 01/01/342 | 802,373 | 845,220 | ||||||
(12 month LIBOR + 1.715%), 3.883%, 04/01/372,4 | 2,546,350 | 2,664,817 | ||||||
4.000%, TBA 30 years5,6 | 1,300,000 | 1,325,352 | ||||||
4.000%, 10/01/21 to 06/01/42 | 4,301,880 | 4,419,063 | ||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.108%), 4.002%, 05/01/332 | 785,807 | 823,887 | ||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.209%), 4.042%, 06/01/332 | 212,707 | 221,402 | ||||||
(12 month LIBOR + 1.804%), 4.165%, 06/01/342 | 1,083,235 | 1,142,875 | ||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.254%), 4.175%, 05/01/342 | 1,291,682 | 1,366,672 | ||||||
4.500%, 10/01/19 to 11/01/56 | 12,013,548 | 12,636,598 | ||||||
4.500%, TBA 30 years5,6 | 1,500,000 | 1,559,075 | ||||||
5.000%, 10/01/19 to 05/01/41 | 13,912,209 | 14,734,005 | ||||||
5.500%, 01/01/24 to 08/01/41 | 10,001,769 | 10,785,824 | ||||||
6.000%, 09/01/21 to 08/01/37 | 4,042,881 | 4,343,943 | ||||||
6.500%, 12/01/28 to 08/01/32 | 2,199,159 | 2,426,206 | ||||||
7.000%, 11/01/22 | 532,024 | 551,917 | ||||||
7.500%, 08/01/33 to 09/01/33 | 46,105 | 53,440 | ||||||
Total Fannie Mae | 80,367,859 | |||||||
Freddie Mac - 20.9% | ||||||||
FHLMC REMICS, | ||||||||
Series 3756, Class DA 1.200%, 11/15/18 | 13,652 | 13,627 | ||||||
Series 3846, Class CK 1.500%, 09/15/20 | 288 | 286 |
Principal Amount | Value | |||||||
FHLMC REMICS, | ||||||||
Series 3153, Class UG (1 month LIBOR + 0.450%), 2.523%, 05/15/362 | $ | 1,666,857 | $ | 1,676,154 | ||||
Series 3501, Class FC (1 month LIBOR + 1.150%), 3.223%, 01/15/392 | 632,123 | 655,147 | ||||||
Series 2668, Class AZ 4.000%, 09/15/18 | 10,837 | 10,835 | ||||||
Series 2683, Class JB 4.000%, 09/15/18 | 6,694 | 6,692 | ||||||
Series 2786, Class BC 4.000%, 04/15/19 | 13,675 | 13,715 | ||||||
Series 2809, Class UC 4.000%, 06/15/19 | 8,054 | 8,068 | ||||||
Series 3535, Class CA 4.000%, 05/15/24 | 1,966 | 1,971 | ||||||
Series 3609, Class LA 4.000%, 12/15/24 | 44,411 | 44,589 | ||||||
Series 3632, Class AG 4.000%, 06/15/38 | 141,343 | 142,603 | ||||||
Series 3653, Class JK 5.000%, 11/15/38 | 81,042 | 83,039 | ||||||
FHLMC Gold Pool, | ||||||||
2.000%, 01/01/23 | 248,794 | 243,041 | ||||||
2.500%, 06/01/22 to 05/01/235 | 612,523 | 608,598 | ||||||
4.000%, 12/01/44 | 2,819,642 | 2,884,829 | ||||||
4.500%, 05/01/19 to 10/01/44 | 8,998,700 | 9,434,184 | ||||||
5.000%, 10/01/18 to 08/01/20 | 234,153 | 237,389 | ||||||
5.500%, 12/01/32 to 08/01/40 | 4,693,028 | 5,088,306 | ||||||
6.000%, 02/01/22 to 01/01/24 | 1,672,567 | 1,731,570 | ||||||
6.500%, 10/01/23 | 88,099 | 90,422 | ||||||
7.000%, 07/01/19 | 12,393 | 12,524 | ||||||
7.500%, 03/01/33 | 148,023 | 165,817 | ||||||
FHLMC, | ||||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.000%), 3.250%, 11/01/332 | 556,487 | 582,547 | ||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.225%), 3.466%, 10/01/332 | 859,308 | 905,956 | ||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.219%), 3.467%, 10/01/332 | 491,189 | 517,779 | ||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.225%), 3.475%, 11/01/332 | 568,011 | 599,142 | ||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.230%), 3.482%, 12/01/332 | 795,801 | 839,338 | ||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.250%), 3.530%, 05/01/342 | 1,130,501 | 1,195,494 | ||||||
(12 month LIBOR + 1.819%), 3.802%, 09/01/332 | 1,020,823 | 1,073,204 | ||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.154%), 3.887%, 10/01/282 | 17,677 | 18,465 | ||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.411%), 3.996%, 02/01/232 | 42,803 | 44,704 | ||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.250%), 4.069%, 03/01/342 | 1,316,424 | 1,391,422 | ||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.250%), 4.125%, 04/01/342 | 322,650 | 340,067 | ||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.517%), 4.142%, 06/01/352 | 401,926 | 427,615 |
The accompanying notes are an integral part of these financial statements.
26
Table of Contents
AMG Managers Amundi Short Duration Government Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||
Freddie Mac - 20.9% (continued) | ||||||||
FHLMC, | ||||||||
(U.S. Treasury Yield Curve CMT 1 year + 2.729%), 4.162%, 05/01/352 | $ | 612,904 | $ | 657,105 | ||||
Total Freddie Mac | 31,746,244 | |||||||
Ginnie Mae - 3.6% | ||||||||
GNMA, | ||||||||
4.000%, 09/15/18 | 5,431 | 5,520 | ||||||
6.000%, 01/15/364 | 4,907,839 | 5,462,963 | ||||||
Total Ginnie Mae | 5,468,483 | |||||||
U.S. Treasury Obligations - 2.5% | ||||||||
United States Treasury Inflation Indexed Bonds, 2.375%, 01/15/27 | 3,391,725 | 3,857,841 | ||||||
Interest Only Strip - 2.3% | ||||||||
FHLMC REMICS, | ||||||||
Series 2922, Class SE (6.750% minus 1-Month LIBOR, Cap 6.750%, Floor 0.000%), 4.677%, 02/15/352 | 153,951 | 24,363 | ||||||
Series 2934, Class HI 5.000%, 02/15/20 | 13,385 | 350 | ||||||
Series 2934, Class KI 5.000%, 02/15/20 | 7,157 | 175 | ||||||
Series 2965, Class SA (6.050% minus 1-Month LIBOR, Cap 6.050%, Floor 0.000%), 3.977%, 05/15/322 | 347,878 | 37,948 | ||||||
Series 2967, Class JI 5.000%, 04/15/20 | 45,419 | 1,337 | ||||||
Series 2980, Class SL (6.700% minus 1-Month LIBOR, Cap 6.700%, Floor 0.000%), 4.627%, 11/15/342 | 233,419 | 44,505 | ||||||
Series 2981, Class SU (7.800% minus 1-Month LIBOR, Cap 7.800%, Floor 0.000%), 5.727%, 05/15/302 | 169,261 | 26,598 | ||||||
Series 3065, Class DI (6.620% minus 1-Month LIBOR, Cap 6.620%, Floor 0.000%), 4.547%, 04/15/352 | 654,311 | 99,312 | ||||||
Series 3308, Class S (7.200% minus 1-Month LIBOR, Cap 7.200%, Floor 0.000%), 5.127%, 03/15/322 | 283,947 | 44,510 | ||||||
Series 3424, Class XI (6.570% minus 1-Month LIBOR, Cap 6.570%, Floor 0.000%), 4.497%, 05/15/362 | 449,152 | 64,457 | ||||||
Series 3489, Class SD (7.800% minus 1-Month LIBOR, Cap 7.800%, Floor 0.000%), 5.727%, 06/15/322 | 167,192 | 28,315 | ||||||
Series 3685, Class EI 5.000%, 03/15/19 | 2,663 | 18 | ||||||
Series 3731, Class IO 5.000%, 07/15/19 | 2,554 | 14 | ||||||
Series 3882, Class AI 5.000%, 06/15/26 | 17,650 | 394 | ||||||
Series 3927, Class AI 4.500%, 08/15/26 | 158,383 | 13,960 | ||||||
Series 4097, Class CI 3.000%, 08/15/27 | 185,549 | 15,899 |
Principal Amount | Value | |||||||
FHLMC REMICS, | ||||||||
Series 4123, Class DI 3.000%, 10/15/27 | $ | 479,121 | $ | 41,579 | ||||
Series 4395, Class TI 4.000%, 05/15/26 | 506,110 | 46,883 | ||||||
FNMA | ||||||||
Series 306, Class IO 8.000%, 05/25/30 | 50,106 | 13,642 | ||||||
FNMA REMICS, | ||||||||
Series 2004-51, Class SX (7.120% minus 1-Month LIBOR, Cap 7.120%, Floor 0.000%), 5.029%, 07/25/342 | 184,488 | 28,926 | ||||||
Series 2004-64, Class SW (7.050% minus 1-Month LIBOR, Cap 7.050%, Floor 0.000%), 4.959%, 08/25/342 | 552,874 | 85,652 | ||||||
Series 2004-66, Class SE (6.500% minus 1-Month LIBOR, Cap 6.500%, Floor 0.000%), 4.409%, 09/25/342 | 88,443 | 11,910 | ||||||
Series 2005-12, Class SC (6.750% minus 1-Month LIBOR, Cap 6.750%, Floor 0.000%), 4.659%, 03/25/352 | 200,170 | 27,407 | ||||||
Series 2005-45, Class SR (6.720% minus 1-Month LIBOR, Cap 6.720%, Floor 0.000%), 4.629%, 06/25/352 | 454,332 | 66,979 | ||||||
Series 2005-65, Class KI (7.000% minus 1-Month LIBOR, Cap 7.000%, Floor 0.000%), 4.909%, 08/25/352 | 1,086,457 | 165,091 | ||||||
Series 2005-66, Class GS (6.850% minus 1-Month LIBOR, Cap 6.850%, Floor 0.000%), 4.759%, 07/25/202 | 20,626 | 507 | ||||||
Series 2006-3, Class SA (6.150% minus 1-Month LIBOR, Cap 6.150%, Floor 0.000%), 4.059%, 03/25/362 | 209,364 | 25,278 | ||||||
Series 2007-75, Class JI (6.545% minus 1-Month LIBOR, Cap 6.545%, Floor 0.000%), 4.454%, 08/25/372 | 101,930 | 14,920 | ||||||
Series 2007-85, Class SI (6.460% minus 1-Month LIBOR, Cap 6.460%, Floor 0.000%), 4.369%, 09/25/372 | 222,813 | 32,270 | ||||||
Series 2008-86, Class IO 4.500%, 03/25/23 | 21,886 | 266 | ||||||
Series 2008-87, Class AS (7.650% minus 1-Month LIBOR, Cap 7.650%, Floor 0.000%), 5.559%, 07/25/332 | 594,293 | 98,371 | ||||||
Series 2009-31, Class PI 5.000%, 11/25/38 | 607,747 | 97,673 | ||||||
Series 2010-105, Class IO 5.000%, 08/25/20 | 84,343 | 2,117 | ||||||
Series 2010-121, Class IO 5.000%, 10/25/25 | 22,098 | 329 | ||||||
Series 2010-37, Class GI 5.000%, 04/25/25 | 2,167 | 4 | ||||||
Series 2010-65, Class IO 5.000%, 09/25/20 | 127,645 | 3,403 | ||||||
Series 2010-68, Class SJ (6.550% minus 1-Month LIBOR, Cap 6.550%, Floor 0.000%), 4.459%, 07/25/402 | 245,728 | 40,100 | ||||||
Series 2011-124, Class IC 3.500%, 09/25/21 | 396,559 | 9,030 |
The accompanying notes are an integral part of these financial statements.
27
Table of Contents
AMG Managers Amundi Short Duration Government Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||
Interest Only Strip - 2.3% (continued) | ||||||||
FNMA REMICS, | ||||||||
Series 2011-63, Class AS (5.920% minus 1-Month LIBOR, Cap 5.920%, Floor 0.000%), 3.829%, 07/25/412 | $ | 277,782 | $ | 35,379 | ||||
Series 2011-88, Class WI 3.500%, 09/25/26 | 557,219 | 50,942 | ||||||
Series 2012-126, Class SJ (5.000% minus 1-Month LIBOR, Cap 5.000%, Floor 0.000%), 2.909%, 11/25/422 | 3,082,249 | 337,767 | ||||||
Series 2012-130, Class UI 3.000%, 12/25/27 | 220,119 | 18,929 | ||||||
Series 2012-150, Class BI 3.000%, 01/25/28 | 228,350 | 19,771 | ||||||
Series 2013-5, Class YI 3.000%, 02/25/28 | 247,811 | 21,420 | ||||||
GNMA, | ||||||||
Series 2011-167, Class IO 5.000%, 12/16/20 | 68,749 | 2,256 | ||||||
Series 2011-32, Class KS (12.100% minus 1-Month LIBOR, Cap 12.100%, Floor 0.000%), 7.930%, 06/16/342 | 205,456 | 9,585 | ||||||
Series 2011-94, Class IS (6.700% minus 1-Month LIBOR, Cap 0.000%, Floor 6.700%), 4.615%, 06/16/362 | 345,901 | 35,708 | ||||||
Series 2012-101, Class AI 3.500%, 08/20/27 | 277,519 | 28,082 | ||||||
Series 2012-103, Class IB 3.500%, 04/20/40 | 662,005 | 55,976 | ||||||
Series 2012-140, Class IC 3.500%, 11/20/42 | 569,424 | 116,754 | ||||||
Series 2012-34, Class KS (6.050% minus 1-Month LIBOR, Cap 6.050%, Floor 0.000%), 3.965%, 03/16/422 | 2,634,170 | 541,522 | ||||||
Series 2012-69, Class QI 4.000%, 03/16/41 | 1,001,427 | 149,095 | ||||||
Series 2012-96, Class IC 3.000%, 08/20/27 | 524,386 | 49,719 | ||||||
Series 2013-5, Class BI 3.500%, 01/20/43 | 227,638 | 44,437 | ||||||
Series 2014-173, Class AI 4.000%, 11/20/38 | 147,990 | 9,544 | ||||||
Series 2016-108, Class QI 4.000%, 08/20/46 | 311,508 | 68,383 | ||||||
Series 2016-118, Class DS (6.100% minus 1-Month LIBOR, Cap 6.100%, Floor 0.000%), 4.016%, 09/20/462 | 573,235 | 110,036 | ||||||
Series 2016-145, Class UI 3.500%, 10/20/46 | 502,387 | 100,077 |
Principal Amount | Value | |||||||
GNMA, | ||||||||
Series 2016-17, Class JS (6.100% minus 1-Month LIBOR, Cap 6.100%, Floor 0.000%), 4.016%, 02/20/462 | $ | 584,197 | $ | 87,838 | ||||
Series 2016-20, Class SB (6.100% minus 1-Month LIBOR, Cap 6.100%, Floor 0.000%), 4.016%, 02/20/462 | 602,032 | 91,519 | ||||||
Series 2016-46, Class JI 4.500%, 04/20/46 | 239,919 | 55,179 | ||||||
Series 2016-5, Class CS (6.150% minus 1-Month LIBOR, Cap 6.150%, Floor 0.000%), 4.066%, 01/20/462 | 554,915 | 88,710 | ||||||
Series 2016-81, Class IO 4.000%, 06/20/46 | 453,875 | 87,124 | ||||||
Series 2016-88, Class SM (6.100% minus 1-Month LIBOR, Cap 6.100%, Floor 0.000%), 4.016%, 07/20/462 | 580,427 | 95,950 | ||||||
Total Interest Only Strip | 3,526,194 | |||||||
Total U.S. Government and Agency Obligations | ||||||||
(Cost $125,586,667) | 124,966,621 | |||||||
Short-Term Investments - 12.9% | ||||||||
U.S. Government and Agency Obligations -6.7% | ||||||||
FHLB, 0.735, 08/03/187 | 4,150,000 | 4,142,886 | ||||||
FHLB, 0.740, 07/13/187 | 4,000,000 | 3,997,533 | ||||||
FHLB, 1.395, 07/18/187 | 2,000,000 | 1,998,310 | ||||||
Total U.S. Government and Agency Obligations | 10,138,729 | |||||||
U.S. Government Obligation - 0.3% | ||||||||
U. S. Treasury Bill, 0.290%, 08/02/187,8 | 470,000 | 469,338 | ||||||
Shares | ||||||||
Other Investment Companies - 5.9% | ||||||||
Dreyfus Government Cash Management Fund, Institutional Class Shares, 1.81%9 | 8,953,152 | 8,953,152 | ||||||
Total Short-Term Investments | ||||||||
(Cost $19,561,219) | 19,561,219 | |||||||
Total Investments - 102.0% | ||||||||
(Cost $155,740,281) | 155,097,733 | |||||||
Other Assets, less Liabilities - (2.0)% | (3,088,667 | ) | ||||||
Net Assets - 100.0% | $ | 152,009,066 |
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 buyers. At June 30, 2018, the value of these securities amounted to $10,569,893 or 7.0% of net assets. |
2 | Variable rate security. The rate shown is based on the latest available information as of June 30, 2018. |
3 | 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 this security has been pledged as collateral for delayed delivery securities. |
5 | All or part of the security is delayed delivery transaction. The market value for delayed delivery security at June 30, 2018, amounted to $3,371,226, or 2.2% of net assets. |
The accompanying notes are an integral part of these financial statements.
28
Table of Contents
AMG Managers Amundi Short Duration Government Fund
Schedule of Portfolio Investments (continued)
6 | TBA Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. |
7 | Represents yield to maturity at June 30, 2018. |
8 | Some or all of this security is held as collateral for futures contracts. The market value of collateral at June 30, 2018, amounted to $469,338, or 0.3% of net assets. |
9 | Yield shown represents the June 30, 2018, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
CMT | Constant Maturity Treasury |
FHLB | Federal Home Loan Bank | |
FHLMC | Freddie Mac | |
FNMA | Fannie Mae | |
GNMA | Ginnie Mae | |
IO | Interest Only | |
LIBOR | London Interbank Offered Rate | |
REMICS | Real Estate Mortgage Investment Conduit | |
TBA | To Be Announced |
Open Futures Contracts
Description | Currency | Number of Contracts | Position | Expiration Date | Current Notional Amount | Value and Unrealized Gain/(Loss) | ||||||||||||
10-Year U.S. Treasury Note | USD | 28 | Long | 09/19/18 | $ | 3,365,250 | $ | 17,627 | ||||||||||
5-Year U.S. Treasury Note | USD | 40 | Long | 09/28/18 | 4,544,688 | 7,373 | ||||||||||||
10-Year Interest Rate Swap | USD | 73 | Short | 09/17/18 | (6,996,594 | ) | (76,431 | ) | ||||||||||
2-Year U.S. Treasury Note | USD | 53 | Short | 09/28/18 | (11,226,891 | ) | 2,319 | |||||||||||
5-Year Interest Rate Swap | USD | 175 | Short | 09/17/18 | (16,953,125 | ) | (68,898 | ) | ||||||||||
90-Day Euro Futures | USD | 17 | Short | 12/17/18 | (3,403,887 | ) | 11,131 | |||||||||||
90-Day Euro Futures | USD | 17 | Short | 03/16/20 | (3,390,900 | ) | 10,856 | |||||||||||
90-Day Euro Futures | USD | 17 | Short | 03/15/21 | (3,391,738 | ) | 6,181 | |||||||||||
90-Day Euro Futures | USD | 17 | Short | 03/14/22 | (3,392,188 | ) | 3,669 | |||||||||||
90-Day Euro Futures | USD | 17 | Short | 03/18/19 | (3,399,237 | ) | 12,594 | |||||||||||
90-Day Euro Futures | USD | 17 | Short | 06/15/20 | (3,390,975 | ) | 9,756 | |||||||||||
90-Day Euro Futures | USD | 17 | Short | 06/14/21 | (3,392,025 | ) | 5,469 | |||||||||||
90-Day Euro Futures | USD | 17 | Short | 06/13/22 | (3,392,300 | ) | 3,169 | |||||||||||
90-Day Euro Futures | USD | 17 | Short | 09/14/20 | (3,391,263 | ) | 8,519 | |||||||||||
90-Day Euro Futures | USD | 17 | Short | 09/13/21 | (3,392,138 | ) | 4,756 | |||||||||||
90-Day Euro Futures | USD | 17 | Short | 09/19/22 | (3,392,237 | ) | 2,706 | |||||||||||
90-Day Euro Futures | USD | 17 | Short | 09/17/18 | (3,410,962 | ) | 8,881 | |||||||||||
90-Day Euro Futures | USD | 17 | Short | 12/14/20 | (3,391,238 | ) | 7,281 | |||||||||||
90-Day Euro Futures | USD | 17 | Short | 12/13/21 | (3,391,900 | ) | 4,169 | |||||||||||
90-Day Euro Futures | USD | 17 | Short | 12/16/19 | (3,391,463 | ) | 11,381 | |||||||||||
90-Day Euro Futures | USD | 17 | Short | 06/17/19 | (3,395,612 | ) | 12,519 | |||||||||||
90-Day Euro Futures | USD | 17 | Short | 09/16/19 | (3,393,112 | ) | 12,569 | |||||||||||
90-Day Euro Futures | USD | 14 | Short | 12/19/22 | (3,395,175 | ) | (836 | ) | ||||||||||
U.S. Ultra Bond CBT Sept 18 | USD | 24 | Short | 09/19/18 | (3,829,500 | ) | (74,331 | ) | ||||||||||
|
| |||||||||||||||||
Total | $ | (57,571 | ) | |||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
29
Table of Contents
AMG Managers Amundi Short Duration Government 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 June 30, 2018:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Asset-Backed Securities | — | $ | 10,211,575 | — | $ | 10,211,575 | ||||||||||
Mortgage-Backed Security | — | 358,318 | — | 358,318 | ||||||||||||
U.S. Government and Agency Obligations† | — | 124,966,621 | — | 124,966,621 | ||||||||||||
Short-Term Investments | ||||||||||||||||
U.S. Government and Agency Obligations | — | 10,138,729 | — | 10,138,729 | ||||||||||||
U.S. Government Obligation | — | 469,338 | — | 469,338 | ||||||||||||
Other Investment Companies | $ | 8,953,152 | — | — | 8,953,152 | |||||||||||
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|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 8,953,152 | $ | 146,144,581 | — | $ | 155,097,733 | |||||||||
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|
|
|
|
|
| |||||||||
Financial Derivative Instruments - Assets | ||||||||||||||||
Interest Rate Futures Contracts | $ | 162,925 | — | — | $ | 162,925 | ||||||||||
Financial Derivative Instruments - Liabilities | ||||||||||||||||
Interest Rate Futures Contracts | (220,496 | ) | — | — | (220,496 | ) | ||||||||||
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|
|
|
|
|
| |||||||||
Total Financial Derivative Instruments | $ | (57,571 | ) | — | — | $ | (57,571 | ) | ||||||||
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|
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|
|
† | All U.S. government and agency obligations held in the Fund are Level 2 securities. For a detailed breakout of U.S. government and agency obligations by agency classification, please refer to the Fund’s Schedule of Portfolio Investments. |
As of June 30, 2018, the Fund had no transfers between levels from the beginning of the reporting period.
The following schedule shows the value of derivative instruments at June 30, 2018:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted | Statement of Assets and | Statement of Assets and | ||||||||||
for as hedging instruments | Liabilities Location | Fair Value | Liabilities Location | Fair Value | ||||||||
Interest rate futures contracts | Receivable for variation margin1 | $ | 16,606 | Payable for variation margin1 | $ | 938 | ||||||
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|
1 | Only current day’s variation margin is reported within the Statement of Assets and Liabilities. The variation margin is included in the open futures cumulative appreciation/depreciation of ($57,571). |
For the six months ended June 30, 2018, the effect of derivative instruments on the Statement of Operations for the Fund and the amount of realized gain/loss and unrealized appreciation/depreciation on derivatives recognized in income was as follows:
Realized Gain/Loss | Change in Unrealized Appreciation/Depreciation | |||||||||||||
Derivatives not accounted for as hedging instruments | Statement of Operations Location | Realized Gain/Loss | Statement of Operations Location | Change in Unrealized Appreciation/ Depreciation | ||||||||||
Interest rate futures contracts | Net realized gain on futures contracts | $ | 1,204,631 | | Net change in unrealized appreciation/ depreciation on futures contracts |
| $ | (55,057 | ) | |||||
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The accompanying notes are an integral part of these financial statements.
30
Table of Contents
Statement of Assets and Liabilities (unaudited)
June 30, 2018
AMG Chicago Equity Partners Balanced Fund | AMG Managers Amundi Intermediate Government Fund | AMG Managers Amundi Short Duration Government Fund | ||||||||||
Assets: | ||||||||||||
Investments at Value* (including securities on loan valued at $3,136,709, $0, and $0, respectively) | $ | 224,608,253 | $ | 126,848,627 | $ | 155,097,733 | ||||||
Cash | 32,269 | 21 | — | |||||||||
Foreign currency** | 10,849 | — | — | |||||||||
Receivable for investments sold | 182,337 | 2,517,563 | — | |||||||||
Receivable for delayed delivery investments sold | — | 27,034,275 | 1,561,301 | |||||||||
Dividend, interest and other receivables | 574,196 | 339,245 | 529,716 | |||||||||
Receivable for paydowns | — | 1,712 | 121,217 | |||||||||
Receivable for Fund shares sold | 198,505 | 35,526 | 263,397 | |||||||||
Receivable from affiliate | 6,276 | 13,137 | 13,685 | |||||||||
Receivable for variation margin | — | 2,023 | 16,606 | |||||||||
Prepaid expenses and other assets | 28,320 | 30,216 | 38,337 | |||||||||
Total assets | 225,641,005 | 156,822,345 | 157,641,992 | |||||||||
Liabilities: | ||||||||||||
Payable upon return of securities loaned | 3,268,590 | — | — | |||||||||
Payable for investments purchased | 712,718 | 20,180 | 19,919 | |||||||||
Payable for delayed delivery investments purchased | — | 63,111,920 | 4,919,475 | |||||||||
Payable for Fund shares repurchased | 236,172 | 560,797 | 485,163 | |||||||||
TBA sale commitments at value (proceeds of $4,515,328) | — | 4,528,356 | — | |||||||||
Payable for variation margin | — | 125 | 938 | |||||||||
Due to custodian | — | — | 12,274 | |||||||||
Accrued expenses: | ||||||||||||
Investment advisory and management fees | 107,884 | 37,565 | 49,765 | |||||||||
Administrative fees | 26,971 | 11,739 | 18,662 | |||||||||
Distribution fees | 15,289 | — | — | |||||||||
Shareholder service fees | 11,214 | 10,825 | 16,185 | |||||||||
Professional fees | 27,059 | 35,033 | 37,280 | |||||||||
Trustee fees and expenses | 1,972 | 983 | 1,451 | |||||||||
Other | 38,739 | 89,280 | 71,814 | |||||||||
Total liabilities | 4,446,608 | 68,406,803 | 5,632,926 | |||||||||
Net Assets | $ | 221,194,397 | $ | 88,415,542 | $ | 152,009,066 | ||||||
* Investments at cost | $ | 204,214,844 | $ | 128,126,709 | $ | 155,740,281 | ||||||
** Foreign currency at cost | $ | 10,879 | — | — |
The accompanying notes are an integral part of these financial statements.
31
Table of Contents
Statement of Assets and Liabilities (continued)
AMG Chicago Equity Partners Balanced Fund | AMG Managers Amundi Intermediate Government Fund | AMG Managers Amundi Short Duration Government Fund | ||||||||||
Net Assets Represent: | ||||||||||||
Paid-in capital | $ | 189,965,806 | $ | 93,781,934 | $ | 158,760,664 | ||||||
Undistributed net investment income | 35,582 | 73,244 | 223,444 | |||||||||
Accumulated net realized gain (loss) from investments | 10,799,804 | (4,109,400 | ) | (6,274,923 | ) | |||||||
Net unrealized appreciation/depreciation of investments | 20,393,205 | (1,330,236 | ) | (700,119 | ) | |||||||
Net Assets | $ | 221,194,397 | $ | 88,415,542 | $ | 152,009,066 | ||||||
Class N: | ||||||||||||
Net Assets | $ | 74,232,465 | $ | 78,692,596 | $ | 121,958,379 | ||||||
Shares outstanding | 4,250,745 | 7,592,182 | 12,926,089 | |||||||||
Net asset value, offering and redemption price per share | $ | 17.46 | $ | 10.36 | $ | 9.44 | ||||||
Class I: | ||||||||||||
Net Assets | $ | 139,084,993 | $ | 8,547,252 | $ | 29,401,905 | ||||||
Shares outstanding | 7,890,529 | 824,495 | 3,117,612 | |||||||||
Net asset value, offering and redemption price per share | $ | 17.63 | $ | 10.37 | $ | 9.43 | ||||||
Class Z: | ||||||||||||
Net Assets | $ | 7,876,939 | $ | 1,175,694 | $ | 648,782 | ||||||
Shares outstanding | 446,979 | 113,480 | 68,745 | |||||||||
Net asset value, offering and redemption price per share | $ | 17.62 | $ | 10.36 | $ | 9.44 |
The accompanying notes are an integral part of these financial statements.
32
Table of Contents
Statement of Operations (unaudited)
For the six months ended June 30, 2018
AMG | AMG | AMG | ||||||||||
Chicago Equity | Managers Amundi | Managers Amundi | ||||||||||
Partners | Intermediate | Short Duration | ||||||||||
Balanced Fund | Government Fund | Government Fund | ||||||||||
Investment Income: | ||||||||||||
Dividend income | $ | 1,167,287 | $ | 131,621 | $ | 37,331 | ||||||
Interest income | 859,958 | 1,274,793 | 1,834,138 | |||||||||
Securities lending income | 7,380 | — | — | |||||||||
Foreign withholding tax | (18,315 | ) | — | — | ||||||||
Total investment income | 2,016,310 | 1,406,414 | 1,871,469 | |||||||||
Expenses: | ||||||||||||
Investment advisory and management fees | 605,187 | 241,458 | 308,913 | |||||||||
Administrative fees | 151,297 | 75,456 | 115,843 | |||||||||
Distribution fees - Class N | 92,344 | — | — | |||||||||
Shareholder servicing fees - Class N | — | 69,650 | 94,894 | |||||||||
Shareholder servicing fees - Class I | 60,252 | 1,183 | 6,822 | |||||||||
Registration fees | 30,144 | 33,454 | 35,307 | |||||||||
Custodian fees | 29,448 | 33,354 | 30,834 | |||||||||
Professional fees | 22,757 | 28,531 | 30,053 | |||||||||
Reports to shareholders | 15,198 | 20,133 | 18,715 | |||||||||
Transfer agent fees | 13,965 | 2,318 | 3,434 | |||||||||
Trustee fees and expenses | 6,199 | 3,413 | 5,193 | |||||||||
Miscellaneous | 3,664 | 2,949 | 3,724 | |||||||||
Total expenses before offsets | 1,030,455 | 511,899 | 653,732 | |||||||||
Expense reimbursements | (30,597 | ) | (68,819 | ) | — | |||||||
Expense reductions | (13,565 | ) | — | — | ||||||||
Fee waivers | — | (25,152 | ) | (84,951 | ) | |||||||
Net expenses | 986,293 | 417,928 | 568,781 | |||||||||
Net investment income | 1,030,017 | 988,486 | 1,302,688 | |||||||||
Net Realized and Unrealized Gain (Loss): | ||||||||||||
Net realized gain (loss) on investments | 6,093,192 | (1,161,613 | ) | (314,562 | ) | |||||||
Net realized gain on TBA forward sale commitments | — | — | 67,016 | |||||||||
Net realized gain on futures contracts | — | 251,901 | 1,204,631 | |||||||||
Net realized loss on foreign currency transactions | (10,082 | ) | — | — | ||||||||
Net change in unrealized appreciation/depreciation on investments | (1,276,455 | ) | (1,727,278 | ) | (1,459,594 | ) | ||||||
Net change in unrealized appreciation/depreciation on TBA forward sale commitments | — | (9,043 | ) | 4,185 | ||||||||
Net change in unrealized appreciation/depreciation on futures contracts | — | (55,710 | ) | (55,057 | ) | |||||||
Net change in unrealized appreciation/depreciation on foreign currency translations | 647 | — | — | |||||||||
Net realized and unrealized gain (loss) | 4,807,302 | (2,701,743 | ) | (553,381 | ) | |||||||
Net increase (decrease) in net assets resulting from operations | $ | 5,837,319 | $ | (1,713,257 | ) | $ | 749,307 |
The accompanying notes are an integral part of these financial statements.
33
Table of Contents
Statements of Changes in Net Assets
For the six months ended June 30, 2018 (unaudited) and the fiscal year ended December 31, 2017
AMG | AMG | AMG | ||||||||||||||||||||||
Chicago Equity | Managers Amundi | Managers Amundi | ||||||||||||||||||||||
Partners | Intermediate | Short Duration | ||||||||||||||||||||||
Balanced Fund | Government Fund | Government Fund | ||||||||||||||||||||||
June 30, 2018 | December 31, 2017 | June 30, 2018 | December 31, 20171 | June 30, 2018 | December 31, 20171 | |||||||||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations: | ||||||||||||||||||||||||
Net investment income | $ | 1,030,017 | $ | 1,335,965 | $ | 988,486 | $ | 1,972,350 | $ | 1,302,688 | $ | 2,218,442 | ||||||||||||
Net realized gain (loss) on investments | 6,083,110 | 11,745,082 | (909,712 | ) | 1,064,328 | 957,085 | (53,039 | ) | ||||||||||||||||
Net change in unrealized appreciation/depreciation on investments | (1,275,808 | ) | 14,146,833 | (1,792,031 | ) | (487,404 | ) | (1,510,466 | ) | (923,976 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 5,837,319 | 27,227,880 | (1,713,257 | ) | 2,549,274 | 749,307 | 1,241,427 | |||||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
From net investment income: | ||||||||||||||||||||||||
Class N | (308,729 | ) | (544,946 | ) | (831,722 | ) | (2,210,849 | ) | (1,032,860 | ) | (4,012,537 | ) | ||||||||||||
Class I | (632,352 | ) | (750,899 | ) | (71,895 | ) | (27,256 | ) | (245,613 | ) | (443,522 | ) | ||||||||||||
Class Z | (40,401 | ) | (58,823 | ) | (11,625 | ) | (23,041 | ) | (5,804 | ) | (15,045 | ) | ||||||||||||
From net realized gain on investments: | ||||||||||||||||||||||||
Class N | — | (2,969,365 | ) | — | — | — | — | |||||||||||||||||
Class I | — | (4,597,864 | ) | — | — | — | — | |||||||||||||||||
Class Z | — | (281,134 | ) | — | — | — | — | |||||||||||||||||
From paid in capital: | ||||||||||||||||||||||||
Class N | — | — | — | (188,523 | ) | — | — | |||||||||||||||||
Class I | — | — | — | (2,324 | ) | — | — | |||||||||||||||||
Class Z | — | — | — | (1,965 | ) | — | — | |||||||||||||||||
Total distributions to shareholders | (981,482 | ) | (9,203,031 | ) | (915,242 | ) | (2,453,958 | ) | (1,284,277 | ) | (4,471,104 | ) | ||||||||||||
Capital Share Transactions:2 | ||||||||||||||||||||||||
Net increase (decrease) from capital share transactions | 20,049,846 | 4,076,435 | (17,441,656 | ) | (58,020,446 | ) | (7,508,690 | ) | (71,286,485 | ) | ||||||||||||||
Total increase (decrease) in net assets | 24,905,683 | 22,101,284 | (20,070,155 | ) | (57,925,130 | ) | (8,043,660 | ) | (74,516,162 | ) | ||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 196,288,714 | 174,187,430 | 108,485,697 | 166,410,827 | 160,052,726 | 234,568,888 | ||||||||||||||||||
End of period | $ | 221,194,397 | $ | 196,288,714 | $ | 88,415,542 | $ | 108,485,697 | $ | 152,009,066 | $ | 160,052,726 | ||||||||||||
End of period undistributed (distribution in excess of) net investment income | $ | 35,582 | $ | (12,953 | ) | $ | 73,244 | — | $ | 223,444 | $ | 205,033 | ||||||||||||
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1 | Effective February 27, 2017, the Funds’ share classes were renamed as described in Note 1 of the Notes to the Financial Statements. |
2 | See Note 1(g) of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
34
Table of Contents
AMG Chicago Equity Partners Balanced Fund
For a share outstanding throughout each fiscal period
For the six | ||||||||||||||||||||||||
months ended | For the fiscal years ended December 31, | |||||||||||||||||||||||
June 30, 2018 | ||||||||||||||||||||||||
Class N | (unaudited) | 2017 | 20161 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 17.03 | $ | 15.45 | $ | 14.92 | $ | 15.09 | $ | 15.13 | $ | 14.19 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income2,3 | 0.08 | 0.10 | 0.14 | 4 | 0.10 | 5 | 0.11 | 0.10 | 6 | |||||||||||||||
Net realized and unrealized gain on investments | 0.42 | 2.30 | 0.54 | 0.23 | 1.37 | 2.33 | ||||||||||||||||||
Total income from investment operations | 0.50 | 2.40 | 0.68 | 0.33 | 1.48 | 2.43 | ||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.07 | ) | (0.11 | ) | (0.14 | ) | (0.11 | ) | (0.11 | ) | (0.09 | ) | ||||||||||||
Net realized gain on investments | — | (0.71 | ) | (0.01 | ) | (0.39 | ) | (1.41 | ) | (1.40 | ) | |||||||||||||
Total distributions to shareholders | (0.07 | ) | (0.82 | ) | (0.15 | ) | (0.50 | ) | (1.52 | ) | (1.49 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 17.46 | $ | 17.03 | $ | 15.45 | $ | 14.92 | $ | 15.09 | $ | 15.13 | ||||||||||||
Total Return3 | 2.96 | %7,8 | 15.54 | %8 | 4.59 | %8 | 2.19 | %8 | 9.69 | %8 | 17.14 | %8 | ||||||||||||
Ratio of net expenses to average net assets9 | 1.08 | %10 | 1.09 | % | 1.08 | % | 1.08 | % | 1.07 | % | 1.10 | %11 | ||||||||||||
Ratio of gross expenses to average net assets12 | 1.12 | %10 | 1.14 | % | 1.25 | % | 1.36 | % | 1.40 | % | 1.55 | %11 | ||||||||||||
Ratio of net investment income to average net assets3 | 0.92 | %10 | 0.63 | % | 0.94 | % | 0.64 | % | 0.70 | % | 0.62 | %11 | ||||||||||||
Portfolio turnover | 39 | %7 | 75 | % | 119 | % | 105 | % | 92 | % | 90 | % | ||||||||||||
Net assets end of period (000’s) omitted | $ | 74,232 | $ | 74,315 | $ | 92,502 | $ | 94,476 | $ | 41,751 | $ | 33,151 | ||||||||||||
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35
Table of Contents
AMG Chicago Equity Partners Balanced Fund
Financial Highlights
For a share outstanding throughout each fiscal period
For the six | ||||||||||||||||||||||||
months ended | For the fiscal years ended December 31, | |||||||||||||||||||||||
June 30, 2018 | ||||||||||||||||||||||||
Class I | (unaudited) | 2017 | 20161 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 17.19 | $ | 15.59 | $ | 15.05 | $ | 15.23 | $ | 15.26 | $ | 14.30 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income2,3 | 0.09 | 0.13 | 0.17 | 4 | 0.12 | 5 | 0.15 | 0.13 | 6 | |||||||||||||||
Net realized and unrealized gain on investments | 0.44 | 2.31 | 0.54 | 0.23 | 1.37 | 2.36 | ||||||||||||||||||
Total income from investment operations | 0.53 | 2.44 | 0.71 | 0.35 | 1.52 | 2.49 | ||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.09 | ) | (0.13 | ) | (0.16 | ) | (0.14 | ) | (0.13 | ) | (0.12 | ) | ||||||||||||
Net realized gain on investments | — | (0.71 | ) | (0.01 | ) | (0.39 | ) | (1.42 | ) | (1.41 | ) | |||||||||||||
Total distributions to shareholders | (0.09 | ) | (0.84 | ) | (0.17 | ) | (0.53 | ) | (1.55 | ) | (1.53 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 17.63 | $ | 17.19 | $ | 15.59 | $ | 15.05 | $ | 15.23 | $ | 15.26 | ||||||||||||
Total Return3 | 3.07 | %7,8 | 15.71 | %8 | 4.79 | %8 | 2.29 | %8 | 9.93 | %8 | 17.45 | % | ||||||||||||
Ratio of net expenses to average net assets9 | 0.93 | %10 | 0.94 | % | 0.93 | % | 0.93 | % | 0.86 | % | 0.92 | %11 | ||||||||||||
Ratio of gross expenses to average net assets12 | 0.97 | %10 | 0.99 | % | 1.10 | % | 1.21 | % | 1.20 | % | 1.39 | %11 | ||||||||||||
Ratio of net investment income to average net assets3 | 1.07 | %10 | 0.78 | % | 1.09 | % | 0.80 | % | 0.91 | % | 0.83 | %11 | ||||||||||||
Portfolio turnover | 39 | %7 | 75 | % | 119 | % | 105 | % | 92 | % | 90 | % | ||||||||||||
Net assets end of period (000’s) omitted | $ | 139,085 | $ | 114,913 | $ | 75,890 | $ | 60,798 | $ | 14,481 | $ | 1,581 | ||||||||||||
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36
Table of Contents
AMG Chicago Equity Partners Balanced Fund
Financial Highlights
For a share outstanding throughout each fiscal period
For the six | ||||||||||||||||||||||||
months ended | For the fiscal year ended December 31, | |||||||||||||||||||||||
June 30, 2018 | ||||||||||||||||||||||||
Class Z | (unaudited) | 2017 | 20161 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 17.19 | $ | 15.58 | $ | 15.05 | $ | 15.22 | $ | 15.26 | $ | 14.31 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income2,3 | 0.10 | 0.15 | 0.18 | 4 | 0.14 | 5 | 0.15 | 0.14 | 6 | |||||||||||||||
Net realized and unrealized gain on investments | 0.42 | 2.32 | 0.54 | 0.23 | 1.38 | 2.35 | ||||||||||||||||||
Total income from investment operations | 0.52 | 2.47 | 0.72 | 0.37 | 1.53 | 2.49 | ||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.09 | ) | (0.15 | ) | (0.18 | ) | (0.15 | ) | (0.15 | ) | (0.13 | ) | ||||||||||||
Net realized gain on investments | — | (0.71 | ) | (0.01 | ) | (0.39 | ) | (1.42 | ) | (1.41 | ) | |||||||||||||
Total distributions to shareholders | (0.09 | ) | (0.86 | ) | (0.19 | ) | (0.54 | ) | (1.57 | ) | (1.54 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 17.62 | $ | 17.19 | $ | 15.58 | $ | 15.05 | $ | 15.22 | $ | 15.26 | ||||||||||||
Total Return3 | 3.06 | %7,8 | 15.90 | %8 | 4.82 | %8 | 2.44 | %8 | 9.97 | %8 | 17.45 | %8 | ||||||||||||
Ratio of net expenses to average net assets9 | 0.83 | %10 | 0.84 | % | 0.83 | % | 0.83 | % | 0.82 | % | 0.85 | %11 | ||||||||||||
Ratio of gross expenses to average net assets12 | 0.87 | %10 | 0.89 | % | 1.00 | % | 1.09 | % | 1.15 | % | 1.30 | %11 | ||||||||||||
Ratio of net investment income to average net assets3 | 1.17 | %10 | 0.88 | % | 1.20 | % | 0.89 | % | 0.95 | % | 0.88 | %11 | ||||||||||||
Portfolio turnover | 39 | %7 | 75 | % | 119 | % | 105 | % | 92 | % | 90 | % | ||||||||||||
Net assets end of period (000’s) omitted | $ | 7,877 | $ | 7,060 | $ | 5,796 | $ | 1,709 | $ | 12,401 | $ | 11,122 | ||||||||||||
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1 | Effective October 1, 2016, the Investor Class, Service Class and Institutional Class were renamed Class N, Class I and Class Z, respectively. |
2 | Per share numbers have been calculated using average shares. |
3 | Total returns and net investment income would have been lower had certain expenses not been offset. |
4 | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.12, $0.15, and $0.16 for Class N, Class I and Class Z shares, respectively. |
5 | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.09, $0.11, and $0.13 for Class N, Class I and Class Z shares, respectively. |
6 | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.09, $0.12, and $0.13 for Class N, Class I and Class Z shares, respectively. |
7 | Not annualized. |
8 | The total return is calculated using the published Net Asset Value as of period end. |
9 | Includes reduction from broker recapture amounting to 0.01% for the six months ended June 30, 2018 and less than 0.01%, 0.01%, 0.01%, 0.02% and 0.01% for the fiscal years ended 2017, 2016, 2015, 2014 and 2013, respectively. |
10 | Annualized. |
11 | Includes non-routine extraordinary expenses amounting to 0.019%, 0.014% and 0.019% of average net assets for the Class N, Class I and Class Z, respectively. |
12 | Excludes the impact of expense reimbursement or fee waivers and expense reductions such as brokerage credits, but includes expense repayments and non-reimbursable expenses, if any, such as interest, taxes, and extraordinary expenses. (See Note 1(c) and 2 in the Notes to Financial Statements.) |
37
Table of Contents
AMG Managers Amundi Intermediate Government Fund
Financial Highlights
For a share outstanding throughout each fiscal period
For the six | ||||||||||||||||||||||||
months ended | For the fiscal years ended December 31, | |||||||||||||||||||||||
June 30, 2018 | ||||||||||||||||||||||||
Class N | (unaudited) | 20171 | 20162 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.62 | $ | 10.65 | $ | 10.81 | $ | 10.96 | $ | 10.64 | $ | 10.98 | ||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income3,4 | 0.10 | 0.16 | 0.14 | 0.11 | 0.17 | 0.18 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.27 | ) | 0.02 | 0.01 | 0.01 | 0.54 | (0.32 | ) | ||||||||||||||||
Total income (loss) from investment operations | (0.17 | ) | 0.18 | 0.15 | 0.12 | 0.71 | (0.14 | ) | ||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.09 | ) | (0.19 | ) | (0.13 | ) | (0.10 | ) | (0.17 | ) | (0.18 | ) | ||||||||||||
Net realized gain on investments | — | — | (0.18 | ) | (0.17 | ) | (0.22 | ) | (0.02 | ) | ||||||||||||||
Paid in capital | — | (0.02 | ) | — | — | — | — | |||||||||||||||||
Total distributions to shareholders | (0.09 | ) | (0.21 | ) | (0.31 | ) | (0.27 | ) | (0.39 | ) | (0.20 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 10.36 | $ | 10.62 | $ | 10.65 | $ | 10.81 | $ | 10.96 | $ | 10.64 | ||||||||||||
Total Return4 | (1.55 | )%5,6 | 1.68 | %6 | 1.42 | %6 | 1.09 | % | 6.73 | % | (1.25 | )% | ||||||||||||
Ratio of net expenses to average net assets | 0.84 | %7 | 0.84 | % | 0.88 | % | 0.88 | % | 0.89 | % | 0.91 | %8 | ||||||||||||
Ratio of gross expenses to average net assets9 | 1.03 | %7 | 0.99 | % | 0.93 | % | 0.92 | % | 0.96 | % | 0.94 | %8 | ||||||||||||
Ratio of net investment income to average net assets4 | 1.96 | %7 | 1.46 | % | 1.32 | % | 0.99 | % | 1.54 | % | 1.64 | %8 | ||||||||||||
Portfolio turnover | 0 | %5,10 | 10 | % | 17 | % | 21 | % | 11 | % | 29 | % | ||||||||||||
Net assets end of period (000’s) omitted | $ | 78,693 | $ | 104,847 | $ | 166,411 | $ | 192,039 | $ | 174,138 | $ | 136,915 | ||||||||||||
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38
Table of Contents
AMG Managers Amundi Intermediate Government Fund
Financial Highlights
For a share outstanding throughout each fiscal period
For the six | For the fiscal | |||||||
months ended | period ended December 31, | |||||||
June 30, 2018 | ||||||||
Class I | (unaudited) | 201711 | ||||||
Net Asset Value, Beginning of Period | $ | 10.62 | $ | 10.70 | ||||
Income (loss) from Investment Operations: | ||||||||
Net investment income3,4 | 0.11 | 0.15 | ||||||
Net realized and unrealized loss on investments | (0.26 | ) | (0.03 | ) | ||||
Total income (loss) from investment operations | (0.15 | ) | 0.12 | |||||
Less Distributions to Shareholders from: | ||||||||
Net investment income | (0.10 | ) | (0.18 | ) | ||||
Paid in capital | — | (0.02 | ) | |||||
Total distributions to shareholders | (0.10 | ) | (0.20 | ) | ||||
Net Asset Value, End of Period | $ | 10.37 | $ | 10.62 | ||||
Total Return4 | (1.40 | )%5,6 | 1.15 | %5,6 | ||||
Ratio of net expenses to average net assets | 0.73 | %7 | 0.72 | %7 | ||||
Ratio of gross expenses to average net assets9 | 0.92 | %7 | 0.88 | %7 | ||||
Ratio of net investment income to average net assets4 | 2.07 | %7 | 1.68 | %7 | ||||
Portfolio turnover | 0 | %5,10 | 10 | % | ||||
Net assets end of period (000’s) omitted | $ | 8,547 | $ | 2,313 | ||||
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39
Table of Contents
AMG Managers Amundi Intermediate Government Fund
Financial Highlights
For a share outstanding throughout each fiscal period
For the six | For the fiscal | |||||||
months ended | period ended December 31, | |||||||
June 30, 2018 | ||||||||
Class Z | (unaudited) | 201711 | ||||||
Net Asset Value, Beginning of Period | $ | 10.62 | $ | 10.70 | ||||
Income (loss) from Investment Operations: | ||||||||
Net investment income3,4 | 0.11 | 0.16 | ||||||
Net realized and unrealized loss on investments | (0.27 | ) | (0.04 | ) | ||||
Total income (loss) from investment operations | (0.16 | ) | 0.12 | |||||
Less Distributions to Shareholders from: | ||||||||
Net investment income | (0.10 | ) | (0.18 | ) | ||||
Paid in capital | — | (0.02 | ) | |||||
Total distributions to shareholders | (0.10 | ) | (0.20 | ) | ||||
Net Asset Value, End of Period | $ | 10.36 | $ | 10.62 | ||||
Total Return4 | (1.48 | )%5,6 | 1.15 | %5,6 | ||||
Ratio of net expenses to average net assets | 0.69 | %7 | 0.69 | %7 | ||||
Ratio of gross expenses to average net assets9 | 0.88 | %7 | 0.85 | %7 | ||||
Ratio of net investment income to average net assets4 | 2.11 | %7 | 1.72 | %7 | ||||
Portfolio turnover | 0 | %5,10 | 10 | % | ||||
Net assets end of period (000’s) omitted | $ | 1,176 | $ | 1,326 | ||||
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1 | Effective February 27, 2017, Class S was renamed Class N. |
2 | Effective October 1, 2016, the shares were reclassified and redesignated as Class S shares. |
3 | Per share numbers have been calculated using average shares. |
4 | Total returns and net investment income would have been lower had certain expenses not been offset. |
5 | Not annualized. |
6 | The total return is calculated using the published Net Asset Value as of period end. |
7 | Annualized. |
8 | Includes non-routine extraordinary expenses amounting to 0.020% of average net assets. |
9 | Excludes the impact of expense reimbursement or fee waivers and expense reductions such as brokerage credits, but includes expense repayments and 10 non-reimbursable 10 expenses, if any, such as interest, taxes, and extraordinary expenses. (See Note 1(c) and 2 in the Notes to Financial Statements.) |
10 | Less than 0.5%. |
11 | Commencement of operations was February 27, 2017. |
40
Table of Contents
AMG Managers Amundi Short Duration Government Fund
Financial Highlights
For a share outstanding throughout each fiscal period
For the six months ended June 30, 2018 | For the fiscal years ended December 31, | |||||||||||||||||||||||
Class N | (unaudited) | 20171 | 20162 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 9.47 | $ | 9.63 | $ | 9.62 | $ | 9.65 | $ | 9.64 | $ | 9.65 | ||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income3,4 | 0.08 | 0.10 | 0.16 | 0.02 | 0.05 | 0.03 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.03 | ) | (0.04 | ) | (0.05 | ) | (0.03 | ) | 0.01 | (0.01 | ) | |||||||||||||
Total income (loss) from investment operations | 0.05 | 0.06 | 0.11 | (0.01 | ) | 0.06 | 0.02 | |||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.08 | ) | (0.22 | ) | (0.10 | ) | (0.02 | ) | (0.05 | ) | (0.03 | ) | ||||||||||||
Total distributions to shareholders | (0.08 | ) | (0.22 | ) | (0.10 | ) | (0.02 | ) | (0.05 | ) | (0.03 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 9.44 | $ | 9.47 | $ | 9.63 | $ | 9.62 | $ | 9.65 | $ | 9.64 | ||||||||||||
Total Return4,5 | 0.50 | %6 | 0.58 | % | 1.10 | % | (0.15 | )% | 0.60 | % | 0.20 | % | ||||||||||||
Ratio of net expenses to average net assets | 0.75 | %7 | 0.74 | % | 0.80 | % | 0.79 | % | 0.80 | % | 0.79 | %8 | ||||||||||||
Ratio of gross expenses to average net assets9 | 0.86 | %7 | 0.83 | % | 0.80 | % | 0.79 | % | 0.80 | % | 0.79 | %8 | ||||||||||||
Ratio of net investment income to average net assets4 | 1.67 | %7 | 1.07 | % | 1.69 | % | 0.25 | % | 0.47 | % | 0.27 | %8 | ||||||||||||
Portfolio turnover | 10 | %6 | 20 | % | 37 | % | 51 | % | 41 | % | 48 | % | ||||||||||||
Net assets end of period (000’s) omitted | $ | 121,958 | $ | 135,620 | $ | 234,569 | $ | 395,306 | $ | 385,246 | $ | 422,488 | ||||||||||||
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41
Table of Contents
AMG Managers Amundi Short Duration Government Fund
Financial Highlights
For a share outstanding throughout each fiscal period
For the six months ended June 30, 2018 | For the fiscal period ended December 31, | |||||||
Class I | (unaudited) | 201710 | ||||||
Net Asset Value, Beginning of Period | $ | 9.46 | $ | 9.64 | ||||
Income (loss) from Investment Operations: | ||||||||
Net investment income3,4 | 0.08 | 0.11 | ||||||
Net realized and unrealized loss on investments | (0.03 | ) | (0.08 | ) | ||||
Total income from investment operations | 0.05 | 0.03 | ||||||
Less Distributions to Shareholders from: | ||||||||
Net investment income | (0.08 | ) | (0.21 | ) | ||||
Total distributions to shareholders | (0.08 | ) | (0.21 | ) | ||||
Net Asset Value, End of Period | $ | 9.43 | $ | 9.46 | ||||
Total Return4,5 | 0.55 | %6 | 0.31 | %6 | ||||
Ratio of net expenses to average net assets | 0.65 | %7 | 0.62 | %7 | ||||
Ratio of gross expenses to average net assets9 | 0.76 | %7 | 0.73 | %7 | ||||
Ratio of net investment income to average net assets4 | 1.77 | %7 | 1.41 | %7 | ||||
Portfolio turnover | 10 | %6 | 20 | % | ||||
Net assets end of period (000’s) omitted | $ | 29,402 | $ | 23,757 | ||||
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42
Table of Contents
AMG Managers Amundi Short Duration Government Fund
Financial Highlights
For a share outstanding throughout each fiscal period
�� | For the six months ended June 30, 2018 | For the fiscal period ended December 31, | ||||||
Class Z | (unaudited) | 201710 | ||||||
Net Asset Value, Beginning of Period | $ | 9.47 | $ | 9.64 | ||||
Income (loss) from Investment Operations: | ||||||||
Net investment income3,4 | 0.09 | 0.12 | ||||||
Net realized and unrealized loss on investments | (0.04 | ) | (0.08 | ) | ||||
Total income from investment operations | 0.05 | 0.04 | ||||||
Less Distributions to Shareholders from: | ||||||||
Net investment income | (0.08 | ) | (0.21 | ) | ||||
Total distributions to shareholders | (0.08 | ) | (0.21 | ) | ||||
Net Asset Value, End of Period | $ | 9.44 | $ | 9.47 | ||||
Total Return4,5 | 0.58 | %6 | 0.44 | %6 | ||||
Ratio of net expenses to average net assets | 0.60 | %7 | 0.57 | %7 | ||||
Ratio of gross expenses to average net assets9 | 0.71 | %7 | 0.68 | %7 | ||||
Ratio of net investment income to average net assets4 | 1.82 | %7 | 1.46 | %7 | ||||
Portfolio turnover | 10 | %6 | 20 | % | ||||
Net assets end of period (000’s) omitted | $ | 649 | $ | 675 | ||||
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|
|
1 | Effective February 27, 2017, Class S was renamed Class N. |
2 | Effective October 1, 2016, the shares were reclassified and redesignated as Class S shares. |
3 | Per share numbers have been calculated using average shares. |
4 | Total returns and net investment income would have been lower had certain expenses not been offset. |
5 | The total return is calculated using the published Net Asset Value as of period end. |
6 | Not annualized. |
7 | Annualized. |
8 | Includes non-routine extraordinary expenses amounting to 0.019% of average net assets. |
9 | Excludes the impact of expense reimbursement or fee waivers and expense reductions such as brokerage credits, but includes expense repayments and non-reimbursable expenses, if any, such as interest, taxes, and extraordinary expenses. (See Note 1(c) and 2 in the Notes to Financial Statements.) |
10 | Commencement of operations was February 27, 2017. |
43
Table of Contents
Notes to Financial Statements (unaudited)
June 30, 2018
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
AMG Funds II (the “Trust”) is an open-end management investment company, organized as a Massachusetts business trust, and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Currently, the Trust consists of a number of different funds, each having distinct investment management objectives, strategies, risks, and policies. Included in this report are AMG Chicago Equity Partners Balanced Fund (“Balanced”), AMG Managers Amundi Intermediate Government Fund (“Intermediate Government”) and AMG Managers Amundi Short Duration Government Fund (“Short Duration”), each a “Fund” and collectively, the “Funds.”
Each Fund offers different classes of shares. Balanced offers Class N, Class I and Class Z. Effective February 27, 2017, Intermediate Government and Short Duration’s Class S shares were renamed Class N and both funds commenced offering Class I and Class Z shares. Each class represents an interest in the same assets of the respective Fund. Although all share classes generally have identical voting rights, each share class votes separately when required by law. Different share classes may have different net asset values per share to the extent the share classes pay different distribution amounts and/or the expenses of such share classes differ. Each share class has its own expense structure. Please refer to a current prospectus for additional information on each share class.
The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), including accounting and reporting guidance pursuant to Accounting Standards Codification Topic 946 applicable to investment companies. U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements:
a. VALUATION OF INVESTMENTS
Equity securities traded on a national securities exchange or reported on the NASDAQ national market system (“NMS”) are valued at the last quoted sales price on the primary exchange or, if applicable, the NASDAQ official closing price or the official closing price of the relevant exchange or, lacking any sales, at the last quoted bid price or the mean between the last quoted bid and ask prices (the “exchange mean price”). Equity securities traded in the over-the-counter market (other than NMS securities) are valued at the exchange mean price. Foreign equity securities (securities principally traded in markets other than U.S. markets) are valued at the official closing price on the primary exchange or, for markets that either do not offer an official closing price or where the official closing price may not be representative of the overall market, the last quoted sale price.
Fixed income securities purchased with a remaining maturity exceeding 60 days are valued at the evaluated bid price or the mean price provided by an authorized pricing service or, if an evaluated price is not available, by reference to other securities which are considered comparable in credit rating, interest rate, due date and other features (generally referred to as “matrix pricing”) or other similar pricing methodologies. Investments in certain mortgage-backed and stripped mortgage-backed securities, preferred stocks, convertible securities, derivatives and other debt securities not traded on an organized securities market are valued on the basis of valuations provided by dealers or by a pricing service which uses
information with respect to transactions in such securities and various relationships between such securities and yield to maturity in determining value.
Fixed income securities purchased with a remaining maturity of 60 days or less are valued at amortized cost, provided that the amortized cost value is approximately the same as the fair value of the security valued without the use of amortized cost. Investments in other open-end regulated investment companies are valued at their end of day net asset value per share.
Futures contracts for which market quotations are readily available are valued at the settlement price as of the close of the futures exchange.
The Funds’ portfolio investments are generally valued based on independent market quotations or prices or, if none, “evaluative” or other market based valuations provided by third party pricing services approved by the Board of Trustees of the Trust (the “Board”). Under certain circumstances, the value of certain Fund portfolio investments (including derivatives) may be based on an evaluation of fair value, pursuant to procedures established by and under the general supervision of the Board. The Valuation Committee, which is comprised of the Independent Trustees of the Board, and the Pricing Committee, which is comprised of representatives from AMG Funds LLC (the “Investment Manager”) are the committees appointed by the Board to make fair value determinations. Each Fund may use the fair value of a portfolio investment to calculate its net asset value (“NAV”) in the event that the market quotation, price or market based valuation for the portfolio investment is not readily available or otherwise not determinable pursuant to the Board’s valuation procedures, if the Investment Manager or the Pricing Committee believes the quotation, price or market based valuation to be unreliable, or in certain other circumstances. When determining the fair value of an investment, the Pricing Committee and, if required under the Trust’s securities valuation procedures, the Valuation Committee, seeks to determine the price that the Fund might reasonably expect to receive from current sale of that portfolio investment in an arms-length transaction. Fair value determinations shall be based upon consideration of all available facts and information, including, but not limited to (i) attributes specific to the investment; (ii) fundamental and analytical data relating to the investment; and (iii) the value of other comparable securities or relevant financial instruments, including derivative securities, traded on other markets or among dealers.
The values assigned to fair value portfolio investments are based on available information and do not necessarily represent amounts that might ultimately be realized in the future, since such amounts depend on future developments inherent in long-term investments. Because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. The Board will be presented with a quarterly report showing as of the most recent quarter end, all outstanding securities fair valued by the Fund, including a comparison with the prior quarter end and the percentage of the Fund that the security represents at each quarter end.
With respect to foreign equity securities and certain foreign fixed income securities, the Board has adopted a policy that securities held in a Fund that can be fair valued by the applicable fair value pricing service are fair valued on each business day provided that each individual price exceeds a pre-established confidence level.
U.S. GAAP defines fair value as the price that a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP also establishes a framework for measuring fair value, and a three level hierarchy for fair value measurements based upon the
44
Table of Contents
Notes to Financial Statements (continued)
transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Funds. Unobservable inputs reflect the Funds’ own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation.
The three-tier hierarchy of inputs is summarized below:
Level 1 – inputs are quoted prices in active markets for identical investments (e.g., equity securities, open-end investment companies, futures contracts)
Level 2 – other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs) (e.g., debt securities, government securities, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, fair valued securities with observable inputs)
Level 3 – inputs are significant unobservable inputs (including the Fund’s own assumptions used to determine the fair value of investments) (e.g., fair valued securities with unobservable inputs)
Changes in inputs or methodologies used for valuing investments may result in a transfer in or out of levels within the fair value hierarchy. The inputs or methodologies used for valuing investments may not necessarily be an indication of the risk associated with investing in those investments. Transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period.
b. SECURITY TRANSACTIONS
Security transactions are accounted for as of trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
c. INVESTMENT INCOME AND EXPENSES
Dividend income is recorded on the ex-dividend date. Dividends from foreign securities are recorded on the ex-dividend date, and if after the fact, as soon as the Funds become aware of the ex-dividend date. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Dividend and interest income on foreign securities is recorded gross of any withholding tax. Non-cash dividends included in dividend income, if any, are reported at the fair market value of the securities received. Upon notification from issuers, distributions received from a real estate investment trust (“REIT”) may be redesignated as a reduction of cost of investments and/or realized gain. Other income and expenses are recorded on an accrual basis. Expenses that cannot be directly attributed to a Fund are apportioned among the funds in the Trust and other trusts within the AMG Funds family of mutual funds (collectively the “AMG Funds Family”) based upon their relative average net assets or number of shareholders. Investment income, realized and unrealized capital gains and losses, the common expenses of each Fund, and certain fund level expense reductions, if
any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of each Fund.
Balanced had certain portfolio trades directed to various brokers under a brokerage recapture program. Credits received from the brokerage recapture program are earned and paid on a monthly basis, and are recorded as expense offsets, which serve to reduce the Fund’s overall expense ratio. For the six months ended June 30, 2018, the amount of broker recapture was $13,565, which reduced the Fund’s expense ratio by 0.01%.
d. DIVIDENDS AND DISTRIBUTIONS
Fund distributions resulting from either net investment income or realized net capital gains, if any, will normally be declared and paid at least annually in December. Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined in accordance with federal income tax regulations, which may differ from net investment income and net realized capital gains for financial statement purposes (U.S. GAAP). Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Permanent book and tax basis differences, if any, relating to shareholder distributions will result in reclassifications to paid-in capital. Temporary differences arise when certain items of income, expense and gain or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Permanent differences are due to redesignation of dividends paid, foreign currency, expiration of capital loss carryforwards and return of capital distributions paid by the Funds. Temporary differences are due to capital loss deferrals on straddles and mark-to-market on futures.
At June 30, 2018, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The approximate cost of investments and the aggregate gross unrealized appreciation and depreciation were as follows:
Fund | Cost | Appreciation | Depreciation | Net | ||||||||||||
Balanced | $ | 204,214,844 | $ | 24,895,444 | $ | (4,502,035 | ) | $ | 20,393,409 | |||||||
Intermediate Government | 123,611,381 | 617,977 | (1,948,213 | ) | (1,330,236 | ) | ||||||||||
Short Duration | 155,740,281 | 1,348,953 | (2,049,072 | ) | (700,119 | ) |
e. FEDERAL TAXES
Each Fund currently qualifies as an investment company and intends to comply with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, and to distribute substantially all of its taxable income and gains to its shareholders and to meet certain diversification and income requirements with respect to investment companies. Therefore, no provision for federal income or excise tax is included in the accompanying financial statements.
Additionally, based on each Fund’s understanding of the tax rules and rates related to income, gains and transactions for the foreign jurisdictions in which it invests, each Fund will provide for foreign taxes, and where appropriate, deferred foreign taxes.
Management has analyzed the Funds’ tax positions taken on federal income tax returns as of December 31, 2017, and for all open tax years (generally, the three prior taxable years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. Additionally, Management is not aware
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Table of Contents
Notes to Financial Statements (continued)
of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.
Net capital losses incurred may be carried forward for an unlimited time period, and retain their tax character as either short-term or long-term capital losses.
f. CAPITAL LOSS CARRYOVERS AND DEFERRALS
As of December 31, 2017, the following Funds had accumulated net realized capital loss carryovers from securities transactions for federal income tax purposes as shown in the following chart. These amounts may be used to offset future realized capital gains, if any, for an unlimited time period.
Capital Loss Carryover Amounts | ||||||||||||
Fund | Short-Term | Long-Term | Total | |||||||||
Intermediate Government | — | $ | 2,178,798 | $ | 2,178,798 | |||||||
Short Duration | $ | 359,813 | 5,155,378 | 5,515,191 |
As of December 31, 2017, Balanced had no accumulated net realized capital loss carryovers from securities transactions for federal income tax purposes. Should Balanced incur net capital losses for the fiscal year ended December 31, 2018, such amounts may be used to offset future realized capital gains, for an unlimited time period.
g. CAPITAL STOCK
The Trust’s Declaration of Trust authorizes for each Fund the issuance of an unlimited number of shares of beneficial interest, without par value. Each Fund records sales and repurchases of its capital stock on the trade date.
For the six months ended June 30, 2018 (unaudited) and the fiscal year ended December 31, 2017, the capital stock transactions by class for the Funds were as follows:
Balanced | ||||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class N: | ||||||||||||||||
Proceeds from sale of shares | 637,340 | $ | 11,079,843 | 1,239,936 | $ | 20,491,466 | ||||||||||
Reinvestment of distributions | 15,751 | 270,291 | 180,583 | 3,069,279 | ||||||||||||
Cost of shares repurchased | (765,643 | ) | (13,300,941 | ) | (3,044,466 | ) | (50,984,756 | ) | ||||||||
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Net decrease | (112,552 | ) | $ | (1,950,807 | ) | (1,623,947 | ) | $ | (27,424,011 | ) | ||||||
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Class I: | ||||||||||||||||
Proceeds from sale of shares | 1,736,652 | $ | 30,634,468 | 2,705,468 | $ | 45,868,384 | ||||||||||
Reinvestment of distributions | 19,437 | 337,203 | 161,858 | 2,780,507 | ||||||||||||
Cost of shares repurchased | (550,098 | ) | (9,612,833 | ) | (1,051,459 | ) | (17,798,320 | ) | ||||||||
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| |||||||||
Net increase | 1,205,991 | $ | 21,358,838 | 1,815,867 | $ | 30,850,571 | ||||||||||
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Class Z: | ||||||||||||||||
Proceeds from sale of shares | 76,626 | $ | 1,345,119 | 77,566 | $ | 1,285,979 | ||||||||||
Reinvestment of distributions | 2,141 | 37,098 | 19,371 | 332,260 | ||||||||||||
Cost of shares repurchased | (42,581 | ) | (740,402 | ) | (58,065 | ) | (968,364 | ) | ||||||||
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Net increase | 36,186 | $ | 641,815 | 38,872 | $ | 649,875 | ||||||||||
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Notes to Financial Statements (continued)
Intermediate Government | Short Duration | |||||||||||||||||||||||||||||||
June 30, 2018 | December 31, 2017 | June 30, 2018 | December 31, 2017 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Class N:1 | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 955,515 | $ | 9,980,250 | 2,506,899 | $ | 26,802,132 | 2,035,081 | $ | 19,253,549 | 4,487,160 | $ | 43,034,526 | ||||||||||||||||||||
Reinvestment of distributions | 71,905 | 747,953 | 206,475 | 2,204,214 | 107,799 | 1,018,997 | 392,197 | 3,743,767 | ||||||||||||||||||||||||
Cost of shares repurchased | (3,303,155 | ) | (34,352,489 | ) | (8,473,695 | ) | (90,681,619 | ) | (3,540,939 | ) | (33,513,385 | ) | (14,919,003 | ) | (142,857,038 | ) | ||||||||||||||||
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Net decrease | (2,275,735 | ) | $ | (23,624,286 | ) | (5,760,321 | ) | $ | (61,675,273 | ) | (1,398,059 | ) | $ | (13,240,839 | ) | (10,039,646 | ) | $ | (96,078,745 | ) | ||||||||||||
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Class I:2 | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 781,020 | $ | 8,113,393 | 282,788 | $ | 3,034,044 | 1,234,655 | $ | 11,690,312 | 5,634,803 | $ | 53,874,614 | ||||||||||||||||||||
Reinvestment of distributions | 6,920 | 71,895 | 2,771 | 29,580 | 11,878 | 112,224 | 15,916 | 151,394 | ||||||||||||||||||||||||
Cost of shares repurchased | (181,158 | ) | (1,882,284 | ) | (67,846 | ) | (727,699 | ) | (639,584 | ) | (6,046,084 | ) | (3,140,056 | ) | (29,921,094 | ) | ||||||||||||||||
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Net increase | 606,782 | $ | 6,303,004 | 217,713 | $ | 2,335,925 | 606,949 | $ | 5,756,452 | 2,510,663 | $ | 24,104,914 | ||||||||||||||||||||
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Class Z:2 | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 6,959 | $ | 72,540 | 169,759 | $ | 1,799,841 | 5,843 | $ | 55,302 | 126,003 | $ | 1,211,014 | ||||||||||||||||||||
Reinvestment of distributions | 1,118 | 11,625 | 2,342 | 25,005 | 614 | 5,803 | 1,577 | 15,045 | ||||||||||||||||||||||||
Cost of shares repurchased | (19,491 | ) | (204,539 | ) | (47,207 | ) | (505,944 | ) | (9,013 | ) | (85,408 | ) | (56,279 | ) | (538,713 | ) | ||||||||||||||||
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Net increase (decrease) | (11,414 | ) | $ | (120,374 | ) | 124,894 | $ | 1,318,902 | (2,556 | ) | $ | (24,303 | ) | 71,301 | $ | 687,346 | ||||||||||||||||
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1 | Effective February 27, 2017, Class S was renamed Class N. |
2 | Commencement of operations was February 27, 2017. |
h. REPURCHASE AGREEMENTS AND JOINT REPURCHASE AGREEMENTS
The Funds may enter into third-party repurchase agreements for temporary cash management purposes and third-party or bilateral joint repurchase agreements for reinvestment of cash collateral on securities lending transactions under the securities lending program offered by The Bank of New York Mellon (“BNYM”) (the “Program”) (collectively, “Repurchase Agreements”). The value of the underlying collateral, including accrued interest, must equal or exceed the value of the Repurchase Agreements during the term of the agreement. For joint repurchase agreements, the Funds participate on a pro rata basis with other clients of BNYM in its share of the underlying collateral under such joint repurchase agreements and in its share of proceeds from any repurchase or other disposition of the underlying collateral. The underlying collateral for all Repurchase Agreements is held in safekeeping by the Funds’ custodian or at the Federal Reserve Bank. If the seller defaults and the value of the collateral declines, or if bankruptcy proceedings commence with respect to the seller of the security, realization of the collateral by the Funds may be delayed or limited. Pursuant to the Program, the Funds are indemnified for such losses by BNYM on joint repurchase agreements.
At June 30, 2018, the market value of Repurchase Agreements outstanding for Balanced was $3,268,590.
i. FOREIGN CURRENCY TRANSLATION
The books and records of the Funds are maintained in U.S. dollars. The value of investments, assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon current foreign exchange rates. Purchases and sales of foreign investments, income and expenses are converted
into U.S. dollars based on currency exchange rates prevailing on the respective dates of such transactions. Net realized and unrealized gain (loss) on foreign currency transactions represent: (1) foreign exchange gains and losses from the sale and holdings of foreign currencies; (2) gains and losses between trade date and settlement date on investment securities transactions and foreign currency exchange contracts; and (3) gains and losses from the difference between amounts of interest and dividends recorded and the amounts actually received.
The Funds do not isolate the net realized and unrealized gain or loss resulting from changes in exchange rates from the fluctuations in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
j. FOREIGN SECURITIES
Balanced invests in securities of foreign entities and in instruments denominated in foreign currencies which involve risks not typically associated with investments in domestic securities. Non-domestic securities carry special risks, such as exposure to currency fluctuations, less developed or less efficient trading markets, political instability, a lack of company information, differing auditing and legal standards, and, potentially, less liquidity. The Fund’s investments in emerging market countries are exposed to additional risks. The Fund’s performance will be influenced by political, social and economic factors affecting companies in emerging market countries. Emerging market countries generally have economic structures that are less diverse and mature, and political systems that are less stable, than those of developed countries. Realized gains in certain countries may
be subject to foreign taxes at the Fund level and the Fund would pay such foreign taxes at the appropriate rate for each jurisdiction.
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Notes to Financial Statements (continued)
k. SECURITIES TRANSACTED ON A WHEN ISSUED BASIS
The Funds may enter into To-Be-Announced (“TBA”) sale commitments to hedge their portfolio positions or to sell mortgage-backed securities they own under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, with the same counterparty, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction. Unsettled TBA sale commitments are valued at the current market value of the underlying securities according to the procedures described under “Valuation of Investments,” in Footnote 1a above.
Each TBA contract is marked-to-market daily and the change in market value is recorded by the Fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting purchase commitment with the same broker, the Fund realizes a gain or loss. If the Fund delivers securities under the commitment, the Fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
l. DELAYED DELIVERY TRANSACTIONS AND WHEN-ISSUED SECURITIES
The Funds may enter into securities transactions on a delayed delivery or when issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked to market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Funds’ Schedules of Portfolio Investments. With respect to purchase commitments, the Funds identify securities as segregated in their records with a value at least equal to the amount of the commitment. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as an investment in securities and a forward sale commitment in the Funds’ Statement of Assets and Liabilities. For financial reporting purposes, the Funds do not offset the receivable and payable for delayed delivery investments purchased and sold on TBA commitments. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract, or if the issuer does not issue the securities due to political, economic, or other factors.
2. AGREEMENTS AND TRANSACTIONS WITH AFFILIATES
For each of the Funds, the Trust has entered into an investment advisory agreement under which the Investment Manager, a subsidiary and the U.S. retail distribution arm of Affiliated Managers Group, Inc. (“AMG”), serves as investment manager to the Funds and is responsible for the Funds’ overall administration and operations. The Investment Manager selects one or more subadvisers for the Funds (subject to Board approval) and monitors each subadviser’s investment performance, security holdings and investment strategies. Each Fund’s investment portfolio is managed by one or more portfolio managers who serve pursuant to a subadvisory agreement with the Investment Manager. Balanced is managed by Chicago Equity Partners, LLC (“CEP”) and Intermediate Government and Short
Duration are managed by Amundi Pioneer Institutional Asset Management, Inc. AMG indirectly owns a majority interest in CEP.
Investment management fees are paid directly by the Funds to the Investment Manager based on average daily net assets. For the six months ended June 30, 2018, the Funds’ investment management fees were paid at the following annual rate of each Fund’s respective average daily net assets:
Balanced | 0.60 | % | ||
Intermediate Government | 0.48 | % | ||
Short Duration | 0.40 | % |
The Investment Manager has contractually agreed, through at least May 1, 2019, to waive management fees and/or reimburse fund expenses in order to limit total annual Fund operating expenses after fee waiver and expense reimbursements (exclusive of taxes, interest (including interest incurred in connection with bank and custody overdrafts), shareholder servicing fees, distribution and service (12b-1) fees, brokerage commissions and other transaction costs, acquired fund fees and expenses and extraordinary expenses) of Balanced to 0.84% of the Fund’s average daily net assets subject to later reimbursement by the Fund in certain circumstances.
The Investment Manager has contractually agreed, through at least May 1, 2019, to waive management fees and/or reimburse Fund expenses in order to limit total annual Fund operating expenses after fee waiver and expense reimbursements (exclusive of taxes, interest (including interest incurred in connection with bank and custody overdrafts), shareholder servicing fees, brokerage commissions and other transaction costs, acquired fund fees and expenses and extraordinary expenses) to 0.74% of Intermediate Government’s average daily net assets subject to later reimbursement by the Fund in certain circumstances.
Effective February 27, 2017, the Investment Manager has contractually agreed, through May 1, 2019, to waive Intermediate Government’s management fee by 0.05%, from 0.48% to 0.43%, and Short Duration’s management fee by 0.11%, from 0.40% to 0.29%. For the six months ended June 30, 2018, the management fee for Intermediate Government and Short Duration was reduced by $25,152 and $84,951, respectively.
The contractual expense limitation may only be terminated in the event the Investment Manager or a successor ceases to be the investment manager of the Fund or a successor fund, by mutual agreement between the Investment Manager and the Board, or in the event of the Fund’s liquidation unless the Fund is reorganized or is a party to a merger in which the surviving entity is successor to the accounting and performance information of the Fund.
In general, for a period of up to 36 months, the Investment Manager may recover from each Fund fees waived and expenses paid pursuant to this contractual agreement, provided that such repayment would not cause the Fund’s total annual operating expenses after fee waiver and expense reimbursements (exclusive of the items noted in the parenthetical above) to exceed the contractual expense limitation amount.
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Table of Contents
Notes to Financial Statements (continued)
At June 30, 2018, the Funds’ expiration of recoupment is as follows:
Expiration Period | Balanced | Intermediate Government | ||||||
Less than 1 year | $ | 314,884 | $ | 77,990 | ||||
Within 2 years | 172,173 | 106,739 | ||||||
Within 3 years | 75,268 | 153,603 | ||||||
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Total Amount Subject to Recoupment | $ | 562,325 | $ | 338,332 | ||||
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The Investment Manager has agreed to waive a portion of its management fee in consideration of shareholder servicing fees that it has received from JPMorgan Distribution Services, Inc., with respect to short-term cash investments each Fund may have made in the JPMorgan Money Market Funds. For the six months ended June 30, 2018, the investment management fee for the Funds was not reduced.
The Trust, on behalf of the Funds, has entered into an amended and restated Administration Agreement under which the Investment Manager serves as the Funds’ administrator (the “Administrator”) and is responsible for all non-portfolio management aspects of managing the Funds’ operations, including administration and shareholder services to each Fund. Each Fund pays a fee to the Administrator at the rate of 0.15% per annum of the Fund’s average daily net assets for this service.
The Funds are distributed by AMG Distributors, Inc. (the “Distributor”), a wholly-owned subsidiary of the Investment Manager. The Distributor serves as the distributor and underwriter for each Fund and is a registered broker-dealer and member of the Financial Industry Regulatory Authority, Inc. (“FINRA”). Shares of each Fund will be continuously offered and will be sold directly to prospective purchasers and through brokers, dealers or other financial intermediaries who have executed selling agreements with the Distributor. Generally the Distributor bears all or a portion of the expenses of providing services pursuant to the distribution agreement, including the payment of the expenses relating to the distribution of prospectuses for sales purposes and any advertising or sales literature.
Balanced has adopted a distribution and service plan (the “Plan”) with respect to the Class N shares, in accordance with the requirements of Rule 12b-1 under the 1940 Act and the requirements of the applicable rules of FINRA regarding asset based sales charges. Pursuant to the Plan, the Fund may make payments to the Distributor for its expenditures in financing any activity primarily intended to result in the sale of the Fund’s Class N shares and for maintenance and personal service provided to existing shareholders of that class. The Plan authorizes payments to the Distributor up to 0.25% annually of the Fund’s average daily net assets attributable to the Class N shares.
For Class N of Intermediate Government and Short Duration, and Class I of Balanced, Intermediate Government and Short Duration, the Board has approved reimbursement payments to the Investment Manager for shareholder servicing expenses (“shareholder servicing fees”) incurred. Shareholder servicing fees include payments to financial intermediaries, such as broker-dealers (including fund supermarket platforms), banks, and trust companies who provide shareholder recordkeeping, account servicing and other services. Class N shares of Intermediate Government and Short Duration and Class I shares of Balanced, Intermediate Government and Short Duration may reimburse the Investment Manager for the actual amount incurred up to a maximum annual rate of each Class’s average daily net assets as shown in the table below.
The impact on the annualized expense ratios for the six months ended June 30, 2018, were as follows:
Fund | Maximum Annual Amount Approved | Actual Amount Incurred | ||||||
Balanced | ||||||||
Class I | 0.10 | % | 0.10 | % | ||||
Intermediate Government | ||||||||
Class N | 0.15 | % | 0.15 | % | ||||
Class I | 0.05 | % | 0.04 | % | ||||
Short Duration | ||||||||
Class N | 0.15 | % | 0.15 | % | ||||
Class I | 0.05 | % | 0.05 | % | ||||
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The Board provides supervision of the affairs of the Trust and other trusts within the AMG Funds family. The Trustees of the Trust who are not affiliated with the Investment Manager receive an annual retainer and per meeting fees for regular, special and telephonic meetings, and they are reimbursed for out-of-pocket expenses incurred while carrying out their duties as Board members. The Chairman of the Board and the Audit Committee Chair receive additional annual retainers. Certain Trustees and Officers of the Funds are Officers and/or Directors of the Investment Manager, AMG and/or the Distributor.
The Securities and Exchange Commission (the “SEC”) granted an exemptive order that permits the Funds to lend and borrow money for certain temporary purposes directly to and from other eligible funds in the AMG Funds family. Participation in this interfund lending program is voluntary for both the borrowing and lending funds, and an interfund loan is only made if it benefits each participating fund. The Administrator manages the program according to procedures approved by the Board, and the Board monitors the operation of the program. An interfund loan must comply with certain conditions set out in the exemptive order, which are designed to assure fairness and protect all participating funds. For the six months ended June 30, 2018, Short Duration lent a maximum of $1,760,934, for one day earning interest of $111. The interest income amount is included in the Statement of Operations as interest income. For the six months ended June 30, 2018, Balanced and Intermediate Government neither borrowed from nor lent to other funds in the AMG Funds family. At June 30, 2018, the Funds had no interfund loans outstanding.
3. PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities (excluding short-term securities and U.S. Government Obligations) for the six months ended June 30, 2018, were as follows:
Long Term Securities | ||||||||
Fund | Purchases | Sales | ||||||
Balanced | $ | 71,099,082 | $ | 54,218,153 | ||||
Intermediate Government | — | 2,717,400 | ||||||
Short Duration | 4,036,894 | 9,898,280 |
49
Table of Contents
Notes to Financial Statements (continued)
U.S. Government Obligations | ||||||||
Fund | Purchases | Sales | ||||||
Balanced | $ | 28,369,336 | $ | 25,163,670 | ||||
Intermediate Government | 163,905 | 9,982,023 | ||||||
Short Duration | 10,571,992 | 23,680,927 |
4. PORTFOLIO SECURITIES LOANED
The Funds participate in the Program providing for the lending of securities to qualified brokers. Securities lending income includes earnings of such temporary cash investments, plus or minus any rebate to a borrower. These earnings (after any rebate) are then divided between BNYM, as a fee for its services under the Program, and the Funds, according to agreed-upon rates. Collateral on all securities loaned is accepted in cash and is maintained at a minimum level of 102% (105% in the case of certain foreign securities) of the market value, plus interest, if applicable, of investments on loan. It is the Funds’ policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Funds if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Under the terms of the Program, the Funds are indemnified for such losses by BNYM. Cash collateral is held in a separate omnibus account managed by BNYM, who is authorized to exclusively enter into joint repurchase agreements. BNYM bears the risk of any deficiency in the amount of the cash collateral available for return to the borrower due to any loss on the collateral invested.
The value of securities loaned on positions held and cash collateral received at June 30, 2018, were as follows:
Fund | Securities Loaned | Cash Collateral Received | ||||||
Balanced | $ | 3,136,709 | $ | 3,268,590 |
5. COMMITMENTS AND CONTINGENCIES
Under the Trust’s organizational documents, its trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, in the normal course of business, the Funds may enter into contracts and agreements that contain a variety of representations and warranties, which provide general indemnifications. The maximum exposure to the Funds under these arrangements is unknown, as this would involve future claims that may be made against a Fund that have not yet occurred. However, based on experience, the Funds had no prior claims or losses and expect the risks of loss to be remote.
6. DERIVATIVE INSTRUMENTS
The following disclosures contain information on how and why certain Funds use derivative instruments, the credit risk and how derivative instruments affect the Funds’ financial position, and results of operations. The location and fair value amounts of these instruments on the Statement of Assets and Liabilities, and the realized gains and losses and changes in unrealized gains and losses on the
Statement of Operations, each categorized by type of derivative contract, are included in a table at the end of the applicable Fund’s Schedule of Portfolio Investments. For the six months ended June 30, 2018, the average quarterly balances of derivative financial instruments outstanding were as follows:
Intermediate Government | Short Duration | |||||||
Financial Futures Contracts |
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Average number of contracts purchased | 4 | 74 | ||||||
Average number of contracts sold | 66 | 608 | ||||||
Average notional value of contracts | $ | 568,708 | $ | 8,726,474 | ||||
Average notional value of contracts sold | $ | 6,822,495 | $ | 96,562,872 | ||||
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7. FUTURES CONTRACTS
Intermediate Government and Short Duration purchased and sold futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital shares transactions. There are certain risks associated with futures contracts. Prices may not move as expected or the Funds may not be able to close out the contract when it desires to do so, resulting in losses.
On entering into a futures contract, either cash or securities in an amount equal to a certain percentage of the contract value (initial margin) must be deposited with the futures broker. Subsequent variation margin payments are made or received by the Funds depending on the fluctuations in the value of the futures contract and the value of cash or securities on deposit with the futures broker. Variation margin is recorded as unrealized gains and losses. The Funds must have total value at the futures broker consisting of either net unrealized gains, cash or securities collateral to meet the initial margin requirement, and any value over the initial margin requirement may be transferred to the Funds. The Funds recognize a realized gain or loss when the contract is closed or expires equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures are valued at their quoted daily settlement prices. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
8. RISKS ASSOCIATED WITH COLLATERALIZED MORTGAGE OBLIGATIONS (“CMOs”)
The net asset values of a Fund may be sensitive to interest rate fluctuations because a Fund may hold several instruments, including CMOs and other derivatives, whose values can be significantly impacted by interest rate movements. CMOs are obligations collateralized by a portfolio of mortgages or mortgage-related securities. Payments of principal and interest on the mortgages are passed through to the holder of the CMOs on the same schedule as they are received, although certain classes of CMOs have priority over others with respect to the receipt of prepayments on the mortgages. Therefore, the investment in CMOs may be subject to a greater or lesser risk of prepayment than other types of mortgage-related securities. CMOs are subject to principal paydowns as a result of prepayments or refinancing of the underlying mortgage instruments. As a result,
50
Table of Contents
Notes to Financial Statements (continued)
the average life may be substantially less than the original maturity. CMOs may have a fixed or variable rate of interest.
9. DOLLAR ROLL AGREEMENTS
The Funds may enter into dollar rolls in which they sell debt securities for delivery currently and simultaneously contract to repurchase similar, but not identical, securities at the same price or a lower price on an agreed date. The Funds receive compensation as consideration for entering into the commitment to repurchase. The compensation is the difference between the current sale price and the repurchase price (often referred to as the “drop”) as well as the interest earned on the cash proceeds of the initial sale. The Funds may also be compensated by the receipt of a commitment fee. As the holder, the counterparty receives all principal and interest payments, including prepayments, made with respect to the similar security sold. Dollar rolls may be renewed with a new sale and repurchase price with a cash settlement made at renewal without physical delivery of the securities subject to the contract.
Certain risks may arise upon entering into dollar rolls from the potential inability of counterparties to meet the terms of their commitments. Additionally, the value of such securities may change adversely before the Funds are able to repurchase them. There can be no assurance that the Funds’ use of the cash that they receive from a dollar roll will provide a return that exceeds their cost.
10. STRIPPED SECURITIES
Intermediate Government and Short Duration may invest in stripped securities (“STRIPS”) for hedging purposes to protect the Funds’ portfolios against interest rate fluctuations. Interest-only STRIPS will most likely move differently than typical fixed-income securities in relation to changes in interest rates. STRIPS are usually structured with two classes that receive different proportions of the interest and principal distributions from a pool of underlying assets. A common type of STRIP
will have one class receiving all of the interest from the underlying assets (“interest-only” or “IO” class), while the other class will receive the entire principal (“principal only” or “PO” class). However, in some instances, one class will receive some of the interest and most of the principal while the other class will receive most of the interest and the remainder of the principal. STRIPS are unusually volatile in response to changes in interest rates. The yield to maturity on an IO class of STRIPS is extremely sensitive not only to changes in prevailing interest rates but also to the rate of principal payments (including prepayments) on the underlying assets. A rapid rate of principal prepayments may have a measurably adverse effect on a Funds’ yield to maturity to the extent it invests in IOs. Conversely, POs tend to increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. Thus, if the underlying assets experience greater than anticipated repayments of principal, a Fund may fail to fully recover its initial investment in these securities, even if the STRIPS were rated of the highest credit quality by Standard & Poor’s Corporation or Moody’s Investors Service, Inc. These risks are managed by investing in a variety of such securities and by using certain hedging techniques. In addition the secondary market for STRIPS may be less liquid than that of other mortgage-backed or asset-backed securities, potentially limiting the Funds’ ability to buy or sell those securities at any particular time.
11. MASTER NETTING AGREEMENTS
The Funds may enter into master netting agreements with their counterparties for the securities lending program and Repurchase Agreements, which provide the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting agreements in the Statement of Assets and Liabilities. For securities lending transactions, see Note 4.
The following table is a summary of the Funds’ open Repurchase Agreements that are subject to a master netting agreement as of June 30, 2018:
Gross Amount Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||
Fund | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | Financial Instruments Collateral | Cash Collateral Received | Net Amount | ||||||||||||
Balanced | ||||||||||||||||
Jefferies LLC | $ | 1,000,000 | $ | 1,000,000 | — | — | ||||||||||
National Bank Financial | 1,000,000 | 1,000,000 | — | — | ||||||||||||
Nomura Securities International, Inc. | 1,000,000 | 1,000,000 | — | — | ||||||||||||
RBC Dominion Securities, Inc. | 268,590 | 268,590 | — | — | ||||||||||||
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Total | $ | 3,268,590 | $ | 3,268,590 | — | — | ||||||||||
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12. SUBSEQUENT EVENTS
The Funds have determined that no material events or transactions occurred through the issuance date of the Funds’ financial statements, which require an additional disclosure in or adjustment of the Funds’ financial statements.
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Annual Renewal of Investment Management and Subadvisory Agreements
At an in-person meeting held on June 27-28, 2018, the Board of Trustees (the “Board” or the “Trustees”), and separately a majority of the Trustees who are not “interested persons” of AMG Funds II (the “Trust”) (the “Independent Trustees”), approved (i) the Investment Management Agreement, as amended pursuant to letter agreements at any time prior to the date of the meeting, with AMG Funds LLC (the “Investment Manager”) for each of AMG Managers Amundi Intermediate Government Fund, AMG Managers Amundi Short Duration Government Fund and AMG Chicago Equity Partners Balanced Fund (each, a “Fund,” and collectively, the “Funds”) and separately each of Amendment No. 1, Amendment No. 2 thereto dated July 1, 2015, and Amendment No. 3 thereto dated October 1, 2016 (collectively, the “Investment Management Agreement”) and (ii) the Subadvisory Agreement, as amended at any time prior to the date of the meeting, with the applicable Subadviser for each Fund (collectively, the “Subadvisory Agreements”). The Independent Trustees were separately represented by independent legal counsel in connection with their consideration of the approval of these agreements. In considering the Investment Management Agreement and the Subadvisory Agreements, the Trustees reviewed a variety of materials relating to each Fund, the Investment Manager and each Subadviser, including comparative performance, fee and expense information for an appropriate peer group of similar mutual funds (each, a “Peer Group”), performance information for the relevant benchmark index for each Fund (each, a “Fund Benchmark”) and other information provided to them on a periodic basis throughout the year, as well as information provided in connection with the meetings of June 27-28, 2018, regarding the nature, extent and quality of services provided by the Investment Manager and the Subadvisers under their respective agreements and other relevant matters. Prior to voting, the Independent Trustees: (a) reviewed the foregoing information with their independent legal counsel; (b) received materials from their independent legal counsel discussing the legal standards applicable to their consideration of the Investment Management Agreement and the Subadvisory Agreements; and (c) met with their independent legal counsel in private sessions at which no representatives of management were present.
NATURE, EXTENT AND QUALITY OF SERVICES
In considering the nature, extent and quality of the services provided by the Investment Manager, the Trustees reviewed information relating to the
Investment Manager’s operations and personnel. Among other things, the Investment Manager provided financial information, biographical information on its supervisory and professional staff and descriptions of its organizational and management structure. The Trustees also took into account information provided periodically throughout the previous year by the Investment Manager in Board meetings relating to the performance of its duties with respect to the Funds and the Trustees’ knowledge of the Investment Manager’s management and the quality of the performance of the Investment Manager’s duties under the Investment Management Agreement and Administration Agreement. In the course of their deliberations regarding the Investment Manager, the Trustees evaluated, among other things: (a) the extent and quality of the Investment Manager’s oversight of the operation and management of the Funds; (b) the quality of the search, selection and monitoring services performed by the Investment Manager in overseeing the portfolio management responsibilities of the Subadvisers; (c) the Investment Manager’s ability to supervise the Funds’ other service providers; and (d) the Investment Manager’s compliance program. The Trustees also took into account that, in performing its functions under the Investment Management Agreement and supervising each Subadviser, the Investment Manager: performs periodic detailed analyses and reviews of the performance by each Subadviser of its obligations to a Fund, including without limitation, analysis and review of portfolio and other compliance matters and review of each Subadviser’s investment performance with respect to a Fund; prepares and presents periodic reports to the Board regarding the investment performance of each Subadviser and other information regarding each Subadviser, at such times and in such forms as the Board may reasonably request; reviews and considers any changes in the personnel of each Subadviser responsible for performing the Subadviser’s obligations and makes appropriate reports to the Board; reviews and considers any changes in the ownership or senior management of each Subadviser and makes appropriate reports to the Board; performs periodic in-person or telephonic diligence meetings, including with respect to compliance matters, with representatives of each Subadviser; assists the Board and management of the Trust in developing and reviewing information with respect to the initial approval of each Subadvisory Agreement and annual consideration of each Subadvisory Agreement thereafter; prepares
recommendations with respect to the continued retention of any Subadviser or the replacement of any Subadviser, including at the request of the Board; identifies potential successors to or replacements of any Subadviser or potential additional subadvisers, performs appropriate due diligence, and develops and presents to the Board a recommendation as to any such successor, replacement, or additional subadviser, including at the request of the Board; designates and compensates from its own resources such personnel as the Investment Manager may consider necessary or appropriate to the performance of its services; and performs such other review and reporting functions as the Board shall reasonably request consistent with the Investment Management Agreement and applicable law. With respect to AMG Chicago Equity Partners Balanced Fund, the Trustees noted the affiliation of the Subadviser with the Investment Manager, noting any potential conflicts of interest. The Trustees also took into account the financial condition of the Investment Manager with respect to its ability to provide the services required under the Investment Management Agreement and the Investment Manager’s undertaking to maintain contractual expense limitations for AMG Managers Amundi Intermediate Government Fund and AMG Chicago Equity Partners Balanced Fund. The Trustees also considered the Investment Manager’s risk management processes.
For each Fund, the Trustees also reviewed information relating to each Subadviser’s operations and personnel and the investment philosophy, strategies and techniques (for each Subadviser, its “Investment Strategy”) used in managing the Fund. Among other things, the Trustees reviewed biographical information on portfolio management and other professional staff, information regarding each Subadviser’s organizational and management structure and each Subadviser’s brokerage policies and practices. The Trustees considered specific information provided regarding the experience of the individuals at the Subadviser with portfolio management responsibility for the Fund, including the information set forth in the Fund’s prospectus and statement of additional information. In the course of their deliberations, the Trustees evaluated, among other things: (a) the services rendered by each Subadviser in the past; (b) the qualifications and experience of the Subadviser’s personnel; and (c) the Subadviser’s compliance program. The Trustees also took into account the financial condition of each Subadviser with respect to its ability to provide the services required under its
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Annual Renewal of Investment Management and Subadvisory Agreements (continued)
Subadvisory Agreement. The Trustees also considered each Subadviser’s risk management processes.
PERFORMANCE
As noted above, the Board considered each Fund’s net performance during relevant time periods as compared to the Fund’s Peer Group and Fund Benchmark and considered the gross performance of the Fund as compared to the Subadviser’s relevant performance composite that utilizes the same investment strategy and approach and noted that the Board reviews on a quarterly basis detailed information about both the Fund’s performance results and portfolio composition, as well as each Subadviser’s Investment Strategy. The Board noted the Investment Manager’s expertise and resources in monitoring the performance, investment style and risk-adjusted performance of each Subadviser. The Board was mindful of the Investment Manager’s attention to monitoring each Subadviser’s performance with respect to the Funds and its discussions with management regarding the factors that contributed to the performance of the Funds.
ADVISORY FEES AND PROFITABILITY
In considering the reasonableness of the advisory fee charged by the Investment Manager for managing each Fund, the Trustees noted that the Investment Manager, and not the Fund, is responsible for paying the fees charged by the Fund’s Subadviser and, therefore, that the fees paid to the Investment Manager cover the cost of providing portfolio management services as well as the cost of providing search, selection and monitoring services in operating a “manager-of-managers” complex of mutual funds. The Trustees also considered the amount of the advisory fee retained by the Investment Manager after payment of the subadvisory fee with respect to each Fund. The Trustees also noted any payments that were made from Chicago Equity Partners, LLC (“CEP”) to the Investment Manager, and any other payments made or to be made from the Investment Manager to CEP. The Trustees concluded that, in light of the high quality supervisory services provided by the Investment Manager and the fact that the subadvisory fees are paid out of the advisory fee, the advisory fee payable by each Fund to the Investment Manager can reasonably be expected to exceed the median advisory fee for the Peer Group, which consists of many funds that do not operate with a manager-of-managers structure. In this regard, the Trustees also noted that the Investment Manager has
undertaken to maintain contractual expense limitations for AMG Managers Amundi Intermediate Government Fund and AMG Chicago Equity Partners Balanced Fund.
In addition, in considering the reasonableness of the advisory fee payable to the Investment Manager, the Trustees also reviewed information provided by the Investment Manager setting forth all revenues and other benefits, both direct and indirect (including any so-called “fallout benefits” such as reputational value derived from the Investment Manager serving as Investment Manager to a Fund), received by the Investment Manager and its affiliates attributable to managing each Fund and all the mutual funds in the AMG Funds Family of Funds, the cost of providing such services, the significant risks undertaken as Investment Manager and sponsor of the Funds, including investment, operational, enterprise, entrepreneurial, litigation, regulatory and compliance risks, and the resulting profitability to the Investment Manager and its affiliates from these relationships. The Trustees also noted the current asset levels of each Fund and the willingness of the Investment Manager to waive fees and pay expenses for AMG Managers Amundi Intermediate Government Fund and AMG Chicago Equity Partners Balanced Fund from time to time as a means of limiting total expenses. The Trustees also considered management’s discussion of the current asset levels of the Funds, and the impact on profitability of both the current asset levels and any future growth of assets of the Funds. The Board took into account management’s discussion of the advisory fee structure, and, as noted above, the services the Investment Manager provides in performing its functions under the Investment Management Agreement and supervising each Subadviser. In this regard, the Trustees noted that, unlike a mutual fund that is managed by a single investment adviser, the Funds operate in a manager-of-managers structure. Based on the foregoing, the Trustees concluded that the profitability to the Investment Manager is reasonable and that the Investment Manager is not realizing material benefits from economies of scale that would warrant adjustments to the advisory fees for any Fund at this time. With respect to economies of scale, the Trustees also noted that as a Fund’s assets increase over time, the Fund may realize other economies of scale to the extent that the increase in assets is proportionally greater than the increase in certain other expenses.
SUBADVISORY FEES AND PROFITABILITY
In considering the reasonableness of the fee payable by the Investment Manager to Amundi Pioneer Institutional Asset Management, Inc. (“Amundi”), the Trustees relied on the ability of the Investment Manager to negotiate the terms of the Subadvisory Agreement at arm’s length as part of the manager-of-managers structure, noting that the Investment Manager is not affiliated with Amundi. In addition, the Trustees considered other potential benefits of the subadvisory relationship to Amundi, including, among others, the indirect benefits that Amundi may receive from its relationship with a Fund, including any so-called “fallout benefits” to Amundi, such as reputational value derived from Amundi serving as Subadviser to a Fund, which bears Amundi’s name. In addition, the Trustees noted that the subadvisory fees are paid by the Investment Manager out of its advisory fee. As a consequence of all of the foregoing, the cost of services to be provided by Amundi and the profitability to Amundi of its relationship with a Fund were not material factors in the Trustees’ deliberations. For similar reasons, the Trustees did not consider potential economies of scale in the management of a Fund by Amundi to be a material factor in their deliberations at this time.
In considering the reasonableness of the fees payable by the Investment Manager to CEP, the Trustees noted that CEP is an affiliate of the Investment Manager, and the Trustees reviewed information regarding the cost to CEP of providing subadvisory services to AMG Chicago Equity Partners Balanced Fund and the resulting profitability from such relationship. The Trustees noted that, because CEP is an affiliate of the Investment Manager, a portion of CEP’s revenues or profits might be shared directly or indirectly with the Investment Manager. The Trustees also noted that the subadvisory fees are paid by the Investment Manager out of its advisory fee. The Board also took into account management’s discussion of the subadvisory fee structure, and the services CEP provides in performing its functions under the Subadvisory Agreement. Based on the foregoing, the Trustees concluded that the profitability to CEP is reasonable and that CEP is not realizing material benefits from economies of scale that would warrant adjustments to the subadvisory fees at this time. Also with respect to economies of scale, the Trustees noted that as the Fund’s assets increase over time, the Fund may realize other
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Annual Renewal of Investment Management and Subadvisory Agreements (continued)
economies of scale to the extent the increase in assets is proportionally greater than the increase in certain other expenses.
In addition to the foregoing, the Trustees considered the specific factors and related conclusions set forth below with respect to each Fund, the Investment Manager and each Subadviser.
AMG Managers Amundi Short Duration Government Fund
FUND PERFORMANCE
Among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for Class N shares (which share class has the earliest inception date and the largest amount of assets of all the share classes of the Fund) for the 1-year, 3-year, 5-year and 10-year periods ended March 31, 2018 was below, below, below and above, respectively, the median performance of the Peer Group and below, below, above and above, respectively, the performance of the Fund Benchmark, the ICE BofAML U.S. 6-Month Treasury Bill Index. The Trustees took into account management’s discussion of the Fund’s performance, including the reasons for the Fund’s more recent underperformance and any actions being taken to address such underperformance. The Trustees concluded that the Fund’s performance is being addressed.
ADVISORY AND SUBADVISORY FEES
The Trustees noted that the Fund’s management fees (which include both the advisory and administration fees) and total expenses (weighted average, all classes combined) (net of applicable fee waivers) as of March 31, 2018 were both higher than the average for the Fund’s Peer Group. The Trustees also noted that the Investment Manager has contractually agreed, through May 1, 2019, to waive the Fund’s advisory fee by 0.11%, from 0.40% to 0.29%. The Trustees took into account management’s discussion of the Fund’s expenses, including the Fund’s relatively distinctive investment approach. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadviser, and the considerations noted above with respect to the Investment Manager and the Subadviser, the Fund’s advisory and subadvisory fees are reasonable.
AMG Managers Amundi Intermediate Government Fund
FUND PERFORMANCE
Among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for Class N shares (which share class has the earliest inception date and the largest amount of assets of all the share classes of the Fund) for the 1-year, 3-year, 5-year and 10-year periods ended March 31, 2018 was below, above, above and above, respectively, the median performance of the Peer Group and below, below, below and above, respectively, the performance of the Fund Benchmark, the Citigroup Mortgage Index. The Trustees took into account management’s discussion of the Fund’s performance, including its more recent underperformance relative to the Fund Benchmark. The Trustees also took into account the fact that Class N shares of the Fund ranked in the top decile relative to its Peer Group for the 5-year and 10-year periods. The Trustees concluded that the Fund’s overall performance has been satisfactory in light of the Fund’s investment objective, strategies and policies.
ADVISORY AND SUBADVISORY FEES
The Trustees noted that the Fund’s management fees (which include both the advisory and administration fees) and total expenses (weighted average, all classes combined) (net of applicable expense waivers/reimbursements) as of March 31, 2018 were both higher than the average for the Peer Group. The Trustees took into account the fact that the Investment Manager has contractually agreed, through May 1, 2019, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.74%. In addition, the Trustees noted that the Investment Manager has contractually agreed, through May 1, 2019, to waive the Fund’s advisory fee by 0.05%, from 0.48% to 0.43%. The Trustees also took into account the Fund’s relatively distinctive investment approach. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadviser, the foregoing expense limitation and the considerations noted above with respect to the Investment Manager and the Subadviser, the Fund’s advisory and subadvisory fees are reasonable.
AMG Chicago Equity Partners Balanced Fund
FUND PERFORMANCE
Among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for Class N shares (which share class has one of the earliest inception dates and the largest amount of assets of all the share classes of the Fund with that inception date) for the 1-year, 3-year, 5-year and 10-year periods ended March 31, 2018 was above the median performance of the Peer Group and above, below, below and below, respectively, the performance of the Fund Benchmark, a Composite Index (60% Russell 1000 Index and 40% Bloomberg Barclays U.S. Aggregate Bond Index). The Trustees took into account management’s discussion of the Fund’s performance, including the reasons for the Fund’s more recent improved performance. The Trustees also noted that the Fund’s longer-term performance results ranked strongly relative to its Peer Group and that Class N shares of the Fund ranked in the top quintile relative to its Peer Group for the 1-year, 5-year and 10-year periods and in the top quartile relative to its Peer Group for the 3-year period. The Trustees concluded that the Fund’s overall performance has been satisfactory.
ADVISORY AND SUBADVISORY FEES
The Trustees noted that the Fund’s management fees (which include both the advisory and administration fees) and total expenses (weighted average, all classes combined) (net of applicable expense waivers/reimbursements) as of March 31, 2018 were higher and lower, respectively, than the average for the Peer Group. The Trustees took into account the fact that the Investment Manager has contractually agreed, through May 1, 2019, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.84%. The Trustees also took into account management’s discussion of the Fund’s expenses, including fees and expenses relative to comparably sized funds. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and
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Annual Renewal of Investment Management and Subadvisory Agreements (continued)
the Subadviser (which is an affiliate of the Investment Manager), the foregoing expense limitation and the considerations noted above with respect to the Investment Manager and the Subadviser, the Fund’s advisory and subadvisory fees are reasonable.
* * * *
After consideration of the foregoing, the Trustees also reached the following conclusions (in addition to the conclusions discussed above) regarding the Investment Management Agreement and each
Subadvisory Agreement: (a) the Investment Manager and each Subadviser have demonstrated that they possess the capability and resources to perform the duties required of them under the Investment Management Agreement and the applicable Subadvisory Agreement; (b) each Subadviser’s Investment Strategy is appropriate for pursuing the applicable Fund’s investment objectives; and (c) the Investment Manager and each Subadviser maintain appropriate compliance programs.
Based on all of the above-mentioned factors and their related conclusions, with no single factor or
conclusion being determinative and with each Trustee not necessarily attributing the same weight to each factor, the Trustees concluded that approval of the Investment Management Agreement and each Subadvisory Agreement would be in the best interests of the applicable Fund and its shareholders. Accordingly, on June 27-28, 2018, the Trustees, and separately a majority of the Independent Trustees, voted to approve the Investment Management and the Subadvisory Agreements for each Fund.
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Table of Contents
INVESTMENT MANAGER AND ADMINISTRATOR
AMG Funds LLC
600 Steamboat Road, Suite 300 Greenwich, CT 06830
800.835.3879
DISTRIBUTOR
AMG Distributors, Inc.
600 Steamboat Road, Suite 300 Greenwich, CT 06830
800 .835.3879
CUSTODIAN
The Bank of New York Mellon
111 Sanders Creek Parkway
East Syracuse, NY 13057
LEGAL COUNSEL
Ropes & Gray LLP
Prudential Tower, 800 Boylston Street Boston, MA 02199-3600
TRANSFER AGENT
BNY Mellon Investment Servicing (US) Inc.
Attn: AMG Funds
P.O. Box 9769
Providence, RI 02940
800.548.4539
TRUSTEES
Bruce B. Bingham
Christine C. Carsman
Edward J. Kaier
Kurt A. Keilhacker
Steven J. Paggioli
Richard F. Powers III
Eric Rakowski
Victoria L. Sassine
Thomas R. Schneeweis
This report is prepared for the Funds’ shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by an effective prospectus. To receive a free copy of the prospectus or Statement of Additional Information, which includes additional information about Fund Trustees, please contact us by calling 800.835.3879. Distributed by AMG Distributors, Inc., member FINRA/SIPC.
Current net asset values per share for each Fund are available on the Funds’ website at amgfunds.com.
A description of the policies and procedures each Fund uses to vote its proxies is available: (i) without charge, upon request, by calling 800.835.3879, or (ii) on the Securities and Exchange Commission’s (SEC) website at sec.gov. For information regarding each Fund’s proxy voting record for the 12-month period ended June 30, call 800.835.3879 or visit the SEC website at sec.gov.
Each Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at sec.gov. A Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. To review a complete list of the Funds’ portfolio holdings, or to view the most recent quarterly holdings report, semiannual report, or annual report, please visit amgfunds.com.
amgfunds.com | | 57 |
Table of Contents
AFFILIATE SUBADVISED FUNDS
BALANCED FUNDS
AMG Chicago Equity Partners Balanced
Chicago Equity Partners, LLC
AMG FQ Global Risk-Balanced
First Quadrant, L.P.
EQUITY FUNDS
AMG FQ Tax-Managed U.S. Equity
AMG FQ Long-Short Equity
First Quadrant, L.P.
AMG Frontier Small Cap Growth
Frontier Capital Management Co., LLC
AMG GW&K Small Cap Core
AMG GW&K Small/Mid Cap
AMG GW&K U.S. Small Cap Growth
GW&K Investment Management, LLC
AMG Renaissance International Equity
AMG Renaissance Large Cap Growth
The Renaissance Group LLC
AMG River Road Dividend All Cap Value
AMG River Road Dividend All Cap Value II
AMG River Road Focused Absolute Value
AMG River Road Long-Short
AMG River Road Small-Mid Cap Value
AMG River Road Small Cap Value
River Road Asset Management, LLC
AMG SouthernSun Small Cap
AMG SouthernSun Global Opportunities
AMG SouthernSun U.S. Equity
SouthernSun Asset Management, LLC
AMG Systematic Mid Cap Value
Systematic Financial Management L.P.
AMG TimesSquare Emerging Markets Small Cap
AMG TimesSquare Global Small Cap
AMG TimesSquare International Small Cap
AMG TimesSquare Mid Cap Growth
AMG TimesSquare Small Cap Growth
TimesSquare Capital Management, LLC
AMG Trilogy Emerging Markets Equity
AMG Trilogy Emerging Wealth Equity
Trilogy Global Advisors, L.P.
AMG Yacktman
AMG Yacktman Focused
AMG Yacktman Focused
Fund - Security Selection Only
AMG Yacktman Special Opportunities
Yacktman Asset Management LP
FIXED INCOME FUNDS
AMG GW&K Core Bond
AMG GW&K Enhanced Core Bond AMG GW&K Municipal Bond
AMG GW&K Municipal Enhanced Yield
GW&K Investment Management, LLC
OPEN-ARCHITECTURE FUNDS
ALTERNATIVE FUNDS
AMG Managers Lake Partners LASSO Alternative
Lake Partners, Inc.
BALANCED FUNDS
AMG Managers Montag & Caldwell Balanced
Montag & Caldwell, LLC
EQUITY FUNDS
AMG Managers Brandywine
AMG Managers Brandywine Advisors Mid Cap Growth
AMG Managers Brandywine Blue
Friess Associates, LLC
AMG Managers Cadence Emerging Companies
AMG Managers Cadence Mid Cap
Cadence Capital Management LLC
AMG Managers CenterSquare Real Estate
CenterSquare Investment Management LLC
AMG Managers Emerging Opportunities
Lord, Abbett & Co. LLC
WEDGE Capital Management L.L.P.
Next Century Growth Investors LLC
RBC Global Asset Management (U.S.) Inc.
AMG Managers Essex Small/Micro Cap Growth
Essex Investment Management Company, LLC
AMG Managers Fairpointe ESG Equity
AMG Managers Fairpointe Mid Cap
Fairpointe Capital LLC
AMG Managers Guardian Capital Global Dividend
Guardian Capital LP
AMG Managers LMCG Small Cap Growth
LMCG Investments, LLC
AMG Managers Montag & Caldwell Growth
AMG Managers Montag & Caldwell Mid Cap Growth
Montag & Caldwell, LLC
AMG Managers Pictet International
Pictet Asset Management Limited
AMG Managers Silvercrest Small Cap
Silvercrest Asset Management Group LLC
AMG Managers Skyline Special Equities
Skyline Asset Management, L.P.
AMG Managers Special Equity
Ranger Investment Management, L.P. Lord, Abbett & Co. LLC
Smith Asset Management Group, L.P. Federated MDTA LLC
AMG Managers Value Partners Asia Dividend
Value Partners Hong Kong Limited
FIXED INCOME FUNDS
AMG Managers Amundi Intermediate Government
AMG Managers Amundi Short Duration Government
Amundi Pioneer Institutional Asset Management, Inc.
AMG Managers Doubleline Core Plus Bond
DoubleLine Capital LP
AMG Managers Global Income Opportunity AMG Managers Loomis Sayles Bond
Loomis, Sayles & Company, L.P.
amgfunds.com | | 063018 SAR009 |
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SEMI-ANNUAL REPORT
|
AMG Funds
June 30, 2018
AMG GW&K Enhanced Core Bond Fund
Class N: MFDAX | Class I: MFDSX | Class C: MFDCX | Class Z: MFDYX
AMG GW&K Municipal Bond Fund
Class N: GWMTX | Class I: GWMIX
AMG GW&K Municipal Enhanced Yield Fund
Class N: GWMNX | Class I: GWMEX | Class Z: GWMZX
AMG GW&K Small Cap Core Fund
Class N: GWETX | Class I: GWEIX | Class Z: GWEZX
AMG GW&K Small/Mid Cap Fund
Class N: GWGVX | Class I: GWGIX | Class Z: GWGZX
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AMG Funds
Semi-Annual Report — June 30, 2018 (unaudited)
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FINANCIAL STATEMENTS | ||||
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Balance sheets, net asset value (NAV) per share computations and cumulative undistributed amounts | ||||
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Detail of sources of income, expenses, and realized and unrealized gains (losses) during the fiscal period | ||||
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Detail of changes in assets for the past two fiscal periods | ||||
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Historical net asset values per share, distributions, total returns, income and expense ratios, turnover ratios and net assets | ||||
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Accounting and distribution policies, details of agreements and transactions with Fund management and affiliates, and descriptions of certain investment risks | ||||
ANNUAL RENEWAL OF INVESTMENT MANAGEMENT AND SUBADVISORY AGREEMENTS | 56 |
Nothing contained herein is to be considered an offer, sale or solicitation of an offer to buy shares of any series of the AMG Funds family of mutual funds. Such offering is made only by prospectus, which includes details as to offering price and other material information.
Table of Contents
About Your Fund’s Expenses (unaudited)
As a shareholder of a Fund, you may incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on $1,000 invested at the beginning of the period and held for the entire period as indicated below.
ACTUAL EXPENSES
The first line of the following table provides information about the actual account values and
actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the following table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s
actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Six Months Ended June 30, 2018 | Expense Ratio for the Period | Beginning Account Value 01/01/18 | Ending Account Value 06/30/18 | Expenses Paid During the Period* | ||||||||||||
AMG GW&K Enhanced Core Bond Fund |
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Class N | 0.73 | % | $ | 1,000 | $ | 977 | $ | 3.58 | ||||||||
Class I | 0.53 | % | $ | 1,000 | $ | 977 | $ | 2.59 | ||||||||
Class C | 1.48 | % | $ | 1,000 | $ | 973 | $ | 7.24 | ||||||||
Class Z | 0.48 | % | $ | 1,000 | $ | 978 | $ | 2.35 | ||||||||
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Based on Hypothetical 5% Annual Return |
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Class N | 0.73 | % | $ | 1,000 | $ | 1,021 | $ | 3.66 | ||||||||
Class I | 0.53 | % | $ | 1,000 | $ | 1,022 | $ | 2.65 | ||||||||
Class C | 1.48 | % | $ | 1,000 | $ | 1,017 | $ | 7.40 | ||||||||
Class Z | 0.48 | % | $ | 1,000 | $ | 1,022 | $ | 2.41 | ||||||||
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AMG GW&K Municipal Bond Fund |
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Based on Actual Fund Return |
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Class N | 0.70 | % | $ | 1,000 | $ | 987 | $ | 3.46 | ||||||||
Class I | 0.38 | % | $ | 1,000 | $ | 989 | $ | 1.87 | ||||||||
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Based on Hypothetical 5% Annual Return |
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Class N | 0.70 | % | $ | 1,000 | $ | 1,021 | $ | 3.52 | ||||||||
Class I | 0.38 | % | $ | 1,000 | $ | 1,023 | $ | 1.91 | ||||||||
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Six Months Ended June 30, 2018 | Expense the Period | Beginning Account Value 01/01/18 | Ending Account Value 06/30/18 | Expenses Paid During the Period* | ||||||||||||
AMG GW&K Municipal Enhanced Yield Fund |
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Based on Actual Fund Return |
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Class N | 0.99 | % | $ | 1,000 | $ | 995 | $ | 4.90 | ||||||||
Class I | 0.64 | % | $ | 1,000 | $ | 998 | $ | 3.16 | ||||||||
Class Z | 0.59 | % | $ | 1,000 | $ | 998 | $ | 2.92 | ||||||||
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Based on Hypothetical 5% Annual Return |
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Class N | 0.99 | % | $ | 1,000 | $ | 1,020 | $ | 4.96 | ||||||||
Class I | 0.64 | % | $ | 1,000 | $ | 1,022 | $ | 3.19 | ||||||||
Class Z | 0.59 | % | $ | 1,000 | $ | 1,022 | $ | 2.96 | ||||||||
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AMG GW&K Small Cap Core Fund |
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Based on Actual Fund Return |
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Class N | 1.28 | % | $ | 1,000 | $ | 1,050 | $ | 6.51 | ||||||||
Class I | 0.95 | % | $ | 1,000 | $ | 1,051 | $ | 4.83 | ||||||||
Class Z | 0.90 | % | $ | 1,000 | $ | 1,052 | $ | 4.58 | ||||||||
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Based on Hypothetical 5% Annual Return |
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Class N | 1.28 | % | $ | 1,000 | $ | 1,018 | $ | 6.41 | ||||||||
Class I | 0.95 | % | $ | 1,000 | $ | 1,020 | $ | 4.76 | ||||||||
Class Z | 0.90 | % | $ | 1,000 | $ | 1,020 | $ | 4.51 | ||||||||
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2
Table of Contents
About Your Fund’s Expenses (continued)
Six Months Ended June 30, 2018 | Expense the Period | Beginning Account Value 01/01/18 | Ending Account Value 06/30/18 | Expenses Paid During the Period* | ||||||||||||
AMG GW&K Small/Mid Cap Fund |
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Based on Actual Fund Return |
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Class N | 1.10 | % | $ | 1,000 | $ | 1,051 | $ | 5.59 | ||||||||
Class I | 0.95 | % | $ | 1,000 | $ | 1,052 | $ | 4.83 | ||||||||
Class Z | 0.85 | % | $ | 1,000 | $ | 1,053 | $ | 4.33 | ||||||||
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Based on Hypothetical 5% Annual Return |
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Class N | 1.10 | % | $ | 1,000 | $ | 1,019 | $ | 5.51 | ||||||||
Class I | 0.95 | % | $ | 1,000 | $ | 1,020 | $ | 4.76 | ||||||||
Class Z | 0.85 | % | $ | 1,000 | $ | 1,021 | $ | 4.26 | ||||||||
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* | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), then divided by 365. |
3
Table of Contents
Periods ended June 30, 2018
The table below shows the average annual total returns for the periods indicated for each Fund, as well as each Fund’s relative index for the same time periods ended June 30, 2018.
Average Annual Total Returns1 | Six Months* | One Year | Five Years | Ten Years | Since Inception | Inception Date | ||||||||||||||||||
AMG GW&K Enhanced Core Bond Fund2, 3, 4, 5, 6 |
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Class N | (2.34 | %) | (1.14 | %) | 1.75 | % | 4.04 | % | 5.17 | % | 01/02/97 | |||||||||||||
Class I | (2.33 | %) | (1.05 | %) | 1.91 | % | — | 1.41 | % | 11/30/12 | ||||||||||||||
Class C | (2.71 | %) | (1.89 | %) | 1.00 | % | 3.26 | % | 4.33 | % | 03/05/98 | |||||||||||||
Class Z | (2.21 | %) | (0.88 | %) | 2.01 | % | 4.30 | % | 5.55 | % | 01/02/97 | |||||||||||||
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Bloomberg Barclays U.S. Aggregate Bond Index17 | (1.62 | %) | (0.40 | %) | 2.27 | % | 3.72 | % | 5.02 | % | 01/02/97 | † | ||||||||||||
AMG GW&K Municipal Bond Fund2, 3, 7, 8 |
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Class N | (1.27 | %) | (0.60 | %) | 2.66 | % | — | 3.98 | % | 06/30/09 | ||||||||||||||
Class I | (1.10 | %) | (0.26 | %) | 3.07 | % | — | 4.46 | % | 06/30/09 | ||||||||||||||
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Bloomberg Barclays 10-Year Municipal Bond Index18 | (0.72 | %) | 0.86 | % | 3.56 | % | 4.74 | % | 4.65 | % | 06/30/09 | † | ||||||||||||
AMG GW&K Municipal Enhanced Yield Fund2, 3, 5, 7, 8, 9, 10 |
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Class N | (0.47 | %) | 3.64 | % | 5.40 | % | — | 6.68 | % | 07/27/09 | ||||||||||||||
Class I | (0.19 | %) | 4.12 | % | 5.89 | % | 5.87 | % | 4.74 | % | 12/30/05 | |||||||||||||
Class Z | (0.17 | %) | 4.16 | % | — | — | 5.93 | % | 02/24/17 | |||||||||||||||
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Bloomberg Barclays U.S. Municipal Bond BAA Index19 | 0.40 | % | 4.65 | % | 4.49 | % | 4.57 | % | 3.86 | % | 12/30/05 | † | ||||||||||||
AMG GW&K Small Cap Core Fund2, 11, 12 |
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Class N | 4.99 | % | 15.26 | % | 12.04 | % | 11.33 | % | 8.64 | % | 12/10/96 | |||||||||||||
Class I | 5.14 | % | 15.67 | % | 12.49 | % | — | 15.72 | % | 07/27/09 | ||||||||||||||
Class Z | 5.21 | % | 15.76 | % | — | — | 15.12 | % | 02/24/17 | |||||||||||||||
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Russell 2000® Index20 | 7.66 | % | 17.57 | % | 12.46 | % | 10.60 | % | 8.71 | % | 12/10/96 | † | ||||||||||||
AMG GW&K Small/Mid Cap Fund2, 12, 13, 14, 15, 16 |
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Class N | 5.11 | % | 12.05 | % | — | — | 10.77 | % | 02/24/17 | |||||||||||||||
Class I | 5.20 | % | 12.17 | % | — | — | 5.99 | % | 06/30/15 | |||||||||||||||
Class Z | 5.29 | % | 12.30 | % | — | — | 11.04 | % | 02/24/17 | |||||||||||||||
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Russell 2500® Index21 | 5.46 | % | 16.24 | % | 12.29 | % | 10.74 | % | 10.30 | % | 06/30/15 | † | ||||||||||||
Russell 2000® Growth Index22 | 9.70 | % | 21.86 | % | 13.65 | % | 11.24 | % | 10.60 | % | 06/30/15 | † | ||||||||||||
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The performance data shown represents past performance. Past performance is not a guarantee of future results. Current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Investors should carefully consider the Fund’s investment objectives, risks, charges and expenses before investing. For performance information through the most recent month end, current net asset values per share for the Funds and other information, please call 800.835.3879 or visit our website at amgfunds.com for a free prospectus. Read it carefully before investing or sending money.
Distributed by AMG Distributors, Inc., member FINRA/SIPC.
† | Date reflects the inception date of the Fund, not the index. |
* | Not annualized. |
1 | Total return equals income yield plus share price change and assumes reinvestment of all dividends and capital gain distributions. Returns are net of fees and may reflect offsets of Fund expenses as described in the prospectus. No adjustment has been made for taxes payable by shareholders on their reinvested dividends and capital gain distributions. Returns for periods greater than one year are annualized. The listed returns on the Fund are net of expenses and based on the published NAV as of June 30, 2018. All returns are in U.S. dollars ($). |
2 | From time to time, the Fund’s adviser has waived its fees and/or absorbed Fund expenses, which has resulted in higher returns. |
3 | The Fund is subject to the risks associated with investments in debt securities, such as default risk and fluctuations in the perception of the debtor’s ability to pay its creditors. Changing interest rates may adversely affect the value of an investment. An increase in interest rates typically causes the value of bonds and other fixed income securities to fall. |
4 | To the extent that the Fund invests in asset-backed or mortgage-backed securities, its exposure to prepayment and extension risks may be greater than investments in other fixed income securities. |
5 | High-yield bonds (also known as “junk bonds”) may be subject to greater levels of interest rate, credit, and liquidity risk than investments in higher rated securities. These securities are considered predominantly speculative with respect to the issuer’s continuing ability to make principal and interest payments. The issuers of the Fund’s holdings may be involved in bankruptcy proceedings, reorganizations, or financial restructurings, and are not as strong financially as higher-rated issuers. |
6 | Investments in international securities are subject to certain risks of overseas investing including currency fluctuations and changes in political and economic conditions, which could result in significant market fluctuations. These risks are magnified in emerging markets. |
7 | Factors unique to the municipal bond market may negatively affect the value in municipal bonds. |
8 | Investment income may be subject to certain state and local taxes, and depending on your tax status, the federal alternative minimum tax. Capital gains are not exempt from federal income tax. |
9 | The Fund may invest in derivatives such as options and futures; the complexity and rapidly changing structure of derivatives markets may increase the possibility of market losses. |
4
Table of Contents
Fund Performance
Periods ended June 30, 2018 (continued)
10 | The use of leverage in a Fund’s strategy, such as futures and forward commitment transactions, can magnify relatively small market movements into relatively larger losses for the Fund. |
11 | The Fund inception dates and returns for all periods beginning prior to November 7, 2008 reflects performance of the predecessor Fund, The BNY Hamilton Multi-Cap Equity Fund, a series of BNY Hamilton Funds, Inc. |
12 | The Fund is subject to risks associated with investments in small-capitalization companies, such as erratic earnings patterns, competitive conditions, limited earnings history, and a reliance on one or a limited number of products. |
13 | The Fund is subject to risks associated with investments in mid-capitalization companies such as greater price volatility, lower trading volume, and less liquidity than the stocks of larger, more established companies. |
14 | The Fund invests in growth stocks, which may be more sensitive to market movements because their prices tend to reflect future investor expectations rather than just current profits. Growth Stocks may underperform value stocks during given periods. |
15 | The Fund invests in value stocks, which may perform differently from the market as a whole and may be undervalued by the market for a long period of time. |
16 | Effective February 27, 2017, The Fund’s Principal Investment Strategies changed from a small cap growth investment strategy to one that primarily invests in common stock and preferred stock of U.S. small- and mid- capitalization companies with either growth- or value- oriented characteristics |
17 | The Bloomberg Barclays U.S. Aggregate Bond Index is an index of the U.S. investment-grade fixed-rate bond market, including both government and corporate bonds. Unlike the Fund, the Bloomberg Barclays U.S. Aggregate Bond Index is unmanaged, is not available for investment and does not incur expenses. |
18 | The Bloomberg Barclays 10-Year Municipal Bond Index is the 10 Year (8-12) component of the Municipal Bond index. It is a rules based, market-value-weighted index engineered for the tax-exempt bond market. The Index tracks general obligation bonds, revenue bonds, insured bonds, and prerefunded bonds rated Baa3/BBB- or higher by at least two of the ratings agencies: Moody’s, S&P, Fitch. Unlike the Fund, the Bloomberg Barclays 10-Year Municipal Bond Index is unmanaged, is not available for investment and does not incur expenses. |
19 | The Bloomberg Barclays U.S. Municipal Bond BAA Index is a subset of the Bloomberg Barclays U.S. Municipal Bond Index with an index rating of Baa1, Baa2, or Baa3. The Bloomberg Barclays U.S. Municipal Bond Index is a rules-based, market-value-weighted |
index engineered for the long-term, tax-exempt bond market. Unlike the Fund, the Bloomberg Barclays U.S. Municipal Bond BAA Index is unmanaged, is not available for investment and does not incur expenses. |
20 | The Russell 2000® Index is composed of the 2,000 smallest stocks in the Russell 3000® Index and is widely regarded in the industry as the premier measure of small-cap stock performance. Unlike the Fund, the Russell 2000® Index is unmanaged, is not available for investment and does not incur expenses. |
21 | The Russell 2500® Index is composed of the 2,500 smallest stocks in the Russell 3000® Index and is widely regarded in the industry as the premier measure of small/mid cap stock performance Unlike the Fund, the Russell 2500® Index is unmanaged, is not available for investment and does not incur expenses. |
22 | The Russell 2000® Growth Index measures the performance of the Russell 2,000® companies with higher price-to-book ratios and higher forecasted growth values. Unlike the Fund, the Russell 2000® Growth Index is unmanaged, is not available for investment and does not incur expenses. |
The Russell Indices are trademarks of the London Stock Exchange Group companies.
Not FDIC insured, nor bank guaranteed. May lose value.
5
Table of Contents
AMG GW&K Enhanced Core Bond Fund
June 30, 2018
PORTFOLIO BREAKDOWN
Category | % of Net Assets | |||
Corporate Bonds and Notes | 51.0 | |||
U.S. Government and Agency Obligations | 40.4 | |||
Municipal Bonds | 6.3 | |||
Short-Term Investments1 | 2.2 | |||
Other Assets Less Liabilities2 | 0.1 | |||
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1 | Includes reinvestment of cash collateral into joint repurchase agreements on security lending transactions. |
2 | Includes repayment of cash collateral on security lending transactions. |
Rating | % of Market Value1 | |||
U.S. Government and Agency Obligations | 41.3 | |||
Aaa | 1.0 | |||
Aa | 10.6 | |||
A | 14.9 | |||
Baa | 17.7 | |||
Ba | 13.5 | |||
B | 1.0 | |||
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1 | Includes market value of fixed-income securities only. |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |||
FNMA, 4.000%, 10/01/43 | 7.2 | |||
FNMA, 4.500%, 04/01/41 | 5.0 | |||
FHLMC Gold Pool, 5.000%, 10/01/36 | 3.2 | |||
United States Treasury Bonds, 4.500%, 02/15/36 | 3.0 | |||
United States Treasury Notes, 2.000%, 11/30/22 | 3.0 | |||
FNMA, 4.000%, 09/01/25 | 2.6 | |||
Wells Fargo & Co., 3.286%, 02/11/22 | 2.5 | |||
FNMA, 3.500%, 11/01/42 | 2.5 | |||
Apple, Inc., 2.869%, 02/09/22 | 2.5 | |||
FNMA, 4.500%, 05/01/39 | 2.5 | |||
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Top Ten as a Group | 34.0 | |||
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Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service, Inc. (“Moody’s”). These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.
Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.
Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.
6
Table of Contents
AMG GW&K Enhanced Core Bond Fund
Schedule of Portfolio Investments (unaudited)
June 30, 2018
Principal Amount | Value | |||||||
Corporate Bonds and Notes - 51.0% |
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Financials - 14.6% | ||||||||
Aircastle, Ltd. | $ | 215,000 | $ | 216,344 | ||||
American Tower Corp. | 407,000 | 404,733 | ||||||
Bank of America Corp., MTN | 611,000 | 608,501 | ||||||
CIT Group, Inc. | 400,000 | 405,500 | ||||||
Crown Castle International Corp. | 380,000 | 398,579 | ||||||
The Goldman Sachs Group, Inc. | 703,000 | 805,078 | ||||||
Host Hotels & Resorts LP, Series C | 386,000 | 395,915 | ||||||
JPMorgan Chase & Co. | 420,000 | 390,557 | ||||||
Morgan Stanley, GMTN | 399,000 | 422,514 | ||||||
National Rural Utilities Cooperative Finance Corp., MTN | 435,000 | 422,774 | ||||||
Wells Fargo & Co. (3 month LIBOR + 0.930%) | 1,033,000 | 1,043,965 | ||||||
Weyerhaeuser Co. | 500,000 | 617,164 | ||||||
Total Financials | 6,131,624 | |||||||
Industrials - 36.4% | ||||||||
The ADT Corp. | 207,000 | 215,280 | ||||||
AES Corp. | 423,000 | 424,057 | ||||||
Apple, Inc. (3 month LIBOR + 0.500%) | 1,021,000 | 1,033,897 | ||||||
Aramark Services, Inc. | 206,000 | 206,515 | ||||||
ArcelorMittal (Luxembourg) | 185,000 | 193,233 | ||||||
6.250%, 02/25/22 | 16,000 | 17,100 | ||||||
AT&T, Inc. | 395,000 | 387,285 | ||||||
Automatic Data Processing, Inc. | 614,000 | 608,224 | ||||||
Ball Corp. | 33,000 | 32,187 |
Principal Amount | Value | |||||||
Ball Corp. | $ | 385,000 | $ | 394,144 | ||||
Burlington Northern Santa Fe LLC | 491,000 | 606,101 | ||||||
CDW LLC / CDW Finance Corp. | 391,000 | 400,775 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | 422,000 | 426,783 | ||||||
Comcast Corp. | 308,000 | 383,295 | ||||||
Crown Americas LLC / Crown Americas Capital Corp V | 62,000 | 56,885 | ||||||
Crown Americas LLC / Crown Americas Capital Corp. IV | 374,000 | 367,455 | ||||||
CSX Corp. | 454,000 | 410,528 | ||||||
CVS Health Corp. | 385,000 | 391,531 | ||||||
Diamondback Energy, Inc. | 314,000 | 307,327 | ||||||
General Motors Financial Co., Inc. | 418,000 | 418,040 | ||||||
The George Washington University, | 625,000 | 633,718 | ||||||
Georgia-Pacific LLC | 326,000 | 393,891 | ||||||
Greif, Inc. | 186,000 | 193,440 | ||||||
HCA, Inc. | 413,000 | 414,032 | ||||||
Huntsman International LLC | 213,000 | 219,760 | ||||||
International Paper Co. | 461,000 | 418,078 | ||||||
Kaiser Foundation Hospitals | 447,000 | 428,574 | ||||||
Leidos Holdings, Inc. | 215,000 | 217,687 | ||||||
Lennar Corp. | 404,000 | 405,515 | ||||||
McDonald’s Corp., MTN | 430,000 | 427,624 | ||||||
Microsoft Corp. | 407,000 | 399,886 | ||||||
Murphy Oil USA, Inc. | 217,000 | 222,967 |
The accompanying notes are an integral part of these financial statements.
7
Table of Contents
AMG GW&K Enhanced Core Bond Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||
Industrials - 36.4% (continued) | ||||||||
Northrop Grumman Corp. | $ | 431,000 | $ | 406,920 | ||||
NuStar Logistics LP | 212,000 | 222,600 | ||||||
Oracle Corp. | 443,000 | 419,883 | ||||||
Owens Corning | 389,000 | 390,323 | ||||||
Penske Automotive Group, Inc. | 421,000 | 417,842 | ||||||
PulteGroup, Inc. | 210,000 | 208,688 | ||||||
Teleflex, Inc. | 216,000 | 212,760 | ||||||
Teva Pharmaceutical Finance Netherlands III BV (Netherlands) | 235,000 | 218,129 | ||||||
T-Mobile USA, Inc. | 182,000 | 188,143 | ||||||
Toll Brothers Finance Corp. | 220,000 | 216,425 | ||||||
Vulcan Materials Co. | 296,000 | 297,877 | ||||||
WESCO Distribution, Inc. | 200,000 | 197,250 | ||||||
WPX Energy, Inc. | 211,000 | 208,626 | ||||||
Total Industrials | 15,261,280 | |||||||
Total Corporate Bonds and Notes | 21,392,904 | |||||||
Municipal Bonds - 6.3% | ||||||||
California State General Obligation, School Improvements | 550,000 | 813,048 | ||||||
JobsOhio Beverage System, Series B | 405,000 | 417,029 | ||||||
Los Angeles Unified School District, School Improvements | 500,000 | 607,465 | ||||||
Metropolitan Transportation Authority, Transit Improvement | 300,000 | 400,866 | ||||||
New Jersey Economic Development Authority, Pension Funding, Series A (National Insured) | 318,000 | 387,664 | ||||||
Total Municipal Bonds | 2,626,072 |
Principal | ||||||||
Amount | Value | |||||||
U.S. Government and Agency Obligations -40.4% | ||||||||
Fannie Mae - 26.2% | ||||||||
FNMA, | ||||||||
3.500%, 11/01/42 to 03/01/46 | $ | 2,043,775 | $ | 2,046,207 | ||||
4.000%, 09/01/25 to 10/01/43 | 4,833,796 | 4,967,945 | ||||||
4.500%, 05/01/39 to 04/01/41 | 3,746,202 | 3,942,652 | ||||||
Total Fannie Mae | 10,956,804 | |||||||
Freddie Mac - 4.5% | ||||||||
FHLMC Gold Pool, | ||||||||
3.500%, 02/01/30 | 534,890 | 542,423 | ||||||
5.000%, 10/01/36 | 1,269,770 | 1,355,318 | ||||||
Total Freddie Mac | 1,897,741 | |||||||
U.S. Treasury Obligations - 9.7% | ||||||||
United States Treasury Notes, (U.S. Treasury 3 month Bill Money Market Yield + 0.000%), | 418,000 | 417,965 | ||||||
2.000%, 11/30/22 | 1,296,000 | 1,257,981 | ||||||
United States Treasury Bonds, | ||||||||
3.500%, 02/15/39 | 385,000 | 419,575 | ||||||
4.500%, 02/15/36 | 1,034,000 | 1,264,671 | ||||||
6.250%, 08/15/23 | 609,000 | 710,900 | ||||||
Total U.S. Treasury Obligations | 4,071,092 | |||||||
Total U.S. Government and Agency Obligations | 16,925,637 | |||||||
Short-Term Investments - 2.2% | ||||||||
Joint Repurchase Agreements - 0.4%4 | ||||||||
Cantor Fitzgerald Securities, Inc., dated 06/29/18, due 07/02/18, 2.080% total to be received $167,236 (collateralized by various U.S. Government Agency Obligations, 1.691% -8.500%, 07/25/18 - 06/15/53, totaling $170,551) | 167,207 | 167,207 | ||||||
Shares | ||||||||
Other Investment Companies - 1.8% | ||||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Class Shares, 1.85%5 | 729,299 | 729,299 | ||||||
Total Short-Term Investments | 896,506 | |||||||
Total Investments - 99.9% | 41,841,119 | |||||||
Other Assets, less Liabilities - 0.1% | 52,893 | |||||||
Net Assets - 100.0% | $ | 41,894,012 |
The accompanying notes are an integral part of these financial statements.
8
Table of Contents
AMG GW&K Enhanced Core Bond Fund
Schedule of Portfolio Investments (continued)
1 | Variable rate security. The rate shown is based on the latest available information as of June 30, 2018. |
2 | Some or all of these securities, amounting to $161,700 or 0.4% of net assets, were out on loan to various brokers. |
3 | Security is backed by insurance of financial institutions and financial guaranty assurance agencies. At June 30, 2018, the value amounted to $387,664 or 0.9% of net assets. |
4 | Collateral received from brokers for securities lending was invested in these joint repurchase agreements. |
5 | Yield shown represents the June 30, 2018, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
FHLMC | Freddie Mac | |
FNMA | Fannie Mae | |
GMTN | Global Medium-Term Notes | |
LIBOR | London Interbank Offered Rate | |
LP | Limited Partnership | |
MTN | Medium-Term Note | |
National Insured | National Public Finance Guarantee Corp. |
The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of June 30, 2018:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Corporate Bonds and Notes† | — | $ | 21,392,904 | — | $ | 21,392,904 | ||||||||||
Municipal Bonds | — | 2,626,072 | — | 2,626,072 | ||||||||||||
U.S. Government and Agency Obligations† | — | 16,925,637 | — | 16,925,637 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Joint Repurchase Agreements | — | 167,207 | — | 167,207 | ||||||||||||
Other Investment Companies | $ | 729,299 | — | — | 729,299 | |||||||||||
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Total Investments in Securities | $ | 729,299 | $ | 41,111,820 | — | $ | 41,841,119 | |||||||||
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† | All corporate bonds and notes and U.S. government and agency obligations held in the Fund are Level 2 securities. For a detailed breakout of corporate bonds and notes and U.S. government and agency obligations by major industry or agency classification, please refer to the Fund’s Schedule of Portfolio Investments. |
As of June 30, 2018, the Fund had no transfers between levels from the beginning of the reporting period.
The accompanying notes are an integral part of these financial statements.
9
Table of Contents
Fund Snapshots (unaudited)
June 30, 2018
PORTFOLIO BREAKDOWN
| ||||
% of | ||||
Category | Net Assets | |||
Utilities | 26.8 | |||
General Obligation | 24.4 | |||
Transportation | 20.1 | |||
Public Services | 9.4 | |||
Healthcare | 7.1 | |||
Education | 6.4 | |||
Industrial Development | 3.8 | |||
State and Non-State Appropriated Tobacco | 0.7 | |||
Short-Term Investments | 1.1 | |||
Other Assets Less Liabilities | 0.2 | |||
Rating | % of Market Value1 | |||
Aaa | 38.0 | |||
Aa | 47.6 | |||
A | 13.2 | |||
Baa | 1.2 |
1 | Includes market value of fixed-income securities only. |
TOP TEN HOLDINGS
| ||||
% of | ||||
Security Name | Net Assets | |||
State of Maryland, Series B, General Obligation, 5.000%, 08/01/25 | 2.4 | |||
Wisconsin State Revenue, Department of Transportation, Series 2, Revenue, 5.000%, 07/01/29 | 2.3 | |||
Arizona Water Infrastructure Finance Authority, Water Quality Revenue, Series A, Revenue, 5.000%, 10/01/26 | 1.9 | |||
North Carolina State Limited Obligation, Series B, Revenue, 5.000%, 05/01/28 | 1.7 | |||
Iowa Finance Authority, Green Bond, Revenue, 5.000%, 08/01/30 | 1.7 | |||
Commonwealth of Massachusetts Federal Highway Grant Anticipation Note Revenue, Subordinate Revenue, Series A, Revenue, 5.000%, 06/15/24 | 1.5 | |||
State of Michigan, Revenue, 5.000%, 03/15/27 | 1.4 | |||
State of Maryland, Department of Transportation, Revenue, 5.000%, 09/01/29 | 1.3 | |||
Texas Transportation Commission Fund, Series A, General Obligation, 5.000%, 04/01/27 | 1.3 | |||
New York City Transitional Finance Authority, Future Tax Secured Revenue, Series C, Revenue, 5.000%, 11/01/26 | 1.3 | |||
|
| |||
Top Ten as a Group | 16.8 | |||
|
|
Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service, Inc. (“Moody’s”). These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.
Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.
Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.
10
Table of Contents
AMG GW&K Municipal Bond Fund
Schedule of Portfolio Investments (unaudited)
June 30, 2018
Principal | ||||||||
Amount | Value | |||||||
Municipal Bonds - 98.7% | ||||||||
Arizona - 3.7% | ||||||||
Arizona Department of Transportation State Highway Fund Revenue | $ | 5,020,000 | $ | 5,924,303 | ||||
Arizona Water Infrastructure Finance Authority, Water Quality Revenue, Series A | 16,890,000 | 19,591,894 | ||||||
Salt River Project Agricultural Improvement & Power District, Salt River Project Electrical | 6,040,000 | 7,286,535 | ||||||
Salt River Project Agricultural Improvement & Power District, Series A | 5,575,000 | 6,129,545 | ||||||
Total Arizona | 38,932,277 | |||||||
California - 3.9% | ||||||||
California Municipal Finance Authority, Community Medical Centers, Series A 5.000%, 02/01/27 | 950,000 | 1,109,163 | ||||||
California Municipal Finance Authority, Community Medical Centers, Series A 5.000%, 02/01/30 | 1,620,000 | 1,866,046 | ||||||
California Municipal Finance Authority, Community Medical Centers, Series A 5.000%, 02/01/31 | 900,000 | 1,032,291 | ||||||
California Municipal Finance Authority, Community Medical Centers, Series A 5.000%, 02/01/32 | 1,855,000 | 2,115,646 | ||||||
State of California 5.000%, 09/01/25 | 10,000,000 | 11,867,300 | ||||||
State of California 5.000%, 08/01/29 | 7,000,000 | 8,283,940 | ||||||
State of California 5.000%, 09/01/29 | 5,010,000 | 5,937,451 | ||||||
State of California, Series C | 7,700,000 | 9,109,793 | ||||||
Total California | 41,321,630 | |||||||
Colorado - 2.3% | ||||||||
City & County of Denver Co. Airport System Revenue, Series A | 5,000,000 | 5,726,700 | ||||||
City of Colorado Springs Co. Utilities System Revenue, Series A-1 5.000%, 11/15/24 1 | 10,000,000 | 11,643,500 | ||||||
Regional Transportation District County COPS, | ||||||||
Series A | 6,000,000 | 6,742,200 | ||||||
Total Colorado | 24,112,400 |
Principal | ||||||||
Amount | Value | |||||||
Connecticut - 1.7% | ||||||||
State of Connecticut Special Tax Revenue, Transit Infrastructure 5.000%, 08/01/24 | $ | 5,340,000 | $ | 6,020,904 | ||||
State of Connecticut Special Tax Revenue, Transportation Infrastructure | 10,110,000 | 11,572,108 | ||||||
Total Connecticut | 17,593,012 | |||||||
District of Columbia - 2.3% |
| |||||||
District of Columbia Water & Sewer Authority Public Utility Revenue, Sub Lien, Series C | 5,475,000 | 6,149,520 | ||||||
District of Columbia, Series A | 5,000,000 | 5,780,950 | ||||||
District of Columbia, Series A | 5,160,000 | 6,012,174 | ||||||
Washington Convention & Sports Authority, Series A 5.000%, 10/01/27 | 5,375,000 | 6,380,179 | ||||||
Total District of Columbia | 24,322,823 | |||||||
Florida - 4.8% | ||||||||
Florida State Board of Education, Series D 5.000%, 06/01/24 | 6,565,000 | 7,134,711 | ||||||
Florida’s Turnpike Enterprise, Department of Transportation, Series C | 7,075,000 | 8,304,706 | ||||||
Orange County Health Facilities Authority, Series A | 4,515,000 | 5,117,120 | ||||||
State of Florida, Capital Outlay, Series B 5.000%, 06/01/25 | 6,065,000 | 6,722,021 | ||||||
State of Florida, Capital Outlay, Series B 5.000%, 06/01/27 | 9,045,000 | 10,398,132 | ||||||
State of Florida, Capital Outlay, Series C 5.000%, 06/01/27 | 5,555,000 | 6,594,341 | ||||||
State of Florida, Department of Transportation, Fuel Sales Tax Revenue, Series B | 5,780,000 | 6,292,108 | ||||||
Total Florida | 50,563,139 | |||||||
Georgia - 3.5% | ||||||||
Atlanta Water & Wastewater Revenue 5.000%, 11/01/25 | 5,100,000 | 5,951,292 | ||||||
Georgia State University & College Improvements, Series A | 4,650,000 | 5,196,282 | ||||||
Georgia State University & College Improvements, Series A | 5,450,000 | 6,048,137 |
The accompanying notes are an integral part of these financial statements.
11
Table of Contents
AMG GW&K Municipal Bond Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||
Georgia - 3.5% (continued) | ||||||||
Georgia State University & College Improvements, Series A - Tranche 2 | $ | 5,435,000 | $ | 6,329,547 | ||||
State of Georgia, Series C | 5,000,000 | 5,619,350 | ||||||
State of Georgia, Series F | 7,015,000 | 8,322,666 | ||||||
Total Georgia | 37,467,274 | |||||||
Idaho - 0.6% | ||||||||
Idaho Housing & Finance Association | 5,770,000 | 6,512,253 | ||||||
Illinois - 3.9% | ||||||||
Chicago O’Hare International Airport, Series B | 10,580,000 | 11,913,292 | ||||||
Illinois State Finance Authority Revenue, Clean Water Initiative Revenue | 11,000,000 | 12,795,310 | ||||||
Illinois State Finance Authority Revenue, University of Chicago, Series A | 5,005,000 | 5,719,414 | ||||||
Illinois State Toll Highway Authority, Series A | 9,335,000 | 10,674,012 | ||||||
Total Illinois | 41,102,028 | |||||||
Indiana - 1.8% | ||||||||
Indiana Finance Authority, Indiana University Health Revenue, Series A | 5,115,000 | 5,852,992 | ||||||
Indiana Finance Authority, Series C | 4,750,000 | 5,791,485 | ||||||
Indiana Transportation Finance Authority, Series C | 6,070,000 | 7,349,617 | ||||||
Total Indiana | 18,994,094 | |||||||
Iowa - 2.1% | ||||||||
Iowa Finance Authority, Green Bond | 15,000,000 | 17,867,250 | ||||||
State of Iowa, Series A | 4,000,000 | 4,675,240 | ||||||
Total Iowa | 22,542,490 | |||||||
Kentucky - 0.6% | ||||||||
Louisville/Jefferson County Metropolitan | ||||||||
Government, Norton Healthcare Inc., Series A | 5,130,000 | 5,866,206 | ||||||
Maryland - 5.2% | ||||||||
State of Maryland, Department of Transportation | 8,720,000 | 9,922,226 |
Principal Amount | Value | |||||||
State of Maryland, Department of Transportation | $ | 11,905,000 | $ | 14,231,118 | ||||
State of Maryland, Series B | 21,550,000 | 25,360,902 | ||||||
University System of Maryland, University & College Improvements, Series A | 5,100,000 | 5,884,329 | ||||||
Total Maryland | 55,398,575 | |||||||
Massachusetts - 6.1% | ||||||||
Commonwealth of Massachusetts Federal Highway Grant Anticipation Note Revenue, Subordinate Revenue, Series A | 13,770,000 | 15,651,808 | ||||||
Commonwealth of Massachusetts, Series A | 7,700,000 | 9,025,247 | ||||||
Commonwealth of Massachusetts, Series B | 5,000,000 | 5,694,300 | ||||||
Massachusetts Development Finance Agency, Partners Healthcare System | 8,000,000 | 9,539,360 | ||||||
Massachusetts School Building Authority, Series A | 5,035,000 | 5,614,176 | ||||||
Massachusetts State Development Finance Agency, Boston College, Series S | 5,700,000 | 6,485,688 | ||||||
Massachusetts Water Resources Authority, Series C | 4,025,000 | 4,799,008 | ||||||
Massachusetts Water Resources Authority, Series C | 6,050,000 | 7,077,653 | ||||||
Total Massachusetts | 63,887,240 | |||||||
Michigan - 3.7% | ||||||||
Michigan Finance Authority, Henry Ford Health System | 9,950,000 | 11,404,491 | ||||||
Michigan Finance Authority, Hospital Trinity Health Credit | 5,225,000 | 6,025,209 | ||||||
Michigan State Building Authority Revenue, Series I | 5,700,000 | 6,589,884 | ||||||
State of Michigan | 12,640,000 | 14,912,419 | ||||||
Total Michigan | 38,932,003 | |||||||
Minnesota - 0.5% | ||||||||
Minneapolis-St Paul Metropolitan Airports Commission, Series A | 5,000,000 | 5,813,350 |
The accompanying notes are an integral part of these financial statements.
12
Table of Contents
AMG GW&K Municipal Bond Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||
Missouri - 1.4% | ||||||||
Metropolitan St Louis Sewer District, Series A | $ | 6,725,000 | $ | 8,002,279 | ||||
University of Missouri, Series A | 5,495,000 | 6,367,386 | ||||||
Total Missouri | 14,369,665 | |||||||
New Jersey - 2.6% | ||||||||
New Jersey Health Care Facilities Financing Authority, RWJ Barnabas Health Obligation | 6,570,000 | 7,548,142 | ||||||
New Jersey State Turnpike Authority Revenue, Series 2012 B | 2,790,000 | 3,125,107 | ||||||
New Jersey State Turnpike Authority Revenue, Series A | 10,280,000 | 11,819,944 | ||||||
New Jersey State Turnpike Authority Revenue, Series B | 4,010,000 | 4,763,118 | ||||||
Total New Jersey | 27,256,311 | |||||||
New Mexico - 1.3% | ||||||||
New Mexico Finance Authority, Subordinate, Series A | 11,125,000 | 13,419,976 | ||||||
New York - 12.8% | ||||||||
Metropolitan Transportation Authority, Climate Bond Certified Green Bond | 5,000,000 | 5,860,150 | ||||||
Metropolitan Transportation Authority, Transit Revenue, Series F | 4,950,000 | 5,537,070 | ||||||
Metropolitan Transportation Authority, Transit Revenue, Series F | 5,000,000 | 5,551,100 | ||||||
Metropolitan Transportation Authority, Transit Revenue, Series F | 5,000,000 | 5,738,250 | ||||||
New York City General Obligation, Series C | 5,000,000 | 5,789,200 | ||||||
New York City General Obligation, Series C | 5,510,000 | 6,516,236 | ||||||
New York City General Obligation, Series G | 5,000,000 | 5,700,000 | ||||||
New York City General Obligation, Series I | 11,485,000 | 12,779,934 | ||||||
New York City Transitional Finance Authority, Future Tax Secured Revenue, Series B 5.000%, 02/01/24 | 5,015,000 | 5,389,771 |
Principal Amount | Value | |||||||
New York City Transitional Finance Authority, Future Tax Secured Revenue, Series C | $ | 5,000,000 | $ | 5,738,000 | ||||
New York City Transitional Finance Authority, Future Tax Secured Revenue, Series C | 11,930,000 | 13,847,867 | ||||||
New York City Water & Sewer System Revenue, Series FF | 5,940,000 | 6,324,971 | ||||||
New York City Water & Sewer System Revenue, Series FF | 5,370,000 | 6,180,870 | ||||||
New York State Dormitory Authority, Series A | 8,645,000 | 9,700,814 | ||||||
New York State Dormitory Authority, Series A | 5,640,000 | 6,318,605 | ||||||
New York State Dormitory Authority, Series D 5.000%, 02/15/27 | 5,700,000 | 6,749,997 | ||||||
New York State Dormitory Authority, Series D | 5,395,000 | 5,927,163 | ||||||
New York State Dormitory Authority, Series E | 8,370,000 | 9,633,535 | ||||||
New York State Urban Development Corp., Personal Income Tax Revenue, Series A | 5,000,000 | 5,760,450 | ||||||
Total New York | 135,043,983 | |||||||
North Carolina - 3.4% | ||||||||
North Carolina Municipal Power Agency No. 1, Electric, Power and Light Revenue, Series A | 5,050,000 | 5,855,576 | ||||||
North Carolina State Limited Obligation, Series A | 5,000,000 | 5,967,300 | ||||||
North Carolina State Limited Obligation, Series B | 15,100,000 | 18,033,628 | ||||||
North Carolina State Limited Obligation, Series C | 5,020,000 | 5,709,648 | ||||||
Total North Carolina | 35,566,152 | |||||||
Ohio - 2.6% | ||||||||
Ohio State General Obligation, Series A | 7,050,000 | 8,366,517 | ||||||
Ohio Water Development Authority, Water Pollution Control Loan Fund, Series 2015A | 10,050,000 | 11,795,584 | ||||||
Ohio Water Development Authority, Water Pollution Control Loan Fund, Series A | 5,760,000 | 6,898,752 | ||||||
Total Ohio | 27,060,853 | |||||||
Oklahoma - 1.4% | ||||||||
Grand River Dam Authority, Series A 5.000%, 06/01/28 | 7,845,000 | 9,259,061 |
The accompanying notes are an integral part of these financial statements.
13
Table of Contents
AMG GW&K Municipal Bond Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||
Oklahoma - 1.4% (continued) |
| |||||||
Oklahoma Turnpike Authority, Series A | $ | 5,000,000 | $ | 5,370,800 | ||||
Total Oklahoma | 14,629,861 | |||||||
Oregon - 2.1% | ||||||||
Oregon State Lottery, Series C | 10,000,000 | 11,616,500 | ||||||
Oregon State Lottery, Series D | 8,780,000 | 10,187,434 | ||||||
Total Oregon | 21,803,934 | |||||||
Pennsylvania - 1.5% | ||||||||
Commonwealth Financing Authority, Pennsylvania Tobacco | 6,660,000 | 7,592,134 | ||||||
Lancaster County Hospital Authority, University of Pennsylvania Health Revenue | 6,930,000 | 8,145,314 | ||||||
Total Pennsylvania | 15,737,448 | |||||||
Tennessee - 0.8% | ||||||||
State of Tennessee Fuel Sales Tax Revenue, Series B | 7,365,000 | 8,569,988 | ||||||
Texas - 11.6% | ||||||||
Central Texas Turnpike System Transportation Commission, Series C | 11,175,000 | 12,290,600 | ||||||
City of Austin TX Water & Wastewater System Revenue | 5,085,000 | 6,051,913 | ||||||
City of San Antonio TX Electric & Gas Systems Revenue | 9,300,000 | 10,944,891 | ||||||
Lower Colorado River Authority, LCRA Transmission Services Corporation | 3,800,000 | 4,284,348 | ||||||
Metropolitan Transit Authority of Harris County Series A | 5,050,000 | 5,848,506 | ||||||
North Texas Municipal Water District Water System Revenue, Refunding And Improvement | 5,085,000 | 5,940,399 | ||||||
North Texas Tollway Authority Revenue, Special Projects System, 1st Tier, Series A | 6,460,000 | 7,358,974 | ||||||
North Texas Tollway Authority, 2nd Tier, Series B | 2,000,000 | 2,282,540 | ||||||
North Texas Tollway Authority, 2nd Tier, Series B | 4,000,000 | 4,576,600 |
Principal Amount | Value | |||||||
North Texas Tollway Authority, Series A | $ | 7,775,000 | $ | 8,818,327 | ||||
State of Texas, Transportation Commission Highway Improvements Revenue | 4,950,000 | 5,481,135 | ||||||
State of Texas, Transportation Commission Mobility Fund | 10,055,000 | 11,455,460 | ||||||
Texas A&M University, Financing System, Series E | 8,815,000 | 10,480,418 | ||||||
Texas Transportation Commission Fund, Series A | 12,550,000 | 13,863,106 | ||||||
Texas Water Development Board, State Revolving Fund | 5,395,000 | 6,397,553 | ||||||
The University of Texas System, Series H | 5,045,000 | 6,007,031 | ||||||
Total Texas | 122,081,801 | |||||||
Utah - 0.5% | ||||||||
Utah Transit Authority, Series A | 5,020,000 | 5,861,352 | ||||||
Virginia - 1.7% | ||||||||
Virginia College Building Authority, Series B | 5,350,000 | 6,102,156 | ||||||
Virginia Public Building Authority, Series B | 9,800,000 | 11,491,088 | ||||||
Total Virginia | 17,593,244 | |||||||
Washington - 4.9% | ||||||||
County of King WA Sewer Revenue, Series B | 3,080,000 | 3,309,183 | ||||||
Energy Northwest Electric Revenue, Bonneville Power | 10,180,000 | 11,924,954 | ||||||
State of Washington School Improvements, Series C | 7,370,000 | 8,590,324 | ||||||
State of Washington, Series R-2015C | 10,120,000 | 11,614,926 | ||||||
University of Washington, University & College Improvements Revenue, Series C | 7,270,000 | 8,173,007 | ||||||
Washington Health Care Facilities Authority Multicare Health System, Series B | 3,940,000 | 4,470,994 | ||||||
Washington Health Care Facilities Authority Providence Health & Services, Series A | 3,495,000 | 3,902,901 | ||||||
Total Washington | 51,986,289 |
The accompanying notes are an integral part of these financial statements.
14
Table of Contents
AMG GW&K Municipal Bond Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||
Wisconsin - 3.4% | ||||||||
Wisconsin State Revenue, Department of Transportation, Series 1 | $ | 2,370,000 | $ | 2,689,452 | ||||
Wisconsin State Revenue, Department of Transportation, Series 2 | 20,075,000 | 23,863,755 | ||||||
Wisconsin State Revenue, Department of Transportation, Series A | 5,000,000 | 5,794,400 | ||||||
Wisconsin State, Series 2 | 3,570,000 | 3,957,095 | ||||||
Total Wisconsin | 36,304,702 | |||||||
Total Municipal Bonds | 1,040,646,353 |
1 | All or part of the security is delayed delivery transaction. The market value for delayed delivery security at June 30, 2018, amounted to $11,643,500, or 1.1% of net assets. |
2 | Yield shown represents the June 30, 2018, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
Shares | Value | |||||||
Short-Term Investments - 1.1% | ||||||||
Other Investment Companies - 1.1% | ||||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Class Shares, 1.85% 2 | 11,439,539 | $ | 11,439,539 | |||||
Total Short-Term Investments | 11,439,539 | |||||||
Total Investments - 99.8% | 1,052,085,892 | |||||||
Other Assets, less Liabilities - 0.2% | 2,578,126 | |||||||
Net Assets - 100.0% | $ | 1,054,664,018 |
COPS Certificates | of Participation |
The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of June 30, 2018:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Municipal Bonds† | — | $ | 1,040,646,353 | — | $ | 1,040,646,353 | ||||||||||
Short-Term Investments | ||||||||||||||||
Other Investment Companies | $ | 11,439,539 | — | — | 11,439,539 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 11,439,539 | $ | 1,040,646,353 | — | $ | 1,052,085,892 | |||||||||
|
|
|
|
|
|
|
|
† | All municipal bonds held in the Fund are Level 2 securities. For a detailed breakout of municipal bonds by major classification, please refer to the Fund’s Schedule of Portfolio Investments. |
As of June 30, 2018, the Fund had no transfers between levels from the beginning of the reporting period.
The accompanying notes are an integral part of these financial statements.
15
Table of Contents
AMG GW&K Municipal Enhanced Yield Fund
Fund Snapshots (unaudited)
June 30, 2018
PORTFOLIO BREAKDOWN |
| |||
Category | % of Net Assets | |||
Transportation | 36.0 | |||
Healthcare | 26.5 | |||
Utilities | 13.4 | |||
State and Non-State Appropriated Tobacco | 7.7 | |||
Industrial Development | 4.4 | |||
General Obligation | 4.0 | |||
Public Services | 3.6 | |||
Education | 1.5 | |||
Short-Term Investments | 1.9 | |||
Other Assets Less Liabilities | 1.0 | |||
|
| |||
Rating | % of Market Value1 | |||
Aa | 5.3 | |||
A | 34.5 | |||
Baa | 50.8 | |||
Ba | 4.3 | |||
N/R | 5.1 | |||
|
|
1 | Includes market value of fixed-income securities only. |
TOP TEN HOLDINGS |
| |||
%of | ||||
Security Name | Net Assets | |||
California Municipal Finance Authority, Senior Lien-LINXS APM Project, Revenue, 5.000%, 12/31/43 | 5.1 | |||
New York Transportation Development Corp., Laguardia Airport Terminal B, Revenue, 5.000%, 07/01/46 | 4.0 | |||
New Jersey Economic Development Authority, Series DDD, Revenue, 5.000%, 06/15/42 | 3.7 | |||
Central Texas Turnpike System, Series C, Revenue, 5.000%, 08/15/42 | 3.4 | |||
Alachua County Health Facilities Authority, Shands Teaching Hospital & Clinics, Series A, Revenue, 5.000%, 12/01/44 | 3.2 | |||
Metropolitan Pier and Exposition Authority Revenue, McCormick Place Expansion Project, Series B, Revenue, 5.000%, 06/15/52 | 2.8 | |||
Grand Parkway Transportation Corp., Tela Supported, Series A, Revenue, 5.000%, 10/01/43 | 2.6 | |||
State of Connecticut Special Tax Revenue, Transportation Infrastructure, Revenue, 5.000%, 01/01/38 | 2.5 | |||
Miami Beach Health Facilities Authority Mt. Sinai Medical Center, Revenue, 5.000%, 11/15/39 | 2.5 | |||
Illinois State General Obligation, Series D, General Obligation, 5.000%, 11/01/26 | 2.5 | |||
|
| |||
Top Ten as a Group | 32.3 | |||
|
|
Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service, Inc. (“Moody’s”). These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.
Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.
Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.
16
Table of Contents
AMG GW&K Municipal Enhanced Yield Fund
Schedule of Portfolio Investments (unaudited)
June 30, 2018
Principal Amount | Value | |||||||
Municipal Bonds - 97.1% | ||||||||
California - 8.3% | ||||||||
California Municipal Finance Authority, Community Medical Centers, Series A | $ | 2,500,000 | $ | 2,767,925 | ||||
California Municipal Finance Authority, Community Medical Centers, Series A | 4,000,000 | 4,413,120 | ||||||
California Municipal Finance Authority, Senior Lien-LINXS APM Project | 10,000,000 | 11,255,600 | ||||||
Total California | 18,436,645 | |||||||
Colorado - 2.1% | ||||||||
Public Authority for Colorado Energy Natural Gas Purchase Revenue, Series 2008 | 3,280,000 | 4,573,927 | ||||||
Connecticut - 2.5% | ||||||||
State of Connecticut Special Tax Revenue, Transportation Infrastructure | 5,000,000 | 5,580,000 | ||||||
Florida - 14.3% | ||||||||
Alachua County Health Facilities Authority, Shands Teaching Hospital & Clinics, Series A | 6,620,000 | 7,185,613 | ||||||
County of Miami-Dade FL Aviation Revenue, Series B | 4,000,000 | 4,527,560 | ||||||
Martin County Health Facilities Authority, Martin Memorial Medical Center | 4,430,000 | 4,799,728 | ||||||
Miami Beach Health Facilities Authority Mt. Sinai Medical Center | 5,220,000 | 5,561,910 | ||||||
Orange County Health Facilities Authority, Orlando Health Inc., Series A | 4,040,000 | 4,494,985 | ||||||
Putnam County Development Authority, Seminole PJ, Series A | 4,480,000 | 5,054,425 | ||||||
Total Florida | 31,624,221 | |||||||
Illinois - 9.2% | ||||||||
Chicago O’Hare International Airport, Refunding General Senior Lien, Series B | 2,000,000 | 2,208,740 | ||||||
Illinois State General Obligation | 3,275,000 | 3,442,451 | ||||||
Illinois State General Obligation, Series D | 5,215,000 | 5,558,147 |
Principal Amount | Value | |||||||
Metropolitan Pier and Exposition Authority Revenue, McCormick Place Expansion Project, Series 2012 A | $ | 2,990,000 | $ | 3,090,464 | ||||
Metropolitan Pier and Exposition Authority Revenue, McCormick Place Expansion Project, Series B | 5,910,000 | 6,084,640 | ||||||
Total Illinois | 20,384,442 | |||||||
Kentucky - 1.2% | ||||||||
Louisville/Jefferson County Metropolitan Government, Norton Healthcare Inc. | 2,295,000 | 2,592,180 | ||||||
Louisiana - 2.6% | ||||||||
Louisiana Public Facilities Authority, Ochsner Clinic Foundation | 3,385,000 | 3,683,794 | ||||||
New Orleans Aviation Board, General Airport North Terminal, Series B | 2,000,000 | 2,211,060 | ||||||
Total Louisiana | 5,894,854 | |||||||
Massachusetts - 3.5% | ||||||||
Massachusetts Development Finance Agency, UMass Boston Student Housing | 2,250,000 | 2,454,413 | ||||||
Massachusetts Development Finance Agency, UMass Boston Student Housing | 5,000,000 | 5,428,350 | ||||||
Total Massachusetts | 7,882,763 | |||||||
Michigan - 2.0% | ||||||||
Michigan Finance Authority, Henry Ford Health System | 4,000,000 | 4,434,840 | ||||||
Nebraska - 1.6% | ||||||||
Central Plains Energy Project Project #3, Series A | 3,000,000 | 3,613,830 | ||||||
New Jersey - 13.0% | ||||||||
New Jersey Economic Development Authority, Series DDD | 7,665,000 | 8,218,873 | ||||||
New Jersey Economic Development Authority, UMM Energy Partners, Series 2012 A | 4,450,000 | 4,621,281 | ||||||
New Jersey Health Care Facilities Financing Authority, RWJ Barnabas Health Obligation | 4,655,000 | 5,169,098 | ||||||
New Jersey Transportation Trust Fund Authority, Federal Highway Reimbursement Notes | 1,715,000 | 1,893,411 |
The accompanying notes are an integral part of these financial statements.
17
Table of Contents
AMG GW&K Municipal Enhanced Yield Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||
New Jersey - 13.0% (continued) |
| |||||||
Tobacco Settlement Financing Corp. Series A | $2,500,000 | $2,752,275 | ||||||
Tobacco Settlement Financing Corp. Series A | 3,500,000 | 3,946,565 | ||||||
Tobacco Settlement Financing Corp. Series B | 2,000,000 | 2,153,760 | ||||||
Total New Jersey | 28,755,263 | |||||||
New York - 7.3% | ||||||||
New York State Dormitory Authority, The New School Project, Series A | 3,030,000 | 3,396,933 | ||||||
New York Transportation Development Corp., Delta Air Lines, Inc. - Laguardia | 3,500,000 | 3,975,475 | ||||||
New York Transportation Development Corp., Laguardia Airport Terminal B | 8,135,000 | 8,785,149 | ||||||
Total New York | 16,157,557 | |||||||
Oklahoma - 3.6% | ||||||||
Oklahoma Development Finance Authority, Health Ou Medicine Project, Series B | 2,500,000 | 2,815,450 | ||||||
Oklahoma Development Finance Authority, Health Ou Medicine Project, Series B | 4,500,000 | 5,153,670 | ||||||
Total Oklahoma | 7,969,120 | |||||||
Pennsylvania - 1.3% | ||||||||
Commonwealth Financing Authority, Pennsylvania Tobacco | 2,500,000 | 2,838,600 | ||||||
Rhode Island - 2.4% | ||||||||
Tobacco Settlement Financing Corp. Series A | 2,000,000 | 2,162,280 | ||||||
Tobacco Settlement Financing Corp. Series A | 2,985,000 | 3,187,741 | ||||||
Total Rhode Island | 5,350,021 | |||||||
Texas - 15.5% | ||||||||
Central Texas Regional Mobility Authority | 3,050,000 | 3,353,505 | ||||||
Central Texas Regional Mobility Authority | 3,750,000 | 4,107,637 | ||||||
Central Texas Turnpike System, Series C | 6,915,000 | 7,481,408 |
Principal Amount | Value | |||||||
Grand Parkway Transportation Corp., 1st Tier Toll Revenue, Series A | $ | 3,960,000 | $ | 4,436,903 | ||||
Grand Parkway Transportation Corp., Tela Supported, Series A | 5,000,000 | 5,775,300 | ||||||
Texas Municipal Gas Acquisition & Supply Corp., Gas Supply Revenue, Senior Lien Series 2008 D | 2,005,000 | 2,335,905 | ||||||
Texas Private Activity Bond Surface Transportation Corp., Senior Lien-Blueridge Transport | 2,425,000 | 2,637,964 | ||||||
Texas Private Activity Bond Surface Transportation Corp., Senior Lien-Blueridge Transport | 3,815,000 | 4,134,430 | ||||||
Total Texas | 34,263,052 | |||||||
Virginia - 4.2% | ||||||||
Chesapeake City Expressway Toll Road Revenue, Series 2012 A | 3,010,000 | 3,202,911 | ||||||
Virginia Small Business Financing Authority, Transform 66 P3 Project | 2,500,000 | 2,740,650 | ||||||
Virginia Small Business Financing Authority, Transform 66 P3 Project | 3,000,000 | 3,281,580 | ||||||
Total Virginia | 9,225,141 | |||||||
West Virginia - 2.5% | ||||||||
West Virginia Hospital Finance Authority, WV United Health System Obligation | 5,000,000 | 5,521,050 | ||||||
Total Municipal Bonds | 215,097,506 | |||||||
Shares | ||||||||
Short-Term Investments - 1.9% | ||||||||
Other Investment Companies - 1.9% | ||||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Class Shares, 1.85% 1 | 4,132,312 | 4,132,312 | ||||||
Total Short-Term Investments | 4,132,312 | |||||||
Total Investments - 99.0% | 219,229,818 | |||||||
Other Assets, less Liabilities - 1.0% | 2,204,809 | |||||||
Net Assets - 100.0% | $ | 221,434,627 |
The accompanying notes are an integral part of these financial statements.
18
Table of Contents
AMG GW&K Municipal Enhanced Yield Fund
Schedule of Portfolio Investments (continued)
1 | Yield shown represents the June 30, 2018, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of June 30, 2018:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Municipal Bonds† | — | $ | 215,097,506 | — | $ | 215,097,506 | ||||||||||
Short-Term Investments | ||||||||||||||||
Other Investment Companies | $ | 4,132,312 | — | — | 4,132,312 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 4,132,312 | $ | 215,097,506 | — | $ | 219,229,818 | |||||||||
|
|
|
|
|
|
|
|
† | All municipal bonds held in the Fund are Level 2 securities. For a detailed breakout of municipal bonds by major classification, please refer to the Fund’s Schedule of Portfolio Investments. |
As of June 30, 2018, the Fund had no transfers between levels from the beginning of the reporting period.
The accompanying notes are an integral part of these financial statements.
19
Table of Contents
Fund Snapshots (unaudited)
June 30, 2018
PORTFOLIO BREAKDOWN
% of | ||||
Sector | Net Assets | |||
Health Care | 17.1 | |||
Industrials | 16.8 | |||
Financials | 16.0 | |||
Information Technology | 14.2 | |||
Consumer Discretionary | 13.5 | |||
Real Estate | 5.9 | |||
Materials | 4.9 | |||
Consumer Staples | 3.9 | |||
Energy | 2.9 | |||
Utilities | 2.4 | |||
Short-Term Investments1 | 5.5 | |||
Other Assets Less Liabilities2 | (3.1 | ) | ||
|
|
1 | Includes reinvestment of cash collateral into joint repurchase agreements on security lending transactions. |
2 | Includes repayment of cash collateral on security lending transactions. |
TOP TEN HOLDINGS
% of | ||||
Security Name | Net Assets | |||
ICU Medical, Inc. | 3.1 | |||
Grand Canyon Education, Inc. | 2.8 | |||
HubSpot, Inc. | 2.1 | |||
LogMeIn, Inc. | 2.1 | |||
Globus Medical, Inc., Class A | 2.1 | |||
EPAM Systems, Inc. | 2.1 | |||
Five Below, Inc. | 2.0 | |||
Matador Resources Co. | 1.9 | |||
Texas Roadhouse, Inc. | 1.9 | |||
Performance Food Group Co. | 1.8 | |||
|
| |||
Top Ten as a Group | 21.9 | |||
|
|
Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.
Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.
20
Table of Contents
AMG GW&K Small Cap Core Fund
Schedule of Portfolio Investments (unaudited)
June 30, 2018
Shares | Value | |||||||
Common Stocks - 97.6% | ||||||||
Consumer Discretionary - 13.5% | ||||||||
Chuy’s Holdings, Inc.* | 99,088 | $ | 3,042,002 | |||||
Five Below, Inc.* | 116,356 | 11,369,145 | ||||||
Grand Canyon Education, Inc.* | 142,951 | 15,954,761 | ||||||
Helen of Troy, Ltd.* | 39,621 | 3,900,687 | ||||||
Hibbett Sports, Inc.* | 102,466 | 2,346,471 | ||||||
Installed Building Products, Inc.* | 115,918 | 6,555,163 | ||||||
Lithia Motors, Inc., Class A1 | 92,361 | 8,734,580 | ||||||
Oxford Industries, Inc. | 67,765 | 5,623,140 | ||||||
Texas Roadhouse, Inc. | 165,651 | 10,851,797 | ||||||
Tupperware Brands Corp. | 70,801 | 2,919,833 | ||||||
Wolverine World Wide, Inc. | 166,961 | 5,805,234 | ||||||
Total Consumer Discretionary | 77,102,813 | |||||||
Consumer Staples - 3.9% | ||||||||
Central Garden & Pet Co.*,1 | 103,464 | 4,498,615 | ||||||
Central Garden & Pet Co., Class A* | 71,302 | 2,885,592 | ||||||
Performance Food Group Co.* | 283,552 | 10,406,358 | ||||||
WD-40 Co. | 28,807 | 4,213,024 | ||||||
Total Consumer Staples | 22,003,589 | |||||||
Energy - 2.9% | ||||||||
Dril-Quip, Inc.* | 55,376 | 2,846,326 | ||||||
Forum Energy Technologies, Inc.*,1 | 193,260 | 2,386,761 | ||||||
Matador Resources Co.*,1 | 366,150 | 11,002,808 | ||||||
Total Energy | 16,235,895 | |||||||
Financials - 16.0% | ||||||||
Ameris Bancorp. | 165,761 | 8,843,349 | ||||||
AMERISAFE, Inc. | 117,910 | 6,809,303 | ||||||
Cathay General Bancorp | 179,529 | 7,269,129 | ||||||
Cohen & Steers, Inc. | 131,658 | 5,491,455 | ||||||
Glacier Bancorp, Inc. | 206,337 | 7,981,115 | ||||||
IBERIABANK Corp. | 66,215 | 5,019,097 | ||||||
Meridian Bancorp, Inc. | 204,061 | 3,907,768 | ||||||
Pacific Premier Bancorp, Inc.* | 209,698 | 7,999,979 | ||||||
PRA Group, Inc.*,1 | 134,222 | 5,174,258 | ||||||
ProAssurance Corp. | 69,440 | 2,461,648 | ||||||
Stifel Financial Corp. | 128,948 | 6,737,533 | ||||||
Texas Capital Bancshares, Inc.* | 101,653 | 9,301,250 | ||||||
United Bankshares, Inc. 1 | 150,442 | 5,476,089 | ||||||
Webster Financial Corp. | 134,322 | 8,556,311 | ||||||
Total Financials | 91,028,284 | |||||||
Health Care - 17.1% | ||||||||
Amneal Pharmaceuticals, Inc.*,1 | 268,239 | 4,401,802 |
Shares | Value | |||||||
Cambrex Corp.* | 107,753 | $ | 5,635,482 | |||||
Cantel Medical Corp. | 76,329 | 7,507,720 | ||||||
Catalent, Inc.* | 248,127 | 10,394,040 | ||||||
Cotiviti Holdings, Inc.* | 204,011 | 9,003,005 | ||||||
Diplomat Pharmacy, Inc.*,1 | 241,694 | 6,177,699 | ||||||
Globus Medical, Inc., Class A* | 235,870 | 11,902,000 | ||||||
ICU Medical, Inc.* | 59,412 | 17,446,334 | ||||||
Medidata Solutions, Inc.* | 110,491 | 8,901,155 | ||||||
Syneos Health, Inc.* | 197,480 | 9,261,812 | ||||||
Wright Medical Group, N.V. (Netherlands)*,1 | 268,734 | 6,976,335 | ||||||
Total Health Care | 97,607,384 | |||||||
Industrials - 16.8% | ||||||||
AAR Corp. | 128,633 | 5,980,148 | ||||||
Alamo Group, Inc. | 56,475 | 5,103,081 | ||||||
Allegiant Travel Co. | 36,389 | 5,056,251 | ||||||
Healthcare Services Group, Inc.1 | 184,447 | 7,966,266 | ||||||
Heartland Express, Inc. | 277,974 | 5,156,418 | ||||||
ICF International, Inc. | 97,702 | 6,941,727 | ||||||
John Bean Technologies Corp. | 50,869 | 4,522,254 | ||||||
Mobile Mini, Inc. | 114,782 | 5,383,276 | ||||||
Patrick Industries, Inc.* | 107,112 | 6,089,317 | ||||||
Primoris Services Corp. | 263,655 | 7,179,326 | ||||||
RBC Bearings, Inc.* | 59,349 | 7,644,745 | ||||||
Ritchie Bros. Auctioneers, Inc. (Canada) | 247,424 | 8,442,107 | ||||||
Sun Hydraulics Corp. | 143,299 | 6,905,579 | ||||||
Universal Forest Products, Inc. | 182,030 | 6,665,938 | ||||||
US Ecology, Inc. | 102,598 | 6,535,493 | ||||||
Total Industrials | 95,571,926 | |||||||
Information Technology - 14.2% | ||||||||
Blackbaud, Inc. | 101,031 | 10,350,626 | ||||||
EPAM Systems, Inc.* | 94,611 | 11,762,986 | ||||||
ExlService Holdings, Inc.* | 105,153 | 5,952,711 | ||||||
HubSpot, Inc.* | 97,483 | 12,224,368 | ||||||
LogMeIn, Inc. | 117,025 | 12,082,831 | ||||||
MACOM Technology Solutions Holdings, Inc.*,1 | 154,060 | 3,549,542 | ||||||
Power Integrations, Inc. | 88,469 | 6,462,660 | ||||||
Proofpoint, Inc.* | 57,721 | 6,655,809 | ||||||
Rogers Corp.* | 27,171 | 3,028,480 | ||||||
Silicon Laboratories, Inc.* | 86,688 | 8,634,125 | ||||||
Total Information Technology | 80,704,138 | |||||||
Materials - 4.9% | ||||||||
Balchem Corp. | 67,575 | 6,631,810 | ||||||
Compass Minerals International, Inc.1 | 55,513 | 3,649,980 |
The accompanying notes are an integral part of these financial statements.
21
Table of Contents
AMG GW&K Small Cap Core Fund
Schedule of Portfolio Investments (continued)
Shares | Value | |||||||
Materials - 4.9% (continued) | ||||||||
KapStone Paper and Packaging Corp. | 82,067 | $ | 2,831,311 | |||||
PolyOne Corp. | 223,317 | 9,651,761 | ||||||
Silgan Holdings, Inc. | 198,453 | 5,324,494 | ||||||
Total Materials | 28,089,356 | |||||||
Real Estate - 5.9% | ||||||||
Education Realty Trust, Inc., REIT | 203,538 | 8,446,827 | ||||||
National Health Investors, Inc., REIT | 75,157 | 5,537,568 | ||||||
Pebblebrook Hotel Trust, REIT 1 | 173,387 | 6,727,416 | ||||||
QTS Realty Trust, Inc., Class A, REIT | 154,617 | 6,107,371 | ||||||
STAG Industrial, Inc., REIT | 259,592 | 7,068,690 | ||||||
Total Real Estate | 33,887,872 | |||||||
Utilities - 2.4% | ||||||||
IDACORP, Inc. | 70,236 | 6,478,569 | ||||||
NorthWestern Corp. | 128,098 | 7,333,610 | ||||||
Total Utilities | 13,812,179 | |||||||
Total Common Stocks | 556,043,436 | |||||||
Principal Amount | ||||||||
Short-Term Investments - 5.5% | ||||||||
Joint Repurchase Agreements - 3.1%2 | ||||||||
Deutsche Bank Securities, Inc., dated 06/29/18, due 07/02/18, 2.120% total to be received $4,179,893 (collateralized by various U.S. Government Agency Obligations, 0.000% -7.250%, 07/27/18 - 09/06/44, totaling $4,262,738) | $ | 4,179,155 | 4,179,155 | |||||
NatWest Markets PLC, dated 06/29/18, due 07/02/18, 2.090% total to be received $878,880 (collateralized by various U.S. Treasuries, 2.500% - 6.625%, 05/15/20 -05/15/46, totaling $896,310) | 878,727 | 878,727 |
* | Non-income producing security. |
1 | Some or all of these securities, amounting to $17,158,974 or 3.0% of net assets, were out on loan to various brokers. |
2 | Collateral received from brokers for securities lending was invested in these joint repurchase agreements. |
Principal Amount | Value | |||||||
Nomura Securities International, Inc., dated 06/29/18, due 07/02/18, 2.120% total to be received $4,179,893 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 9.000%, 07/15/18 -05/20/68, totaling | $ | 4,179,155 | $ | 4,179,155 | ||||
RBC Dominion Securities, Inc., dated 06/29/18, due 07/02/18, 2.110% total to be received $4,179,890 (collateralized by various U.S. Treasuries, 3.000% - 7.000%, 11/01/36 -06/01/48, totaling | 4,179,155 | 4,179,155 | ||||||
State of Wisconsin Investment Board, dated 06/29/18, due 07/02/18, 2.300% total to be received $4,179,956 (collateralized by various U.S. Government Agency Obligations, 0.125% -3.875%, 07/15/19 - 02/15/48, totaling | 4,179,155 | 4,179,155 | ||||||
Total Joint Repurchase Agreements | 17,595,347 | |||||||
Shares | ||||||||
Other Investment Companies - 2.4% | ||||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Class Shares, 1.85%3 | 13,723,120 | 13,723,120 | ||||||
Total Short-Term Investments | 31,318,467 | |||||||
Total Investments - 103.1% | ||||||||
(Cost $461,096,346) | 587,361,903 | |||||||
Other Assets, less Liabilities - (3.1)% | (17,845,150 | ) | ||||||
Net Assets - 100.0% | $ | 569,516,753 |
3 | Yield shown represents the June 30, 2018, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
REIT Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements.
22
Table of Contents
AMG GW&K Small Cap Core 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 June 30, 2018:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks† | $ | 556,043,436 | — | — | $ | 556,043,436 | ||||||||||
Short-Term Investments | ||||||||||||||||
Joint Repurchase Agreements | — | $ | 17,595,347 | — | 17,595,347 | |||||||||||
Other Investment Companies | 13,723,120 | — | — | 13,723,120 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 569,766,556 | $ | 17,595,347 | — | $ | 587,361,903 | |||||||||
|
|
|
|
|
|
|
|
† | All common stocks held in the Fund are Level 1 securities. For a detailed breakout of common stocks by major industry classification, please refer to the Fund’s Schedule of Portfolio Investments. |
As of June 30, 2018, the Fund had no transfers between levels from the beginning of the reporting period.
The accompanying notes are an integral part of these financial statements.
23
Table of Contents
Fund Snapshots (unaudited)
June 30, 2018
PORTFOLIO BREAKDOWN
Sector | % of Net Assets | |||
Information Technology | 20.0 | |||
Industrials | 16.6 | |||
Financials | 14.5 | |||
Consumer Discretionary | 12.8 | |||
Health Care | 11.0 | |||
Real Estate | 8.4 | |||
Materials | 6.2 | |||
Energy | 4.3 | |||
Utilities | 2.0 | |||
Consumer Staples | 1.4 | |||
Short-Term Investments1 | 5.0 | |||
Other Assets Less Liabilities2 | (2.2 | ) | ||
|
|
1 | Includes reinvestment of cash collateral into joint repurchase agreements on security lending transactions. |
2 | Includes repayment of cash collateral on security lending transactions. |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |||
MarketAxess Holdings, Inc. | 2.4 | |||
CoStar Group, Inc. | 2.2 | |||
Gartner, Inc. | 2.2 | |||
SVB Financial Group | 2.2 | |||
Exponent, Inc. | 2.2 | |||
RPM International, Inc. | 2.2 | |||
ICU Medical, Inc. | 2.1 | |||
Burlington Stores, Inc. | 2.0 | |||
Zebra Technologies Corp., Class A | 1.9 | |||
West Pharmaceutical Services, Inc. | 1.8 | |||
|
| |||
Top Ten as a Group | 21.2 | |||
|
|
Because a fund’s strategy may result in multiple investments in particular sectors of the economy, its performance may depend on the performance of those sectors and may fluctuate more widely than investments diversified across more sectors. For additional information on these and other risk considerations, please see the Fund’s prospectus.
Any sectors, industries, or securities discussed should not be perceived as investment recommendations. Mention of a specific security should not be considered a recommendation to buy or solicitation to sell that security. Specific securities mentioned in this report may have been sold from the Fund’s portfolio of investments by the time you receive this report.
24
Table of Contents
AMG GW&K Small/Mid Cap Fund
Schedule of Portfolio Investments (unaudited)
June 30, 2018
Shares | Value | |||||||
Common Stocks - 97.2% | ||||||||
Consumer Discretionary - 12.8% |
| |||||||
BJ’s Restaurants, Inc. | 26,046 | $ | 1,562,760 | |||||
Burlington Stores, Inc.* | 17,050 | 2,566,536 | ||||||
Carter’s, Inc. | 12,290 | 1,332,113 | ||||||
Cavco Industries, Inc.* | 10,138 | 2,105,156 | ||||||
Dorman Products, Inc.* | 20,472 | 1,398,442 | ||||||
Five Below, Inc.* | 21,625 | 2,112,979 | ||||||
Lithia Motors, Inc., Class A | 12,382 | 1,170,966 | ||||||
The Michaels Cos., Inc.* | 49,812 | 954,896 | ||||||
Polaris Industries, Inc. | 14,901 | 1,820,604 | ||||||
Pool Corp. | 8,026 | 1,215,939 | ||||||
Tupperware Brands Corp. | 12,548 | 517,480 | ||||||
Total Consumer Discretionary | 16,757,871 | |||||||
Consumer Staples - 1.4% | ||||||||
PriceSmart, Inc. | 20,280 | 1,835,340 | ||||||
Energy - 4.3% | ||||||||
Callon Petroleum Co.*,1 | 118,891 | 1,276,889 | ||||||
Dril-Quip, Inc.* | 9,931 | 510,453 | ||||||
Matador Resources Co.* | 49,240 | 1,479,662 | ||||||
Parsley Energy, Inc., Class A* | 33,094 | 1,002,086 | ||||||
QEP Resources, Inc.* | 50,340 | 617,169 | ||||||
Superior Energy Services, Inc.* | 74,040 | 721,150 | ||||||
Total Energy | 5,607,409 | |||||||
Financials - 14.5% | ||||||||
Artisan Partners Asset Management, Inc., Class A | 21,672 | 653,411 | ||||||
BankUnited, Inc. | 33,312 | 1,360,795 | ||||||
Glacier Bancorp, Inc. | 31,745 | 1,227,897 | ||||||
James River Group Holdings, Ltd. (Bermuda) | 33,112 | 1,300,970 | ||||||
MarketAxess Holdings, Inc. | 16,057 | 3,177,038 | ||||||
Pinnacle Financial Partners, Inc. | 17,873 | 1,096,509 | ||||||
ProAssurance Corp. | 25,525 | 904,861 | ||||||
Signature Bank* | 14,190 | 1,814,617 | ||||||
SVB Financial Group* | 9,943 | 2,871,141 | ||||||
Texas Capital Bancshares, Inc.* | 15,633 | 1,430,420 | ||||||
Webster Financial Corp. | 26,636 | 1,696,713 | ||||||
Western Alliance Bancorp* | 23,299 | 1,318,956 | ||||||
Total Financials | 18,853,328 | |||||||
Health Care - 11.0% | ||||||||
Acadia Healthcare Co., Inc.* | 27,427 | 1,122,039 | ||||||
Alkermes PLC (Ireland)* | 22,534 | 927,499 | ||||||
Amneal Pharmaceuticals, Inc.* | 41,326 | 678,160 | ||||||
Catalent, Inc.* | 43,955 | 1,841,275 |
Shares | Value | |||||||
ICU Medical, Inc.* | 9,193 | $ | 2,699,524 | |||||
K2M Group Holdings, Inc.* | 36,170 | 813,825 | ||||||
Premier, Inc., Class A* | 46,328 | 1,685,413 | ||||||
STERIS PLC (United Kingdom) | 21,750 | 2,283,967 | ||||||
West Pharmaceutical Services, Inc. | 23,413 | 2,324,677 | ||||||
Total Health Care | 14,376,379 | |||||||
Industrials - 16.6% | ||||||||
Exponent, Inc. | 59,305 | 2,864,431 | ||||||
Gardner Denver Holdings, Inc.* | 53,786 | 1,580,771 | ||||||
Graco, Inc. | 30,844 | 1,394,766 | ||||||
Hexcel Corp. | 21,620 | 1,435,136 | ||||||
Lincoln Electric Holdings, Inc. | 15,626 | 1,371,338 | ||||||
The Middleby Corp.*,1 | 9,512 | 993,243 | ||||||
Nordson Corp. | 12,164 | 1,561,979 | ||||||
RBC Bearings, Inc.* | 16,398 | 2,112,226 | ||||||
Ritchie Bros. Auctioneers, Inc. (Canada) | 44,496 | 1,518,203 | ||||||
Schneider National, Inc., Class B1 | 52,816 | 1,452,968 | ||||||
The Toro Co. | 36,159 | 2,178,580 | ||||||
Wabtec Corp. 1 | 22,145 | 2,183,054 | ||||||
WageWorks, Inc.* | 21,345 | 1,067,250 | ||||||
Total Industrials | 21,713,945 | |||||||
Information Technology - 20.0% | ||||||||
ANSYS, Inc.* | 9,674 | 1,685,017 | ||||||
Blackbaud, Inc. | 13,101 | 1,342,197 | ||||||
Booz Allen Hamilton Holding Corp. | 47,496 | 2,077,000 | ||||||
Cognex Corp. | 44,549 | 1,987,331 | ||||||
CoStar Group, Inc.* | 7,132 | 2,942,877 | ||||||
Gartner, Inc.* | 21,720 | 2,886,588 | ||||||
LogMeIn, Inc. | 15,986 | 1,650,555 | ||||||
Power Integrations, Inc. | 15,060 | 1,100,133 | ||||||
Rapid7, Inc.* | 34,778 | 981,435 | ||||||
Silicon Laboratories, Inc.* | 15,271 | 1,520,992 | ||||||
SS&C Technologies Holdings, Inc. | 37,362 | 1,939,088 | ||||||
Tyler Technologies, Inc.* | 9,089 | 2,018,667 | ||||||
The Ultimate Software Group, Inc.* | 5,659 | 1,456,117 | ||||||
Zebra Technologies Corp., Class A* | 17,628 | 2,525,211 | ||||||
Total Information Technology | 26,113,208 | |||||||
Materials - 6.2% | ||||||||
AptarGroup, Inc. | 10,391 | 970,312 | ||||||
Berry Global Group, Inc.* | 30,185 | 1,386,699 | ||||||
Eagle Materials, Inc. | 12,015 | 1,261,214 | ||||||
Quaker Chemical Corp. | 10,487 | 1,624,122 |
The accompanying notes are an integral part of these financial statements.
25
Table of Contents
AMG GW&K Small/Mid Cap Fund
Schedule of Portfolio Investments (continued)
Shares | Value | |||||||
Materials - 6.2% (continued) |
| |||||||
RPM International, Inc. | 48,963 | $ | 2,855,522 | |||||
Total Materials | 8,097,869 | |||||||
Real Estate - 8.4% | ||||||||
American Campus Communities, Inc., REIT | 49,656 | 2,129,249 | ||||||
CoreSite Realty Corp., REIT | 12,891 | 1,428,580 | ||||||
Easterly Government Properties, Inc., REIT | 82,101 | 1,622,316 | ||||||
Mid-America Apartment Communities, Inc., REIT | 11,962 | 1,204,215 | ||||||
Physicians Realty Trust, REIT | 84,541 | 1,347,583 | ||||||
Summit Hotel Properties, Inc., REIT | 101,676 | 1,454,984 | ||||||
Sun Communities, Inc., REIT | 18,268 | 1,788,072 | ||||||
Total Real Estate | 10,974,999 | |||||||
Utilities - 2.0% | ||||||||
OGE Energy Corp. | 36,418 | 1,282,278 | ||||||
Portland General Electric Co. | 31,022 | 1,326,500 | ||||||
Total Utilities | 2,608,778 | |||||||
Total Common Stocks | 126,939,126 | |||||||
Principal Amount | ||||||||
Short-Term Investments - 5.0% |
| |||||||
Joint Repurchase Agreements - 1.9%2 |
| |||||||
Jefferies LLC, dated 06/29/18, due 07/02/18, 2.000% total to be received $1,000,167 (collateralized by various U.S. Treasuries, 0.000% - 2.375%, 07/05/18 - 09/09/49, totaling $1,020,000) | $ | 1,000,000 | 1,000,000 |
* | Non-income producing security. |
1 | Some or all of these securities, amounting to $2,386,809 or 1.8% of net assets, were out on loan to various brokers. |
2 | Collateral received from brokers for securities lending was invested in these joint repurchase agreements. |
Principal Amount | Value | |||||||
Nomura Securities International, Inc., dated 06/29/18, due 07/02/18, 2.120% total to be received $1,000,177 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 9.000%, 07/15/18 -05/20/68, totaling $1,020,000) | $ | 1,000,000 | $ | 1,000,000 | ||||
RBC Dominion Securities, Inc., dated 06/29/18, due 07/02/18, 2.110% total to be received $455,867 (collateralized by various U.S. Government Agency Obligations, 3.000% -7.000%, 11/01/36 - 06/01/48, totaling $464,903) | 455,787 | 455,787 | ||||||
Total Joint Repurchase Agreements | 2,455,787 | |||||||
Shares | ||||||||
Other Investment Companies - 3.1% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Class Shares, 1.85%3 | 4,046,636 | 4,046,636 | ||||||
Total Short-Term Investments | 6,502,423 | |||||||
Total Investments - 102.2% (Cost $131,487,805) | 133,441,549 | |||||||
Other Assets, less Liabilities - (2.2)% |
| (2,924,494 | ) | |||||
Net Assets - 100.0% | $ | 130,517,055 |
3 | Yield shown represents the June 30, 2018, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
REIT Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements.
26
Table of Contents
AMG GW&K Small/Mid Cap 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 June 30, 2018:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks† | $ | 126,939,126 | — | — | $ | 126,939,126 | ||||||||||
Short-Term Investments | ||||||||||||||||
Joint Repurchase Agreements | — | $ | 2,455,787 | — | 2,455,787 | |||||||||||
Other Investment Companies | 4,046,636 | — | — | 4,046,636 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 130,985,762 | $ | 2,455,787 | — | $ | 133,441,549 | |||||||||
|
|
|
|
|
|
|
|
† | All common stocks held in the Fund are Level 1 securities. For a detailed breakout of common stocks by major industry classification, please refer to the Fund’s Schedule of Portfolio Investments. |
As of June 30, 2018, the Fund had no transfers between levels from the beginning of the reporting period.
The accompanying notes are an integral part of these financial statements.
27
Table of Contents
Statement of Assets and Liabilities (unaudited)
June 30, 2018
AMG GW&K Enhanced Core Bond Fund | AMG GW&K Municipal Bond Fund | AMG GW&K Municipal Enhanced Yield Fund | AMG GW&K Small Cap Core Fund | AMG GW&K Small/Mid Cap Fund | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investments at Value* (including securities on loan valued at $161,700, $0, $0, $17,158,974, and $2,386,809, respectively) | $ | 41,841,119 | $ | 1,052,085,892 | $ | 219,229,818 | $ | 587,361,903 | $ | 133,441,549 | ||||||||||
Cash | — | — | 293,500 | — | — | |||||||||||||||
Dividend, interest and other receivables | 414,039 | 13,277,976 | 2,084,029 | 527,579 | 77,660 | |||||||||||||||
Receivable for Fund shares sold | 23,882 | 2,590,737 | 65,166 | 329,636 | 156,589 | |||||||||||||||
Receivable from affiliate | 11,078 | 57,416 | 15,232 | — | 4,423 | |||||||||||||||
Prepaid expenses and other assets | 26,738 | 51,194 | 29,053 | 31,713 | 25,432 | |||||||||||||||
Total assets | 42,316,856 | 1,068,063,215 | 221,716,798 | 588,250,831 | 133,705,653 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Payable upon return of securities loaned | 167,207 | — | — | 17,595,347 | 2,455,787 | |||||||||||||||
Payable for investments purchased | 50,728 | 162,303 | — | 325,506 | 612,561 | |||||||||||||||
Payable for delayed delivery investments purchased | — | 11,617,800 | — | — | — | |||||||||||||||
Payable for Fund shares repurchased | 108,646 | 1,090,703 | 101,764 | 286,212 | — | |||||||||||||||
Accrued expenses: | ||||||||||||||||||||
Investment advisory and management fees | 10,368 | 180,529 | 81,307 | 334,800 | 69,815 | |||||||||||||||
Administrative fees | 5,184 | 130,003 | 27,102 | 71,220 | 16,111 | |||||||||||||||
Distribution fees | 5,675 | 4,887 | 784 | 5,378 | 21 | |||||||||||||||
Shareholder service fees | 225 | 44,893 | 8,811 | 21,279 | 3,710 | |||||||||||||||
Professional fees | 30,641 | 63,987 | 31,768 | 38,343 | 21,763 | |||||||||||||||
Custody fees | 14,541 | 51,023 | 14,738 | 23,447 | 6,973 | |||||||||||||||
Trustee fees and expenses | 431 | 10,897 | 2,205 | 5,559 | 1,557 | |||||||||||||||
Other | 29,198 | 42,172 | 13,692 | 26,987 | 300 | |||||||||||||||
Total liabilities | 422,844 | 13,399,197 | 282,171 | 18,734,078 | 3,188,598 | |||||||||||||||
Net Assets | $ | 41,894,012 | $ | 1,054,664,018 | $ | 221,434,627 | $ | 569,516,753 | $ | 130,517,055 | ||||||||||
* Investments at cost | $ | 43,103,484 | $ | 1,065,059,401 | $ | 215,714,076 | $ | 461,096,346 | $ | 131,487,805 |
The accompanying notes are an integral part of these financial statements.
28
Table of Contents
Statement of Assets and Liabilities (continued)
AMG GW&K Enhanced Core Bond Fund | AMG GW&K Municipal Bond Fund | AMG GW&K Municipal Enhanced Yield Fund | AMG GW&K Small Cap Core Fund | AMG GW&K Small/Mid Cap Fund | ||||||||||||||||
Net Assets Represent: | ||||||||||||||||||||
Paid- in capital | $ | 47,605,136 | $ | 1,069,804,965 | $ | 217,966,350 | $ | 396,214,843 | $ | 126,910,236 | ||||||||||
Undistributed net investment income | 20,113 | 64,824 | 30,268 | 246,639 | 138,392 | |||||||||||||||
Accumulated net realized gain (loss) from investments | (4,468,872 | ) | (2,232,262 | ) | (77,733 | ) | 46,789,714 | 1,514,683 | ||||||||||||
Net unrealized appreciation/depreciation of investments | (1,262,365 | ) | (12,973,509 | ) | 3,515,742 | 126,265,557 | 1,953,744 | |||||||||||||
Net Assets | $ | 41,894,012 | $ | 1,054,664,018 | $ | 221,434,627 | $ | 569,516,753 | $ | 130,517,055 | ||||||||||
Class N: | ||||||||||||||||||||
Net Assets | $ | 14,519,402 | $ | 20,490,909 | $ | 3,719,238 | $ | 25,400,744 | $ | 101,582 | ||||||||||
Shares outstanding | 1,533,071 | 1,802,599 | 377,870 | 862,665 | 8,665 | |||||||||||||||
Net asset value, offering and redemption price per share | $ | 9.47 | $ | 11.37 | $ | 9.84 | $ | 29.44 | $ | 11.72 | ||||||||||
Class I: | ||||||||||||||||||||
Net Assets | $ | 5,817,514 | $ | 1,034,173,109 | $ | 217,607,368 | $ | 443,838,767 | $ | 46,054,005 | ||||||||||
Shares outstanding | 612,097 | 90,500,152 | 22,117,294 | 14,852,287 | 3,926,695 | |||||||||||||||
Net asset value, offering and redemption price per share | $ | 9.50 | $ | 11.43 | $ | 9.84 | $ | 29.88 | $ | 11.73 | ||||||||||
Class C: | ||||||||||||||||||||
Net assets per class | $ | 3,184,139 | — | — | — | — | ||||||||||||||
Shares outstanding | 336,409 | — | — | — | — | |||||||||||||||
Net asset value, offering and redemption price per share | $ | 9.47 | — | — | — | — | ||||||||||||||
Class Z: | ||||||||||||||||||||
Net Assets | $ | 18,372,957 | — | $ | 108,021 | $ | 100,277,242 | $ | 84,361,468 | |||||||||||
Shares outstanding | 1,934,136 | — | 10,978 | 3,354,072 | 7,186,029 | |||||||||||||||
Net asset value, offering and redemption price per share | $ | 9.50 | — | $ | 9.84 | $ | 29.90 | $ | 11.74 |
The accompanying notes are an integral part of these financial statements.
29
Table of Contents
Statement of Operations (unaudited)
For the six months ended June 30, 2018
AMG GW&K Enhanced Core Bond Fund | AMG GW&K Municipal Bond Fund | AMG GW&K Municipal Enhanced Yield Fund | AMG GW&K Small Cap Core Fund | AMG GW&K Small/Mid Cap Fund | ||||||||||||||||
Investment Income: | ||||||||||||||||||||
Dividend income | $ | 7,294 | $ | 123,572 | $ | 43,625 | $ | 2,828,701 | $ | 637,132 | ||||||||||
Interest income | 680,405 | 11,362,163 | 4,054,209 | 1,067 | — | |||||||||||||||
Securities lending income | 889 | — | — | 33,151 | 4,634 | |||||||||||||||
Foreign withholding tax | — | — | — | (11,650 | ) | (2,267 | ) | |||||||||||||
Total investment income | 688,588 | 11,485,735 | 4,097,834 | 2,851,269 | 639,499 | |||||||||||||||
Expenses: | ||||||||||||||||||||
Investment advisory and management fees | 65,814 | 1,100,910 | 495,709 | 1,911,704 | 368,831 | |||||||||||||||
Administrative fees | 32,907 | 793,140 | 165,236 | 409,651 | 85,115 | |||||||||||||||
Distribution fees - Class N | 19,041 | 32,855 | 6,026 | 31,445 | 108 | |||||||||||||||
Distribution fees - Class C | 18,943 | — | — | — | — | |||||||||||||||
Shareholder servicing fees - Class N | — | 14,907 | 3,616 | 16,437 | — | |||||||||||||||
Shareholder servicing fees - Class I | 1,328 | 257,809 | 50,616 | 104,092 | 17,847 | |||||||||||||||
Registration fees | 30,721 | 43,694 | 34,128 | 41,142 | 29,236 | |||||||||||||||
Professional fees | 24,822 | 49,079 | 24,710 | 29,280 | 18,222 | |||||||||||||||
Custodian fees | 10,125 | 39,678 | 11,424 | 17,096 | 7,673 | |||||||||||||||
Reports to shareholders | 9,361 | 28,485 | 6,860 | 21,909 | 1,727 | |||||||||||||||
Transfer agent fees | 2,001 | 12,471 | 2,379 | 10,103 | 667 | |||||||||||||||
Trustee fees and expenses | 1,472 | 33,462 | 7,148 | 16,791 | 2,680 | |||||||||||||||
Miscellaneous | 2,161 | 11,590 | 3,451 | 6,129 | 2,120 | |||||||||||||||
Total expenses before offsets | 218,696 | 2,418,080 | 811,303 | 2,615,779 | 534,226 | |||||||||||||||
Expense reimbursements | (74,082 | ) | (314,726 | ) | (101,115 | ) | (5,900 | ) | (33,119 | ) | ||||||||||
Expense reductions | — | — | — | (5,249 | ) | — | ||||||||||||||
Fee waivers | — | (51,562 | ) | — | — | — | ||||||||||||||
Net expenses | 144,614 | 2,051,792 | 710,188 | 2,604,630 | 501,107 | |||||||||||||||
Net investment income | 543,974 | 9,433,943 | 3,387,646 | 246,639 | 138,392 | |||||||||||||||
Net Realized and Unrealized Gain (Loss): | ||||||||||||||||||||
Net realized gain (loss) on investments | (140,458 | ) | (2,542,909 | ) | 442,682 | 35,790,005 | 1,544,109 | |||||||||||||
Net change in unrealized appreciation/depreciation on investments | (1,496,087 | ) | (19,299,337 | ) | (4,441,013 | ) | (7,829,248 | ) | 163,435 | |||||||||||
Net realized and unrealized gain (loss) | (1,636,545 | ) | (21,842,246 | ) | (3,998,331 | ) | 27,960,757 | 1,707,544 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (1,092,571 | ) | $ | (12,408,303 | ) | $ | (610,685 | ) | $ | 28,207,396 | $ | 1,845,936 |
The accompanying notes are an integral part of these financial statements.
30
Table of Contents
Statements of Changes in Net Assets
For the six months ended June 30, 2018 (unaudited) and the fiscal year ended December 31, 2017
AMG GW&K Enhanced Core Bond Fund | AMG GW&K Municipal Bond Fund | |||||||||||||||
June 30, 2018 | December 31, 20171 | June 30, 2018 | December 31, 20171 | |||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations: | ||||||||||||||||
Net investment income | $ | 543,974 | $ | 1,455,617 | $ | 9,433,943 | $ | 16,341,250 | ||||||||
Net realized gain (loss) on investments | (140,458 | ) | 261,715 | (2,542,909 | ) | 2,781,551 | ||||||||||
Net change in unrealized appreciation/depreciation on investments | (1,496,087 | ) | 1,012,966 | (19,299,337 | ) | 27,347,353 | ||||||||||
Net increase (decrease) in net assets resulting from operations | (1,092,571 | ) | 2,730,298 | (12,408,303 | ) | 46,470,154 | ||||||||||
Distributions to Shareholders: | ||||||||||||||||
From net investment income: | ||||||||||||||||
Class N | (177,890 | ) | (365,057 | ) | (184,433 | ) | (424,272 | ) | ||||||||
Class S2 | — | — | — | (1,030,308 | ) | |||||||||||
Class I | (69,258 | ) | (449,908 | ) | (9,184,686 | ) | (14,934,133 | ) | ||||||||
Class C | (28,676 | ) | (86,218 | ) | — | — | ||||||||||
Class Z | (248,037 | ) | (563,837 | ) | — | — | ||||||||||
From net realized gain on investments: | ||||||||||||||||
Class N | — | — | — | (28,908 | ) | |||||||||||
Class I | — | — | — | (1,027,689 | ) | |||||||||||
Total distributions to shareholders | (523,861 | ) | (1,465,020 | ) | (9,369,119 | ) | (17,445,310 | ) | ||||||||
Capital Share Transactions:3 | ||||||||||||||||
Net increase (decrease) from capital share transactions | (5,213,232 | ) | (65,807,448 | ) | 1,529,733 | 122,965,822 | ||||||||||
Total increase (decrease) in net assets | (6,829,664 | ) | (64,542,170 | ) | (20,247,689 | ) | 151,990,666 | |||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 48,723,676 | 113,265,846 | 1,074,911,707 | 922,921,041 | ||||||||||||
End of period | $ | 41,894,012 | $ | 48,723,676 | $ | 1,054,664,018 | $ | 1,074,911,707 | ||||||||
|
|
|
|
|
|
|
| |||||||||
End of period undistributed net investment income | $ | 20,113 | — | $ | 64,824 | — | ||||||||||
|
|
|
|
|
|
|
|
1 | Effective February 27, 2017, the Funds’ share classes were renamed as described in Note 1 of the Notes to the Financial Statements. |
2 | Effective June 23, 2017, Class S shares were converted into Class I shares. |
3 | See Note 1(g) of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
31
Table of Contents
Statements of Changes in Net Assets (continued)
For the six months ended June 30, 2018 (unaudited) and the fiscal year ended December 31, 2017
AMG GW&K Municipal Enhanced Yield Fund | AMG GW&K Small Cap Core Fund | AMG GW&K Small/Mid Cap Fund | ||||||||||||||||||||||
June 30, 2018 | December 31, 20171 | June 30, 2018 | December 31, 20171 | June 30, 2018 | December 31, 20171 | |||||||||||||||||||
Increase (Decrease) in Net |
| |||||||||||||||||||||||
Net investment income | $ | 3,387,646 | $ | 6,945,956 | $ | 246,639 | $ | 1,044,956 | $ | 138,392 | $ | 36,766 | ||||||||||||
Net realized gain on investments | 442,682 | 1,907,278 | 35,790,005 | 39,398,970 | 1,544,109 | 416,050 | ||||||||||||||||||
Net change in unrealized appreciation/depreciation on investments | (4,441,013 | ) | 12,463,029 | (7,829,248 | ) | 52,180,026 | 163,435 | 1,558,779 | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (610,685 | ) | 21,316,263 | 28,207,396 | 92,623,952 | 1,845,936 | 2,011,595 | |||||||||||||||||
Distributions to Shareholders: |
| |||||||||||||||||||||||
From net investment income: |
| |||||||||||||||||||||||
Class N | (62,804 | ) | (234,480 | ) | — | — | — | — | ||||||||||||||||
Class S2 | — | (193,559 | ) | — | — | — | — | |||||||||||||||||
Class I | (3,292,926 | ) | (6,539,305 | ) | — | (817,532 | ) | — | (26,217 | ) | ||||||||||||||
Class Z | (1,648 | ) | (2,693 | ) | — | (263,165 | ) | — | (10,595 | ) | ||||||||||||||
From net realized gain on investments: |
| |||||||||||||||||||||||
Class N | — | — | — | (1,290,786 | ) | — | (144 | ) | ||||||||||||||||
Class I | — | — | — | (20,845,694 | ) | — | (294,502 | ) | ||||||||||||||||
Class Z | — | — | — | (5,500,223 | ) | — | (92,029 | ) | ||||||||||||||||
Total distributions to shareholders | (3,357,378 | ) | (6,970,037 | ) | — | (28,717,400 | ) | — | (423,487 | ) | ||||||||||||||
Capital Share Transactions:3 |
| |||||||||||||||||||||||
Net increase (decrease) from capital share transactions | (10,171,169 | ) | 5,434,557 | 4,964,415 | 51,017,083 | 97,414,946 | 27,436,973 | |||||||||||||||||
Total increase (decrease) in net assets | (14,139,232 | ) | 19,780,783 | 33,171,811 | 114,923,635 | 99,260,882 | 29,025,081 | |||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 235,573,859 | 215,793,076 | 536,344,942 | 421,421,307 | 31,256,173 | 2,231,092 | ||||||||||||||||||
End of period | $ | 221,434,627 | $ | 235,573,859 | $ | 569,516,753 | $ | 536,344,942 | $ | 130,517,055 | $ | 31,256,173 | ||||||||||||
End of period undistributed net investment income | $ | 30,268 | — | $ | 246,639 | — | $ | 138,392 | — |
1 | Effective February 27, 2017, the Funds’ share classes were renamed as described in Note 1 of the Notes to the Financial Statements. |
2 | Effective June 23, 2017, Class S shares were converted into Class I shares. |
3 | See Note 1(g) of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
32
Table of Contents
AMG GW&K Enhanced Core Bond Fund
For a share outstanding throughout each fiscal period
For the six months ended June 30, 2018 (unaudited) | ||||||||||||||||||||||||
For the fiscal years ended December 31, | ||||||||||||||||||||||||
Class N | 2017 | 2016 | 1 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 9.81 | $ | 9.67 | $ | 9.58 | $ | 10.22 | $ | 9.96 | $ | 11.24 | ||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income2,3 | 0.11 | 0.21 | 0.22 | 0.29 | 0.29 | 0.24 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.34 | ) | 0.15 | 0.09 | (0.64 | ) | 0.26 | (0.21 | ) | |||||||||||||||
Total income (loss) from investment operations | (0.23 | ) | 0.36 | 0.31 | (0.35 | ) | 0.55 | 0.03 | ||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.11 | ) | (0.22 | ) | (0.22 | ) | (0.29 | ) | (0.29 | ) | (0.26 | ) | ||||||||||||
Net realized gain on investments | — | — | — | — | — | (1.05 | ) | |||||||||||||||||
Total distributions to shareholders | (0.11 | ) | (0.22 | ) | (0.22 | ) | (0.29 | ) | (0.29 | ) | (1.31 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 9.47 | $ | 9.81 | $ | 9.67 | $ | 9.58 | $ | 10.22 | $ | 9.96 | ||||||||||||
Total Return3 | (2.34 | )%4,5 | 3.76 | %5 | 3.26 | % | (3.51 | )% | 5.58 | %5 | 0.29 | %5 | ||||||||||||
Ratio of net expenses to average net assets | 0.73 | %6 | 0.75 | % | 0.84 | % | 0.84 | % | 0.84 | % | 0.86 | %7 | ||||||||||||
Ratio of gross expenses to average net assets8 | 1.07 | %6 | 1.04 | % | 1.05 | % | 1.07 | % | 1.09 | % | 1.08 | %7 | ||||||||||||
Ratio of net investment income to average net assets3 | 2.41 | %6 | 2.19 | % | 2.27 | % | 2.87 | % | 2.82 | % | 2.14 | %7 | ||||||||||||
Portfolio turnover | 16 | %4 | 39 | % | 88 | % | 57 | % | 22 | % | 43 | % | ||||||||||||
Net assets end of period (000’s) omitted | $ | 14,519 | $ | 16,027 | $ | 16,115 | $ | 20,203 | $ | 27,444 | $ | 32,009 | ||||||||||||
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33
Table of Contents
AMG GW&K Enhanced Core Bond Fund
Financial Highlights
For a share outstanding throughout each fiscal period
For the six months ended June 30, 2018 (unaudited) | ||||||||||||||||||||||||
For the fiscal years ended December 31, | ||||||||||||||||||||||||
Class I | 2017 | 9 | 2016 | 1 | 2015 | 2014 | 2013 | |||||||||||||||||
Net Asset Value, Beginning of Period | $ | 9.85 | $ | 9.70 | $ | 9.62 | $ | 10.26 | $ | 9.99 | $ | 11.28 | ||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income2,3 | 0.12 | 0.23 | 0.24 | 0.30 | 0.31 | 0.26 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.35 | ) | 0.16 | 0.08 | (0.63 | ) | 0.27 | (0.22 | ) | |||||||||||||||
Total income (loss) from investment operations | (0.23 | ) | 0.39 | 0.32 | (0.33 | ) | 0.58 | 0.04 | ||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.12 | ) | (0.24 | ) | (0.24 | ) | (0.31 | ) | (0.31 | ) | (0.28 | ) | ||||||||||||
Net realized gain on investments | — | — | — | — | — | (1.05 | ) | |||||||||||||||||
Total distributions to shareholders | (0.12 | ) | (0.24 | ) | (0.24 | ) | (0.31 | ) | (0.31 | ) | (1.33 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 9.50 | $ | 9.85 | $ | 9.70 | $ | 9.62 | $ | 10.26 | $ | 9.99 | ||||||||||||
Total Return3,5 | (2.33 | )%4 | 4.03 | % | 3.31 | % | (3.30 | )% | 5.84 | % | 0.41 | % | ||||||||||||
Ratio of net expenses to average net assets | 0.53 | %6 | 0.61 | % | 0.69 | % | 0.67 | % | 0.65 | % | 0.69 | %7 | ||||||||||||
Ratio of gross expenses to average net assets8 | 0.87 | %6 | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.91 | %7 | ||||||||||||
Ratio of net investment income to average net assets3 | 2.61 | %6 | 2.32 | % | 2.39 | % | 2.96 | % | 3.00 | % | 2.31 | %7 | ||||||||||||
Portfolio turnover | 16 | %4 | 39 | % | 88 | % | 57 | % | 22 | % | 43 | % | ||||||||||||
Net assets end of period (000’s) omitted | $ | 5,818 | $ | 6,864 | $ | 37,952 | $ | 7,463 | $ | 2,480 | $ | 1,563 | ||||||||||||
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34
Table of Contents
AMG GW&K Enhanced Core Bond Fund
Financial Highlights
For a share outstanding throughout each fiscal period
For the six months ended June 30, 2018 | For the fiscal year ended December 31, | |||||||||||||||||||||||
Class C | (unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 9.81 | $ | 9.66 | $ | 9.57 | $ | 10.20 | $ | 9.94 | $ | 11.22 | ||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income2,3 | 0.08 | 0.14 | 0.15 | 0.21 | 0.21 | 0.15 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.35 | ) | 0.16 | 0.08 | (0.63 | ) | 0.26 | (0.20 | ) | |||||||||||||||
Total income (loss) from investment operations | (0.27 | ) | 0.30 | 0.23 | (0.42 | ) | 0.47 | (0.05 | ) | |||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.07 | ) | (0.15 | ) | (0.14 | ) | (0.21 | ) | (0.21 | ) | (0.18 | ) | ||||||||||||
Net realized gain on investments | — | — | — | — | — | (1.05 | ) | |||||||||||||||||
Total distributions to shareholders | (0.07 | ) | (0.15 | ) | (0.14 | ) | (0.21 | ) | (0.21 | ) | (1.23 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 9.47 | $ | 9.81 | $ | 9.66 | $ | 9.57 | $ | 10.20 | $ | 9.94 | ||||||||||||
Total Return3 | (2.71 | )%4,5 | 3.08 | %5 | 2.40 | %5 | (4.15 | )% | 4.79 | %5 | (0.50 | )% | ||||||||||||
Ratio of net expenses to average net assets | 1.48 | %6 | 1.50 | % | 1.59 | % | 1.59 | % | 1.59 | % | 1.61 | %7 | ||||||||||||
Ratio of gross expenses to average net assets8 | 1.82 | %6 | 1.79 | % | 1.80 | % | 1.82 | % | 1.84 | % | 1.83 | %7 | ||||||||||||
Ratio of net investment income to average net assets3 | 1.66 | %6 | 1.43 | % | 1.53 | % | 2.12 | % | 2.07 | % | 1.38 | %7 | ||||||||||||
Portfolio turnover | 16 | %4 | 39 | % | 88 | % | 57 | % | 22 | % | 43 | % | ||||||||||||
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Net assets end of period (000’s) omitted | $ | 3,184 | $ | 4,561 | $ | 7,842 | $ | 11,031 | $ | 15,927 | $ | 20,793 | ||||||||||||
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35
Table of Contents
AMG GW&K Enhanced Core Bond Fund
Financial Highlights
For a share outstanding throughout each fiscal period
For the six months ended June 30, 2018 | For the fiscal year ended December 31, | |||||||||||||||||||||||
Class Z | (unaudited) | 20179 | 20161 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 9.84 | $ | 9.70 | $ | 9.61 | $ | 10.25 | $ | 9.99 | $ | 11.28 | ||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income2,3 | 0.13 | 0.24 | 0.25 | 0.31 | 0.31 | 0.27 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.35 | ) | 0.15 | 0.09 | (0.63 | ) | 0.27 | (0.22 | ) | |||||||||||||||
Total income (loss) from investment operations | (0.22 | ) | 0.39 | 0.34 | (0.32 | ) | 0.58 | 0.05 | ||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.12 | ) | (0.25 | ) | (0.25 | ) | (0.32 | ) | (0.32 | ) | (0.29 | ) | ||||||||||||
Net realized gain on investments | — | — | — | — | — | (1.05 | ) | |||||||||||||||||
Total distributions to shareholders | (0.12 | ) | (0.25 | ) | (0.25 | ) | (0.32 | ) | (0.32 | ) | (1.34 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 9.50 | $ | 9.84 | $ | 9.70 | $ | 9.61 | $ | 10.25 | $ | 9.99 | ||||||||||||
Total Return3 | (2.21 | )%4,5 | 4.01 | %5 | 3.52 | % | (3.15 | )%5 | 5.85 | %5 | 0.46 | %5 | ||||||||||||
Ratio of net expenses to average net assets | 0.48 | %6 | 0.50 | % | 0.59 | % | 0.59 | % | 0.59 | % | 0.61 | %7 | ||||||||||||
Ratio of gross expenses to average net assets8 | 0.82 | %6 | 0.79 | % | 0.80 | % | 0.82 | % | 0.84 | % | 0.83 | %7 | ||||||||||||
Ratio of net investment income to average net assets3 | 2.66 | %6 | 2.43 | % | 2.51 | % | 3.10 | % | 3.05 | % | 2.39 | %7 | ||||||||||||
Portfolio turnover | 16 | %4 | 39 | % | 88 | % | 57 | % | 22 | % | 43 | % | ||||||||||||
Net assets end of period (000’s) omitted | $ | 18,373 | $ | 21,271 | $ | 51,357 | $ | 47,402 | $ | 41,968 | $ | 59,182 | ||||||||||||
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1 | Effective October 1, 2016, the Investor Class, Service Class and Institutional Class were renamed Class N, Class S and Class I, respectively. |
2 | Per share numbers have been calculated using average shares. |
3 | Total returns and net investment income would have been lower had certain expenses not been offset. |
4 | Not annualized. |
5 | The total return is calculated using the published Net Asset Value as of period end. |
6 | Annualized. |
7 | Includes non-routine extraordinary expenses amounting to 0.021%, 0.016%, 0.021% and 0.020% of average net assets for the Class N, Class I, Class C and Class Z, respectively. |
8 | Excludes the impact of expense reimbursement or fee waivers and expense reductions such as brokerage credits, but includes expense repayments and non-reimbursable expenses, if any, such as interest, taxes, and extraordinary expenses. (See Note 1(c) and 2 in the Notes to Financial Statements.) |
9 | Effective February 27, 2017, Class I shares were renamed Class Z and Class S shares were renamed Class I. |
36
Table of Contents
AMG GW&K Municipal Bond Fund
Financial Highlights
For a share outstanding throughout each fiscal period
For the six months ended June 30, 2018 | For the fiscal years ended December 31, | |||||||||||||||||||||||
Class N | (unaudited) | 2017 | 20161 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 11.60 | $ | 11.25 | $ | 11.70 | $ | 11.61 | $ | 11.02 | $ | 11.52 | ||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income2,3 | 0.08 | 0.15 | 0.13 | 0.15 | 0.18 | 0.18 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.23 | ) | 0.36 | (0.25 | ) | 0.24 | 0.63 | (0.47 | ) | |||||||||||||||
Total income (loss) from investment operations | (0.15 | ) | 0.51 | (0.12 | ) | 0.39 | 0.81 | (0.29 | ) | |||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.08 | ) | (0.15 | ) | (0.12 | ) | (0.15 | ) | (0.18 | ) | (0.17 | ) | ||||||||||||
Net realized gain on investments | — | (0.01 | ) | (0.21 | ) | (0.15 | ) | (0.04 | ) | (0.04 | ) | |||||||||||||
Total distributions to shareholders | (0.08 | ) | (0.16 | ) | (0.33 | ) | (0.30 | ) | (0.22 | ) | (0.21 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 11.37 | $ | 11.60 | $ | 11.25 | $ | 11.70 | $ | 11.61 | $ | 11.02 | ||||||||||||
Total Return3 | (1.27 | )%4,5 | 4.58 | %5 | (1.05 | )%5 | 3.36 | %5 | 7.39 | %5 | (2.51 | )% | ||||||||||||
Ratio of net expenses to average net assets | 0.70 | %6 | 0.71 | % | 0.71 | % | 0.82 | % | 0.80 | % | 0.81 | %7 | ||||||||||||
Ratio of gross expenses to average net assets8 | 0.76 | %6 | 0.78 | % | 0.95 | % | 1.13 | % | 1.12 | % | 1.17 | %7 | ||||||||||||
Ratio of net investment income to average net assets3 | 1.48 | %6 | 1.31 | % | 1.08 | % | 1.28 | % | 1.55 | % | 1.56 | %7 | ||||||||||||
Portfolio turnover | 16 | %4 | 27 | % | 66 | % | 78 | % | 31 | % | 28 | % | ||||||||||||
Net assets end of period (000’s) omitted | $ | 20,491 | $ | 29,513 | $ | 31,406 | $ | 27,362 | $ | 23,572 | $ | 28,655 | ||||||||||||
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37
Table of Contents
AMG GW&K Municipal Bond Fund
Financial Highlights
For a share outstanding throughout each fiscal period
For the six months ended June 30, 2018 | For the fiscal years ended December 31, | |||||||||||||||||||||||
Class I | (unaudited) | 20179 | 20161 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 11.66 | $ | 11.31 | $ | 11.77 | $ | 11.67 | $ | 11.08 | $ | 11.58 | ||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income2,3 | 0.10 | 0.19 | 0.17 | 0.21 | 0.23 | 0.23 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.23 | ) | 0.36 | (0.25 | ) | 0.24 | 0.63 | (0.47 | ) | |||||||||||||||
Total income (loss) from investment operations | (0.13 | ) | 0.55 | (0.08 | ) | 0.45 | 0.86 | (0.24 | ) | |||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.10 | ) | (0.19 | ) | (0.17 | ) | (0.20 | ) | (0.23 | ) | (0.22 | ) | ||||||||||||
Net realized gain on investments | — | (0.01 | ) | (0.21 | ) | (0.15 | ) | (0.04 | ) | (0.04 | ) | |||||||||||||
Total distributions to shareholders | (0.10 | ) | (0.20 | ) | (0.38 | ) | (0.35 | ) | (0.27 | ) | (0.26 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 11.43 | $ | 11.66 | $ | 11.31 | $ | 11.77 | $ | 11.67 | $ | 11.08 | ||||||||||||
Total Return3,5 | (1.10 | )%4 | 4.90 | % | (0.70 | )% | 3.94 | % | 7.80 | % | (2.02 | )% | ||||||||||||
Ratio of net expenses to average net assets | 0.38 | %6 | 0.37 | % | 0.34 | % | 0.34 | % | 0.34 | % | 0.36 | %7 | ||||||||||||
Ratio of gross expenses to average net assets8 | 0.45 | %6 | 0.45 | % | 0.58 | % | 0.65 | % | 0.66 | % | 0.72 | %7 | ||||||||||||
Ratio of net investment income to average net assets3 | 1.79 | %6 | 1.64 | % | 1.45 | % | 1.76 | % | 2.00 | % | 2.01 | %7 | ||||||||||||
Portfolio turnover | 16 | %4 | 27 | % | 66 | % | 78 | % | 31 | % | 28 | % | ||||||||||||
Net assets end of period (000’s) omitted | $ | 1,034,173 | $ | 1,045,399 | $ | 728,365 | $ | 655,760 | $ | 393,581 | $ | 204,711 | ||||||||||||
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|
1 | Effective October 1, 2016, the Investor Class, Service Class and Institutional Class were renamed Class N, Class S and Class I, respectively. |
2 | Per share numbers have been calculated using average shares. |
3 | Total returns and net investment income would have been lower had certain expenses not been offset. |
4 | Not annualized. |
5 | The total return is calculated using the published Net Asset Value as of period end. |
6 | Annualized. |
7 | Includes non-routine extraordinary expenses amounting to 0.021% and 0.020% of average net assets for the Class N and Class I, respectively. |
8 | Excludes the impact of expense reimbursement or fee waivers and expense reductions such as brokerage credits, but includes expense repayments and non-reimbursable expenses, if any, such as interest, taxes, and extraordinary expenses. (See Note 1(c) and 2 in the Notes to Financial Statements.) |
9 | Effective June 23, 2017, Class S shares were converted to Class I shares. |
38
Table of Contents
AMG GW&K Municipal Enhanced Yield Fund
Financial Highlights
For a share outstanding throughout each fiscal period
For the six months ended June 30, 2018 | For the fiscal years ended December 31, | |||||||||||||||||||||||
Class N | (unaudited) | 2017 | 20161 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.02 | $ | 9.40 | $ | 10.08 | $ | 10.16 | $ | 8.98 | $ | 10.24 | ||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income2,3 | 0.13 | 0.26 | 0.25 | 0.30 | 0.34 | 0.35 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.18 | ) | 0.62 | (0.23 | ) | 0.05 | 1.18 | (1.18 | ) | |||||||||||||||
Total income (loss) from investment operations | (0.05 | ) | 0.88 | 0.02 | 0.35 | 1.52 | (0.83 | ) | ||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.13 | ) | (0.26 | ) | (0.25 | ) | (0.30 | ) | (0.34 | ) | (0.36 | ) | ||||||||||||
Net realized gain on investments | — | — | (0.45 | ) | (0.13 | ) | — | (0.07 | ) | |||||||||||||||
Total distributions to shareholders | (0.13 | ) | (0.26 | ) | (0.70 | ) | (0.43 | ) | (0.34 | ) | (0.43 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 9.84 | $ | 10.02 | $ | 9.40 | $ | 10.08 | $ | 10.16 | $ | 8.98 | ||||||||||||
Total Return3 | (0.47 | )%4,5 | 9.51 | % | 0.10 | %5 | 3.57 | %5 | 17.14 | %5 | (8.27 | )% | ||||||||||||
Ratio of net expenses to average net assets | 0.99 | %6 | 1.01 | % | 1.14 | % | 1.07 | % | 1.00 | % | 1.12 | %7 | ||||||||||||
Ratio of gross expenses to average net assets8 | 1.08 | %6 | 1.11 | % | 1.30 | % | 1.25 | % | 1.19 | % | 1.30 | %7 | ||||||||||||
Ratio of net investment income to average net assets3 | 2.73 | %6 | 2.67 | % | 2.38 | % | 2.98 | % | 3.46 | % | 3.58 | %7 | ||||||||||||
Portfolio turnover | 42 | %4 | 67 | % | 172 | % | 120 | % | 83 | % | 52 | % | ||||||||||||
Net assets end of period (000’s) omitted | $ | 3,719 | $ | 8,828 | $ | 4,184 | $ | 5,500 | $ | 8,507 | $ | 8,030 | ||||||||||||
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39
Table of Contents
AMG GW&K Municipal Enhanced Yield Fund
Financial Highlights
For a share outstanding throughout each fiscal period
For the six | ||||||||||||||||||||||||
months ended June 30, 2018 | For the fiscal years ended December 31, | |||||||||||||||||||||||
Class I | (unaudited) | 20179 | 20161 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.01 | $ | 9.40 | $ | 10.07 | $ | 10.14 | $ | 8.97 | $ | 10.22 | ||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income2,3 | 0.15 | 0.30 | 0.30 | 0.34 | 0.37 | 0.39 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.17 | ) | 0.61 | (0.22 | ) | 0.07 | 1.17 | (1.17 | ) | |||||||||||||||
Total income (loss) from investment operations | (0.02 | ) | 0.91 | 0.08 | 0.41 | 1.54 | (0.78 | ) | ||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.15 | ) | (0.30 | ) | (0.30 | ) | (0.35 | ) | (0.37 | ) | (0.40 | ) | ||||||||||||
Net realized gain on investments | — | — | (0.45 | ) | (0.13 | ) | — | (0.07 | ) | |||||||||||||||
Total distributions to shareholders | (0.15 | ) | (0.30 | ) | (0.75 | ) | (0.48 | ) | (0.37 | ) | (0.47 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 9.84 | $ | 10.01 | $ | 9.40 | $ | 10.07 | $ | 10.14 | $ | 8.97 | ||||||||||||
Total Return3,5 | (0.19 | )%4 | 9.79 | % | 0.70 | % | 4.15 | % | 17.45 | % | (7.80 | )% | ||||||||||||
Ratio of net expenses to average net assets | 0.64 | %6 | 0.64 | % | 0.64 | % | 0.64 | % | 0.64 | % | 0.66 | %7 | ||||||||||||
Ratio of gross expenses to average net assets8 | 0.73 | %6 | 0.74 | % | 0.80 | % | 0.82 | % | 0.83 | % | 0.84 | %7 | ||||||||||||
Ratio of net investment income to average net assets3 | 3.08 | %6 | 3.05 | % | 2.89 | % | 3.42 | % | 3.83 | % | 4.08 | %7 | ||||||||||||
Portfolio turnover | 42 | %4 | 67 | % | 172 | % | 120 | % | 83 | % | 52 | % | ||||||||||||
Net assets end of period (000’s) omitted | $ | 217,607 | $ | 226,638 | $ | 195,193 | $ | 212,057 | $ | 226,284 | $ | 201,161 | ||||||||||||
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40
Table of Contents
AMG GW&K Municipal Enhanced Yield Fund
Financial Highlights
For a share outstanding throughout each fiscal period
For the six | For the fiscal | |||||||
months ended June 30, 2018 | period ended December 31, | |||||||
Class Z | (unaudited) | 201710 | ||||||
Net Asset Value, Beginning of Period | $ | 10.01 | $ | 9.49 | ||||
Income (loss) from Investment Operations: | ||||||||
Net investment income2,3 | 0.15 | 0.25 | ||||||
Net realized and unrealized gain (loss) on investments | (0.17 | ) | 0.52 | |||||
Total income (loss) from investment operations | (0.02 | ) | 0.77 | |||||
Less Distributions to Shareholders from: | ||||||||
Net investment income | (0.15 | ) | (0.25 | ) | ||||
Total distributions to shareholders | (0.15 | ) | (0.25 | ) | ||||
Net Asset Value, End of Period | $ | 9.84 | $ | 10.01 | ||||
Total Return3,5 | (0.17 | )%4 | 8.23 | %4 | ||||
Ratio of net expenses to average net assets | 0.59 | %6 | 0.59 | %6 | ||||
Ratio of gross expenses to average net assets8 | 0.68 | %6 | 0.69 | %6 | ||||
Ratio of net investment income to average net assets3 | 3.13 | %6 | 3.07 | %6 | ||||
Portfolio turnover | 42 | %4 | 67 | % | ||||
Net assets end of period (000’s) omitted | $ | 108 | $ | 108 | ||||
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|
1 | Effective October 1, 2016, the Investor Class, Service Class and Institutional Class were renamed Class N, Class S and Class I, respectively. |
2 | Per share numbers have been calculated using average shares. |
3 | Total returns and net investment income would have been lower had certain expenses not been offset. |
4 | Not annualized. |
5 | The total return is calculated using the published Net Asset Value as of period end. |
6 | Annualized. |
7 | Includes non-routine extraordinary expenses amounting to 0.024% and 0.023% of average net assets for the Class N and Class I, respectively. |
8 | Excludes the impact of expense reimbursement or fee waivers and expense reductions such as brokerage credits, but includes expense repayments and non-reimbursable expenses, if any, such as interest, taxes, and extraordinary expenses. (See Note 1(c) and 2 in the Notes to Financial Statements.) |
9 | Effective June 23, 2017, Class S shares were converted to Class I shares. |
10 | Commencement of operations was on February 27, 2017. |
41
Table of Contents
AMG GW&K Small Cap Core Fund
Financial Highlights
For a share outstanding throughout each fiscal period
For the six | ||||||||||||||||||||||||
months ended June 30, 2018 | For the fiscal years ended December 31, | |||||||||||||||||||||||
Class N | (unaudited) | 2017 | 20161 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 28.04 | $ | 24.57 | $ | 21.80 | $ | 23.39 | $ | 24.34 | $ | 17.72 | ||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)2,3 | (0.03 | ) | (0.06 | )4 | 0.00 | 5,6 | (0.06 | )7 | (0.07 | )8 | (0.07 | )9 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 1.43 | 5.06 | 3.81 | (0.64 | ) | 0.46 | 7.56 | |||||||||||||||||
Total income (loss) from investment operations | 1.40 | 5.00 | 3.81 | (0.70 | ) | 0.39 | 7.49 | |||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||
Net realized gain on investments | — | (1.53 | ) | (1.04 | ) | (0.89 | ) | (1.34 | ) | (0.87 | ) | |||||||||||||
Total distributions to shareholders | — | (1.53 | ) | (1.04 | ) | (0.89 | ) | (1.34 | ) | (0.87 | ) | |||||||||||||
Net Asset Value, End of Period | $ | 29.44 | $ | 28.04 | $ | 24.57 | $ | 21.80 | $ | 23.39 | $ | 24.34 | ||||||||||||
Total Return3,10 | 4.99 | %11 | 20.32 | % | 17.44 | % | (3.02 | )% | 1.53 | % | 42.26 | % | ||||||||||||
Ratio of net expenses to average net assets12 | 1.28 | %13 | 1.32 | % | 1.33 | % | 1.35 | % | 1.42 | % | 1.37 | %14 | ||||||||||||
Ratio of gross expenses to average net assets15 | 1.28 | %13 | 1.33 | % | 1.42 | % | 1.46 | % | 1.53 | % | 1.50 | %14 | ||||||||||||
Ratio of net investment income (loss) to average net assets3 | (0.24 | )%13 | (0.21 | )% | 0.01 | % | (0.24 | )% | (0.28 | )% | (0.32 | )%14 | ||||||||||||
Portfolio turnover | 12 | %11 | 23 | % | 19 | % | 16 | % | 26 | % | 19 | % | ||||||||||||
Net assets end of period (000’s) omitted | $ | 25,401 | $ | 24,989 | $ | 35,760 | $ | 35,691 | $ | 37,995 | $ | 69,992 | ||||||||||||
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42
Table of Contents
AMG GW&K Small Cap Core Fund
Financial Highlights
For a share outstanding throughout each fiscal period
For the six | ||||||||||||||||||||||||
months ended June 30, 2018 | For the fiscal years ended December 31, | |||||||||||||||||||||||
Class I | (unaudited) | 201716 | 20161 | 2015 | 2014 | 2013 | ||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 28.42 | $ | 24.84 | $ | 22.04 | $ | 23.61 | $ | 24.49 | $ | 17.76 | ||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income2,3 | 0.01 | 0.07 | 4 | 0.10 | 6 | 0.04 | 7 | 0.07 | 8 | 0.02 | 9 | |||||||||||||
Net realized and unrealized gain (loss) on investments | 1.45 | 5.10 | 3.86 | (0.65 | ) | 0.44 | 7.58 | |||||||||||||||||
Total income (loss) from investment operations | 1.46 | 5.17 | 3.96 | (0.61 | ) | 0.51 | 7.60 | |||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||
Net investment income | — | (0.06 | ) | (0.10 | ) | (0.05 | ) | (0.04 | ) | — | ||||||||||||||
Net realized gain on investments | — | (1.53 | ) | (1.06 | ) | (0.91 | ) | (1.35 | ) | (0.87 | ) | |||||||||||||
Total distributions to shareholders | — | (1.59 | ) | (1.16 | ) | (0.96 | ) | (1.39 | ) | (0.87 | ) | |||||||||||||
Net Asset Value, End of Period | $ | 29.88 | $ | 28.42 | $ | 24.84 | $ | 22.04 | $ | 23.61 | $ | 24.49 | ||||||||||||
Total Return3 | 5.14 | %10,11 | 20.79 | %10 | 17.90 | %10 | (2.63 | )%10 | 2.04 | %10 | 42.81 | % | ||||||||||||
Ratio of net expenses to average net assets12 | 0.95 | %13 | 0.95 | % | 0.94 | % | 0.95 | % | 0.95 | % | 0.97 | %14 | ||||||||||||
Ratio of gross expenses to average net assets15 | 0.95 | %13 | 0.96 | % | 1.03 | % | 1.06 | % | 1.07 | % | 1.10 | %14 | ||||||||||||
Ratio of net investment income to average net assets3 | 0.09 | %13 | 0.24 | % | 0.43 | % | 0.17 | % | 0.30 | % | 0.07 | %14 | ||||||||||||
Portfolio turnover | 12 | %11 | 23 | % | 19 | % | 16 | % | 26 | % | 19 | % | ||||||||||||
Net assets end of period (000’s) omitted | $ | 443,839 | $ | 403,309 | $ | 367,972 | $ | 302,381 | $ | 291,301 | $ | 168,854 | ||||||||||||
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43
Table of Contents
AMG GW&K Small Cap Core Fund
Financial Highlights
For a share outstanding throughout each fiscal period
For the six months ended June 30, 2018 | For the fiscal period ended December 31, | |||||||
Class Z | (unaudited) | 201717 | ||||||
Net Asset Value, Beginning of Period | $ | 28.42 | $ | 26.13 | ||||
Income from Investment Operations: | ||||||||
Net investment income2,3 | 0.02 | 0.14 | 4 | |||||
Net realized and unrealized gain on investments | 1.46 | 3.75 | ||||||
Total income from investment operations | 1.48 | 3.89 | ||||||
Less Distributions to Shareholders from: | ||||||||
Net investment income | — | (0.07 | ) | |||||
Net realized gain on investments | — | (1.53 | ) | |||||
Total distributions to shareholders | — | (1.60 | ) | |||||
Net Asset Value, End of Period | $ | 29.90 | $ | 28.42 | ||||
Total Return3,10 | 5.21 | %11 | 14.87 | %11 | ||||
Ratio of net expenses to average net assets12 | 0.90 | %13 | 0.90 | %13 | ||||
Ratio of gross expenses to average net assets15 | 0.90 | %13 | 0.91 | %13 | ||||
Ratio of net investment income to average net assets3 | 0.14 | %13 | 0.56 | %13 | ||||
Portfolio turnover | 12 | %11 | 23 | % | ||||
Net assets end of period (000’s) omitted | $ | 100,277 | $ | 108,047 | ||||
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1 | Effective October 1, 2016, the Investor Class, Service Class and Institutional Class were renamed Class N, Class S and Class I, respectively. |
2 | Per share numbers have been calculated using average shares. |
3 | Total returns and net investment income would have been lower had certain expenses not been offset. |
4 | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $(0.12), $0.01, and $0.09 for Class N, Class I and Class Z shares, respectively. |
5 | Less than $0.005 per share. |
6 | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $(0.06) and $0.04 for Class N and Class I, respectively. |
7 | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $(0.05) and $0.05 for the Class N, and Class l, respectively. |
8 | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $(0.11) and $0.03 for Class N, and Class l shares, respectively. |
9 | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $(0.09) and $0.00 for the Class N, and Class l respectively. |
10 | The total return is calculated using the published Net Asset Value as of period end. |
11 | Not annualized. |
12 | Includes reduction from broker recapture amounting to less than 0.01% for the six months ended June 30, 2018 and period ended December 31, 2017. |
13 | Annualized. |
14 | Includes non-routine extraordinary expenses amounting to 0.015% and 0.018% of average net assets for the Class N and Class I, respectively. |
15 | Excludes the impact of expense reimbursement or fee waivers and expense reductions such as brokerage credits, but includes expense repayments and non-reimbursable expenses, if any, such as interest, taxes, and extraordinary expenses. (See Note 1(c) and 2 in the Notes to Financial Statements.) |
16 | Effective June 23, 2017, Class S shares were converted to Class I shares. |
17 | Commencement of operations was on February 27, 2017. |
44
Table of Contents
AMG GW&K Small/Mid Cap Fund
Financial Highlights
For a share outstanding throughout each fiscal period
For the six months ended June 30, 2018 | For the fiscal period ended December 31, | |||||||
Class N | (unaudited) | 20171 | ||||||
Net Asset Value, Beginning of Period | $ | 11.15 | $ | 10.35 | ||||
Income from Investment Operations: | ||||||||
Net investment income2,3 | 0.00 | 4 | 0.01 | 5 | ||||
Net realized and unrealized gain on investments | 0.57 | 0.94 | ||||||
Total income from investment operations | 0.57 | 0.95 | ||||||
Less Distributions to Shareholders from: | ||||||||
Net realized gain on investments | — | (0.15 | ) | |||||
Total distributions to shareholders | — | (0.15 | ) | |||||
Net Asset Value, End of Period | $ | 11.72 | $ | 11.15 | ||||
Total Return3,6 | 5.11 | %7 | 9.17 | %7 | ||||
Ratio of net expenses to average net assets8 | 1.10 | %9 | 1.10 | %9 | ||||
Ratio of gross expenses to average net assets10 | 1.16 | %9 | 1.71 | %9 | ||||
Ratio of net investment income to average net assets3 | 0.03 | %9 | 0.12 | %9 | ||||
Portfolio turnover | 39 | %7 | 38 | % | ||||
Net assets end of period (000’s) omitted | $ | 102 | $ | 11 | ||||
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Table of Contents
AMG GW&K Small/Mid Cap Fund
Financial Highlights
For a share outstanding throughout each fiscal period
For the six | For the fiscal | |||||||||||||||
months ended June 30, 2018 | For the fiscal years ended December 31, | period ended December 31, | ||||||||||||||
Class I | (unaudited) | 2017 | 201611 | 201512 | ||||||||||||
Net Asset Value, Beginning of Period | $ | 11.15 | $ | 9.80 | $ | 8.95 | $ | 10.00 | ||||||||
Income (loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss)2,3 | 0.01 | 0.03 | 5 | (0.03 | ) | (0.02 | ) | |||||||||
Net realized and unrealized gain (loss) on investments | 0.57 | 1.48 | 0.89 | (1.03 | ) | |||||||||||
Total income (loss) from investment operations | 0.58 | 1.51 | 0.86 | (1.05 | ) | |||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||
Net investment income | — | (0.01 | ) | (0.01 | ) | — | ||||||||||
Net realized gain on investments | — | (0.15 | ) | — | — | |||||||||||
Total distributions to shareholders | — | (0.16 | ) | (0.01 | ) | — | ||||||||||
Net Asset Value, End of Period | $ | 11.73 | $ | 11.15 | $ | 9.80 | $ | 8.95 | ||||||||
Total Return3 | 5.20 | %6,7 | 15.44 | %6 | 9.55 | % | (10.50 | )%6,7 | ||||||||
Ratio of net expenses to average net assets8 | 0.95 | %9 | 0.94 | % | 0.95 | % | 0.95 | %9 | ||||||||
Ratio of gross expenses to average net assets10 | 1.01 | %9 | 1.62 | % | 4.60 | % | 11.39 | %9 | ||||||||
Ratio of net investment income (loss) to average net assets3 | 0.18 | %9 | 0.26 | % | (0.38 | )% | (0.39 | )%9 | ||||||||
Portfolio turnover | 39 | %7 | 38 | % | 48 | % | 41 | %7 | ||||||||
Net assets end of period (000’s) omitted | $ | 46,054 | $ | 24,266 | $ | 2 | $ | 1 | ||||||||
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Table of Contents
AMG GW&K Small/Mid Cap Fund
Financial Highlights
For a share outstanding throughout each fiscal period
For the six months ended June 30, 2018 | For the fiscal period ended December 31, | |||||||
Class Z | (unaudited) | 20171 | ||||||
Net Asset Value, Beginning of Period | $ | 11.15 | $ | 10.35 | ||||
Income from Investment Operations: | ||||||||
Net investment income2,3 | 0.02 | 0.03 | 5 | |||||
Net realized and unrealized gain on investments | 0.57 | 0.94 | ||||||
Total income from investment operations | 0.59 | 0.97 | ||||||
Less Distributions to Shareholders from: | ||||||||
Net investment income | — | (0.02 | ) | |||||
Net realized gain on investments | — | (0.15 | ) | |||||
Total distributions to shareholders | — | (0.17 | ) | |||||
Net Asset Value, End of Period | $ | 11.74 | $ | 11.15 | ||||
Total Return3,6 | 5.29 | %7 | 9.34 | %7 | ||||
Ratio of net expenses to average net assets8 | 0.85 | %9 | 0.85 | %9 | ||||
Ratio of gross expenses to average net assets10 | 0.91 | %9 | 1.46 | %9 | ||||
Ratio of net investment income to average net assets3 | 0.28 | %9 | 0.37 | %9 | ||||
Portfolio turnover | 39 | %7 | 38 | % | ||||
Net assets end of period (000’s) omitted | $ | 84,361 | $ | 6,980 | ||||
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1 | Commencement of operations was on February 27, 2017. |
2 | Per share numbers have been calculated using average shares. |
3 | Total returns and net investment income would have been lower had certain expenses not been offset. |
4 | Less than $0.005 per share. |
5 | Includes non-recurring dividends. Without these dividends, net investment income per class would have been $(0.01), $0.00, and $0.01 for Class N, Class I and Class Z, respectively. |
6 | The total return is calculated using the published Net Asset Value as of period end. |
7 | Not annualized. |
8 | Includes reduction from broker recapture amounting to less than 0.01% for the fiscal year ended December 31, 2017. |
9 | Annualized. |
10 | Excludes the impact of expense reimbursement or fee waivers and expense reductions such as brokerage credits, but includes expense repayments and non-reimbursable expenses, if any, such as interest, taxes, and extraordinary expenses. (See Note 1(c) and 2 in the Notes to Financial Statements.) |
11 | Effective October 1, 2016, Institutional Class was renamed Class I. |
12 | Commencement of operations was on June 30, 2015. |
47
Table of Contents
Notes to Financial Statements (unaudited)
June 30, 2018
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
AMG Funds and AMG Funds II (the “Trusts”) are open-end management investment companies, organized as Massachusetts business trusts, and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Currently, the Trusts consist of a number of different funds, each having distinct investment management objectives, strategies, risks, and policies. Included in this report are AMG Funds: AMG GW&K Municipal Bond Fund (“Municipal Bond”), AMG GW&K Municipal Enhanced Yield Fund (“Municipal Enhanced”), AMG GW&K Small Cap Core Fund (“Small Cap Core”) and AMG GW&K Small/Mid Cap Fund (“Small/Mid Cap”) and AMG Funds II: AMG GW&K Enhanced Core Bond Fund (“Enhanced Core Bond”), each a “Fund” and collectively, the “Funds.”
Each Fund offers different classes of shares, which, effective February 27, 2017, were renamed. Enhanced Core Bond Class I shares were renamed Class Z and Class S shares were renamed Class I; Municipal Enhanced Yield and Small Cap Core added Class Z shares and Small/Mid Cap added Class N and Class Z shares. Effective June 23, 2017, Municipal Bond, Municipal Enhanced Yield and Small Cap Core Class S shares were converted to Class I shares. Additionally, Enhanced Core Bond offers Class C shares. Each class represents an interest in the same assets of the respective Fund. Although all share classes generally have identical voting rights, each share class votes separately when required by law. Different share classes may have different net asset values per share to the extent the share classes pay different distribution amounts and/or the expenses of such share classes differ. Each share class has its own expense structure. Please refer to a current prospectus for additional information on each share class.
Effective February 27, 2017, the Small/Mid Cap Principal Investment Strategies changed from a small cap growth investment strategy to one that primarily invests in common stock and preferred stock of U.S. small- and mid-capitalization companies with either growth- or value- oriented characteristics.
Class C shares of Enhanced Core Bond were closed to all new investors and will no longer be available for purchase by existing shareholders. Shareholders who redeem Class C shares of the Fund will not be subject to the deferred sales charges because they have been closed for longer than one year as described in the prospectus. Small Cap Core was closed to new investors. Please refer to Enhanced Core Bond’s and Small Cap Core’s current prospectus for additional information.
The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), including accounting and reporting guidance pursuant to Accounting Standards Codification Topic 946 applicable to investment companies. U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements:
a. VALUATION OF INVESTMENTS
Equity securities traded on a national securities exchange or reported on the NASDAQ national market system (“NMS”) are valued at the last quoted sales price on the primary exchange or, if applicable, the NASDAQ official closing price or the official closing price of the relevant exchange or, lacking any sales, at the last
quoted bid price or the mean between the last quoted bid and ask prices (the “exchange mean price”). Equity securities traded in the over-the-counter market (other than NMS securities) are valued at the exchange mean price. Foreign equity securities (securities principally traded in markets other than U.S. markets) are valued at the official closing price on the primary exchange or, for markets that either do not offer an official closing price or where the official closing price may not be representative of the overall market, the last quoted sale price.
Fixed income securities purchased with a remaining maturity exceeding 60 days are valued at the evaluated bid price or the mean price provided by an authorized pricing service or, if an evaluated price is not available, by reference to other securities which are considered comparable in credit rating, interest rate, due date and other features (generally referred to as “matrix pricing”) or other similar pricing methodologies. Investments in certain mortgage-backed and stripped mortgage-backed securities, preferred stocks, convertible securities, derivatives and other debt securities not traded on an organized securities market are valued on the basis of valuations provided by dealers or by a pricing service which uses information with respect to transactions in such securities and various relationships between such securities and yield to maturity in determining value.
Fixed income securities purchased with a remaining maturity of 60 days or less are valued at amortized cost, provided that the amortized cost value is approximately the same as the fair value of the security valued without the use of amortized cost. Investments in other open-end regulated investment companies are valued at their end of day net asset value per share.
The Funds’ portfolio investments are generally valued based on independent market quotations or prices or, if none, “evaluative” or other market based valuations provided by third party pricing services approved by the Board of Trustees of the Trust (the “Board”). Under certain circumstances, the value of certain Fund portfolio investments may be based on an evaluation of fair value, pursuant to procedures established by and under the general supervision of the Board. The Valuation Committee, which is comprised of the Independent Trustees of the Board, and the Pricing Committee, which is comprised of representatives from AMG Funds LLC (the “Investment Manager”) are the committees appointed by the Board to make fair value determinations. Each Fund may use the fair value of a portfolio investment to calculate its net asset value (“NAV”) in the event that the market quotation, price or market based valuation for the portfolio investment is not readily available or otherwise not determinable pursuant to the Board’s valuation procedures, if the Investment Manager or the Pricing Committee believes the quotation, price or market based valuation to be unreliable, or in certain other circumstances. When determining the fair value of an investment, the Pricing Committee and, if required under the Trusts’ securities valuation procedures, the Valuation Committee, seeks to determine the price that the Fund might reasonably expect to receive from current sale of that portfolio investment in an arms-length transaction. Fair value determinations shall be based upon consideration of all available facts and information, including, but not limited to (i) attributes specific to the investment; (ii) fundamental and analytical data relating to the investment; and (iii) the value of other comparable securities or relevant financial instruments, including derivative securities, traded on other markets or among dealers.
The values assigned to fair value portfolio investments are based on available information and do not necessarily represent amounts that might ultimately be realized in the future, since such amounts depend on future developments inherent in long-term investments. Because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. The Board will be presented with a quarterly report
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Table of Contents
Notes to Financial Statements (continued)
showing as of the most recent quarter end, all outstanding securities fair valued by the Fund, including a comparison with the prior quarter end and the percentage of the Fund that the security represents at each quarter end.
With respect to foreign equity securities and certain foreign fixed income securities, the Board has adopted a policy that securities held in a Fund that can be fair valued by the applicable fair value pricing service are fair valued on each business day provided that each individual price exceeds a pre-established confidence level.
U.S. GAAP defines fair value as the price that a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP also establishes a framework for measuring fair value, and a three level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Funds. Unobservable inputs reflect the Funds’ own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation.
The three-tier hierarchy of inputs is summarized below:
Level 1 – inputs are quoted prices in active markets for identical investments (e.g., equity securities, open-end investment companies)
Level 2 – other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs) (e.g., debt securities, government securities, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, fair valued securities with observable inputs)
Level 3 – inputs are significant unobservable inputs (including the Fund’s own assumptions used to determine the fair value of investments) (e.g., fair valued securities with unobservable inputs)
Changes in inputs or methodologies used for valuing investments may result in a transfer in or out of levels within the fair value hierarchy. The inputs or methodologies used for valuing investments may not necessarily be an indication of the risk associated with investing in those investments. Transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period.
b. SECURITY TRANSACTIONS
Security transactions are accounted for as of trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
c. INVESTMENT INCOME AND EXPENSES
Dividend income is recorded on the ex-dividend date. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Dividend and interest income on foreign securities is recorded
gross of any withholding tax. Non-cash dividends included in dividend income, if any, are reported at the fair market value of the securities received. Upon notification from issuers, distributions received from a real estate investment trust (“REIT”) may be redesignated as a reduction of cost of investments and/or realized gain. Other income and expenses are recorded on an accrual basis. Expenses that cannot be directly attributed to a Fund are apportioned among the funds in the Trusts and other trusts within the AMG Funds family of mutual funds (collectively the “AMG Funds Family”) based upon their relative average net assets or number of shareholders. Investment income, realized and unrealized capital gains and losses, the common expenses of each Fund, and certain fund level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of each Fund.
Small Cap Core had certain portfolio trades directed to various brokers under a brokerage recapture program. Credits received from the brokerage recapture program are earned and paid on a monthly basis, and are recorded as expense offsets, which serve to reduce the Fund’s overall expense ratio. For the six months ended June 30, 2018, the amount of broker recapture was $5,249, which reduced the Fund’s expense ratio by less than 0.005%.
d. DIVIDENDS AND DISTRIBUTIONS
Fund distributions resulting from either net investment income or realized net capital gains, if any, will normally be declared and paid at least annually in December. Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined in accordance with federal income tax regulations, which may differ from net investment income and net realized capital gains for financial statement purposes (U.S. GAAP). Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Permanent book and tax basis differences, if any, relating to shareholder distributions will result in reclassifications to paid-in capital. Temporary differences arise when certain items of income, expense and gain or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Permanent differences are primarily due to current year redesignation of dividends paid by the fund. Temporary differences are primarily due to differences between book and tax treatment of losses for excise tax purposes and wash sales.
At June 30, 2018, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The approximate cost of investments and the aggregate gross unrealized appreciation and depreciation were as follows:
Fund | Cost | Appreciation | Depreciation | Net | ||||||||||||
Enhanced Core Bond | $ | 43,103,484 | $ | 54,874 | $ | (1,317,239 | ) | $ | (1,262,365 | ) | ||||||
Municipal Bond | 1,065,059,401 | 3,938,309 | (16,911,818 | ) | (12,973,509 | ) | ||||||||||
Municipal Enhanced | 215,714,076 | 4,741,101 | (1,225,359 | ) | 3,515,742 | |||||||||||
Small Cap Core | 461,096,346 | 150,971,456 | (24,705,899 | ) | 126,265,557 | |||||||||||
Small/Mid Cap | 131,487,805 | 8,438,105 | (6,484,361 | ) | 1,953,744 |
e. FEDERAL TAXES
Each Fund currently qualifies as an investment company and intends to comply with the requirements under Subchapter M of the Internal Revenue Code of 1986,
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Notes to Financial Statements (continued)
as amended, and to distribute substantially all of its taxable income and gains to its shareholders and to meet certain diversification and income requirements with respect to investment companies. Therefore, no provision for federal income or excise tax is included in the accompanying financial statements.
Additionally, based on each Fund’s understanding of the tax rules and rates related to income, gains and transactions for the foreign jurisdictions in which it invests, each Fund will provide for foreign taxes, and where appropriate, deferred foreign taxes.
Management has analyzed the Funds’ tax positions taken on federal income tax returns as of December 31, 2017, and for all open tax years (generally, the three prior taxable years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. Additionally, Management is not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.
Net capital losses incurred may be carried forward for an unlimited time period, and retain their tax character as either short-term or long-term capital losses.
f. CAPITAL LOSS CARRYOVERS AND DEFERRALS
As of December 31, 2017, the following Funds had accumulated net realized capital loss carryovers from securities transactions for federal income tax purposes as
shown in the following chart. These amounts may be used to offset future realized capital gains, if any, for an unlimited time period.
Capital Loss | ||||||||
Carryover Amounts | ||||||||
Fund | Short-Term | Long-Term | ||||||
Enhanced Core Bond | $ | 1,599,857 | $ | 2,728,373 | ||||
Municipal Enhanced | 273,380 | — |
As of December 31, 2017, Municipal Bond, Small Cap Core and Small/Mid Cap had no accumulated net realized capital loss carryovers from securities transactions for federal income tax purposes. Should the Funds incur net capital losses for the year ending December 31, 2018, such amounts may be used to offset future realized capital gains, for an unlimited time period.
g. CAPITAL STOCK
The Trusts’ Declaration of Trust authorizes for each Fund the issuance of an unlimited number of shares of beneficial interest, without par value. Each Fund records sales and repurchases of its capital stock on the trade date.
For the six months ended June 30, 2018 (unaudited) and the fiscal year ended December 31, 2017, the capital stock transactions by class for the Funds were as follows:
Enhanced Core Bond | Municipal Bond | |||||||||||||||||||||||||||||||
June 30, 2018 | December 31, 2017 | June 30, 2018 | December 31, 2017 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Class N: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 295,309 | $ | 2,823,410 | 545,254 | $ | 5,338,004 | 1,118,672 | $ | 12,872,571 | 1,383,931 | $ | 15,924,408 | ||||||||||||||||||||
Reinvestment of distributions | 13,376 | 127,757 | 25,331 | 247,785 | 16,081 | 182,549 | 37,952 | 438,882 | ||||||||||||||||||||||||
Cost of shares repurchased | (408,752 | ) | (3,901,941 | ) | (604,413 | ) | (5,915,824 | ) | (1,876,931 | ) | (21,482,564 | ) | (1,667,771 | ) | (19,328,676 | ) | ||||||||||||||||
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Net decrease | (100,067 | ) | $ | (950,774 | ) | (33,828 | ) | $ | (330,035 | ) | (742,178 | ) | $ | (8,427,444 | ) | (245,888 | ) | $ | (2,965,386 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Class S: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | — | — | — | — | — | — | 3,078,878 | $ | 35,271,698 | |||||||||||||||||||||||
Reinvestment of distributions | — | — | — | — | — | — | 53,728 | 615,132 | ||||||||||||||||||||||||
Cost of shares repurchased | — | — | — | — | — | — | (3,952,625 | ) | (45,334,584 | ) | ||||||||||||||||||||||
Share Conversion | — | — | — | — | — | — | (13,649,760 | ) | (160,111,684 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net decrease | — | — | — | — | — | — | (14,469,779 | ) | $ | (169,559,438 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 257,321 | $ | 2,486,142 | 499,155 | $ | 4,874,509 | 19,403,090 | $ | 222,055,112 | 34,230,051 | $ | 396,585,461 | ||||||||||||||||||||
Reinvestment of distributions | 5,229 | 50,065 | 44,098 | 430,918 | 601,306 | 6,864,720 | 1,264,901 | 14,708,302 | ||||||||||||||||||||||||
Cost of shares repurchased | (347,304 | ) | (3,389,705 | ) | (3,757,375 | ) | (36,918,527 | ) | (19,173,579 | ) | (218,962,655 | ) | (23,820,377 | ) | (275,914,801 | ) | ||||||||||||||||
Share Conversion | — | — | — | — | — | — | 13,603,372 | 160,111,684 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase (decrease) | (84,754 | ) | $ | (853,498 | ) | (3,214,122 | ) | $ | (31,613,100 | ) | 830,817 | $ | 9,957,177 | 25,277,947 | $ | 295,490,646 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
50
Table of Contents
Notes to Financial Statements (continued)
Enhanced Core Bond | Municipal Bond | |||||||||||||||||||||||||||||||
June 30, 2018 | December 31, 2017 | June 30, 2018 | December 31, 2017 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Class C: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 338 | $ | 3,240 | 1,278 | $ | 12,466 | — | — | — | — | ||||||||||||||||||||||
Reinvestment of distributions | 2,476 | 23,632 | 6,466 | 63,151 | — | — | — | — | ||||||||||||||||||||||||
Cost of shares repurchased | (131,439 | ) | (1,254,032 | ) | (354,502 | ) | (3,456,425 | ) | — | — | — | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net decrease | (128,625 | ) | $ | (1,227,160 | ) | (346,758 | ) | $ | (3,380,808 | ) | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Class Z: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 71,027 | $ | 684,512 | 420,620 | $ | 4,105,961 | — | — | — | — | ||||||||||||||||||||||
Reinvestment of distributions | 16,716 | 160,305 | 55,590 | 545,034 | — | — | — | — | ||||||||||||||||||||||||
Cost of shares repurchased | (314,526 | ) | (3,026,617 | ) | (3,611,083 | ) | (35,134,500 | ) | — | — | — | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net decrease | (226,783 | ) | $ | (2,181,800 | ) | (3,134,873 | ) | $ | (30,483,505 | ) | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Municipal Enhanced | Small Cap Core | |||||||||||||||||||||||||||||||
June 30, 2018 | December 31, 2017 | June 30, 2018 | December 31, 2017 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Class N: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 51,143 | $ | 507,035 | 854,262 | $ | 8,245,287 | 67,632 | $ | 1,929,922 | 164,219 | $ | 4,353,577 | ||||||||||||||||||||
Reinvestment of distributions | 6,363 | 62,362 | 24,014 | 234,148 | — | — | 43,445 | 1,224,282 | ||||||||||||||||||||||||
Cost of shares repurchased | (560,986 | ) | (5,492,909 | ) | (441,848 | ) | (4,333,836 | ) | (96,024 | ) | (2,749,193 | ) | (771,984 | ) | (20,688,735 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase (decrease) | (503,480 | ) | $ | (4,923,512 | ) | 436,428 | $ | 4,145,599 | (28,392 | ) | $ | (819,271 | ) | (564,320 | ) | $ | (15,110,876 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Class S: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | — | — | 319,509 | $ | 3,059,584 | — | — | 14,465 | $ | 373,459 | ||||||||||||||||||||||
Reinvestment of distributions | — | — | 20,245 | 193,539 | — | — | — | — | ||||||||||||||||||||||||
Cost of shares repurchased | — | — | (891,675 | ) | (8,586,630 | ) | — | — | (67,690 | ) | (1,761,714 | ) | ||||||||||||||||||||
Share Conversion | — | — | (1,192,488 | ) | (11,722,161 | ) | — | — | (660,652 | ) | (17,976,373 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net decrease | — | — | (1,744,409 | ) | $ | (17,055,668 | ) | — | — | (713,877 | ) | $ | (19,364,628 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 1,759,259 | $ | 17,261,593 | 5,135,104 | $ | 49,798,634 | 1,602,358 | $ | 46,546,230 | 4,400,525 | $ | 118,884,418 | ||||||||||||||||||||
Reinvestment of distributions | 164,446 | 1,609,434 | 334,730 | 3,259,308 | — | — | 708,864 | 20,238,054 | ||||||||||||||||||||||||
Cost of shares repurchased | (2,452,391 | ) | (24,120,332 | ) | (4,794,481 | ) | (46,538,170 | ) | (943,435 | ) | (27,453,876 | ) | (6,389,413 | ) | (183,987,173 | ) | ||||||||||||||||
Share Conversion | — | — | 1,194,920 | 11,722,161 | — | — | 658,716 | 17,976,373 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase (decrease) | (528,686 | ) | $ | (5,249,305 | ) | 1,870,273 | $ | 18,241,933 | 658,923 | $ | 19,092,354 | (621,308 | ) | $ | (26,888,328 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Class Z:1 | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | — | — | 10,535 | $ | 100,000 | 71,955 | $ | 2,075,340 | 4,253,757 | $ | 125,555,645 | |||||||||||||||||||||
Reinvestment of distributions | 168 | $ | 1,648 | 275 | 2,693 | — | — | 201,870 | 5,763,389 | |||||||||||||||||||||||
Cost of shares repurchased | — | — | — | — | (519,494 | ) | (15,384,008 | ) | (654,016 | ) | (18,938,119 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase (decrease) | 168 | $ | 1,648 | 10,810 | $ | 102,693 | (447,539 | ) | $ | (13,308,668 | ) | 3,801,611 | $ | 112,380,915 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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51
Table of Contents
Notes to Financial Statements (continued)
Small/Mid Cap | ||||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class N:1 | ||||||||||||||||
Proceeds from sale of shares | 7,686 | $ | 90,000 | 966 | $ | 10,000 | ||||||||||
Reinvestment of distributions | — | — | 13 | 144 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 7,686 | $ | 90,000 | 979 | $ | 10,144 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I: | ||||||||||||||||
Proceeds from sale of shares | 1,833,750 | $ | 20,929,168 | 1,961,796 | $ | 20,991,750 | ||||||||||
Reinvestment of distributions | — | — | 28,697 | 320,262 | ||||||||||||
Cost of shares repurchased | (83,624 | ) | (959,212 | ) | (41,659 | ) | (452,348 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 1,750,126 | $ | 19,969,956 | 1,948,834 | $ | 20,859,664 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Z:1 | ||||||||||||||||
Proceeds from sale of shares | 8,481,867 | $ | 98,918,636 | 618,470 | $ | 6,484,063 | ||||||||||
Reinvestment of distributions | — | — | 9,195 | 102,624 | ||||||||||||
Cost of shares repurchased | (1,921,638 | ) | (21,563,646 | ) | (1,865 | ) | (19,522 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 6,560,229 | $ | 77,354,990 | 625,800 | $ | 6,567,165 | ||||||||||
|
|
|
|
|
|
|
|
1 | Commencement of operations was on February 27, 2017. |
At June 30, 2018, certain unaffiliated shareholders of record, individually or collectively held greater than 10% of the net assets of the Funds as follows: Small/Mid Cap - one owns 62%. Transactions by this shareholder may have a material impact on the Fund.
h. REPURCHASE AGREEMENTS AND JOINT REPURCHASE AGREEMENTS
The Funds may enter into third-party repurchase agreements for temporary cash management purposes and third-party or bilateral joint repurchase agreements for reinvestment of cash collateral on securities lending transactions under the securities lending program offered by The Bank of New York Mellon (“BNYM”) (the “Program”) (collectively, “Repurchase Agreements”). The value of the underlying collateral, including accrued interest, must equal or exceed the value of the Repurchase Agreements during the term of the agreement. For joint repurchase agreements, the Funds participate on a pro rata basis with other clients of BNYM in its share of the underlying collateral under such joint repurchase agreements and in its share of proceeds from any repurchase or other disposition of the underlying collateral. The underlying collateral for all Repurchase Agreements is held in safekeeping by the Funds’ custodian or at the Federal Reserve Bank. If the seller defaults and the value of the collateral declines, or if bankruptcy proceedings commence with respect to the seller of the security, realization of the collateral by the Funds may be delayed or limited. Pursuant to the Program, the Funds are indemnified for such losses by BNYM on joint repurchase agreements.
At June 30, 2018, the market value of Repurchase Agreements outstanding for Enhanced Core, Small Cap Core and Small/Mid Cap were $167,207, $17,595,347 and $2,455,787, respectively.
i. DELAYED DELIVERY TRANSACTIONS AND WHEN-ISSUED SECURITIES
The Funds may enter into securities transactions on a delayed delivery or when issued basis. Payment and delivery may take place after the customary settlement
period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked to market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Funds’ Schedules of Portfolio Investments. With respect to purchase commitments, the Funds identify securities as segregated in their records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract, or if the issuer does not issue the securities due to political, economic, or other factors.
2. AGREEMENTS AND TRANSACTIONS WITH AFFILIATES
For each of the Funds, the Trusts have entered into an investment advisory agreement under which the Investment Manager, a subsidiary and the U.S. retail distribution arm of Affiliated Managers Group, Inc. (“AMG”), serves as investment manager to the Funds and is responsible for the Funds’ overall administration and operations. The Investment Manager selects one or more subadvisers for the Funds (subject to Board approval) and monitors each subadviser’s investment performance, security holdings and investment strategies. Each Fund’s investment portfolio is managed by GW&K Investment Management, LLC, (“GW&K”) who serves pursuant to a subadvisory agreement with the Investment Manager. AMG indirectly owns a majority interest in GW&K.
Investment management fees are paid directly by the Funds to the Investment Manager based on average daily net assets. For the six months ended June 30,
52
Table of Contents
Notes to Financial Statements (continued)
2018, the Funds’ investment management fees were paid at the following annual rate of each Fund’s respective average daily net assets:
Enhanced Core Bond* | 0.30 | % | ||
Municipal Bond | ||||
on first $25 million | 0.35 | % | ||
on next $25 million | 0.30 | % | ||
on next $50 million | 0.25 | % | ||
on balance over $100 million | 0.20 | % | ||
Municipal Enhanced* | 0.45 | % | ||
Small Cap Core* | 0.70 | % | ||
Small/Mid Cap* | 0.65 | % |
* | Prior to February 27, 2017, the annual rate for the investment management fees were 0.45%, 0.50%, 0.75% and 0.75% of the average daily net assets for Enhanced Core Bond, Municipal Enhanced, Small Cap Core and Small/Mid Cap, respectively. |
The Investment Manager has contractually agreed, through at least May 1, 2019, to waive management fees and/or reimburse fund expenses in order to limit total annual Fund operating expenses after fee waiver and expense reimbursements (exclusive of taxes, interest (including interest incurred in connection with bank and custody overdrafts), shareholder servicing fees, distribution and service (12b-1) fees, brokerage commissions and other transaction costs, acquired fund fees and expenses and extraordinary expenses) of Enhanced Core Bond, Municipal Bond, Municipal Enhanced, Small Cap Core and Small/Mid Cap to 0.48%, 0.34%, 0.59%, 0.90% and 0.85%, respectively, of each Fund’s average daily net assets subject to later reimbursement by the Funds in certain circumstances. Prior to February 27, 2017, the expense cap was 0.59%, 0.64%, 0.95% and 0.95% of the average daily net assets for Enhanced Core Bond, Municipal Enhanced, Small Cap Core and Small/Mid Cap, respectively. There was no change to the expense cap for Municipal Bond.
The contractual expense limitation may only be terminated in the event the Investment Manager or a successor ceases to be the investment manager of the Fund or a successor fund, by mutual agreement between the Investment Manager and the Board, or in the event of the Fund’s liquidation unless the Fund is reorganized or is a party to a merger in which the surviving entity is successor to the accounting and performance information of the Fund.
In general, for a period of up to 36 months, the Investment Manager may recover from each Fund fees waived and expenses paid pursuant to this contractual agreement, provided that such repayment would not cause the Fund’s total annual operating expenses after fee waiver and expense reimbursements (exclusive of the items noted in the parenthetical above) to exceed the contractual expense limitation amount.
At June 30, 2018, the Funds’ expiration of recoupment is as follows:
Expiration | ||||||||
Period | Enhanced Core Bond | Municipal Bond | ||||||
Less than 1 year | $ | 209,871 | $ | 2,563,791 | ||||
Within 2 years | 257,711 | 1,265,508 | ||||||
Within 3 years | 154,337 | 695,243 | ||||||
|
|
|
| |||||
Total Amount Subject to Recoupment | $ | 621,919 | $ | 4,524,542 | ||||
|
|
|
|
Expiration | ||||||||
Period | Municipal Enhanced | Small Cap Core | ||||||
Less than 1 year | $ | 211,246 | $ | 411,452 | ||||
Within 2 years | 235,140 | 144,121 | ||||||
Within 3 years | 220,699 | 39,836 | ||||||
|
|
|
| |||||
Total Amount Subject to Recoupment | $ | 667,085 | $ | 595,409 | ||||
|
|
|
| |||||
Expiration | ||||||||
Period | Small/Mid Cap | |||||||
Less than 1 year | $ | 74,870 | ||||||
Within 2 years | 62,899 | |||||||
Within 3 years | 87,127 | |||||||
|
| |||||||
Total Amount Subject to Recoupment | $ | 224,896 | ||||||
|
|
The Trusts, on behalf of the Funds, have entered into an amended and restated Administration Agreement under which the Investment Manager serves as the Funds’ administrator (the “Administrator”) and is responsible for all non-portfolio management aspects of managing the Funds’ operations, including administration and shareholder services to each Fund. Each Fund pays a fee to the Administrator at the rate of 0.15% per annum of the Fund’s average daily net assets for this service.
The Funds are distributed by AMG Distributors, Inc. (the “Distributor”), a wholly-owned subsidiary of the Investment Manager. The Distributor serves as the distributor and underwriter for each Fund and is a registered broker-dealer and member of the Financial Industry Regulatory Authority, Inc. (“FINRA”). Shares of each Fund will be continuously offered and will be sold directly to prospective purchasers and through brokers, dealers or other financial intermediaries who have executed selling agreements with the Distributor. Generally the Distributor bears all or a portion of the expenses of providing services pursuant to the distribution agreement, including the payment of the expenses relating to the distribution of prospectuses for sales purposes and any advertising or sales literature.
The Trusts have adopted a distribution and service plan (the “Plan”) with respect to the Class N shares of each Fund and Class C shares of Enhanced Core Bond, in accordance with the requirements of Rule 12b-1 under the 1940 Act and the requirements of the applicable rules of FINRA regarding asset based sales charges. Pursuant to the Plan, each Fund may make payments to the Distributor for its expenditures in financing any activity primarily intended to result in the sale of each Fund’s Class N shares and Enhanced Core Bond Class C shares and for maintenance and personal service provided to existing shareholders of that class. The Plan authorizes payments to the Distributor up to 0.25% and 1.00% annually of each Fund’s average daily net assets attributable to the Class N shares and Enhanced Core Bond Class C shares, respectively. The portion of payments made under the plan by Class N shares of each Fund and Class C shares of Enhanced Core Bond for shareholder servicing may not exceed an annual rate of 0.25% of the average daily net asset value of each Fund’s shares of that class owned by clients of such broker, dealer or financial intermediary.
For Enhanced Core Bond’s Class I shares and for each of the Class N and Class I shares of Municipal Bond, Municipal Enhanced and Small Cap Core, the Board has approved reimbursement payments to the Investment Manager for shareholder
53
Table of Contents
Notes to Financial Statements (continued)
servicing expenses (“shareholder servicing fees”) incurred. Shareholder servicing fees include payments to financial intermediaries, such as broker-dealers (including fund supermarket platforms), banks, and trust companies who provide shareholder recordkeeping, account servicing and other services. Class N and Class I shares may reimburse the Investment Manager for the actual amount incurred up to a maximum annual rate of each Class’s average daily net assets as shown in the table below. The Investment Manager has voluntarily agreed, through at least May 1, 2019, to waive 0.01% of the shareholder servicing fees authorized to be paid by Class I shares of Municipal Bond.
The impact on the annualized expense ratios for the six months ended June 30, 2018, were as follows:
Maximum Annual | Actual | |||||||
Amount | Amount | |||||||
Fund | Approved | Incurred | ||||||
Enhanced Core Bond | ||||||||
Class I | 0.10 | % | 0.05 | % | ||||
Municipal Bond | ||||||||
Class N | 0.15 | % | 0.11 | % | ||||
Class I* | 0.05 | % | 0.05 | % | ||||
Municipal Enhanced | ||||||||
Class N** | 0.15 | % | 0.15 | % | ||||
Class I* | 0.05 | % | 0.05 | % | ||||
Small Cap Core | ||||||||
Class N** | 0.15 | % | 0.13 | % | ||||
Class I* | 0.05 | % | 0.05 | % | ||||
Small/Mid Cap | ||||||||
Class N | 0.15 | % | — | |||||
Class I* | 0.10 | % | 0.10 | % |
* | Prior to February 27, 2017, Class I shares did not incur shareholder servicing fees. |
** | Effective February 27, 2017, the maximum annual rate was decreased to 0.15% from 0.25%. |
The Board provides supervision of the affairs of the Trust and other trusts within the AMG Funds family. The Trustees of the Trust who are not affiliated with the Investment Manager receive an annual retainer and per meeting fees for regular, special and telephonic meetings, and they are reimbursed for out-of-pocket expenses incurred while carrying out their duties as Board members. The Chairman of the Board and the Audit Committee Chair receive additional annual retainers. Certain Trustees and Officers of the Funds are Officers and/or Directors of the Investment Manager, AMG and/or the Distributor.
The Securities and Exchange Commission (the “SEC”) granted an exemptive order that permits the Funds to lend and borrow money for certain temporary purposes directly to and from other eligible funds in the AMG Funds family. Participation in this interfund lending program is voluntary for both the borrowing and lending funds, and an interfund loan is only made if it benefits each participating fund. The Administrator manages the program according to procedures approved by the Board, and the Board monitors the operation of the program. An interfund loan must comply with certain conditions set out in the exemptive order, which are designed to assure fairness and protect all participating funds. For the six months
ended June 30, 2018, Municipal Enhanced lent a maximum of $2,900,150 for 1 days earning interest of $209, and Small Cap Core lent a maximum of $3,763,830 for 4 days earning interest in the amount of $1,067. The interest income amount is included in the Statement of Operations as interest income. Small/Mid Cap borrowed a maximum of $5,032,190 for 3 days paying interest of $833. The interest expense amount is included in the Statement of Operations as miscellaneous expense. For the year ended June 30, 2018, Enchanced Core Bond and Municipal Bond neither lent to nor borrowed from other Funds in the AMG Funds family. At June 30, 2018, the Funds had no interfund loans outstanding.
3. PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities (excluding short-term securities and U.S. Government Obligations) for the six months ended June 30, 2018, were as follows:
Long Term Securities | ||||||||
Fund | Purchases | Sales | ||||||
Enhanced Core Bond | $ | 5,652,759 | $ | 7,949,061 | ||||
Municipal Bond | 186,090,113 | 171,395,587 | ||||||
Municipal Enhanced | 90,687,793 | 99,920,766 | ||||||
Small Cap Core | 65,312,172 | 67,198,814 | ||||||
Small/Mid Cap | 138,416,178 | 41,930,160 | ||||||
U.S. Government Obligations | ||||||||
Fund | Purchases | Sales | ||||||
Enhanced Core Bond | $ | 1,067,070 | $ | 2,714,117 |
4. PORTFOLIO SECURITIES LOANED
The Funds participate in the Program providing for the lending of securities to qualified brokers. Securities lending income includes earnings of such temporary cash investments, plus or minus any rebate to a borrower. These earnings (after any rebate) are then divided between BNYM, as a fee for its services under the Program, and the Funds, according to agreed-upon rates. Collateral on all securities loaned is accepted in cash and is maintained at a minimum level of 102% (105% in the case of certain foreign securities) of the market value, plus interest, if applicable, of investments on loan. It is the Funds’ policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Funds if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Under the terms of the Program, the Funds are indemnified for such losses by BNYM. Cash collateral is held in a separate omnibus account managed by BNYM, who is authorized to exclusively enter into joint repurchase agreements. BNYM bears the risk of any deficiency in the amount of the cash collateral available for return to the borrower due to any loss on the collateral invested.
The value of securities loaned on positions held and cash collateral received at June 30, 2018, were as follows:
54
Table of Contents
Notes to Financial Statements (continued)
Cash | ||||||||
Securities | Collateral | |||||||
Fund | Loaned | Received | ||||||
Enhanced Core Bond | $ | 161,700 | $ | 167,207 | ||||
Small Cap Core | 17,158,974 | 17,595,347 | ||||||
Small/Mid Cap | 2,386,809 | 2,455,787 |
5. COMMITMENTS AND CONTINGENCIES
Under the Trusts’ organizational documents, its trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Trusts. In addition, in the normal course of business, the Funds may enter into contracts and agreements that contain a variety of representations and warranties, which provide general indemnifications. The maximum exposure to the
Funds under these arrangements is unknown, as this would involve future claims that may be made against a Fund that have not yet occurred. However, based on experience, the Funds had no prior claims or losses and expect the risks of loss to be remote.
6. MASTER NETTING AGREEMENTS
The Funds may enter into master netting agreements with their counterparties for the securities lending program and Repurchase Agreements, which provide the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting agreements in the Statement of Assets and Liabilities. For securities lending transactions, see Note 4.
The following table is a summary of the Funds’ open Repurchase Agreements that are subject to a master netting agreement as of June 30, 2018:
Gross Amount Not Offset in the | ||||||||||||||||
Statement of Assets and Liabilities | ||||||||||||||||
Net Amounts of Assets | Financial | |||||||||||||||
Presented in the Statement | Instruments | Cash Collateral | ||||||||||||||
Fund | of Assets and Liabilities | Collateral | Received | Net Amount | ||||||||||||
Enhanced Core Bond | ||||||||||||||||
Cantor Fitzgerald Securities, Inc. | $ | 167,207 | $ | 167,207 | — | — | ||||||||||
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Small Cap Core | ||||||||||||||||
Deutsche Bank Securities, Inc. | $ | 4,179,155 | $ | 4,179,155 | — | — | ||||||||||
NatWest Markets PLC | 878,727 | 878,727 | — | — | ||||||||||||
Nomura Securities International, Inc. | 4,179,155 | 4,179,155 | — | — | ||||||||||||
RBC Dominion Securities, Inc. | 4,179,155 | 4,179,155 | — | — | ||||||||||||
State of Wisconsin Investment Board | 4,179,155 | 4,179,155 | — | — | ||||||||||||
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Totals | $ | 17,595,347 | $ | 17,595,347 | — | — | ||||||||||
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Small/Mid Cap | ||||||||||||||||
Jefferies LLC | $ | 1,000,000 | $ | 1,000,000 | — | — | ||||||||||
Nomura Securities International, Inc. | 1,000,000 | 1,000,000 | — | — | ||||||||||||
RBC Dominion Securities, Inc. | 455,787 | 455,787 | — | — | ||||||||||||
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Totals | $ | 2,455,787 | $ | 2,455,787 | — | — | ||||||||||
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7. SUBSEQUENT EVENTS
The Funds have determined that no material events or transactions occurred through the issuance date of the Funds’ financial statements, which require an additional disclosure in or adjustment of the Funds’ financial statements.
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Annual Renewal of Investment Management and Subadvisory Agreements
At an in-person meeting held on June 27-28, 2018, the Board of Trustees (the “Board” or the “Trustees”) of each of AMG Funds and AMG Funds II (each, a “Trust” and collectively, the “Trusts”), and separately a majority of the Trustees who are not “interested persons” of the Trusts (the “Independent Trustees”), approved (i) the Investment Management Agreement, as amended pursuant to letter agreements at any time prior to the date of the meeting, with AMG Funds LLC (the “Investment Manager”) and each Trust for each of AMG GW&K Small Cap Core Fund, AMG GW&K Small/Mid Cap Fund, AMG GW&K Municipal Enhanced Yield Fund, AMG GW&K Municipal Bond Fund and AMG GW&K Enhanced Core Bond Fund (each, a “Fund,” and collectively, the “Funds”) and separately each of Amendment No. 1, Amendment No. 2 dated July 1, 2015, and Amendment No. 3 dated October 1, 2016, to the Investment Management Agreement with AMG Funds II and separately each of Amendment No. 1 dated July 1, 2015, and Amendment No. 2 dated October 1, 2016, to the Investment Management Agreement with AMG Funds (collectively, the “Investment Management Agreement”) and (ii) the Subadvisory Agreements, as amended at any time prior to the date of the meeting, with the Subadviser for each Fund (collectively, the “Subadvisory Agreements”). The Independent Trustees were separately represented by independent legal counsel in connection with their consideration of the approval of these agreements. In considering the Investment Management Agreement and the Subadvisory Agreements, the Trustees reviewed a variety of materials relating to each Fund, the Investment Manager and the Subadviser, including comparative performance, fee and expense information for an appropriate peer group of similar mutual funds for each Fund (each, a “Peer Group”), performance information for the relevant benchmark index for each Fund (each, a “Fund Benchmark”) and other information provided to them on a periodic basis throughout the year, as well as information provided in connection with the meetings of June
27-28, 2018, regarding the nature, extent and quality of services provided by the Investment Manager and the Subadviser under their respective agreements and other relevant matters. Prior to voting, the Independent Trustees: (a) reviewed the foregoing information with their independent legal counsel; (b) received materials from their independent legal counsel discussing the legal standards applicable to their consideration of the Investment Management
and Subadvisory Agreements; and (c) met with their independent legal counsel in private sessions at which no representatives of management were present.
NATURE, EXTENT AND QUALITY OF SERVICES.
In considering the nature, extent and quality of the services provided by the Investment Manager, the Trustees reviewed information relating to the Investment Manager’s operations and personnel. Among other things, the Investment Manager provided financial information, biographical information on its supervisory and professional staff and descriptions of its organizational and management structure. The Trustees also took into account information provided periodically throughout the previous year by the Investment Manager in Board meetings relating to the performance of its duties with respect to the Funds and the Trustees’ knowledge of the Investment Manager’s management and the quality of the performance of the Investment Manager’s duties under the Investment Management Agreement and Administration Agreement. In the course of their deliberations regarding the Investment Manager, the Trustees evaluated, among other things: (a) the extent and quality of the Investment Manager’s oversight of the operation and management of the Funds; (b) the quality of the Investment Manager’s oversight of the performance by the Subadviser of its portfolio management duties; (c) the Investment Manager’s ability to supervise the Funds’ other service providers; and (d) the Investment Manager’s compliance program. The Trustees also took into account that, in performing its functions under the Investment Management Agreements and supervising the Subadviser, the Investment Manager: performs periodic detailed analyses and reviews of the performance by the Subadviser of its obligations to each Fund, including without limitation, analysis and review of portfolio and other compliance matters and review of the Subadviser’s investment performance with respect to each Fund; prepares and presents periodic reports to the Board regarding the investment performance of the Subadviser and other information regarding the Subadviser, at such times and in such forms as the Board may reasonably request; reviews and considers any changes in the personnel of the Subadviser responsible for performing the Subadviser’s obligations and makes appropriate reports to the Board; reviews and considers any
changes in the ownership or senior management of the Subadviser and makes appropriate reports to the Board; performs periodic in-person or telephonic diligence meetings, including with respect to compliance matters, with representatives of the Subadviser; assists the Board and management of the Trusts in developing and reviewing information with respect to the initial approval of each Subadvisory Agreement and annual consideration of each Subadvisory Agreement thereafter; prepares recommendations with respect to the continued retention of the Subadviser or the replacement of the Subadviser, including at the request of the Board; identifies potential successors to or replacements of the Subadviser or potential additional subadvisers, performs appropriate due diligence, and develops and presents to the Board a recommendation as to any such successor, replacement, or additional subadviser, including at the request of the Board; designates and compensates from its own resources such personnel as the Investment Manager may consider necessary or appropriate to the performance of its services; and performs such other review and reporting functions as the Board shall reasonably request consistent with the Investment Management Agreements and applicable law. The Trustees noted the affiliation of the Subadviser with the Investment Manager, noting any potential conflicts of interest. The Trustees also took into account the financial condition of the Investment Manager with respect to its ability to provide the services required under the Investment Management Agreements and the Investment Manager’s undertaking to maintain contractual expense limitations for the Funds. The Trustees also considered the Investment Manager’s risk management processes.
The Trustees also reviewed information relating to the Subadviser’s financial condition, operations and personnel and the investment philosophy, strategies and techniques (its “Investment Strategy”) used in managing each Fund. Among other things, the Trustees reviewed biographical information on portfolio management and other professional staff, information regarding the Subadviser’s organizational and management structure and the Subadviser’s brokerage policies and practices. The Trustees considered specific information provided regarding the experience of the individuals at the Subadviser with portfolio management responsibility for the Funds, including the information set forth in
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Annual Renewal of Investment Management and Subadvisory Agreements (continued)
each Fund’s prospectus and statement of additional information. In the course of their deliberations, the Trustees evaluated, among other things: (a) the services rendered by the Subadviser in the past; (b) the qualifications and experience of the Subadviser’s personnel; and (c) the Subadviser’s compliance program. The Trustees also took into account the financial condition of the Subadviser with respect to its ability to provide the services required under each Subadvisory Agreement. The Trustees also considered the Subadviser’s risk management processes.
PERFORMANCE.
As noted above, the Board considered each Fund’s net performance during relevant time periods as compared to the Fund’s Peer Group and Fund Benchmark and considered the gross performance of the Fund as compared to the Subadviser’s relevant performance composite that utilizes the same investment strategy and approach and noted that the Board reviews on a quarterly basis detailed information about each Fund’s performance results and portfolio composition, as well as the Subadviser’s Investment Strategy. The Board noted the Investment Manager’s expertise and resources in monitoring the performance, investment style and risk-adjusted performance of the Subadviser. The Board was mindful of the Investment Manager’s attention to monitoring the Subadviser’s performance with respect to the Funds and its discussions with management regarding the factors that contributed to the performance of the Funds.
With respect to AMG GW&K Small Cap Core Fund, among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for Class N shares (which share class has the earliest inception date of all the share classes of the Fund) for the 1-year, 3-year, 5-year and 10-year periods ended March 31, 2018 was above the median performance of the Peer Group and above the performance of the Fund Benchmark, the Russell 2000® Index. The Trustees took into account management’s discussion of the Fund’s performance. The Trustees noted that Class N shares of the Fund ranked in the top decile relative to its Peer Group for the 1-year period and in the top quintile relative to its Peer Group for the 3-year, 5-year and 10-year periods. The Trustees concluded that the Fund’s overall performance has been satisfactory.
With respect to AMG GW&K Small/Mid Cap Fund, among other information relating to the Fund’s performance, the Trustees noted that the Fund’s
performance for Class I shares (which share class has the earliest inception date of all the share classes of the Fund) for the 1-year period ended March 31, 2018 and for the period from the Fund’s inception on June 30, 2015 through March 31, 2018 was above and below, respectively, the median performance for the Peer Group and below the performance of the Fund Benchmark, the Russell 2500® Index. The Trustees took into account management’s discussion of the Fund’s performance, including the reasons for the Fund’s underperformance. The Trustees also took into account the Fund’s relatively short performance history and the fact that the Fund made changes to its principal investment strategy in 2017. The Trustees concluded that the Fund’s overall performance has been satisfactory in light of the Fund’s investment objective, strategies and policies.
With respect to AMG GW&K Municipal Enhanced Yield Fund, among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for Class I shares (which share class has the earliest inception date and the largest amount of assets of all the share classes of the Fund) for the 1-year, 3-year, 5-year and 10-year periods ended March 31, 2018 was above the median performance of the Peer Group and above the performance of the Fund Benchmark, the Bloomberg Barclays U.S. Municipal Bond BAA Index. The Trustees took into account management’s discussion of the Fund’s performance. The Trustees noted that the Fund’s longer-term performance results compare favorably to the Fund Benchmark and that Class I shares of the Fund ranked in the top decile relative to its Peer Group for the 10-year period. The Trustees concluded that the Fund’s overall performance has been satisfactory.
With respect to AMG GW&K Municipal Bond Fund, among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for Class I shares (which share class has the largest amount of assets of all the share classes of the Fund) for the 1-year, 3-year and 5-year periods ended March 31, 2018 and for the period from the Fund’s inception on June 30, 2009 through March 31, 2018 was below, above, above and above, respectively, the median performance of the Peer Group and below the performance of the Fund Benchmark, the Bloomberg Barclays 10-Year Municipal Bond Index. The Trustees took into account management’s discussion of the Fund’s performance, including the reasons for the Fund’s
underperformance relative to its Peer Group, recently, and the Fund Benchmark. The Trustees also noted that Class I shares of the Fund ranked in the top quartile relative to its Peer Group since inception. The Trustees concluded that the Fund’s overall performance has been satisfactory in light of the Fund’s investment objective, strategies and policies.
With respect to AMG GW&K Enhanced Core Bond Fund, among other information relating to the Fund’s performance, the Trustees noted that the Fund’s performance for Class Z shares (which share class has the largest amount of assets of all the share classes of the Fund) for the 1-year, 3-year, 5-year and 10-year periods ended March 31, 2018 was above, below, below and above, respectively, the median performance of the Peer Group and above, below, below and above, respectively, the performance of the Fund Benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index. The Trustees took into account management’s discussion of the Fund’s performance, including its more recent improved performance relative to its Peer Group and the Fund Benchmark. The Trustees concluded that the Fund’s overall performance has been satisfactory in light of the Fund’s investment objective, strategies and policies.
ADVISORY AND SUBADVISORY FEES AND PROFITABILITY.
In considering the reasonableness of the advisory fee payable to the Investment Manager, the Trustees reviewed information provided by the Investment Manager setting forth all revenues and other benefits, both direct and indirect (including any so-called “fallout benefits” such as reputational value derived from the Investment Manager serving as Investment Manager to a Fund), received by the Investment Manager and its affiliates attributable to managing each Fund and all the mutual funds in the AMG Funds Family of Funds, the cost of providing such services, the significant risks undertaken as Investment Manager and sponsor of the Funds, including investment, operational, enterprise, entrepreneurial, litigation, regulatory and compliance risks, and the resulting profitability to the Investment Manager and its affiliates from these relationships. The Trustees also considered the amount of the advisory fee retained by the Investment Manager after payment of the subadvisory fee with respect to each Fund. The Trustees also noted any payments that were made from the Subadviser to the Investment Manager, and any other payments made
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Annual Renewal of Investment Management and Subadvisory Agreements (continued)
or to be made from the Investment Manager to the Subadviser. The Trustees also considered management’s discussion of the current asset levels of the Funds, and the impact on profitability of both the current asset levels and any future growth of assets of the Funds.
In considering the cost of services to be provided by the Investment Manager under each Investment Management Agreement and the profitability to the Investment Manager of its relationship with the Funds, the Trustees noted the undertaking by the Investment Manager to maintain contractual expense limitations for the Funds. The Board also took into account management’s discussion of the advisory fee structure, and, as noted above, the services the Investment Manager provides in performing its functions under each Investment Management Agreement and supervising the Subadviser. Based on the foregoing, the Trustees concluded that the profitability to the Investment Manager is reasonable and that the Investment Manager is not realizing material benefits from economies of scale that would warrant adjustments to the advisory fee at this time. Also with respect to economies of scale, the Trustees noted that as a Fund’s assets increase over time, the Fund may realize other economies of scale to the extent the increase in assets is proportionally greater than the increase in certain other expenses.
In considering the reasonableness of the subadvisory fees payable by the Investment Manager to the Subadviser, the Trustees reviewed information regarding the cost of providing subadvisory services to each of the Funds and the resulting profitability to the Subadviser from these relationships. The Trustees noted that, because the Subadviser is an affiliate of the Investment Manager, a portion of the Subadviser’s revenues or profits might be shared directly or indirectly with the Investment Manager. The Trustees also noted that the subadvisory fees are paid by the Investment Manager out of its advisory fee. The Board also took into account management’s discussion of the subadvisory fee structure, and the services the Subadviser provides in performing its functions under each Subadvisory Agreement. Based on the foregoing, the Trustees concluded that the profitability to the Subadviser is reasonable and that the Subadviser is not realizing material benefits from economies of scale that would warrant adjustments to the subadvisory fees at this time. Also with respect to economies of scale, the Trustees noted that as a Fund’s assets increase over time, the Fund
may realize other economies of scale to the extent the increase in assets is proportionally greater than the increase in certain other expenses.
With respect to AMG GW&K Small Cap Core Fund, the Trustees noted that the Fund’s management fees (which include both the advisory and administration fees) and total expenses (weighted average, all classes combined) (net of applicable expense waivers/reimbursements) as of March 31, 2018 were both lower than the average for the Fund’s Peer Group. The Trustees took into account the fact that the Investment Manager has contractually agreed, through May 1, 2019, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.90%. The Trustees noted that the Investment Manager reduced the Fund’s expense limitation in 2017. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadviser (which is an affiliate of the Investment Manager), the foregoing expense limitation and the considerations noted above with respect to the Investment Manager and the Subadviser, the Fund’s advisory and subadvisory fees are reasonable.
With respect to AMG GW&K Small/Mid Cap Fund, the Trustees noted that the Fund’s management fees (which include both the advisory and administration fees) and total expenses (weighted average, all classes combined) (net of applicable expense waivers/reimbursements) as of March 31, 2018 were both lower than the average for the Fund’s Peer Group. The Trustees took into account the fact that the Investment Manager has contractually agreed, through May 1, 2019, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.85%. The Trustees noted that the Investment Manager reduced the Fund’s expense limitation in 2017. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadviser (which is an affiliate of the Investment Manager), the foregoing expense limitation and the considerations noted above with respect to the Investment Manager and the Subadviser, the Fund’s advisory and subadvisory fees are reasonable.
With respect to AMG GW&K Municipal Enhanced Yield Fund, the Trustees noted that the Fund’s management fees (which include both the advisory and administration fees) and total expenses (weighted average, all classes combined) (net of applicable expense waivers/reimbursements) as of March 31, 2018 were higher and lower, respectively,
than the average for the Fund’s Peer Group. The Trustees took into account the fact that the Investment Manager has contractually agreed, through May 1, 2019, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.59%. The Trustees noted that the Investment Manager reduced the Fund’s expense limitation in 2017. The Board also took into account management’s discussion of the Fund’s expenses and competitiveness with comparably sized funds. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadviser (which is an affiliate of the Investment Manager), the foregoing expense limitation and the considerations noted above with respect to the Investment Manager and the Subadviser, the Fund’s advisory and subadvisory fees are reasonable.
With respect to AMG GW&K Municipal Bond Fund, the Trustees noted that the Fund’s management fees (which include both the advisory and administration fees) and total expenses (weighted average, all classes combined) (net of applicable expense waivers/reimbursements) as of March 31, 2018 were both lower than the average for the Fund’s Peer Group. The Trustees took into account the fact that the Investment Manager has contractually agreed, through May 1, 2019, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.34%. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadviser (which is an affiliate of the Investment Manager), the foregoing expense limitation and the considerations noted above with respect to the Investment Manager and the Subadviser, the Fund’s advisory and subadvisory fees are reasonable.
With respect to AMG GW&K Enhanced Core Bond Fund, the Trustees noted that the Fund’s management fees (which include both the advisory and administration fees) and total expenses (weighted average, all classes combined) (net of applicable expense waivers/reimbursements) as of March 31, 2018 were lower and higher, respectively, than the average for the Peer Group. The Trustees took into account the fact that the Investment Manager has contractually agreed, through May 1, 2019, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to
0.48%. The Trustees noted that the Investment Manager reduced the Fund’s expense limitation in 2017. The Trustees also took into account management’s discussion of the Fund’s expenses
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Annual Renewal of Investment Management and Subadvisory Agreements (continued)
and competitiveness with comparably sized funds. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadviser (which is an affiliate of the Investment Manager), the foregoing expense limitation and the considerations noted above with respect to the Investment Manager and the Subadviser, the Fund’s advisory and subadvisory fees are reasonable.
* * * *
After consideration of the foregoing, the Trustees also reached the following conclusions (in addition to the
conclusions discussed above) regarding the Investment Management and Subadvisory Agreements: (a) the Investment Manager has demonstrated that it possesses the resources and capability to perform its duties under each Investment Management Agreement; (b) the Subadviser has the resources to perform its duties under each Subadvisory Agreement and is qualified to manage each Fund’s assets in accordance with its investment objectives and policies; and (c) the Investment Manager and Subadviser maintain appropriate compliance programs.
Based on all of the above-mentioned factors and their related conclusions, with no single factor or conclusion being determinative and with each Trustee not necessarily attributing the same weight to each factor, the Trustees concluded that approval of each Investment Management Agreement and each Subadvisory Agreement would be in the best interests of the applicable Fund and its shareholders. Accordingly, on June 27-28, 2018, the Trustees, and separately a majority of the Independent Trustees, voted to approve the Investment Management and the Subadvisory Agreements for each Fund.
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INVESTMENT MANAGER AND ADMINISTRATOR
AMG Funds LLC
600 Steamboat Road, Suite 300 Greenwich, CT 06830
800.835.3879
DISTRIBUTOR
AMG Distributors, Inc.
600 Steamboat Road, Suite 300 Greenwich, CT 06830
800.835.3879
SUBADVISER
GW&K Investment Management, LLC 222 Berkeley St.
Boston, MA 02116
CUSTODIAN
The Bank of New York Mellon
111 Sanders Creek Parkway
East Syracuse, NY 13057
LEGAL COUNSEL
Ropes & Gray LLP
Prudential Tower, 800 Boylston Street Boston, MA 02199-3600
TRANSFER AGENT
BNY Mellon Investment Servicing (US) Inc.
Attn: AMG Funds
P.O. Box 9769
Providence, RI 02940
800.548.4539
TRUSTEES
Bruce B. Bingham
Christine C. Carsman
Edward J. Kaier
Kurt A. Keilhacker
Steven J. Paggioli
Richard F. Powers III
Eric Rakowski
Victoria L. Sassine
Thomas R. Schneeweis
This report is prepared for the Funds’ shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by an effective prospectus. To receive a free copy of the prospectus or Statement of Additional Information, which includes additional information about Fund Trustees, please contact us by calling 800.835.3879. Distributed by AMG Distributors, Inc., member FINRA/SIPC.
Current net asset values per share for each Fund are available on the Funds’ website at amgfunds.com.
A description of the policies and procedures each Fund uses to vote its proxies is available: (i) without charge, upon request, by calling 800.835.3879, or (ii) on the Securities and Exchange Commission’s (SEC) website at sec.gov. For information regarding each Fund’s proxy voting record for the 12-month period ended June 30, call 800.835.3879 or visit the SEC website at sec.gov.
Each Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at sec.gov. A Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1.800.SEC.0330. To review a complete list of the Funds’ portfolio holdings, or to view the most recent quarterly holdings report, semiannual report, or annual report, please visit amgfunds.com.
amgfunds.com | 61 |
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AFFILIATE SUBADVISED FUNDS
BALANCED FUNDS
AMG Chicago Equity Partners Balanced
Chicago Equity Partners, LLC
AMG FQ Global Risk-Balanced
First Quadrant, L.P.
EQUITY FUNDS
AMG FQ Tax-Managed U.S. Equity
AMG FQ Long-Short Equity
First Quadrant, L.P.
AMG Frontier Small Cap Growth
Frontier Capital Management Co., LLC
AMG GW&K Small Cap Core
AMG GW&K Small/Mid Cap
AMG GW&K U.S. Small Cap Growth
GW&K Investment Management, LLC
AMG Renaissance International Equity
AMG Renaissance Large Cap Growth
The Renaissance Group LLC
AMG River Road Dividend All Cap Value
AMG River Road Dividend All Cap Value II
AMG River Road Focused Absolute Value
AMG River Road Long-Short
AMG River Road Small-Mid Cap Value
AMG River Road Small Cap Value
River Road Asset Management, LLC
AMG SouthernSun Small Cap
AMG SouthernSun Global Opportunities
AMG SouthernSun U.S. Equity
SouthernSun Asset Management, LLC
AMG Systematic Mid Cap Value
Systematic Financial Management L.P.
AMG TimesSquare Emerging Markets Small Cap
AMG TimesSquare Global Small Cap
AMG TimesSquare International Small Cap
AMG TimesSquare Mid Cap Growth
AMG TimesSquare Small Cap Growth
TimesSquare Capital Management, LLC
AMG Trilogy Emerging Markets Equity
AMG Trilogy EmergingWealth Equity
Trilogy Global Advisors, L.P.
AMG Yacktman
AMG Yacktman Focused
AMG Yacktman Focused Fund - Security Selection Only
AMG Yacktman Special Opportunities
Yacktman Asset Management LP
FIXED INCOME FUNDS
AMG GW&K Core Bond
AMG GW&K Enhanced Core Bond
AMG GW&K Municipal Bond
AMG GW&K Municipal Enhanced Yield
GW&K Investment Management, LLC
OPEN-ARCHITECTURE FUNDS
ALTERNATIVE FUNDS
AMG Managers Lake Partners LASSO Alternative
Lake Partners, Inc.
BALANCED FUNDS
AMG Managers Montag & Caldwell Balanced
Montag & Caldwell, LLC
EQUITY FUNDS
AMG Managers Brandywine
AMG Managers Brandywine Advisors Mid Cap Growth
AMG Managers Brandywine Blue
Friess Associates, LLC
AMG Managers Cadence Emerging Companies
AMG Managers Cadence Mid Cap
Cadence Capital Management LLC
AMG Managers CenterSquare Real Estate
CenterSquare Investment Management LLC
AMG Managers Emerging Opportunities
Lord, Abbett & Co. LLC
WEDGE Capital Management L.L.P.
Next Century Growth Investors LLC
RBC Global Asset Management (U.S.) Inc.
AMG Managers Essex Small/Micro Cap Growth
Essex Investment Management Company, LLC
AMG Managers Fairpointe ESG Equity
AMG Managers Fairpointe Mid Cap
Fairpointe Capital LLC
AMG Managers Guardian Capital Global Dividend
Guardian Capital LP
AMG Managers LMCG Small Cap Growth
LMCG Investments, LLC
AMG Managers Montag & Caldwell Growth
AMG Managers Montag & Caldwell Mid Cap Growth
Montag & Caldwell, LLC
AMG Managers Pictet International
Pictet Asset Management Limited
AMG Managers Silvercrest Small Cap
Silvercrest Asset Management Group LLC
AMG Managers Skyline Special Equities
Skyline Asset Management, L.P.
AMG Managers Special Equity
Ranger Investment Management, L.P.
Lord, Abbett & Co. LLC
Smith Asset Management Group, L.P.
Federated MDTA LLC
AMG Managers Value Partners Asia Dividend
Value Partners Hong Kong Limited
FIXED INCOME FUNDS
AMG Managers Amundi Intermediate Government
AMG Managers Amundi Short Duration Government
Amundi Pioneer Institutional Asset Management, Inc.
AMG Managers Doubleline Core Plus Bond
DoubleLine Capital LP
AMG Managers Global Income Opportunity
AMG Managers Loomis Sayles Bond
Loomis, Sayles & Company, L.P.
amgfunds.com | 063018 | SAR019 |
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Item 2. | CODE OF ETHICS |
Not applicable for the semi-annual shareholder report.
Item 3. | AUDIT COMMITTEE FINANCIAL EXPERT |
Not applicable for the semi-annual shareholder report.
Item 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES |
Not applicable for the semi-annual shareholder report.
Item 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS |
Not applicable.
Item 6. | SCHEDULE OF INVESTMENTS |
The schedule of investments in unaffiliated issuers as of the close of the reporting period is included as part of the shareholder report contained in Item 1 hereof.
Item 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable.
Item 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable.
Item 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANIES AND AFFILIATED PURCHASERS |
Not applicable.
Item 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS |
Not applicable.
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Item 11. | CONTROLS AND PROCEDURES |
(a) | The registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure. |
(b) | There were no changes in the registrant’s internal control over financial reporting during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the internal control over financial reporting. |
Item 12. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable.
Item 13. | EXHIBITS |
(a)(1) | Not applicable. | |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 – Filed herewith. | |
(a)(3) | Not applicable. | |
(b) | Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 – Filed herewith. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
AMG FUNDS II
By: | /s/ Keitha L. Kinne | |
Keitha L. Kinne, Principal Executive Officer | ||
Date: | September 6, 2018 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Keitha L. Kinne | |
Keitha L. Kinne, Principal Executive Officer | ||
Date: | September 6, 2018 | |
By: | /s/ Thomas Disbrow | |
Thomas Disbrow, Principal Financial Officer | ||
Date: | September 6, 2018 |