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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)
680 Washington Boulevard, Suite 500, Stamford, Connecticut 06901
(Address of principal executive offices) (Zip code)
AMG Funds LLC
680 Washington Boulevard, Suite 500, Stamford, Connecticut 06901
(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, 2022 – JUNE 30, 2022 (Semi-Annual Shareholder Report)
Table of Contents
Item 1. | Reports to Shareholders |
Table of Contents
SEMI-ANNUAL REPORT |
AMG Funds | ||||
June 30, 2022
| ||||
AMG GW&K ESG Bond Fund | ||||
Class N: MGFIX | Class I: MGBIX | ||||
AMG GW&K Enhanced Core Bond ESG Fund | ||||
Class N: MFDAX | Class I: MFDSX | Class Z: MFDYX | ||||
AMG GW&K High Income Fund | ||||
Class N: MGGBX | Class I: GWHIX | ||||
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 | ||||
amgfunds.com | | 063022 | SAR088 |
Table of Contents
Table of Contents
AMG Funds Semi-Annual Report — June 30, 2022 (unaudited) |
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2 | ||||||
3 | ||||||
FUND SNAPSHOTS AND SCHEDULES OF PORTFOLIO INVESTMENTS | ||||||
5 | ||||||
11 | ||||||
16 | ||||||
21 | ||||||
27 | ||||||
FINANCIAL STATEMENTS | ||||||
31 | ||||||
Balance sheets, net asset value (NAV) per share computations | ||||||
33 | ||||||
Detail of sources of income, expenses, and realized and | ||||||
34 | ||||||
Detail of changes in assets for the past two fiscal periods | ||||||
36 | ||||||
Historical net asset values per share, distributions, total returns, income | ||||||
48 | ||||||
Accounting and distribution policies, details of agreements and | ||||||
ANNUAL RENEWAL OF INVESTMENT MANAGEMENT AND SUBADVISORY AGREEMENTS | 56 | |||||
60 |
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 Funds. Such offering is made only by prospectus, which includes details as to offering price and other material information.
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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, 2022 | Expense Ratio for the Period | Beginning Account Value 01/01/22 | Ending Account Value 06/30/22 | Expenses Paid During the Period* | ||||
AMG GW&K ESG Bond Fund | ||||||||
Based on Actual Fund Return | ||||||||
Class N | 0.68% | $1,000 | $885 | $3.18 | ||||
Class I | 0.48% | $1,000 | $886 | $2.24 | ||||
Based on Hypothetical 5% Annual Return | ||||||||
Class N | 0.68% | $1,000 | $1,021 | $3.41 | ||||
Class I | 0.48% | $1,000 | $1,022 | $2.41 | ||||
AMG GW&K Enhanced Core Bond ESG Fund | ||||||||
Based on Actual Fund Return | ||||||||
Class N | 0.73% | $1,000 | $884 | $3.41 | ||||
Class I | 0.57% | $1,000 | $886 | $2.66 | ||||
Class Z | 0.48% | $1,000 | $885 | $2.24 | ||||
Based on Hypothetical 5% Annual Return | ||||||||
Class N | 0.73% | $1,000 | $1,021 | $3.66 | ||||
Class I | 0.57% | $1,000 | $1,022 | $2.86 | ||||
Class Z | 0.48% | $1,000 | $1,022 | $2.41 | ||||
AMG GW&K High Income Fund | ||||||||
Based on Actual Fund Return | ||||||||
Class N | 0.84% | $1,000 | $896 | $3.95 | ||||
Class I | 0.64% | $1,000 | $897 | $3.01 | ||||
Based on Hypothetical 5% Annual Return | ||||||||
Class N | 0.84% | $1,000 | $1,021 | $4.21 | ||||
Class I | 0.64% | $1,000 | $1,022 | $3.21 |
Six Months Ended June 30, 2022 | Expense Ratio for the Period | Beginning Account Value 01/01/22 | Ending Account Value 06/30/22 | Expenses Paid During the Period* | ||||||
AMG GW&K Municipal Bond Fund |
| |||||||||
Based on Actual Fund Return | ||||||||||
Class N | 0.72% | $1,000 | $907 | $3.41 | ||||||
Class I | 0.39% | $1,000 | $909 | $1.85 | ||||||
Based on Hypothetical 5% Annual Return |
| |||||||||
Class N | 0.72% | $1,000 | $1,021 | $3.61 | ||||||
Class I | 0.39% | $1,000 | $1,023 | $1.96 | ||||||
AMG GW&K Municipal Enhanced Yield Fund |
| |||||||||
Based on Actual Fund Return |
| |||||||||
Class N | 0.99% | $1,000 | $832 | $4.50 | ||||||
Class I | 0.64% | $1,000 | $834 | $2.91 | ||||||
Class Z | 0.59% | $1,000 | $834 | $2.68 | ||||||
Based on Hypothetical 5% Annual Return |
| |||||||||
Class N | 0.99% | $1,000 | $1,020 | $4.96 | ||||||
Class I | 0.64% | $1,000 | $1,022 | $3.21 | ||||||
Class Z | 0.59% | $1,000 | $1,022 | $2.96 |
* | 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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Periods ended June 30, 2022 |
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, 2022.
Average Annual Total Returns1 | Six Months* | One Year | Five Years | Ten Years | Since Inception | Inception Date | ||||||||||||||||||
AMG GW&K ESG Bond Fund2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14 |
| |||||||||||||||||||||||
Class N | (11.48%) | (11.55%) | 0.86% | 2.49% | 7.26% | 06/01/84 | ||||||||||||||||||
Class I | (11.43%) | (11.41%) | 1.04% | — | 1.97% | 04/01/13 | ||||||||||||||||||
Bloomberg U.S. Aggregate Bond Index20 | (10.35%) | (10.29%) | 0.88% | 1.54% | 6.57% | 06/01/84 | † | |||||||||||||||||
AMG GW&K Enhanced Core Bond ESG Fund2, 3, 4, 5, 6, 7, 8, 9, 11, 13, 14 |
| |||||||||||||||||||||||
Class N | (11.56%) | (11.93%) | 1.01% | 1.72% | 4.59% | 01/02/97 | ||||||||||||||||||
Class I | (11.45%) | (11.73%) | 1.19% | — | 1.56% | 11/30/12 | ||||||||||||||||||
Class Z | (11.50%) | (11.76%) | 1.26% | 1.97% | 4.95% | 01/02/97 | ||||||||||||||||||
Bloomberg U.S. Aggregate Bond Index20 | (10.35%) | (10.29%) | 0.88% | 1.54% | 4.41% | 01/02/97 | † | |||||||||||||||||
AMG GW&K High Income Fund2, 4, 5, 6, 14, 15 |
| |||||||||||||||||||||||
Class N | (10.39%) | (9.71%) | 2.07% | 2.24% | 4.47% | 03/25/94 | ||||||||||||||||||
Class I | (10.31%) | (9.49%) | — | — | (5.43%) | 03/15/21 | ||||||||||||||||||
Bloomberg U.S. High Yield 1-5 Year Ba Index21 | (8.89%) | (7.79%) | 2.61% | 4.11% | 4.04% | 03/25/94 | † | |||||||||||||||||
AMG GW&K Municipal Bond Fund2, 4, 6, 11, 14, 16, 17, 18 |
| |||||||||||||||||||||||
Class N | (9.26%) | (9.35%) | 0.57% | 1.65% | 3.01% | 06/30/09 | ||||||||||||||||||
Class I | (9.14%) | (9.08%) | 0.89% | 2.03% | 3.44% | 06/30/09 | ||||||||||||||||||
Bloomberg 10-Year Municipal Bond Index22 | (8.26%) | (7.90%) | 1.66% | 2.52% | 3.78% | 06/30/09 | † | |||||||||||||||||
AMG GW&K Municipal Enhanced Yield Fund2, 4, 5, 6, 11, 14, 16, 17, 18, 19 |
| |||||||||||||||||||||||
Class N | (16.81%) | (16.66%) | 0.96% | 2.61% | 4.66% | 07/27/09 | ||||||||||||||||||
Class I | (16.59%) | (16.30%) | 1.35% | 3.03% | 3.73% | 12/30/05 | ||||||||||||||||||
Class Z | (16.57%) | (16.26%) | 1.40% | — | 2.01% | 02/24/17 | ||||||||||||||||||
Bloomberg U.S. Municipal Bond BAA Index23 | (11.33%) | (10.52%) | 2.58% | 3.09% | 4.72% | 07/27/09 | † |
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 800.548.4539 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, 2022. All returns are in U.S. dollars ($).
2 From time to time, the Fund’s investment manager 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 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.
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 Market prices of investments held by the Fund may fall rapidly or unpredictably due to a variety of economic or political factors, market conditions, disasters or public health issues, or in response to events that affect particular industries or companies.
7 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.
8 The Fund is subject to currency risk resulting from fluctuations in exchange rates that may affect the total loss or gain on a non-U.S. Dollar investment when converted back to U.S. Dollars.
|
9 Applying the Fund’s ESG investment criteria may result in the selection or exclusion of securities of certain issuers for reasons other than performance, and the Fund may underperform funds that do not utilize an ESG investment strategy. The application of this strategy may affect the Fund’s exposure to certain companies, sectors, regions, countries or types of investments, which could negatively impact the Fund’s performance depending on whether such investments are in or out of favor. Applying ESG criteria to investment decisions is qualitative and subjective by nature, and there is no guarantee that the criteria utilized by the Subadviser or any judgment exercised |
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Fund Performance Periods ended June 30, 2022 (continued) |
by the Subadviser will reflect the beliefs or values of any particular investor.
10 Because exchange-traded funds (ETFs) incur their own costs, investing in them could result in a higher cost to the investor. Additionally, the fund will be indirectly exposed to all the risks of securities held by the ETFs.
11 Factors unique to the municipal bond market may negatively affect the value in municipal bonds.
12 As of March 19, 2021, the Fund’s subadvisor was changed to GW&K Investment Management, LLC. Prior to March 19, 2021, the Fund was known as the AMG Managers Loomis Sayles Bond Fund and had different principal investment strategies and corresponding risks. Performance shown for periods prior to March 19, 2021 reflects the performance and investment strategies of the Fund’s previous subadvisor, Loomis, Sayles & Company, L.P. The Fund’s past performance would have been different if the Fund were managed by the current subadvisor and strategy, and the Fund’s prior performance record might be less pertinent for investors considering whether to purchase shares of the Fund.
13 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.
14 The issuer of the bonds may not be able to meet interest or principal payments when the bonds come due.
15 As of December 4, 2020, the Fund’s subadvisor was changed to GW&K Investment Management, LLC. Prior to December 4, 2020, the Fund was known as the AMG Managers Global Income Opportunity Fund, and had different principal investment strategies and | corresponding risks. Performance shown for periods prior to December 4, 2020 reflects the performance and investment strategies of the Fund’s previous subadvisor, Loomis, Sayles & Company, L.P. The Fund’s past performance would have been different if the Fund were managed by the current subadvisor and strategy, and the Fund’s prior performance record might be less pertinent for investors considering whether to purchase shares of the Fund.
16 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.
17 Companies that are in similar industry sectors may be similarly affected by particular economic or market events; to the extent the Fund has substantial holdings within a particular sector, the risks associated with that sector increase.
18 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.
19 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.
20 The Bloomberg 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 U.S. Aggregate Bond Index is unmanaged, is not available for investment and does not incur expenses.
21 The Bloomberg U.S. High Yield Ba 1-5 Year Index, a subset of the Bloomberg High Yield Index, is an unmanaged index comprised of fixed rate, publicly issued, non-investment grade debt registered with the Securities and Exchange Commission (SEC) where the middle rating of Moody’s, S&P and Fitch is BB and | maturities range from 1 to 5 years. Unlike the Fund, the Bloomberg U.S. High Yield Ba 1-5 Year Index is unmanaged, is not available for investment and does not incur expenses.
22 The Bloomberg 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 10-Year Municipal Bond Index is unmanaged, is not available for investment and does not incur expenses.
23 The Bloomberg U.S. Municipal Bond BAA Index is a subset of the Bloomberg U.S. Municipal Bond Index with an index rating of Baa1, Baa2, or Baa3. The Bloomberg 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 U.S. Municipal Bond BAA Index is unmanaged, is not available for investment and does not incur expenses.
“Bloomberg®” and any Bloomberg index described herein are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”) and have been licensed for use for certain purposes by AMG Funds LLC. Bloomberg is not affiliated with AMG Funds LLC, and Bloomberg does not approve, endorse, review, or recommend the fund described herein. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to such fund.
Not FDIC insured, nor bank guaranteed. May lose value. |
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Fund Snapshots (unaudited) June 30, 2022 |
PORTFOLIO BREAKDOWN
Category
| % of
| ||||
U.S. Government and Agency Obligations | 46.9 | ||||
Corporate Bonds and Notes | 42.4 | ||||
Municipal Bonds | 4.8 | ||||
Foreign Government Obligations | 0.8 | ||||
Asset-Backed Securities | 0.3 | ||||
Short-Term Investments | 7.0 | ||||
Other Assets, Less Liabilities | (2.2) |
Rating
| % of Market Value1
| ||||
U.S. Government and Agency Obligations | 49.2 | ||||
Aaa/AAA | 1.4 | ||||
Aa/AA | 6.2 | ||||
A | 6.5 | ||||
Baa/BBB | 21.8 | ||||
Ba/BB | 14.0 | ||||
B |
| 0.9
|
|
1 | Includes market value of long-term fixed-income securities only. |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |
U.S. Treasury Bonds, 2.250%, 05/15/41 | 3.5 | |
FHLMC, 3.000%, 04/01/51 | 2.9 | |
U.S. Treasury Bonds, 1.875%, 02/15/51 | 2.2 | |
U.S. Treasury Notes, 2.625%, 02/15/29 | 2.2 | |
FNMA, 3.500%, 02/01/35 | 2.2 | |
FNMA, 3.500%, 08/01/49 | 2.1 | |
U.S. Treasury Notes, 0.125%, 03/31/23 | 2.1 | |
U.S. Treasury Bonds, 5.000%, 05/15/37 | 2.0 | |
FNMA, 2.000%, 04/01/51 | 2.0 | |
FNMA, 3.500%, 02/01/47 | 2.0 | |
| ||
Top Ten as a Group | 23.2 | |
|
Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch. 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 any of the rating agencies. 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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AMG GW&K ESG Bond Fund Schedule of Portfolio Investments (unaudited) June 30, 2022 |
Principal Amount | Value | |||||||
Corporate Bonds and Notes - 42.4% |
| |||||||
Financials - 10.4% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) 1.650%, 10/29/24 | $5,450,000 | $5,032,158 | ||||||
Aircastle, Ltd. (Bermuda) | 2,282,000 | 2,203,251 | ||||||
Ally Financial, Inc. | 2,000,000 | 2,223,329 | ||||||
American Express Co. | ||||||||
(3.550% to 09/15/26 then U.S. Treasury Yield Curve CMT 5 year + 2.854%), 3.550%, 09/15/262,3,4 | 1,195,000 | 972,264 | ||||||
American Tower Corp. | 1,900,000 | 1,888,324 | ||||||
Bank of America Corp. | ||||||||
MTN, (4.330% to 03/15/49 then 3 month LIBOR + 1.520%), 4.330%, 03/15/502,4 | 2,775,000 | 2,492,105 | ||||||
The Bank of New York Mellon Corp. | ||||||||
Series G, (4.700% to 09/20/25 then U.S. Treasury Yield Curve CMT 5 year + 4.358%), 4.700%, 09/20/252,3,4 | 4,300,000 | 4,201,100 | ||||||
The Charles Schwab Corp. | ||||||||
Series I, (4.000% to 06/01/26 then U.S. Treasury Yield Curve CMT 5 year + 3.168%), 4.000%, 06/01/262,3,4 | 4,400,000 | 3,729,704 | ||||||
Crown Castle International Corp. | 2,300,000 | 2,234,358 | ||||||
First-Citizens Bank & Trust Co. | 2,825,000 | 2,943,553 | ||||||
The Goldman Sachs Group, Inc. | 1,850,000 | 2,048,731 | ||||||
Morgan Stanley | 2,200,000 | 2,130,339 | ||||||
(4.431% to 01/23/29 then 3 month LIBOR + 1.628%), 4.431%, 01/23/302,4 | 2,948,000 | 2,864,347 | ||||||
OneMain Finance Corp. | 3,050,000 | 3,048,195 | ||||||
Owl Rock Capital Corp. | 2,300,000 | 2,115,659 | ||||||
SBA Communications Corp. | 3,700,000 | 3,377,323 | ||||||
SLM Corp. | 3,365,000 | 2,717,103 | ||||||
4.200%, 10/29/25 | 838,000 | 759,192 | ||||||
Starwood Property Trust, Inc. | 1,700,000 | 1,570,201 | ||||||
Truist Financial Corp. | ||||||||
Series P, (4.950% to 09/01/25 then U.S. Treasury Yield Curve CMT 5 year + 4.605%), 4.950%, 09/01/252,3,4 | 3,400,000 | 3,309,687 |
Principal Amount | Value | |||||||
VICI Properties LP/VICI Note Co., Inc. | $1,900,000 | $1,777,303 | ||||||
Wells Fargo & Co., MTN | ||||||||
(2.879% to 10/30/29 then SOFR + 1.432%), 2.879%, 10/30/302,4 | 3,435,000 | 3,020,655 | ||||||
Weyerhaeuser Co. | 2,600,000 | 2,916,695 | ||||||
Total Financials | 59,575,576 | |||||||
Industrials - 30.2% | ||||||||
Advocate Health & Hospitals Corp. | 1,700,000 | 1,629,090 | ||||||
AECOM | 1,650,000 | 1,559,250 | ||||||
Air Products and Chemicals, Inc. | 2,450,000 | 1,959,344 | ||||||
Alcoa Nederland Holding, B.V. (Netherlands) | 5,750,000 | 5,141,305 | ||||||
Anglo American Capital PLC | 3,554,000 | 2,957,175 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | 2,200,000 | 2,017,701 | ||||||
Aramark Services, Inc. | 3,220,000 | 2,917,996 | ||||||
ArcelorMittal, S.A. (Luxembourg) | 3,300,000 | 3,132,839 | ||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC | ||||||||
3.250%, 09/01/281,5 | 3,500,000 | 2,987,490 | ||||||
Ashtead Capital, Inc. | 3,536,000 | 3,087,718 | ||||||
AT&T, Inc. | 2,200,000 | 2,146,982 | ||||||
Ball Corp. | 3,875,000 | 3,119,012 | ||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. | 3,019,000 | 2,904,869 | ||||||
Centene Corp. | 3,650,000 | 3,095,382 | ||||||
CF Industries, Inc. | 2,650,000 | 2,470,116 | ||||||
Cisco Systems, Inc. | 1,650,000 | 1,799,506 | ||||||
Clearwater Paper Corp. | 1,950,000 | 1,681,552 | ||||||
The Coca-Cola Co. | 2,400,000 | 1,877,703 | ||||||
Cogent Communications Group, Inc. | 3,365,000 | 3,095,800 | ||||||
CommonSpirit Health | 1,950,000 | 1,799,917 |
The accompanying notes are an integral part of these financial statements.
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AMG GW&K ESG Bond Fund Schedule of Portfolio Investments (continued) |
Principal Amount | Value | |||||||
Industrials - 30.2% (continued) | ||||||||
Crown Americas LLC/Crown | $3,350,000 | $3,090,375 | ||||||
CVS Health Corp. | 1,850,000 | 1,781,961 | ||||||
Dell International LLC/EMC Corp. | 972,000 | 1,134,600 | ||||||
Dell, Inc. | 2,950,000 | 3,208,197 | ||||||
Delta Air Lines, Inc. | 3,100,000 | 3,095,195 | ||||||
Discovery Communications LLC | 2,047,000 | 1,910,784 | ||||||
FMG Resources August 2006 Pty, Ltd. (Australia) | 3,000,000 | 2,677,500 | ||||||
The Ford Foundation | 2,725,000 | 1,942,964 | ||||||
Freeport-McMoRan, Inc. | 3,261,000 | 3,025,491 | ||||||
Graphic Packaging International LLC | 2,850,000 | 2,393,134 | ||||||
Hanesbrands, Inc. | 3,250,000 | 3,010,345 | ||||||
Hasbro, Inc. | 3,425,000 | 3,145,062 | ||||||
HB Fuller Co. | 3,400,000 | 2,852,804 | ||||||
HCA, Inc. | 3,050,000 | 2,594,665 | ||||||
Hilton Domestic Operating Co., Inc. | 3,600,000 | 3,253,500 | ||||||
The Home Depot, Inc. | 1,600,000 | 1,839,650 | ||||||
KB Home | 1,222,000 | 1,019,120 | ||||||
6.875%, 06/15/275 | 1,751,000 | 1,689,855 | ||||||
Kraft Heinz Foods Co. | 5,075,000 | 4,229,532 | ||||||
Lamar Media Corp. | 3,250,000 | 2,925,377 | ||||||
Merck & Co., Inc. | 7,310,000 | 6,496,292 | ||||||
Methanex Corp. (Canada) | 1,800,000 | 1,588,500 | ||||||
Microsoft Corp. | 2,450,000 | 1,804,489 | ||||||
MSCI, Inc. | 2,015,000 | 1,606,136 | ||||||
Murphy Oil USA, Inc. | 3,250,000 | 2,925,195 |
Principal Amount | Value | |||||||
Newell Brands, Inc. | $3,400,000 | $3,238,542 | ||||||
Novelis Corp. | 3,175,000 | 2,683,747 | ||||||
Owens Corning | 1,800,000 | 2,011,246 | ||||||
Parker-Hannifin Corp. | 1,900,000 | 1,738,849 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | 3,250,000 | 3,030,625 | ||||||
PulteGroup, Inc. | 2,050,000 | 2,009,748 | ||||||
SK Hynix, Inc. (South Korea) | 3,000,000 | 2,362,774 | ||||||
Sonoco Products Co. | 3,682,000 | 3,074,052 | ||||||
Sysco Corp. | 4,475,000 | 3,816,300 | ||||||
Teleflex, Inc. | 3,350,000 | 3,026,842 | ||||||
Tenet Healthcare Corp. | 3,350,000 | 3,082,000 | ||||||
Travel + Leisure Co. | 2,700,000 | 2,652,750 | ||||||
Twilio, Inc. | 600,000 | 504,420 | ||||||
3.875%, 03/15/315 | 2,694,000 | 2,216,542 | ||||||
United Parcel Service, Inc. | 1,500,000 | 1,749,732 | ||||||
United Rentals North America, Inc. | 3,650,000 | 3,079,094 | ||||||
Verizon Communications, Inc. | 3,460,000 | 3,347,506 | ||||||
VF Corp. | 2,100,000 | 1,840,636 | ||||||
Walgreens Boots Alliance, Inc. | 2,520,000 | 2,204,044 | ||||||
Walmart, Inc. | 1,850,000 | 1,808,190 | ||||||
WESCO Distribution, Inc. | 1,600,000 | 1,596,528 | ||||||
Western Digital Corp. | 1,916,000 | 1,828,075 | ||||||
Yum! Brands, Inc. | 3,550,000 | 2,982,000 | ||||||
Total Industrials | 172,505,712 |
The accompanying notes are an integral part of these financial statements.
7
Table of Contents
AMG GW&K ESG Bond Fund Schedule of Portfolio Investments (continued) |
Principal Amount | Value | |||||||
Utilities - 1.8% | ||||||||
Dominion Energy, Inc. | ||||||||
Series B, (4.650% to 12/15/24 then U.S. Treasury Yield Curve CMT 5 year + 2.993%), 4.650%, 12/15/242,3,4 | $3,950,000 | $3,510,122 | ||||||
National Rural Utilities Cooperative Finance Corp. | 4,750,000 | 3,701,904 | ||||||
Northern States Power Co. | 3,800,000 | 2,856,316 | ||||||
Total Utilities | 10,068,342 | |||||||
Total Corporate Bonds and Notes | 242,149,630 | |||||||
Asset-Backed Securities - 0.3% | ||||||||
FAN Engine Securitization, Ltd. (Ireland) | ||||||||
Series 2013-1A, Class 1A | 4,360,594 | 1,813,135 | ||||||
Municipal Bonds - 4.8% | ||||||||
California Health Facilities Financing Authority | 3,500,000 | 3,329,417 | ||||||
California State General Obligation, School Improvements | 2,300,000 | 3,119,923 | ||||||
Dallas Fort Worth International Airport, Series A | 1,000,000 | 971,963 | ||||||
JobsOhio Beverage System, | 3,700,000 | 3,086,100 | ||||||
Los Angeles Unified School District, School Improvements | 3,225,000 | 3,582,761 | ||||||
Massachusetts School Building Authority | 4,500,000 | 3,875,159 | ||||||
New Jersey Economic Development Authority, Pension Funding, Series A (National Insured) | 3,550,000 | 3,988,315 | ||||||
Port Authority of New York & New Jersey | 2,000,000 | 2,245,492 | ||||||
University of California | 3,650,000 | 3,162,273 | ||||||
Total Municipal Bonds | 27,361,403 | |||||||
U.S. Government and Agency Obligations - 46.9% |
| |||||||
Fannie Mae - 16.9% | ||||||||
FNMA | ||||||||
2.000%, 04/01/51 | 12,891,329 | 11,205,653 | ||||||
2.500%, 11/01/50 | 5,342,884 | 4,819,060 | ||||||
3.500%, 02/01/35 to 02/01/51 | 43,396,674 | 42,709,804 | ||||||
4.000%, 07/01/44 to 01/01/51 | 25,815,229 | 25,898,020 | ||||||
4.500%, 05/01/48 to 06/01/49 | 7,521,346 | 7,729,470 |
Principal Amount | Value | |||||||
FNMA | $3,649,344 | $3,798,695 | ||||||
Total Fannie Mae | 96,160,702 | |||||||
Freddie Mac - 8.2% | ||||||||
FHLMC | ||||||||
2.000%, 03/01/36 | 9,369,682 | 8,767,322 | ||||||
3.000%, 04/01/51 | 17,920,936 | 16,709,198 | ||||||
3.500%, 02/01/50 | 10,352,146 | 10,060,134 | ||||||
4.500%, 10/01/48 to 12/01/48 | 10,935,054 | 11,056,616 | ||||||
Total Freddie Mac | 46,593,270 | |||||||
U.S. Treasury Obligations - 21.8% | ||||||||
U.S. Treasury Bonds | ||||||||
1.250%, 05/15/50 | 5,625,000 | 3,578,906 | ||||||
1.875%, 02/15/51 | 16,912,000 | 12,685,982 | ||||||
2.250%, 05/15/41 | 23,759,000 | 19,825,772 | ||||||
2.500%, 02/15/46 | 3,096,000 | 2,625,190 | ||||||
3.125%, 05/15/48 | 11,143,000 | 10,783,899 | ||||||
3.500%, 02/15/39 | 4,556,000 | 4,759,418 | ||||||
5.000%, 05/15/37 | 9,246,000 | 11,430,729 | ||||||
6.750%, 08/15/26 | 5,839,000 | 6,667,180 | ||||||
U.S. Treasury Notes | ||||||||
0.125%, 03/31/23 to 02/15/24 | 23,613,000 | 22,861,505 | ||||||
0.250%, 03/15/24 | 7,118,000 | 6,796,300 | ||||||
0.500%, 02/28/26 | 3,270,000 | 2,980,426 | ||||||
0.750%, 03/31/26 | 3,800,000 | 3,490,211 | ||||||
2.500%, 01/31/25 | 3,450,000 | 3,404,719 | ||||||
2.625%, 02/15/29 | 13,007,000 | 12,664,042 | ||||||
Total U.S. Treasury Obligations | 124,554,279 | |||||||
Total U.S. Government and Agency Obligations |
| 267,308,251 | ||||||
Foreign Government Obligation - 0.8% |
| |||||||
The Korea Development Bank (South Korea) 0.500%, 10/27/23 | 4,550,000 | 4,386,974 | ||||||
Short-Term Investments - 7.0% | ||||||||
Joint Repurchase Agreements - 3.0%8 |
| |||||||
Cantor Fitzgerald Securities, Inc., dated 06/30/22,due 07/01/22, 1.550% total to be received $4,066,875 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 9.000%, 08/01/22 - 01/20/68, totaling $4,148,034) | 4,066,700 | 4,066,700 | ||||||
MUFG Securities America, Inc., dated 06/30/22,due 07/01/22, 1.550% total to be received $4,066,873 (collateralized by various U.S. Government Agency Obligations, 3.000% - 5.000%, 11/01/26 - 07/01/52, totaling $4,148,032) | 4,066,698 | 4,066,698 | ||||||
National Bank Financial, dated 06/30/22, due 07/01/22, 1.590% total to be received $4,066,878 (collateralized by various U.S. Treasuries, 0.000% - 2.750%, 07/01/22 - 09/09/49, totaling $4,148,035) | 4,066,698 | 4,066,698 |
The accompanying notes are an integral part of these financial statements.
8
Table of Contents
AMG GW&K ESG Bond Fund Schedule of Portfolio Investments (continued) |
Principal Amount | Value | |||||||
Joint Repurchase Agreements - 3.0%8 (continued) |
| |||||||
RBC Dominion Securities, Inc., dated 06/30/22,due 07/01/22, 1.550% total to be received $2,582,860 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 6.875%, 08/16/22 - 05/20/52, totaling $2,634,404) | $2,582,749 | $2,582,749 | ||||||
State of Wisconsin Investment Board, dated 06/30/22, due 07/01/22, 1.550% total to be received $2,339,351 (collateralized by various U.S. Treasuries, 0.125% - 3.875%, 01/15/25 - 02/15/51, totaling $2,386,039) | 2,339,250 | 2,339,250 | ||||||
Total Joint Repurchase Agreements |
| 17,122,095 |
Principal Amount | Value | |||||||
Repurchase Agreements - 4.0% |
| |||||||
Fixed Income Clearing Corp., dated 06/30/2022 due 07/01/2022, 1.35% total to be received $22,600,848 (collateralized by a U.S. Treasury, 0.375%, 07/15/27, totaling $23,052,062) | $22,600,000 | $22,600,000 | ||||||
Total Short-Term Investments | ||||||||
(Cost $39,722,095) | 39,722,095 | |||||||
Total Investments - 102.2% | ||||||||
(Cost $653,091,370) | 582,741,488 | |||||||
Other Assets, less Liabilities - (2.2)% |
| (12,336,571) | ||||||
Net Assets - 100.0% | $570,404,917 |
1 | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2022, the value of these securities amounted to $53,132,356 or 9.3% of net assets. |
2 | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2022. Rate will reset at a future date. |
3 | Perpetuity Bond. The date shown represents the next call date. |
4 | Variable rate security. The rate shown is based on the latest available information as of June 30, 2022. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
5 | Some of these securities, amounting to $24,789,642 or 4.3% of net assets, were out on loan to various borrowers and are collateralized by cash and various U.S. Treasury Obligations. See Note 4 of Notes to Financial Statements. |
6 | Step Bond: A debt instrument with either deferred interest payments or an interest rate that resets at specific times during its term. |
7 | Security’s value was determined by using significant unobservable inputs. |
8 | Cash collateral received for securities lending activity was invested in these joint repurchase agreements. |
CMT | Constant Maturity Treasury | |
FHLMC | Freddie Mac | |
FNMA | Fannie Mae | |
LIBOR | London Interbank Offered Rate | |
MTN | Medium-Term Note | |
National Insured | National Public Finance Guarantee Corp. | |
SOFR | Secured Overnight Financing Rate |
The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of June 30, 2022:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Corporate Bonds and Notes† | — | $242,149,630 | — | $242,149,630 | ||||||||||||
Asset-Backed Securities | — | — | $1,813,135 | 1,813,135 | ||||||||||||
Municipal Bonds† | — | 27,361,403 | — | 27,361,403 | ||||||||||||
U.S. Government and Agency Obligations† | — | 267,308,251 | — | 267,308,251 | ||||||||||||
Foreign Government Obligation | — | 4,386,974 | — | 4,386,974 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Joint Repurchase Agreements | — | 17,122,095 | — | 17,122,095 | ||||||||||||
Repurchase Agreements | — | 22,600,000 | — | 22,600,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | — | $580,928,353 | $1,813,135 | $582,741,488 | ||||||||||||
|
|
|
|
|
|
|
|
† | All corporate bonds and notes, municipal bonds, and U.S. government and agency obligations held in the Fund are Level 2 securities. For a detailed breakout of corporate bonds and notes, municipal bonds, and U.S. government and agency obligations by major industry or agency classification, please refer to the Fund’s Schedule of Portfolio Investments. |
The accompanying notes are an integral part of these financial statements.
9
Table of Contents
AMG GW&K ESG Bond Fund Schedule of Portfolio Investments (continued) |
The following table below is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value at June 30, 2022:
Asset-Backed Securities | ||||
Balance as of December 31, 2021 | $2,475,909 | |||
Accrued discounts (premiums) | 1,720 | |||
Realized gain (loss) | 25,777 | |||
Change in unrealized appreciation/depreciation | 2,125,682 | |||
Purchases | — | |||
Sales | (2,815,953 | ) | ||
Transfers in to Level 3 | — | |||
Transfers out of Level 3 | — | |||
Balance as of June 30, 2022 | $1,813,135 | |||
Net change in unrealized appreciation/depreciation on investments still held at June 30, 2022 | $(899,699 | ) |
The following table summarizes the quantitative inputs and assumptions used for investments categorized in Level 3 of the fair value hierarchy as of June 30, 2022. The table below is not intended to be all-inclusive, but rather provides information on the significant Level 3 inputs as they relate to the Fund’s fair value measurements:
Quantitative Information about Level 3 Fair Value Measurements | ||||||||||||
Fair Value as of June 30, 2022 | Valuation Technique(s) | Unobservable Inputs(s) | Range | Median | Impact to Valuation from an Increase in Input(a) | |||||||
Asset-Backed Securities | $1,813,135 | Discounted Cash Flow | Discount Rate | 15% | N/A | Decrease |
(a) | Represents the directional change in the fair value of the Level 3 investments that could have resulted from an increase in the corresponding input as of period end. A decrease to the unobservable input would have had the opposite effect. Significant changes in these inputs may have resulted in a significantly higher or lower fair value measurement at period end. |
The accompanying notes are an integral part of these financial statements.
10
Table of Contents
AMG GW&K Enhanced Core Bond ESG Fund Fund Snapshots (unaudited) June 30, 2022 |
PORTFOLIO BREAKDOWN
Category
| % of
| ||||
U.S. Government and Agency Obligations | 51.2 | ||||
Corporate Bonds and Notes | 37.3 | ||||
Municipal Bonds | 6.0 | ||||
Foreign Government Obligations | 0.6 | ||||
Short-Term Investments | 6.1 | ||||
Other Assets, Less Liabilities | (1.2) |
Rating
| % of Market Value1
| ||||
U.S. Government and Agency Obligations | 53.8 | ||||
Aaa/AAA | 2.6 | ||||
Aa/AA | 5.6 | ||||
A | 7.8 | ||||
Baa/BBB | 21.6 | ||||
Ba/BB | 8.1 | ||||
B | 0.5 |
1 | Includes market value of long-term fixed-income securities only. |
TOP TEN HOLDINGS
Security Name | % of Net Assets | ||||
U.S. Treasury Bonds, 6.750%, 08/15/26 | 4.1 | ||||
U.S. Treasury Bonds, 2.250%, 05/15/41 | 2.0 | ||||
U.S. Treasury Bonds, 1.875%, 02/15/51 | 1.9 | ||||
FNMA, 4.000%, 10/01/43 | 1.9 | ||||
U.S. Treasury Bonds, 3.125%, 05/15/48 | 1.8 | ||||
FNMA, 4.500%, 09/01/46 | 1.8 | ||||
U.S. Treasury Bonds, 3.500%, 02/15/39 | 1.8 | ||||
California State General Obligation, School Improvements, 7.550%, 04/01/39 | 1.6 | ||||
FNMA, 3.500%, 02/01/47 | 1.6 | ||||
FHLMC, 3.000%, 03/01/51 | 1.6 | ||||
|
| ||||
Top Ten as a Group | 20.1 | ||||
|
|
Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch. 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 any of the rating agencies. 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.
11
Table of Contents
AMG GW&K Enhanced Core Bond ESG Fund Schedule of Portfolio Investments (unaudited) June 30, 2022 |
Principal Amount | Value | |||||||
Corporate Bonds and Notes - 37.3% |
| |||||||
Financials - 11.0% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) 1.650%, 10/29/24 | $450,000 | $415,499 | ||||||
American Express Co. | ||||||||
(3.550% to 09/15/26 then U.S. Treasury Yield Curve CMT 5 year + 2.854%), 3.550%, 09/15/261,2,3 | 610,000 | 496,302 | ||||||
American Tower Corp. | 536,000 | 362,917 | ||||||
Bank of America Corp. | ||||||||
MTN, (4.330% to 03/15/49 then 3 month LIBOR + 1.520%), 4.330%, 03/15/501,3 | 458,000 | 411,309 | ||||||
The Bank of New York Mellon Corp. | ||||||||
Series G, (4.700% to 09/20/25 then U.S. Treasury Yield Curve CMT 5 year + 4.358%), 4.700%, 09/20/251,2,3 | 266,000 | 259,882 | ||||||
Boston Properties, LP | 538,000 | 482,236 | ||||||
Crown Castle International Corp. | 378,000 | 362,923 | ||||||
First-Citizens Bank & Trust Co. | 420,000 | 437,625 | ||||||
The Goldman Sachs Group, Inc. | ||||||||
Series O, (5.300% to 11/10/26 then 3 month LIBOR + 3.834%), 5.300%, 11/10/261,2,3 | 268,000 | 251,998 | ||||||
Morgan Stanley, GMTN | ||||||||
(4.431% to 01/23/29 then 3 month LIBOR + 1.628%), 4.431%, 01/23/301,3 | 530,000 | 514,961 | ||||||
OneMain Finance Corp. | 524,000 | 500,420 | ||||||
SBA Communications Corp. | 225,000 | 205,378 | ||||||
SLM Corp. | 290,000 | 234,163 | ||||||
Starwood Property Trust, Inc. | 231,000 | 228,401 | ||||||
Wells Fargo & Co., MTN | ||||||||
(2.879% to 10/30/29 then SOFR + 1.432%), 2.879%, 10/30/301,3 | 600,000 | 527,625 | ||||||
Total Financials | 5,691,639 | |||||||
Industrials - 25.7% | ||||||||
AECOM | 224,000 | 211,680 | ||||||
Alcoa Nederland Holding, B.V. (Netherlands) | 480,000 | 429,187 | ||||||
Anglo American Capital PLC (United Kingdom) | 277,000 | 230,483 | ||||||
Aramark Services, Inc. |
| 270,000
|
|
| 244,677
|
|
Principal Amount | Value | |||||||
ArcelorMittal, S.A. (Luxembourg) | $272,000 | $258,222 | ||||||
Arconic, Inc. | 206,000 | 202,910 | ||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC | 400,000 | 341,427 | ||||||
Ashtead Capital, Inc. | 278,000 | 242,756 | ||||||
Ball Corp. | 200,000 | 196,750 | ||||||
Block Financial LLC | 142,000 | 127,705 | ||||||
Broadcom, Inc. | 548,000 | 466,615 | ||||||
Centene Corp. | 286,000 | 227,015 | ||||||
CF Industries, Inc. | 501,000 | 466,992 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 516,000 | 517,197 | ||||||
Clearwater Paper Corp. | 270,000 | 232,830 | ||||||
The Coca-Cola Co. | 135,000 | 105,621 | ||||||
Cogent Communications Group, Inc. | 250,000 | 230,000 | ||||||
Comcast Corp. | 262,000 | 261,273 | ||||||
CommonSpirit Health | 518,000 | 478,132 | ||||||
Crown Americas LLC/Crown Americas Capital Corp. V | 215,000 | 198,337 | ||||||
CVS Health Corp. | 437,000 | 420,928 | ||||||
Dell, Inc. | 225,000 | 244,693 | ||||||
Discovery Communications LLC | 252,000 | 235,231 | ||||||
Fiserv, Inc. | 493,000 | 474,982 | ||||||
The Ford Foundation | 588,000 | 419,252 | ||||||
Freeport-McMoRan, Inc. | 272,000 | 252,356 | ||||||
HCA, Inc. |
| 235,000
|
|
| 199,917
|
|
The accompanying notes are an integral part of these financial statements.
12
Table of Contents
AMG GW&K Enhanced Core Bond ESG Fund Schedule of Portfolio Investments (continued) |
Principal Amount | Value | |||||||
Industrials - 25.7% (continued) |
| |||||||
Hilton Domestic Operating Co., Inc. | $220,000 | $198,825 | ||||||
KB Home | 441,000 | 367,784 | ||||||
Kraft Heinz Foods Co. | 491,000 | 466,893 | ||||||
Merck & Co., Inc. | 573,000 | 509,217 | ||||||
Microsoft Corp. | 551,000 | 405,826 | ||||||
MSCI, Inc. | 118,000 | 94,057 | ||||||
Murphy Oil USA, Inc. | 60,000 | 54,004 | ||||||
5.625%, 05/01/27 | 205,000 | 200,900 | ||||||
Newell Brands, Inc. | 236,000 | 224,793 | ||||||
PulteGroup, Inc. | 492,000 | 491,952 | ||||||
Sonoco Products Co. | 576,000 | 480,895 | ||||||
Sysco Corp. | 543,000 | 463,073 | ||||||
Travel + Leisure Co. | 392,000 | 385,140 | ||||||
United Rentals North America, Inc. | 250,000 | 210,897 | ||||||
Verizon Communications, Inc. | 506,000 | 489,548 | ||||||
Walgreens Boots Alliance, Inc. | 365,000 | 319,236 | ||||||
Total Industrials | 13,280,208 | |||||||
Utilities - 0.6% |
| |||||||
National Rural Utilities Cooperative Finance Corp. | 427,000 | 332,782 | ||||||
Total Corporate Bonds and Notes | ||||||||
(Cost $21,989,442) | 19,304,629 | |||||||
Municipal Bonds - 6.0% |
| |||||||
California Health Facilities Financing Authority | 225,000 | 214,034 | ||||||
California State General Obligation, School Improvements | 625,000 | 847,805 | ||||||
County of Miami-Dade FL Aviation Revenue, Series C | 670,000 | 625,215 |
Principal Amount | Value | |||||||
Los Angeles Unified School District, School Improvements | $545,000 | $605,459 | ||||||
Massachusetts School Building Authority | 523,000 | 450,379 | ||||||
University of California, University & College Improvements | 360,000 | 345,258 | ||||||
Total Municipal Bonds | ||||||||
(Cost $3,361,619) | 3,088,150 | |||||||
U.S. Government and Agency Obligations - 51.2% |
| |||||||
Fannie Mae - 26.8% |
| |||||||
FNMA | ||||||||
3.000%, 06/01/38 to 08/01/50 | 764,126 | 741,503 | ||||||
3.500%, 02/01/33 to 07/01/50 | 4,436,483 | 4,365,937 | ||||||
4.000%, 12/01/33 to 01/01/51 | 2,470,137 | 2,484,412 | ||||||
4.500%, 04/01/39 to 08/01/50 | 2,173,076 | 2,227,885 | ||||||
5.000%, 07/01/47 to 08/01/50 | 919,417 | 964,015 | ||||||
FNMA Pool | ||||||||
3.000%, 06/01/33 to 04/01/47 | 679,860 | 658,944 | ||||||
3.500%, 01/01/36 to 07/01/50 | 958,362 | 941,586 | ||||||
4.000%, 05/01/47 to 06/01/49 | 903,692 | 906,799 | ||||||
4.500%, 01/01/44 to 05/01/48 | 546,621 | 563,809 | ||||||
Total Fannie Mae | 13,854,890 | |||||||
Freddie Mac - 6.3% |
| |||||||
FHLMC | ||||||||
3.000%, 03/01/50 to 03/01/51 | 1,434,382 | 1,342,817 | ||||||
4.000%, 07/01/48 to 09/01/50 | 412,122 | 411,622 | ||||||
4.500%, 10/01/41 | 524,300 | 540,912 | ||||||
FHLMC Gold Pool | ||||||||
3.500%, 02/01/30 to 04/01/46 | 968,833 | 958,200 | ||||||
Total Freddie Mac | 3,253,551 | |||||||
U.S. Treasury Obligations - 18.1% |
| |||||||
U.S. Treasury Bonds | ||||||||
1.875%, 02/15/51 | 1,316,000 | 987,154 | ||||||
2.250%, 05/15/41 | 1,247,000 | 1,040,563 | ||||||
2.500%, 02/15/46 | 468,000 | 396,831 | ||||||
3.125%, 05/15/48 | 966,000 | 934,869 | ||||||
3.500%, 02/15/39 | 870,000 | 908,844 | ||||||
5.000%, 05/15/37 | 608,000 | 751,664 | ||||||
6.750%, 08/15/26 | 1,859,000 | 2,122,673 | ||||||
U.S. Treasury Notes | ||||||||
1.625%, 02/15/26 | 796,000 | 756,542 | ||||||
1.875%, 02/15/32 | 562,000 | 509,137 | ||||||
2.125%, 09/30/24 | 556,000 | 545,640 | ||||||
2.875%, 05/15/28 | 430,000 | 424,978 | ||||||
Total U.S. Treasury Obligations |
| 9,378,895 | ||||||
Total U.S. Government and Agency Obligations |
| |||||||
(Cost $28,681,033) | 26,487,336 |
The accompanying notes are an integral part of these financial statements.
13
Table of Contents
AMG GW&K Enhanced Core Bond ESG Fund Schedule of Portfolio Investments (continued) |
Principal Amount | Value | |||||||
Foreign Government Obligation - 0.6% |
| |||||||
The Korea Development Bank (South Korea) | ||||||||
(Cost $345,614) | $346,000 | $333,603 | ||||||
Short-Term Investments - 6.1% |
| |||||||
Joint Repurchase Agreements - 2.2%7 |
| |||||||
Deutsche Bank Securities, Inc., dated 06/30/22,due 07/01/22, 1.480% total to be received $133,696 (collateralized by various U.S. Treasuries, 0.000% - 0.750%, 01/15/25 - 08/15/39, totaling $136,365) | 133,691 | 133,691 | ||||||
National Bank Financial, dated 06/30/22, due 07/01/22, 1.590% total to be received $1,000,044 (collateralized by various U.S. Treasuries, 0.000% - 2.750%, 07/01/22 - 09/09/49, totaling $1,020,001) | 1,000,000 | 1,000,000 | ||||||
Total Joint Repurchase Agreements
|
|
| 1,133,691
|
|
Principal Amount | Value | |||||||
Repurchase Agreements - 3.9% |
| |||||||
Fixed Income Clearing Corp., dated 06/30/2022 due 07/01/2022, 1.35% total to be received $2,000,075 (collateralized by a U.S. Treasury, 0.125%, 08/15/31, totaling $2,040,027) | $2,000,000 | $2,000,000 | ||||||
Total Short-Term Investments | ||||||||
(Cost $3,133,691) | 3,133,691 | |||||||
Total Investments - 101.2% | ||||||||
(Cost $57,511,399) | 52,347,409 | |||||||
Other Assets, less Liabilities - (1.2)% |
| (599,641) | ||||||
Net Assets - 100.0% |
| $51,747,768
|
|
1 | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2022. Rate will reset at a future date. |
2 | Perpetuity Bond. The date shown represents the next call date. |
3 | Variable rate security. The rate shown is based on the latest available information as of June 30, 2022. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
4 | Some of these securities, amounting to $1,543,220 or 3.0% of net assets, were out on loan to various borrowers and are collateralized by cash and various U.S. Treasury Obligations. See Note 4 of Notes to Financial Statements. |
5 | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2022, the value of these securities amounted to $2,740,433 or 5.3% of net assets. |
6 | Step Bond: A debt instrument with either deferred interest payments or an interest rate that resets at specific times during its term. |
7 | Cash collateral received for securities lending activity was invested in these joint repurchase agreements. |
CMT | Constant Maturity Treasury | |
FHLMC | Freddie Mac | |
FNMA | Fannie Mae | |
GMTN | Global Medium-Term Notes | |
LIBOR | London Interbank Offered Rate | |
MTN | Medium-Term Note | |
SOFR | Secured Overnight Financing Rate |
The accompanying notes are an integral part of these financial statements.
14
Table of Contents
AMG GW&K Enhanced Core Bond ESG 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, 2022:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Corporate Bonds and Notes† | — | $19,304,629 | — | $19,304,629 | ||||||||||||
Municipal Bonds† | — | 3,088,150 | — | 3,088,150 | ||||||||||||
U.S. Government and Agency Obligations† | — | 26,487,336 | — | 26,487,336 | ||||||||||||
Foreign Government Obligation† | — | 333,603 | — | 333,603 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Joint Repurchase Agreements | — | 1,133,691 | — | 1,133,691 | ||||||||||||
Repurchase Agreements | — | 2,000,000 | — | 2,000,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | — | $52,347,409 | — | $52,347,409 | ||||||||||||
|
|
|
|
|
|
|
|
† | All corporate bonds and notes, municipal bonds, U.S. government agency obligations and foreign government obligation held in the Fund are Level 2 securities. For a detailed breakout of corporate bonds and notes, municipal bonds, U.S. government agency obligations and foreign government obligation by major industry or agency classification, please refer to the Fund’s Schedule of Portfolio Investments. |
For the six months ended June 30, 2022, there were no transfers in or out of Level 3.
The accompanying notes are an integral part of these financial statements.
15
Table of Contents
Fund Snapshots (unaudited) June 30, 2022 |
PORTFOLIO BREAKDOWN
Category | %of Net Assets | |
Corporate Bonds and Notes | 95.5 | |
Short-Term Investments1 | 12.4 | |
Other Assets, Less Liabilities2 | (7.9) |
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 | |
Baa/BBB | 22.2 | |
Ba/BB | 64.7 | |
B | 13.1 |
1 | Includes market value of long-term fixed-income securities only. |
TOP TEN HOLDINGS
Security Name | %of Net Assets | |
Matador Resources Co., 5.875%, 09/15/26 | 1.9 | |
Ford Motor Co., 4.346%, 12/08/26 | 1.9 | |
SM Energy Co., 5.625%, 06/01/25 | 1.6 | |
Ball Corp., 5.250%, 07/01/25 | 1.6 | |
Aircastle, Ltd., 4.250%, 06/15/26 (Bermuda) | 1.6 | |
PTC, Inc., 3.625%, 02/15/25 | 1.5 | |
United Airlines Holdings, Inc., 5.000%, 02/01/24 | 1.5 | |
Western Midstream Operating LP, 4.650%, 07/01/26 | 1.5 | |
DCP Midstream Operating LP, 5.375%, 07/15/25 | 1.5 | |
Meritor, Inc., 6.250%, 06/01/25 | 1.5 | |
| ||
Top Ten as a Group | 16.1 | |
|
Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch. 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 any of the rating agencies. 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 High Income Fund Schedule of Portfolio Investments (unaudited) June 30, 2022 |
Principal Amount | Value | |||||||
Corporate Bonds and Notes - 95.5% | ||||||||
Financials - 16.8% |
| |||||||
Aircastle, Ltd. (Bermuda) | $ | 304,000 | $ | 281,237 | ||||
Ally Financial, Inc. | 198,000 | 157,017 | ||||||
American Express Co. | 205,000 | 166,790 | ||||||
The Charles Schwab Corp. | 241,000 | 204,286 | ||||||
Citigroup, Inc. | 310,000 | 257,300 | ||||||
The Goldman Sachs Group, Inc. | 165,000 | 128,093 | ||||||
MetLife, Inc. | 189,000 | 168,296 | ||||||
Morgan Stanley | 210,000 | 204,711 | ||||||
Navient Corp. | 193,000 | 182,991 | ||||||
OneMain Finance Corp. | 275,000 | 254,163 | ||||||
SBA Communications Corp. | 180,000 | 164,302 | ||||||
SLM Corp. | 286,000 | 259,104 | ||||||
Starwood Property Trust, Inc. | 281,000 | 259,545 | ||||||
VICI Properties LP/VICI Note Co., Inc. | 120,000 | 112,251 | ||||||
4.250%, 12/01/265 | 85,000 | 77,631 | ||||||
Principal Amount | Value | |||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. | ||||||||
5.500%, 03/01/255 | $ | 185,000 | $169,275 | |||||
Total Financials | 3,046,992 | |||||||
Industrials - 75.2% | ||||||||
AECOM | 184,000 | 173,880 | ||||||
Alcoa Nederland Holding BV (Netherlands) | 200,000 | 194,500 | ||||||
Allegheny Technologies, Inc. | 156,000 | 124,408 | ||||||
American Airlines Inc/AAdvantage Loyalty IP, Ltd. | 235,000 | 215,915 | ||||||
American Axle & Manufacturing, Inc. | 164,000 | 150,479 | ||||||
Aramark Services, Inc. | 100,000 | 90,621 | ||||||
ArcelorMittal, S.A. (Luxembourg) | 81,000 | 76,897 | ||||||
Avient Corp. | 140,000 | 134,189 | ||||||
Ball Corp. | 283,000 | 283,195 | ||||||
Bath & Body Works, Inc. | 135,000 | 126,200 | ||||||
Caesars Entertainment, Inc. | 185,000 | 178,290 | ||||||
CDW LLC/CDW Finance Corp. | 145,000 | 145,544 | ||||||
Centennial Resource Production LLC | 190,000 | 171,391 | ||||||
Chord Energy Corp. | 140,000 | 129,500 | ||||||
Clearwater Paper Corp. | 255,000 | 247,988 | ||||||
Cleveland-Cliffs, Inc. | 195,000 | 181,843 | ||||||
Cogent Communications Group, Inc. | 200,000 | 184,000 | ||||||
Continental Resources, Inc. | 138,000 | 129,720 | ||||||
Crown Cork & Seal Co., Inc. | 205,000 | 209,410 | ||||||
CSC Holdings LLC | 167,000 | 156,145 | ||||||
Dana, Inc. | 100,000 | 86,078 | ||||||
DCP Midstream Operating LP | 276,000 | 268,410 | ||||||
The accompanying notes are an integral part of these financial statements.
17
Table of Contents
AMG GW&K High Income Fund Schedule of Portfolio Investments (continued) |
Principal Amount | Value | |||||||
Industrials - 75.2% (continued) | ||||||||
Delta Air Lines, Inc. | $ | 251,000 | $ | 250,611 | ||||
Embraer Netherlands Finance BV (Netherlands) | 220,000 | 212,850 | ||||||
Encompass Health Corp. | 191,000 | 163,515 | ||||||
Ford Motor Co. | 364,000 | 337,364 | ||||||
5.291%, 12/08/46 | 88,000 | 67,488 | ||||||
Fortress Transportation and Infrastructure Investors LLC | ||||||||
6.500%, 10/01/255 | 175,000 | 165,114 | ||||||
General Motors Co. | 86,000 | 90,546 | ||||||
G-III Apparel Group, Ltd. | 180,000 | 173,956 | ||||||
The Goodyear Tire & Rubber Co. | 283,000 | 253,073 | ||||||
Hanesbrands, Inc. | 170,000 | 157,464 | ||||||
HCA, Inc. | 192,000 | 190,994 | ||||||
Hillenbrand, Inc. | 140,000 | 132,160 | ||||||
Howmet Aerospace, Inc. | 212,000 | 217,788 | ||||||
Hudbay Minerals, Inc. (Canada) | 105,000 | 87,862 | ||||||
KB Home | 95,000 | 73,269 | ||||||
Kraft Heinz Foods Co. | 86,000 | 71,673 | ||||||
Lamar Media Corp. | 195,000 | 175,523 | ||||||
Lumen Technologies Inc | 279,000 | 264,570 | ||||||
Matador Resources Co. | 357,000 | 343,177 | ||||||
Mattel, Inc. | 240,000 | 220,182 | ||||||
MEG Energy Corp. (Canada) | 195,000 | 178,106 | ||||||
Meritage Homes Corp. | 163,000 | 158,966 | ||||||
Meritor, Inc. | 260,000 | 266,644 | ||||||
Methanex Corp. (Canada) | 200,000 | 176,500 | ||||||
Principal Amount | Value | |||||||
MGM Resorts International | ||||||||
5.750%, 06/15/25 | $ | 233,000 | $ | 221,933 | ||||
Mueller Water Products, Inc. | ||||||||
4.000%, 06/15/295 | 200,000 | 174,468 | ||||||
Murphy Oil Corp. | ||||||||
6.375%, 07/15/284 | 185,000 | 172,529 | ||||||
Newell Brands, Inc. | ||||||||
4.450%, 04/01/266 | 148,000 | 140,972 | ||||||
Novelis Corp. | ||||||||
3.250%, 11/15/265 | 210,000 | 177,508 | ||||||
NuStar Logistics LP | ||||||||
5.625%, 04/28/27 | 186,000 | 166,472 | ||||||
5.750%, 10/01/25 | 115,000 | 107,525 | ||||||
Occidental Petroleum Corp. | ||||||||
7.875%, 09/15/31 | 150,000 | 164,625 | ||||||
Olin Corp. | ||||||||
5.125%, 09/15/27 | 185,000 | 170,047 | ||||||
Owens-Brockway Glass Container, Inc. | ||||||||
6.375%, 08/15/255 | 220,000 | 209,926 | ||||||
Penn National Gaming, Inc. | ||||||||
4.125%, 07/01/295 | 200,000 | 151,760 | ||||||
Penske Automotive Group, Inc. | ||||||||
3.500%, 09/01/254 | 192,000 | 180,000 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | ||||||||
5.750%, 04/15/265 | 250,000 | 233,125 | ||||||
PTC, Inc. | ||||||||
3.625%, 02/15/255 | 295,000 | 279,005 | ||||||
Royal Caribbean Cruises, Ltd. (Liberia) | ||||||||
7.500%, 10/15/27 | 181,000 | 142,990 | ||||||
Sealed Air Corp. | ||||||||
5.500%, 09/15/255 | 200,000 | 199,654 | ||||||
Silgan Holdings, Inc. | ||||||||
4.125%, 02/01/28 | 153,000 | 137,200 | ||||||
Southwestern Energy Co. | ||||||||
5.950%, 01/23/256 | 47,000 | 46,431 | ||||||
8.375%, 09/15/28 | 235,000 | 247,631 | ||||||
Sprint Corp. | ||||||||
7.125%, 06/15/24 | 169,000 | 173,436 | ||||||
Taseko Mines, Ltd. (Canada) | ||||||||
7.000%, 02/15/265 | 100,000 | 85,112 | ||||||
Tenet Healthcare Corp. | ||||||||
4.875%, 01/01/265 | 190,000 | 174,800 | ||||||
Teva Pharmaceutical Finance Netherlands III, B.V. (Netherlands) | ||||||||
3.150%, 10/01/26 | 224,000 | 183,680 | ||||||
TransDigm, Inc. | ||||||||
6.250%, 03/15/265 | 190,000 | 183,113 | ||||||
Travel + Leisure Co. | ||||||||
5.650%, 04/01/246 | 181,000 | 177,833 | ||||||
The accompanying notes are an integral part of these financial statements.
18
Table of Contents
AMG GW&K High Income Fund Schedule of Portfolio Investments (continued) |
Principal Amount | Value | |||||||
Industrials - 75.2% (continued) | ||||||||
Trinity Industries, Inc. | ||||||||
4.550%, 10/01/24 | $ | 199,000 | $ | 192,831 | ||||
United Airlines Holdings, Inc. | ||||||||
5.000%, 02/01/244 | 290,000 | 278,425 | ||||||
United States Steel Corp. | ||||||||
6.875%, 03/01/29 | 94,000 | 82,023 | ||||||
Wabash National Corp. | ||||||||
4.500%, 10/15/285 | 155,000 | 118,575 | ||||||
WESCO Distribution, Inc. | ||||||||
7.250%, 06/15/285 | 90,000 | 89,010 | ||||||
Western Midstream Operating LP | ||||||||
4.650%, 07/01/26 | 294,000 | 277,095 | ||||||
Westlake Corp. | ||||||||
0.875%, 08/15/24 | 192,000 | 183,245 | ||||||
Total Industrials | 13,610,977 | |||||||
Telecommunications - 1.0% | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | ||||||||
5.500%, 05/01/265 | 185,000 | 180,506 | ||||||
Utilities - 2.5% | ||||||||
NRG Energy, Inc. | ||||||||
5.250%, 06/15/295 | 185,000 | 165,112 | ||||||
SM Energy Co. | ||||||||
5.625%, 06/01/25 | 312,000 | 294,840 | ||||||
Total Utilities | 459,952 | |||||||
Total Corporate Bonds and Notes |
|
| 17,298,427
|
|
Principal Amount | Value | |||||||
Short-Term Investments - 12.4% |
| |||||||
Joint Repurchase Agreements - 9.4%7 |
| |||||||
National Bank Financial, dated 06/30/22, due 07/01/22, 1.590% total to be received $1,000,044 (collateralized by various U.S. Treasuries, 0.000% - 2.750%, 07/01/22 - 09/09/49, totaling $1,020,001) | $1,000,000 | $1,000,000 | ||||||
RBC Dominion Securities, Inc., dated 06/30/22,due 07/01/22, 1.550% total to be received $697,835 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 6.875%, 08/16/22 - 05/20/52, totaling $711,761) | 697,805 | 697,805 | ||||||
Total Joint Repurchase Agreements | 1,697,805 | |||||||
Repurchase Agreements - 3.0% | ||||||||
Fixed Income Clearing Corp., dated 06/30/2022 due 07/01/2022, 1.350% total to be received $550,021 (collateralized by a U.S. Treasury, 1.250%, 08/15/31, totaling $561,072) | 550,000 | 550,000 | ||||||
Total Short-Term Investments |
| |||||||
(Cost $2,247,805) |
| 2,247,805 | ||||||
Total Investments - 107.9% |
| 19,546,232 | ||||||
Other Assets, less Liabilities - (7.9)% |
| (1,437,713) | ||||||
Net Assets - 100.0% |
|
| $18,108,519
|
|
1 | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2022. Rate will reset at a future date. |
2 | Perpetuity Bond. The date shown represents the next call date. |
3 | Variable rate security. The rate shown is based on the latest available information as of June 30, 2022. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
4 | Some of these securities, amounting to $2,054,787 or 11.3% of net assets, were out on loan to various borrowers and are collateralized by cash and various U.S. Treasury Obligations. See Note 4 of Notes to Financial Statements. |
5 | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2022, the value of these securities amounted to $5,576,553 or 30.8% of net assets. |
6 | Step Bond: A debt instrument with either deferred interest payments or an interest rate that resets at specific times during its term. |
7 | Cash collateral received for securities lending activity was invested in these joint repurchase agreements. |
CMT Constant Maturity Treasury
LIBOR London Interbank Offered Rate
The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of June 30, 2022:
The accompanying notes are an integral part of these financial statements.
19
Table of Contents
AMG GW&K High Income Fund Schedule of Portfolio Investments (continued) |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Corporate Bonds and Notes† | — | $ | 17,298,427 | — | $ | 17,298,427 | ||||||||||
Short-Term Investments | ||||||||||||||||
Joint Repurchase Agreements | — | 1,697,805 | — | 1,697,805 | ||||||||||||
Repurchase Agreements | — | 550,000 | — | 550,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | — | $ | 19,546,232 | — | $ | 19,546,232 | ||||||||||
|
|
|
|
|
|
|
|
† | All corporate bonds and notes held in the Fund are level 2 securities. For a detailed breakout of corporate bonds and notes by major industry classification, please refer to the Fund’s Schedule of Portfolio Investments. |
For the six months ended June 30, 2022, there were no transfers in or out of Level 3.
The accompanying notes are an integral part of these financial statements.
20
Table of Contents
Fund Snapshots (unaudited) June 30, 2022 |
PORTFOLIO BREAKDOWN
Category | % of Net Assets | |
General Obligation | 45.5 | |
Transportation | 33.6 | |
Medical | 9.7 | |
Water | 5.7 | |
Education | 2.8 | |
Utilities | 2.1 | |
Power | 1.5 | |
Tobacco Settlement | 0.8 | |
Industrial Development | 0.8 | |
Short-Term Investments | 2.6 | |
Other Assets Less Liabilities
| (5.1)
|
Rating | % of Market Value1 | |
Aaa/AAA | 24.2 | |
Aa/AA | 47.5 | |
A | 22.6 | |
Baa/BBB | 5.7 |
1 | Includes market value of long-term fixed-income securities only. |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |
Wisconsin State Revenue, Department of Transportation, Series 2, Series 2, 5.000%, 07/01/29 | 2.1 | |
Iowa Finance Authority, State Revolving Fund Green Bond, 5.000%, 08/01/30 | 1.5 | |
Metropolitan Transportation Authority, Transit Revenue, Green Bond, Series B, 5.000%, 11/15/27 | 1.4 | |
State of Maryland, Department of Transportation, 5.000%, 10/01/28 | 1.3 | |
State of Maryland, Department of Transportation, 5.000%, 09/01/29 | 1.3 | |
New York State Urban Development Corp., 5.000%, 03/15/32 | 1.3 | |
State of California, General Obligation, 5.000%, 11/01/30 | 1.2 | |
State of New Jersey, Series A, 5.000%, 06/01/29 | 1.2 | |
New York City Transitional Finance Authority Building Aid Revenue, Series S, 5.000%, 07/15/32 | 1.1 | |
Michigan Finance Authority, Henry Ford Health System, 5.000%, 11/15/29 | 1.1 | |
| ||
Top Ten as a Group | 13.5 | |
|
Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch. 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 any of the rating agencies. 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.
21
Table of Contents
AMG GW&K Municipal Bond Fund Schedule of Portfolio Investments (unaudited) June 30, 2022 |
Principal Amount | Value | |||||||
Municipal Bonds - 102.5% | ||||||||
Alabama - 0.8% | ||||||||
Alabama Public School and College Authority, Series A | ||||||||
5.000%, 11/01/34 | $7,500,000 | $8,521,210 | ||||||
Arizona - 1.8% | ||||||||
Arizona Department of Transportation State Highway Fund Revenue | ||||||||
5.000%, 07/01/28 | 5,040,000 | 5,523,886 | ||||||
Arizona Industrial Development Authority | ||||||||
5.000%, 02/01/32 | 1,450,000 | 1,651,262 | ||||||
5.000%, 02/01/35 | 1,700,000 | 1,871,560 | ||||||
5.000%, 02/01/36 | 1,800,000 | 1,969,959 | ||||||
5.000%, 02/01/37 | 1,905,000 | 2,069,987 | ||||||
Salt River Project Agricultural Improvement & Power District | ||||||||
5.000%, 01/01/27 | 3,000,000 | 3,352,073 | ||||||
5.000%, 01/01/28 | 2,625,000 | 2,975,726 | ||||||
Total Arizona | 19,414,453 | |||||||
California - 13.0% | ||||||||
California Municipal Finance Authority, Community Medical Centers, Series A | ||||||||
5.000%, 02/01/27 | 950,000 | 1,026,207 | ||||||
5.000%, 02/01/30 | 1,630,000 | 1,736,060 | ||||||
5.000%, 02/01/31 | 900,000 | 954,749 | ||||||
5.000%, 02/01/32 | 1,855,000 | 1,962,975 | ||||||
California State Public Works Board, Series A | ||||||||
5.000%, 02/01/30 | 3,500,000 | 4,042,992 | ||||||
5.000%, 02/01/31 | 3,500,000 | 4,075,500 | ||||||
5.000%, 02/01/32 | 3,500,000 | 4,098,631 | ||||||
5.000%, 08/01/33 | 5,000,000 | 5,738,687 | ||||||
5.000%, 08/01/34 | 2,750,000 | 3,136,848 | ||||||
5.000%, 08/01/35 | 2,500,000 | 2,836,978 | ||||||
California State Public Works Board, Series C | ||||||||
5.000%, 08/01/30 1 | 2,785,000 | 3,173,168 | ||||||
5.000%, 08/01/31 1 | 2,560,000 | 2,937,735 | ||||||
5.000%, 08/01/32 1 | 2,750,000 | 3,143,331 | ||||||
5.000%, 08/01/33 1 | 3,000,000 | 3,415,846 | ||||||
City of Los Angeles Department of Airports, Series C | ||||||||
5.000%, 05/15/30 | 10,515,000 | 11,801,776 | ||||||
Los Angeles County Public Works Financing Authority, Series G | ||||||||
5.000%, 12/01/30 | 1,750,000 | 2,037,276 | ||||||
5.000%, 12/01/31 | 1,500,000 | 1,757,920 | ||||||
5.000%, 12/01/32 | 1,875,000 | 2,178,181 | ||||||
Los Angeles Unified School District, Series A | ||||||||
5.000%, 07/01/28 | 5,000,000 | 5,679,473 | ||||||
San Francisco City & County Airport Commission, San Francisco International Airport, Series A | ||||||||
5.000%, 05/01/32 | 3,000,000 | 3,300,476 | ||||||
5.000%, 05/01/34 | 5,010,000 | 5,354,794 | ||||||
5.000%, 05/01/35 | 5,800,000 | 6,170,235 | ||||||
Principal Amount | Value | |||||||
State of California | ||||||||
5.000%, 08/01/29 | $7,235,000 | $7,929,693 | ||||||
5.000%, 09/01/29 | 5,075,000 | 5,570,136 | ||||||
5.000%, 11/01/29 | 6,720,000 | 7,795,217 | ||||||
5.000%, 11/01/30 | 11,575,000 | 13,538,589 | ||||||
5.000%, 09/01/31 | 8,000,000 | 9,423,511 | ||||||
5.000%, 04/01/32 | 5,000,000 | 5,924,240 | ||||||
University of California, Series S | ||||||||
5.000%, 05/15/36 | 3,000,000 | 3,456,150 | ||||||
5.000%, 05/15/37 | 3,000,000 | 3,429,875 | ||||||
5.000%, 05/15/38 | 3,000,000 | 3,404,413 | ||||||
Total California | 141,031,662 | |||||||
Colorado - 0.4% | ||||||||
Colorado Health Facilities Authority, Series A | ||||||||
5.000%, 08/01/33 | 4,260,000 | 4,499,205 | ||||||
Connecticut - 4.6% | ||||||||
Connecticut State Health & Educational Facilities Authority | ||||||||
5.000%, 07/01/31 | 6,205,000 | 6,804,456 | ||||||
5.000%, 07/01/33 | 2,750,000 | 2,966,449 | ||||||
5.000%, 07/01/34 | 3,100,000 | 3,335,135 | ||||||
State of Connecticut Special Tax Revenue | ||||||||
5.000%, 05/01/28 | 3,000,000 | 3,389,022 | ||||||
State of Connecticut Special Tax Revenue, Transportation Infrastructure | ||||||||
5.000%, 01/01/30 | 10,180,000 | 11,273,071 | ||||||
State of Connecticut Special Tax Revenue, Series B | ||||||||
5.000%, 10/01/35 | 7,500,000 | 8,180,233 | ||||||
State of Connecticut Special Tax Revenue, Series C | ||||||||
5.000%, 01/01/28 | 1,000,000 | 1,125,390 | ||||||
5.000%, 01/01/29 | 1,000,000 | 1,135,844 | ||||||
5.000%, 01/01/30 | 1,000,000 | 1,142,507 | ||||||
5.000%, 01/01/31 | 1,000,000 | 1,148,049 | ||||||
5.000%, 01/01/32 | 1,000,000 | 1,155,826 | ||||||
State of Connecticut, Series A | ||||||||
5.000%, 01/15/31 | 7,650,000 | 8,683,230 | ||||||
Total Connecticut | 50,339,212 | |||||||
Delaware - 0.3% | ||||||||
Delaware River & Bay Authority | ||||||||
5.000%, 01/01/31 1 | 1,000,000 | 1,134,013 | ||||||
5.000%, 01/01/32 1 | 1,040,000 | 1,185,759 | ||||||
5.000%, 01/01/33 1 | 1,100,000 | 1,248,080 | ||||||
Total Delaware | 3,567,852 | |||||||
District of Columbia - 3.0% | ||||||||
District of Columbia, Series A | ||||||||
5.000%, 06/01/30 | 6,020,000 | 6,553,302 | ||||||
District of Columbia, Series B | ||||||||
5.000%, 10/01/28 | 7,100,000 | 8,114,154 | ||||||
5.000%, 06/01/31 | 10,080,000 | 11,291,006 | ||||||
The accompanying notes are an integral part of these financial statements.
22
Table of Contents
AMG GW&K Municipal Bond Fund Schedule of Portfolio Investments (continued) |
Principal Amount | Value | |||||||
District of Columbia - 3.0% (continued) | ||||||||
Washington Convention & Sports Authority, Series A | ||||||||
5.000%, 10/01/27 | $5,475,000 | $6,136,557 | ||||||
Total District of Columbia | 32,095,019 | |||||||
Florida - 5.2% | ||||||||
Central Florida Expressway Authority | ||||||||
5.000%, 07/01/28 | 4,460,000 | 5,018,596 | ||||||
Escambia County Health Facilities Authority | ||||||||
5.000%, 08/15/37 | 6,000,000 | 6,327,085 | ||||||
Florida Development Finance Corp. | ||||||||
4.000%, 11/15/33 | 10,000,000 | 10,017,190 | ||||||
Florida’s Turnpike Enterprise, | ||||||||
5.000%, 07/01/28 | 7,075,000 | 7,765,558 | ||||||
Lee Memorial Health System, | ||||||||
5.000%, 04/01/34 | 5,645,000 | 6,040,647 | ||||||
Orange County Health Facilities Authority, Series A | ||||||||
5.000%, 10/01/31 | 4,525,000 | 4,764,668 | ||||||
State of Florida, Capital Outlay, Series B | ||||||||
5.000%, 06/01/27 | 9,045,000 | 9,522,056 | ||||||
State of Florida, Series C | ||||||||
5.000%, 06/01/31 | 5,375,000 | 6,361,872 | ||||||
Total Florida | 55,817,672 | |||||||
Georgia - 1.5% | ||||||||
Georgia State University & College Improvements, Series A | ||||||||
5.000%, 07/01/27 | 4,600,000 | 4,600,959 | ||||||
Private Colleges & Universities Authority, Series B | ||||||||
5.000%, 09/01/30 | 10,365,000 | 12,002,785 | ||||||
Total Georgia | 16,603,744 | |||||||
Illinois - 8.2% | ||||||||
Chicago O’Hare International Airport, Series A | ||||||||
5.000%, 01/01/35 | 5,010,000 | 5,486,305 | ||||||
Chicago O’Hare International Airport, Series B | ||||||||
5.000%, 01/01/28 | 5,670,000 | 5,962,521 | ||||||
Chicago O’Hare International Airport, Senior Lien, Series A | ||||||||
5.000%, 01/01/36 | 10,000,000 | 10,571,820 | ||||||
5.000%, 01/01/38 | 5,500,000 | 5,788,925 | ||||||
Illinois Finance Authority | ||||||||
5.000%, 01/01/29 | 2,310,000 | 2,631,170 | ||||||
5.000%, 07/01/29 | 8,755,000 | 10,043,354 | ||||||
Illinois Finance Authority, Series A | ||||||||
4.000%, 08/15/37 | 5,910,000 | 5,761,439 | ||||||
Illinois State Finance Authority Revenue, Clean Water Initiative Revenue | ||||||||
5.000%, 07/01/27 | 11,000,000 | 11,984,925 | ||||||
Principal Amount | Value | |||||||
Illinois State Toll Highway Authority, Series A | ||||||||
5.000%, 12/01/31 | $9,735,000 | $10,382,702 | ||||||
Illinois State Toll Highway Authority, | ||||||||
5.000%, 01/01/30 | 10,110,000 | 11,388,433 | ||||||
State of Illinois, Series A | ||||||||
5.250%, 03/01/37 | 8,500,000 | 9,129,590 | ||||||
Total Illinois | 89,131,184 | |||||||
Indiana - 1.5% | ||||||||
Indiana Finance Authority, Series A | ||||||||
5.000%, 02/01/32 | 5,000,000 | 5,782,890 | ||||||
Indiana Finance Authority, Series S | ||||||||
5.000%, 10/01/28 | 1,000,000 | 1,137,470 | ||||||
5.000%, 10/01/29 | 3,555,000 | 4,071,780 | ||||||
Indiana Finance Authority, Series C | ||||||||
5.000%, 06/01/29 | 4,800,000 | 5,500,953 | ||||||
Total Indiana | 16,493,093 | |||||||
Iowa - 1.5% | ||||||||
Iowa Finance Authority, State Revolving Fund Green Bond | ||||||||
5.000%, 08/01/30 | 15,025,000 | 16,658,910 | ||||||
Kentucky - 0.5% | ||||||||
Louisville/Jefferson County Metropolitan Government, Norton Healthcare Inc., Series A | ||||||||
5.000%, 10/01/29 | 5,505,000 | 5,883,487 | ||||||
Maine - 0.8% | ||||||||
Maine Turnpike Authority | ||||||||
5.000%, 07/01/28 | 1,955,000 | 2,218,349 | ||||||
5.000%, 07/01/29 | 1,600,000 | 1,832,159 | ||||||
5.000%, 07/01/30 | 1,390,000 | 1,605,848 | ||||||
5.000%, 07/01/31 | 1,500,000 | 1,748,283 | ||||||
5.000%, 07/01/32 | 1,390,000 | 1,632,395 | ||||||
Total Maine | 9,037,034 | |||||||
Maryland - 7.9% | ||||||||
Maryland State Transportation Authority | ||||||||
5.000%, 07/01/33 | 6,350,000 | 7,224,584 | ||||||
State of Maryland Department of Transportation, Series 2022B | ||||||||
5.000%, 12/01/27 1 | 2,500,000 | 2,769,040 | ||||||
5.000%, 12/01/28 1 | 2,305,000 | 2,581,615 | ||||||
5.000%, 12/01/29 1 | 2,250,000 | 2,546,614 | ||||||
State of Maryland, Department of Transportation | ||||||||
5.000%, 10/01/28 | 12,365,000 | 13,646,919 | ||||||
5.000%, 09/01/29 | 12,205,000 | 13,633,130 | ||||||
State of Maryland, Series C | ||||||||
4.000%, 03/01/28 | 9,500,000 | 10,256,285 | ||||||
4.000%, 03/01/29 | 9,245,000 | 10,038,158 | ||||||
State of Maryland, Series D | ||||||||
4.000%, 08/01/28 | 8,000,000 | 8,654,765 | ||||||
4.000%, 08/01/29 | 6,500,000 | 7,073,527 | ||||||
The accompanying notes are an integral part of these financial statements.
23
Table of Contents
AMG GW&K Municipal Bond Fund Schedule of Portfolio Investments (continued) |
Principal Amount | Value | |||||||
Maryland - 7.9% (continued) | ||||||||
State of Maryland, State & Local Facilities Loan of 2019, 1st Series | ||||||||
5.000%, 03/15/30 | $6,000,000 | $6,863,516 | ||||||
Total Maryland | 85,288,153 | |||||||
Michigan - 3.3% | ||||||||
Michigan Finance Authority, | ||||||||
5.000%, 11/15/29 | 11,450,000 | 12,243,555 | ||||||
Michigan State Building Authority Revenue, Series I | ||||||||
5.000%, 04/15/27 | 5,700,000 | 6,162,343 | ||||||
State of Michigan | ||||||||
5.000%, 03/15/27 | 10,000,000 | 11,169,296 | ||||||
Wayne County Airport Authority, Series A | ||||||||
5.000%, 12/01/37 | 2,285,000 | 2,498,847 | ||||||
5.000%, 12/01/38 | 1,405,000 | 1,532,532 | ||||||
5.000%, 12/01/39 | 1,800,000 | 1,959,261 | ||||||
Total Michigan | 35,565,834 | |||||||
Minnesota - 0.3% | ||||||||
City of Minneapolis MN, Fairview Health Services, Series A | ||||||||
5.000%, 11/15/35 | 3,165,000 | 3,334,182 | ||||||
New Jersey - 5.4% | ||||||||
New Jersey State Turnpike Authority Revenue, Series B | ||||||||
5.000%, 01/01/28 | 4,010,000 | 4,469,297 | ||||||
New Jersey State Turnpike Authority Revenue, Series D | ||||||||
5.000%, 01/01/28 | 5,000,000 | 5,448,291 | ||||||
New Jersey Transportation Trust Fund Authority | ||||||||
4.000%, 06/15/37 | 3,000,000 | 2,973,638 | ||||||
New Jersey Transportation Trust Fund Authority, Series S | ||||||||
5.000%, 06/15/30 | 6,255,000 | 6,846,184 | ||||||
5.000%, 06/15/31 | 7,615,000 | 8,338,436 | ||||||
5.000%, 06/15/32 | 5,750,000 | 6,215,875 | ||||||
5.000%, 06/15/33 | 6,000,000 | 6,453,530 | ||||||
State of New Jersey | ||||||||
5.000%, 06/01/25 | 4,335,000 | 4,633,296 | ||||||
5.000%, 06/01/29 | 11,500,000 | 12,924,698 | ||||||
Total New Jersey | 58,303,245 | |||||||
New Mexico - 1.3% | ||||||||
New Mexico Finance Authority, Series A | ||||||||
5.000%, 06/15/28 | 4,470,000 | 5,082,697 | ||||||
5.000%, 06/15/30 | 7,500,000 | 8,678,219 | ||||||
Total New Mexico | 13,760,916 | |||||||
New York - 18.8% | ||||||||
City of New York | ||||||||
5.000%, 08/01/34 | 3,250,000 | 3,614,116 | ||||||
Principal Amount | Value | |||||||
City of New York NY, Series B | ||||||||
5.000%, 08/01/32 | $3,000,000 | $3,483,007 | ||||||
City of New York, Series C | ||||||||
5.000%, 08/01/33 | 1,500,000 | 1,678,530 | ||||||
City of New York, Series L | ||||||||
5.000%, 04/01/33 | 6,500,000 | 7,337,375 | ||||||
Long Island Power Authority | ||||||||
5.000%, 09/01/35 | 5,030,000 | 5,551,939 | ||||||
Long Island Power Authority, Series A | ||||||||
5.000%, 09/01/30 | 2,275,000 | 2,593,555 | ||||||
5.000%, 09/01/31 | 3,935,000 | 4,511,838 | ||||||
Metropolitan Transportation Authority, | ||||||||
5.000%, 11/15/27 | 14,225,000 | 15,290,827 | ||||||
Metropolitan Transportation Authority, | ||||||||
5.000%, 11/15/24 | 4,950,000 | 4,998,952 | ||||||
5.000%, 11/15/27 | 5,000,000 | 5,066,413 | ||||||
5.000%, 11/15/28 | 4,760,000 | 5,031,077 | ||||||
New York City Transitional Finance Authority Building Aid Revenue, Series S | ||||||||
5.000%, 07/15/32 | 10,835,000 | 12,471,128 | ||||||
New York City Transitional Finance Authority Building Aid Revenue, Series S-3, Sub-Series S-3A | ||||||||
5.000%, 07/15/31 | 5,080,000 | 5,699,628 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue | ||||||||
5.000%, 11/01/31 | 2,500,000 | 2,873,775 | ||||||
5.000%, 11/01/32 | 4,000,000 | 4,573,229 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, Series E | ||||||||
5.000%, 02/01/37 | 7,000,000 | 7,735,367 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, Series F | ||||||||
5.000%, 02/01/36 | 1,000,000 | 1,120,830 | ||||||
5.000%, 02/01/39 | 4,000,000 | 4,426,598 | ||||||
New York State Dormitory Authority, Series A | ||||||||
5.000%, 12/15/27 | 5,640,000 | 5,717,010 | ||||||
5.000%, 03/15/31 | 7,670,000 | 8,547,033 | ||||||
5.000%, 03/15/32 | 8,000,000 | 9,161,010 | ||||||
5.000%, 03/15/33 | 3,200,000 | 3,688,620 | ||||||
New York State Dormitory Authority, Series E | ||||||||
5.000%, 03/15/32 | 8,410,000 | 8,946,933 | ||||||
New York State Dormitory Authority, Series S | ||||||||
4.000%, 05/01/39 | 2,000,000 | 1,935,949 | ||||||
New York State Urban Development Corp. | ||||||||
5.000%, 03/15/32 | 12,000,000 | 13,597,652 | ||||||
New York Transportation Development Corp, Series P | ||||||||
5.000%, 12/01/36 | 10,000,000 | 10,396,898 | ||||||
The accompanying notes are an integral part of these financial statements.
24
Table of Contents
AMG GW&K Municipal Bond Fund Schedule of Portfolio Investments (continued) |
Principal Amount | Value | |||||||
New York - 18.8% (continued) | ||||||||
New York Transportation Development Corp. | ||||||||
4.000%, 10/31/41 | $1,250,000 | $1,094,058 | ||||||
4.000%, 10/31/46 | 1,500,000 | 1,263,071 | ||||||
5.000%, 12/01/30 | 1,000,000 | 1,071,877 | ||||||
5.000%, 12/01/31 | 1,100,000 | 1,183,689 | ||||||
5.000%, 12/01/32 | 1,450,000 | 1,535,322 | ||||||
5.000%, 12/01/33 | 1,000,000 | 1,053,323 | ||||||
Port Authority of New York & New Jersey | ||||||||
5.000%, 07/15/32 | 6,545,000 | 7,230,791 | ||||||
Triborough Bridge & Tunnel Authority | ||||||||
5.000%, 05/15/30 1 | 10,000,000 | 11,465,343 | ||||||
5.000%, 05/15/31 1 | 10,000,000 | 11,555,230 | ||||||
5.000%, 05/15/32 1 | 5,000,000 | 5,824,038 | ||||||
Total New York | 203,326,031 | |||||||
North Carolina - 1.0% | ||||||||
North Carolina State Limited Obligation, Series B | ||||||||
5.000%, 05/01/28 | 10,000,000 | 11,159,625 | ||||||
Ohio - 0.5% | ||||||||
Ohio State General Obligation, Series T | ||||||||
5.000%, 05/01/30 | 5,000,000 | 5,522,822 | ||||||
Oregon - 2.4% | ||||||||
Oregon State Lottery, Series C | ||||||||
5.000%, 04/01/27 | 10,000,000 | 10,713,616 | ||||||
Oregon State Lottery, Series D | ||||||||
5.000%, 04/01/28 | 9,225,000 | 9,863,007 | ||||||
State of Oregon | ||||||||
5.000%, 05/01/27 | 5,000,000 | 5,611,847 | ||||||
Total Oregon | 26,188,470 | |||||||
Pennsylvania - 2.1% | ||||||||
Allegheny County Airport Authority, Series A | ||||||||
5.000%, 01/01/31 | 1,350,000 | 1,488,163 | ||||||
5.000%, 01/01/32 | 2,215,000 | 2,422,711 | ||||||
Allegheny County Hospital Development Authority, University Pittsburgh Medical Center | ||||||||
5.000%, 07/15/31 | 5,530,000 | 6,072,580 | ||||||
Commonwealth Financing Authority, Pennsylvania Tobacco | ||||||||
5.000%, 06/01/32 | 7,910,000 | 8,553,129 | ||||||
Hospitals & Higher Education Facilities Authority of Philadelphia | ||||||||
4.000%, 07/01/38 | 2,500,000 | 2,436,344 | ||||||
4.000%, 07/01/39 | 2,000,000 | 1,940,311 | ||||||
Total Pennsylvania | 22,913,238 | |||||||
Texas - 5.9% | ||||||||
City of Corpus Christi TX Utility System Revenue, Junior Lien | ||||||||
5.000%, 07/15/29 | 3,125,000 | 3,540,772 | ||||||
Principal Amount | Value | |||||||
City of Houston TX Airport System Revenue, Series A | ||||||||
4.000%, 07/01/35 | $1,100,000 | $1,085,892 | ||||||
4.000%, 07/01/36 | 1,100,000 | 1,085,677 | ||||||
5.000%, 07/01/34 | 2,835,000 | 3,081,124 | ||||||
City of San Antonio TX Electric & Gas Systems Revenue, Series A | ||||||||
5.000%, 02/01/37 | 3,010,000 | 3,359,172 | ||||||
5.000%, 02/01/38 | 2,985,000 | 3,318,594 | ||||||
Dallas Area Rapid Transit, Senior Lien | ||||||||
5.250%, 12/01/28 | 8,865,000 | 10,227,988 | ||||||
Dallas Fort Worth International Airport, Series A | ||||||||
5.000%, 11/01/30 | 2,000,000 | 2,275,371 | ||||||
5.000%, 11/01/31 | 3,265,000 | 3,695,496 | ||||||
Lower Colorado River Authority, LCRA Transmission Services Corporation | ||||||||
5.000%, 05/15/29 | 3,815,000 | 3,973,431 | ||||||
North Texas Municipal Water District Water System Revenue, Refunding and Improvement | ||||||||
5.000%, 09/01/29 | 7,350,000 | 8,122,345 | ||||||
North Texas Tollway Authority, 2nd Tier, Series B | ||||||||
5.000%, 01/01/31 | 2,000,000 | 2,127,425 | ||||||
5.000%, 01/01/32 | 3,010,000 | 3,241,068 | ||||||
Texas Private Activity Bond Surface Transportation Corp. | ||||||||
4.000%, 12/31/37 | 5,000,000 | 4,588,725 | ||||||
4.000%, 12/31/38 | 3,735,000 | 3,397,014 | ||||||
Texas Water Development Board | ||||||||
5.000%, 08/01/38 | 5,860,000 | 6,675,009 | ||||||
Total Texas | 63,795,103 | |||||||
Utah - 2.1% | ||||||||
Intermountain Power Agency, Series A | ||||||||
5.000%, 07/01/34 | 5,250,000 | 6,005,933 | ||||||
Salt Lake City Corp. Airport Revenue, Series A | ||||||||
5.000%, 07/01/29 | 3,450,000 | 3,766,892 | ||||||
5.000%, 07/01/30 | 6,585,000 | 7,138,261 | ||||||
University of Utah/The, Series B | ||||||||
5.000%, 08/01/37 1 | 5,000,000 | 5,813,164 | ||||||
Total Utah | 22,724,250 | |||||||
Virginia - 1.5% | ||||||||
Hampton Roads Transportation Accountability Commission, | ||||||||
5.000%, 07/01/26 | 9,810,000 | 10,794,980 | ||||||
Virginia Small Business Financing Authority | ||||||||
4.000%, 01/01/37 1 | 3,000,000 | 2,845,734 | ||||||
4.000%, 01/01/38 1 | 3,000,000 | 2,824,193 | ||||||
Total Virginia | 16,464,907 | |||||||
Washington - 2.6% | ||||||||
Port of Seattle | ||||||||
5.000%, 08/01/31 | 5,000,000 | 5,595,110 | ||||||
The accompanying notes are an integral part of these financial statements.
25
Table of Contents
AMG GW&K Municipal Bond Fund Schedule of Portfolio Investments (continued) |
Principal Amount | Value | |||||||
Washington - 2.6% (continued) | ||||||||
State of Washington School Improvements, Series C | ||||||||
5.000%, 02/01/28 | $7,370,000 | $8,031,923 | ||||||
State of Washington, Series R-2015C | ||||||||
5.000%, 07/01/28 | 10,280,000 | 10,913,835 | ||||||
Washington Health Care Facilities Authority, Series A | ||||||||
5.000%, 08/01/38 | 3,270,000 | 3,397,989 | ||||||
Total Washington | 27,938,857 | |||||||
West Virginia - 1.3% | ||||||||
West Virginia Hospital Finance Authority, Cabell Huntington Hospital Obligation | ||||||||
5.000%, 01/01/35 | 3,745,000 | 3,884,876 | ||||||
West Virginia Parkways Authority | ||||||||
5.000%, 06/01/37 | 1,750,000 | 1,991,432 | ||||||
5.000%, 06/01/38 | 2,000,000 | 2,266,956 | ||||||
5.000%, 06/01/39 | 5,150,000 | 5,774,888 | ||||||
Total West Virginia | 13,918,152 | |||||||
Wisconsin - 3.0% | ||||||||
State of Wisconsin | ||||||||
5.000%, 05/01/29 | 3,500,000 | 4,033,093 | ||||||
5.000%, 05/01/30 | 2,390,000 | 2,789,674 | ||||||
5.000%, 05/01/31 | 2,700,000 | 3,124,074 | ||||||
1 | All or part of a security is delayed delivery transaction. The market value for delayed delivery securities at June 30, 2022, amounted to $64,462,903, or 5.9% of net assets. |
Principal Amount | Value | |||||||
Wisconsin State Revenue, Department of Transportation, Series 2 | ||||||||
5.000%, 07/01/29 | $20,405,000 | $22,634,824 | ||||||
Total Wisconsin | 32,581,665 | |||||||
Total Municipal Bonds | 1,111,879,187 | |||||||
Short-Term Investments - 2.6% |
| |||||||
Repurchase Agreements - 2.6% |
| |||||||
Fixed Income Clearing Corp., dated 6/30/2022 due 07/01/2022, 1.35% total to be received $28,401,065 (collateralized by a U.S. Treasury, 0.375%, 07/15/27, totaling $28,968,083) | 28,400,000 | 28,400,000 | ||||||
Total Short-Term Investments | 28,400,000 | |||||||
Total Investments - 105.1% | 1,140,279,187 | |||||||
Other Assets, less Liabilities - (5.1)% |
| (55,656,201 | ) | |||||
Net Assets - 100.0% | $1,084,622,986 | |||||||
The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of June 30, 2022:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Municipal Bonds† | — | $1,111,879,187 | — | $1,111,879,187 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | — | 28,400,000 | — | 28,400,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | — | $1,140,279,187 | — | $1,140,279,187 | ||||||||||||
|
|
|
|
|
|
|
|
† | 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. |
For the six months ended June 30, 2022, there were no transfers in or out of Level 3.
The accompanying notes are an integral part of these financial statements.
26
Table of Contents
AMG GW&K Municipal Enhanced Yield Fund Fund Snapshots (unaudited) June 30, 2022 |
PORTFOLIO BREAKDOWN
Category | % of Net Assets | ||||
Transportation | 37.3 | ||||
Medical | 30.0 | ||||
General Obligation | 17.2 | ||||
Industrial Development | 4.9 | ||||
Education | 4.7 | ||||
Tobacco Settlement | 4.1 | ||||
Short-Term Investments | 2.4 | ||||
Other Assets Less Liabilities | (0.6 | ) |
Rating | % of Market Value1 | ||||
Aa/AA | 7.5 | ||||
A | 49.4 | ||||
Baa/BBB | 42.3 | ||||
Ba/BB | 0.8 |
1 | Includes market value of long-term fixed-income securities only. |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |
Texas Private Activity Bond Surface Transportation Corp., 5.000%, 06/30/58 | 3.4 | |
West Virginia Hospital Finance Authority, Cabell Huntington Hospital Obligation, 5.000%, 01/01/43 | 2.9 | |
Chicago O’Hare International Airport, Senior Lien, Series A, 5.000%, 01/01/48 | 2.6 | |
Pennsylvania Turnpike Commission, Series A, 4.000%, 12/01/50 | 2.3 | |
Brevard County Health Facilities Authority, Series A, 5.000%, 04/01/47 | 2.3 | |
Central Texas Regional Mobility Authority, Series B, 5.000%, 01/01/45 | 2.3 | |
Central Plains Energy Project Project #3, Series A, 5.000%, 09/01/42 | 2.2 | |
New York Transportation Development Corp., Revenue, 4.000%, 04/30/53 | 2.1 | |
Public Authority for Colorado Energy Natural Gas Purchase Revenue, Series 2008, Revenue, 6.500%, 11/15/38 | 2.0 | |
Escambia County Health Facilities Authority, 4.000%, 08/15/50 | 1.9 | |
| ||
Top Ten as a Group | 24.0 | |
|
Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch. 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 any of the rating agencies. 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.
27
Table of Contents
AMG GW&K Municipal Enhanced Yield Fund Schedule of Portfolio Investments (unaudited) June 30, 2022 |
Principal Amount | Value | |||||||
Municipal Bonds - 98.2% | ||||||||
California - 6.1% | ||||||||
California Municipal Finance Authority, Series A | ||||||||
4.000%, 02/01/51 | $1,750,000 | $1,578,852 | ||||||
California Municipal Finance Authority, Series I | ||||||||
5.000%, 05/15/43 | 3,000,000 | 3,094,066 | ||||||
5.000%, 05/15/48 | 4,600,000 | 4,715,521 | ||||||
Riverside County Transportation Commission | ||||||||
4.000%, 06/01/46 | 2,500,000 | 2,344,035 | ||||||
4.000%, 06/01/47 | 3,425,000 | 3,151,356 | ||||||
San Diego County Regional Airport Authority, Series B | ||||||||
4.000%, 07/01/51 | 2,000,000 | 1,873,781 | ||||||
Total California | 16,757,611 | |||||||
Colorado - 3.9% | ||||||||
Colorado Health Facilities Authority, Series A | ||||||||
5.000%, 08/01/44 | 5,000,000 | 5,107,710 | ||||||
Public Authority for Colorado Energy Natural Gas Purchase Revenue, Series 2008 | ||||||||
6.500%, 11/15/38 | 4,445,000 | 5,460,201 | ||||||
Total Colorado | 10,567,911 | |||||||
Connecticut - 2.8% | ||||||||
Connecticut State Health & Educational Facilities Authority | ||||||||
4.000%, 07/01/39 | 3,500,000 | 3,154,184 | ||||||
4.000%, 07/01/40 | 3,400,000 | 3,040,757 | ||||||
4.000%, 07/01/42 | 1,750,000 | 1,557,238 | ||||||
Total Connecticut | 7,752,179 | |||||||
Florida - 12.0% | ||||||||
Brevard County Health Facilities Authority | ||||||||
5.000%, 04/01/47 | 6,000,000 | 6,326,734 | ||||||
City of Tampa, Series H | ||||||||
4.000%, 07/01/45 | 1,475,000 | 1,392,508 | ||||||
5.000%, 07/01/50 | 1,400,000 | 1,459,404 | ||||||
County of Miami-Dade Seaport Department, Series A | ||||||||
4.000%, 10/01/45 | 5,000,000 | 4,649,999 | ||||||
Escambia County Health Facilities Authority | ||||||||
4.000%, 08/15/50 | 6,050,000 | 5,319,839 | ||||||
Florida Development Finance Corp. | ||||||||
4.000%, 02/01/52 | 3,000,000 | 2,464,859 | ||||||
5.000%, 02/01/52 | 2,000,000 | 1,975,780 | ||||||
Hillsborough County Industrial Development Authority | ||||||||
4.000%, 08/01/50 | 5,000,000 | 4,564,203 | ||||||
Miami Beach Health Facilities Authority | ||||||||
4.000%, 11/15/46 | 5,000,000 | 4,626,570 | ||||||
Total Florida | 32,779,896 |
Principal Amount | Value | |||||||
Illinois - 10.1% | ||||||||
Chicago O’Hare International Airport, Senior Lien, Series A | ||||||||
5.000%, 01/01/48 | $6,750,000 | $7,007,011 | ||||||
Metropolitan Pier & Exposition Authority | ||||||||
4.000%, 12/15/42 | 2,000,000 | 1,788,206 | ||||||
4.000%, 06/15/52 | 3,000,000 | 2,582,422 | ||||||
5.000%, 06/15/50 | 5,000,000 | 5,045,509 | ||||||
State of Illinois | ||||||||
5.500%, 05/01/39 | 4,000,000 | 4,290,366 | ||||||
5.750%, 05/01/45 | 3,000,000 | 3,265,380 | ||||||
State of Illinois, Series A | ||||||||
4.000%, 03/01/40 | 1,500,000 | 1,395,536 | ||||||
5.000%, 03/01/46 | 2,225,000 | 2,284,625 | ||||||
Total Illinois | 27,659,055 | |||||||
Maine - 0.3% | ||||||||
Maine Health & Higher Educational Facilities Authority, Series A | ||||||||
4.000%, 07/01/50 | 1,000,000 | 938,258 | ||||||
Massachusetts - 1.6% | ||||||||
Massachusetts Development Finance Agency | ||||||||
4.000%, 07/01/51 | 5,110,000 | 4,432,819 | ||||||
Minnesota - 2.8% | ||||||||
City of Minneapolis MN, Fairview Health Services, Series A | ||||||||
5.000%, 11/15/49 | 5,000,000 | 5,169,555 | ||||||
Duluth Economic Development Authority, Essentia Health Obligated Group | ||||||||
5.000%, 02/15/48 | 2,550,000 | 2,627,687 | ||||||
Total Minnesota | 7,797,242 | |||||||
Nebraska - 2.2% | ||||||||
Central Plains Energy Project Project #3, Series A | ||||||||
5.000%, 09/01/42 | 5,560,000 | 5,911,698 | ||||||
New Jersey - 8.4% | ||||||||
New Jersey Economic Development Authority | ||||||||
5.000%, 11/01/44 | 3,000,000 | 3,117,446 | ||||||
New Jersey Economic Development Authority, Series S | ||||||||
4.000%, 06/15/46 | 1,500,000 | 1,381,771 | ||||||
4.000%, 06/15/50 | 1,500,000 | 1,366,326 | ||||||
New Jersey Transportation Trust Fund Authority | ||||||||
4.000%, 06/15/45 | 2,000,000 | 1,853,376 | ||||||
4.000%, 06/15/50 | 2,000,000 | 1,821,768 | ||||||
5.000%, 06/15/45 | 1,000,000 | 1,042,787 | ||||||
5.000%, 06/15/50 | 2,000,000 | 2,075,950 | ||||||
New Jersey Transportation Trust Fund Authority, Series BB | ||||||||
5.000%, 06/15/44 | 2,250,000 | 2,332,824 |
The accompanying notes are an integral part of these financial statements.
28
Table of Contents
AMG GW&K Municipal Enhanced Yield Fund Schedule of Portfolio Investments (continued) |
Principal Amount | Value | |||||||
New Jersey - 8.4% (continued) | ||||||||
Tobacco Settlement Financing Corp. Series A | ||||||||
5.000%, 06/01/46 | $2,500,000 | $2,561,485 | ||||||
5.250%, 06/01/46 | 3,285,000 | 3,416,566 | ||||||
Tobacco Settlement Financing Corp. Series B | ||||||||
5.000%, 06/01/46 | 2,050,000 | 2,049,903 | ||||||
Total New Jersey | 23,020,202 | |||||||
New York - 16.4% | ||||||||
Metropolitan Transportation Authority, Series C | ||||||||
4.750%, 11/15/45 | 3,175,000 | 3,212,196 | ||||||
5.000%, 11/15/50 | 2,335,000 | 2,404,968 | ||||||
5.250%, 11/15/55 | 3,020,000 | 3,138,285 | ||||||
Monroe County Industrial Development Corp., Series A | ||||||||
4.000%, 07/01/50 | 5,095,000 | 4,803,950 | ||||||
New York State Dormitory Authority, Series A | ||||||||
4.000%, 07/01/47 | 2,000,000 | 1,792,041 | ||||||
4.000%, 07/01/52 | 2,115,000 | 1,859,507 | ||||||
New York State Dormitory Authority, Series S | ||||||||
4.250%, 05/01/52 | 2,000,000 | 1,887,132 | ||||||
5.000%, 05/01/52 | 3,000,000 | 3,110,768 | ||||||
New York State Thruway Authority, Series B | ||||||||
4.000%, 01/01/45 | 3,500,000 | 3,316,357 | ||||||
New York Transportation Development Corp, Series P | ||||||||
5.000%, 12/01/40 | 5,000,000 | 5,180,869 | ||||||
5.000%, 12/01/41 | 5,000,000 | 5,169,877 | ||||||
New York Transportation Development Corp. | ||||||||
4.000%, 12/01/39 | 1,825,000 | 1,732,894 | ||||||
4.000%, 12/01/41 | 1,900,000 | 1,781,298 | ||||||
4.000%, 04/30/53 | 6,915,000 | 5,629,256 | ||||||
Total New York | 45,019,398 | |||||||
Oklahoma - 1.6% | ||||||||
Norman Regional Hospital Authority | ||||||||
5.000%, 09/01/45 | 4,335,000 | 4,418,603 | ||||||
Oregon - 0.6% | ||||||||
Oregon State Facilities Authority, Series A | ||||||||
5.000%, 06/01/52 | 1,500,000 | 1,587,722 | ||||||
Pennsylvania - 8.1% | ||||||||
Allegheny County Airport Authority, Series A | ||||||||
5.000%, 01/01/51 | 5,000,000 | 5,204,555 | ||||||
Geisinger Authority, Series G | ||||||||
4.000%, 04/01/50 | 5,710,000 | 5,177,227 | ||||||
Montgomery County Higher Education and Health Authority | ||||||||
5.000%, 05/01/52 | 5,000,000 | 5,253,438 | ||||||
Pennsylvania Turnpike Commission, Series A | ||||||||
4.000%, 12/01/50 | 7,050,000 | 6,421,246 | ||||||
Total Pennsylvania | 22,056,466 |
Principal Amount | Value | |||||||
Rhode Island - 1.2% | ||||||||
Tobacco Settlement Financing Corp. Series A | ||||||||
5.000%, 06/01/40 | $3,285,000 | $3,329,131 | ||||||
Texas - 11.5% | ||||||||
Central Texas Regional Mobility Authority, Series B | ||||||||
4.000%, 01/01/51 | 2,030,000 | 1,841,647 | ||||||
5.000%, 01/01/45 | 5,905,000 | 6,221,843 | ||||||
City of Houston TX Airport System Revenue, Series A | ||||||||
4.000%, 07/01/48 | 1,500,000 | 1,398,661 | ||||||
Texas Private Activity Bond Surface Transportation Corp. | ||||||||
5.000%, 06/30/58 | 9,320,000 | 9,227,708 | ||||||
Texas Private Activity Bond Surface Transportation Corp., Senior Lien-Blueridge Transport | ||||||||
5.000%, 12/31/40 | 3,955,000 | 4,003,020 | ||||||
5.000%, 12/31/45 | 3,880,000 | 3,909,747 | ||||||
Texas Private Activity Bond Surface Transportation Corp., Series A | ||||||||
4.000%, 12/31/39 | 5,500,000 | 4,972,069 | ||||||
Total Texas | 31,574,695 | |||||||
Virginia - 5.6% | ||||||||
Lynchburg Economic Development Authority | ||||||||
4.000%, 01/01/55 | 1,500,000 | 1,344,499 | ||||||
Virginia Small Business Financing Authority | ||||||||
4.000%, 01/01/39 1 | 3,000,000 | 2,807,278 | ||||||
4.000%, 01/01/40 1 | 3,000,000 | 2,785,658 | ||||||
5.000%, 12/31/47 | 2,555,000 | 2,650,347 | ||||||
Virginia Small Business Financing Authority, Transform 66 P3 Project | ||||||||
5.000%, 12/31/49 | 2,500,000 | 2,548,214 | ||||||
5.000%, 12/31/52 | 3,170,000 | 3,221,668 | ||||||
Total Virginia | 15,357,664 | |||||||
West Virginia - 3.0% | ||||||||
West Virginia Hospital Finance Authority, Cabell Huntington Hospital Obligation | ||||||||
5.000%, 01/01/43 | 8,000,000 | 8,078,560 | ||||||
Total Municipal Bonds | ||||||||
(Cost $301,769,170) | 269,039,110 | |||||||
Short-Term Investments - 2.4% | ||||||||
Repurchase Agreements - 2.4% | ||||||||
Fixed Income Clearing Corp., dated 06/30/2022 due 07/01/2022, 1.35% total to be received $6,450,242 (collateralized by a U.S. Treasury, | ||||||||
1.250%, 08/15/31, totaling $6,579,022) | 6,450,000 | 6,450,000 | ||||||
Total Short-Term Investments | ||||||||
(Cost $6,450,000) | 6,450,000 | |||||||
Total Investments - 100.6% | ||||||||
(Cost $308,219,170) | 275,489,110 |
The accompanying notes are an integral part of these financial statements.
29
Table of Contents
AMG GW&K Municipal Enhanced Yield Fund Schedule of Portfolio Investments (continued) |
Value | ||||
Other Assets, less Liabilities - (0.6)% | $(1,623,056 | ) | ||
Net Assets - 100.0% | $273,866,054 |
1 | All or part of a security is delayed delivery transaction. The market value for delayed delivery securities at June 30, 2022, amounted to $5,592,936, or 2.0% of net assets. |
The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of June 30, 2022:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Municipal Bonds† | — | $269,039,110 | — | $269,039,110 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | — | 6,450,000 | — | 6,450,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | — | $275,489,110 | — | $275,489,110 | ||||||||||||
|
|
|
|
|
|
|
|
† | 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. |
For the six months ended June 30, 2022, there were no transfers in or out of Level 3.
The accompanying notes are an integral part of these financial statements.
30
Table of Contents
Statement of Assets and Liabilities (unaudited) June 30, 2022 |
AMG GW&K ESG Bond Fund | AMG GW&K Enhanced Core Bond ESG Fund | AMG GW&K High Income Fund | AMG GW&K Municipal Bond Fund | AMG GW&K Municipal Enhanced Yield Fund | |||||||||||||||||||||
Assets: | |||||||||||||||||||||||||
Investments at value1 (including securities on loan valued at $24,789,642, $1,543,220, $2,054,787, $0,and $0, respectively) | $543,019,393 | $49,213,718 | $17,298,427 | $1,111,879,187 | $269,039,110 | ||||||||||||||||||||
Repurchase Agreements at value2 | 39,722,095 | 3,133,691 | 2,247,805 | 28,400,000 | 6,450,000 | ||||||||||||||||||||
Cash | 1,213,863 | 118,793 | 26,116 | 1,473,173 | 330,427 | ||||||||||||||||||||
Receivable for investments sold | — | — | — | — | 3,043,601 | ||||||||||||||||||||
Dividend and interest receivables | 4,631,053 | 435,102 | 253,359 | 13,131,978 | 2,805,525 | ||||||||||||||||||||
Securities lending income receivable | 11,141 | 943 | 1,150 | — | — | ||||||||||||||||||||
Receivable for Fund shares sold | 37,447 | 699 | 300 | 1,980,373 | 66,180 | ||||||||||||||||||||
Receivable from affiliate | 3,100 | 10,456 | 7,467 | 55,040 | 17,789 | ||||||||||||||||||||
Prepaid expenses and other assets | 37,231 | 20,421 | 18,679 | 89,585 | 28,281 | ||||||||||||||||||||
Total assets | 588,675,323 | 52,933,823 | 19,853,303 | 1,157,009,336 | 281,780,913 | ||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||
Payable upon return of securities loaned | 17,122,095 | 1,133,691 | 1,697,805 | — | — | ||||||||||||||||||||
Payable for delayed delivery investments purchased | — | — | — | 68,134,227 | 6,620,640 | ||||||||||||||||||||
Payable for Fund shares repurchased | 749,629 | 309 | 5,693 | 3,757,320 | 1,095,968 | ||||||||||||||||||||
Accrued expenses: | |||||||||||||||||||||||||
Investment advisory and management fees | 109,448 | 12,773 | 5,909 | 189,382 | 103,273 | ||||||||||||||||||||
Administrative fees | 71,379 | 6,386 | 2,273 | 136,643 | 34,424 | ||||||||||||||||||||
Distribution fees | — | 2,352 | — | 2,865 | 940 | ||||||||||||||||||||
Shareholder service fees | 79,537 | 2,083 | 1,876 | 46,430 | 11,846 | ||||||||||||||||||||
Other | 138,318 | 28,461 | 31,228 | 119,483 | 47,768 | ||||||||||||||||||||
Total liabilities | 18,270,406 | 1,186,055 | 1,744,784 | 72,386,350 | 7,914,859 | ||||||||||||||||||||
Net Assets | $570,404,917 | $51,747,768 | $18,108,519 | $1,084,622,986 | $273,866,054 | ||||||||||||||||||||
1 Investments at cost | $613,369,275 | $54,377,708 | $19,395,142 | $1,184,397,121 | $301,769,170 | ||||||||||||||||||||
2 Repurchase agreements at cost | $39,722,095 | $3,133,691 | $2,247,805 | $28,400,000 | $6,450,000 |
The accompanying notes are an integral part of these financial statements.
31
Table of Contents
Statement of Assets and Liabilities (continued) |
AMG GW&K ESG Bond Fund | AMG GW&K Enhanced Core Bond ESG Fund | AMG GW&K High Income Fund | AMG GW&K Municipal Bond Fund | AMG GW&K Municipal Enhanced Yield Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Assets Represent: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Paid-in capital | $651,076,362 | $60,705,821 | $20,479,607 | $1,159,873,755 | $311,545,679 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total distributable loss | (80,671,445 | ) | (8,958,053 | ) | (2,371,088 | ) | (75,250,769 | ) | (37,679,625 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net Assets | $570,404,917 | $51,747,768 | $18,108,519 | $1,084,622,986 | $273,866,054 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class N: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Assets | $334,862,454 | $11,391,594 | $6,654,520 | $13,200,541 | $2,878,398 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Shares outstanding | 15,338,629 | 1,223,227 | 335,870 | 1,196,197 | 325,067 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, offering and redemption price per share | $21.83 | $9.31 | $19.81 | $11.04 | $8.85 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Assets | $235,542,463 | $28,551,337 | $11,453,999 | $1,071,422,445 | $270,875,167 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Shares outstanding | 10,787,841 | 3,055,190 | 578,502 | 96,534,765 | 31,537,757 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, offering and redemption price per share | $21.83 | $9.35 | $19.80 | $11.10 | $8.59 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class Z: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Assets | — | $11,804,837 | — | — | $112,489 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Shares outstanding | — | 1,263,469 | — | — | 13,100 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, offering and redemption price per share | — | $9.34 | — | — | $8.59 |
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, 2022 |
AMG GW&K ESG Bond Fund | AMG GW&K Enhanced Core Bond ESG Fund | AMG GW&K High Income Fund | AMG GW&K Municipal Bond Fund | AMG GW&K Municipal Enhanced Yield Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Income: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest income | $7,606,020 | $603,390 | $362,160 | $11,325,697 | $4,978,051 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Securities lending income | 40,494 | 4,621 | 5,381 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total investment income | 7,646,514 | 608,011 | 367,541 | 11,325,697 | 4,978,051 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment advisory and management fees | 743,117 | 79,253 | 38,059 | 1,241,930 | 717,684 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Administrative fees | 484,642 | 39,626 | 14,638 | 898,905 | 239,228 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Distribution fees - Class N | — | 15,497 | — | 19,400 | 6,468 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Shareholder servicing fees - Class N | 463,829 | — | 9,154 | 9,855 | 3,881 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Shareholder servicing fees - Class I | 68,781 | 11,857 | 3,049 | 295,755 | 78,419 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Professional fees | 44,630 | 28,441 | 21,253 | 49,671 | 26,983 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Custodian fees | 39,175 | 10,748 | 8,240 | 47,881 | 18,827 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Reports to shareholders | 36,207 | 2,197 | 2,988 | 15,864 | 3,827 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Registration fees | 31,847 | 19,866 | 12,559 | 46,577 | 22,727 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trustee fees and expenses | 22,978 | 1,796 | 666 | 41,955 | 11,463 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transfer agent fees | 19,778 | 1,718 | 636 | 18,910 | 5,325 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest expense | — | 427 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Miscellaneous | 12,891 | 2,242 | 1,261 | 20,058 | 6,482 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total expenses before offsets | 1,967,875 | 213,668 | 112,503 | 2,706,761 | 1,141,314 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expense reimbursements | (45,958 | ) | (59,073 | ) | (42,718 | ) | (344,234 | ) | (111,561 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net expenses | 1,921,917 | 154,595 | 69,785 | 2,362,527 | 1,029,753 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 5,724,597 | 453,416 | 297,756 | 8,963,170 | 3,948,298 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Realized and Unrealized Loss: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized loss on investments | (10,484,826 | ) | (1,240,442 | ) | (243,457 | ) | (4,642,158 | ) | (5,908,626 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net change in unrealized appreciation/depreciation on investments | (76,074,670 | ) | (5,641,097 | ) | (2,175,101 | ) | (125,608,853 | ) | (57,945,223 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized loss | (86,559,496 | ) | (6,881,539 | ) | (2,418,558 | ) | (130,251,011 | ) | (63,853,849 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net decrease in net assets resulting from operations | $(80,834,899 | ) | $(6,428,123 | ) | $(2,120,802 | ) | $(121,287,841 | ) | $(59,905,551 | ) |
The accompanying notes are an integral part of these financial statements.
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Statements of Changes in Net Assets For the six months ended June 30, 2022 (unaudited) and the fiscal year ended December 31, 2021 |
AMG GW&K ESG Bond Fund | AMG GW&K Enhanced Core Bond ESG Fund | AMG GW&K High Income Fund | ||||||||||||||||||||||
June 30, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations: | ||||||||||||||||||||||||
Net investment income | $5,724,597 | $16,869,717 | $453,416 | $812,613 | $297,756 | $437,039 | ||||||||||||||||||
Net realized gain (loss) on investments | (10,484,826 | ) | 81,364,988 | (1,240,442 | ) | 874,010 | (243,457 | ) | 151,347 | |||||||||||||||
Net change in unrealized appreciation/depreciation on investments | (76,074,670 | ) | (112,045,135 | ) | (5,641,097 | ) | (2,321,289 | ) | (2,175,101 | ) | 89,236 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (80,834,899 | ) | (13,810,430 | ) | (6,428,123 | ) | (634,666 | ) | (2,120,802 | ) | 677,622 | |||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
From net investment income and/or realized gain on investments: | ||||||||||||||||||||||||
Class N | (3,248,161 | ) | (53,132,625 | ) | (96,081 | ) | (211,642 | ) | (115,045 | ) | (232,178 | ) | ||||||||||||
Class I | (2,662,373 | ) | (51,380,355 | ) | (237,467 | ) | (426,487 | ) | (204,694 | ) | (312,124 | ) | ||||||||||||
Class Z | — | — | (114,765 | ) | (186,240 | ) | — | — | ||||||||||||||||
From paid-in capital: | ||||||||||||||||||||||||
Class N | — | — | — | (12,304 | ) | — | — | |||||||||||||||||
Class I | — | — | — | (24,795 | ) | — | — | |||||||||||||||||
Class Z | — | — | — | (10,828 | ) | — | — | |||||||||||||||||
Total distributions to shareholders | (5,910,534 | ) | (104,512,980 | ) | (448,313 | ) | (872,296 | ) | (319,739 | ) | (544,302 | ) | ||||||||||||
Capital Share Transactions:1 | ||||||||||||||||||||||||
Net increase (decrease) from capital share transactions | (97,787,972 | ) | (228,559,947 | ) | (2,225,730 | ) | 7,211,314 | (774,652 | ) | 10,888,534 | ||||||||||||||
Total increase (decrease) in net assets | (184,533,405 | ) | (346,883,357 | ) | (9,102,166 | ) | 5,704,352 | (3,215,193 | ) | 11,021,854 | ||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 754,938,322 | 1,101,821,679 | 60,849,934 | 55,145,582 | 21,323,712 | 10,301,858 | ||||||||||||||||||
End of period | $570,404,917 | $754,938,322 | $51,747,768 | $60,849,934 | $18,108,519 | $21,323,712 |
1 | See Note 1(g) of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
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Statements of Changes in Net Assets (continued) For the six months ended June 30, 2022 (unaudited) and the fiscal year ended December 31, 2021 |
AMG GW&K Municipal Bond Fund | AMG GW&K Municipal Enhanced Yield Fund | |||||||||||||||
June 30, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations: | ||||||||||||||||
Net investment income | $8,963,170 | $17,736,073 | $3,948,298 | $8,074,327 | ||||||||||||
Net realized gain (loss) on investments | (4,642,158 | ) | 11,510,796 | (5,908,626 | ) | 5,033,099 | ||||||||||
Net change in unrealized appreciation/depreciation on investments | (125,608,853 | ) | (24,090,355 | ) | (57,945,223 | ) | 727,146 | |||||||||
Net increase (decrease) in net assets resulting from operations | (121,287,841 | ) | 5,156,514 | (59,905,551 | ) | 13,834,572 | ||||||||||
Distributions to Shareholders: | ||||||||||||||||
Class N | (90,332 | ) | (320,461 | ) | (30,794 | ) | (239,124 | ) | ||||||||
Class I | (8,816,692 | ) | (27,948,470 | ) | (3,883,318 | ) | (12,853,713 | ) | ||||||||
Class Z | — | — | (1,547 | ) | (4,817 | ) | ||||||||||
Total distributions to shareholders | (8,907,024 | ) | (28,268,931 | ) | (3,915,659 | ) | (13,097,654 | ) | ||||||||
Capital Share Transactions:1 | ||||||||||||||||
Net increase (decrease) from capital share transactions | (134,252,288 | ) | 66,362,378 | (46,843,198 | ) | 55,209,790 | ||||||||||
Total increase (decrease) in net assets | (264,447,153 | ) | 43,249,961 | (110,664,408 | ) | 55,946,708 | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 1,349,070,139 | 1,305,820,178 | 384,530,462 | 328,583,754 | ||||||||||||
End of period | $1,084,622,986 | $1,349,070,139 | $273,866,054 | $384,530,462 |
1 | See Note 1(g) of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
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AMG GW&K ESG Bond Fund For a share outstanding throughout each fiscal period |
For the six | ||||||||||||||||||||||||||||||
months ended | For the fiscal years ended December 31, | |||||||||||||||||||||||||||||
June 30, 2022 | ||||||||||||||||||||||||||||||
Class N | (unaudited) | 2021 | 2020 | 2019 | 2018 | 20171 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $24.88 | $28.12 | $27.14 | $25.49 | $26.97 | $26.24 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income2,3 | 0.19 | 0.44 | 0.90 | 0.94 | 0.84 | 0.91 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (3.04 | ) | (0.83 | ) | 1.03 | 1.85 | (1.33 | ) | 0.85 | |||||||||||||||||||||
Total income (loss) from investment operations | (2.85 | ) | (0.39 | ) | 1.93 | 2.79 | (0.49 | ) | 1.76 | |||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.20 | ) | (0.47 | ) | (0.88 | ) | (0.98 | ) | (0.80 | ) | (0.87 | ) | ||||||||||||||||||
Net realized gain on investments | — | (2.38 | ) | (0.07 | ) | (0.16 | ) | (0.19 | ) | (0.16 | ) | |||||||||||||||||||
Total distributions to shareholders | (0.20 | ) | (2.85 | ) | (0.95 | ) | (1.14 | ) | (0.99 | ) | (1.03 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $21.83 | $24.88 | $28.12 | $27.14 | $25.49 | $26.97 | ||||||||||||||||||||||||
Total Return3,4 | (11.48 | )%5 | (1.29 | )% | 7.34 | % | 11.10 | % | (1.82 | )% | 6.77 | % | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.68 | %6 | 0.69 | %7 | 0.71 | % | 0.72 | %8 | 0.98 | %7 | 0.99 | %7 | ||||||||||||||||||
Ratio of gross expenses to average net assets9 | 0.68 | %6 | 0.69 | %7 | 0.72 | % | 0.73 | %8 | 0.98 | %7 | 0.99 | %7 | ||||||||||||||||||
Ratio of net investment income to average net assets3 | 1.69 | %6 | 1.71 | % | 3.31 | % | 3.53 | % | 3.19 | % | 3.38 | % | ||||||||||||||||||
Portfolio turnover | 14 | %5 | 186 | % | 25 | % | 20 | % | 9 | % | 4 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $334,862 | $427,818 | $555,124 | $618,381 | $715,468 | $971,359 | ||||||||||||||||||||||||
36
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AMG GW&K ESG Bond 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, 2022 | ||||||||||||||||||||||||||||||
Class I | (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $24.89 | $28.13 | $27.14 | $25.49 | $26.97 | $26.24 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income2,3 | 0.22 | 0.50 | 0.95 | 0.99 | 0.86 | 0.94 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (3.05 | ) | (0.83 | ) | 1.05 | 1.85 | (1.32 | ) | 0.85 | |||||||||||||||||||||
Total income (loss) from investment operations | (2.83 | ) | (0.33 | ) | 2.00 | 2.84 | (0.46 | ) | 1.79 | |||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.23 | ) | (0.53 | ) | (0.94 | ) | (1.03 | ) | (0.83 | ) | (0.90 | ) | ||||||||||||||||||
Net realized gain on investments | — | (2.38 | ) | (0.07 | ) | (0.16 | ) | (0.19 | ) | (0.16 | ) | |||||||||||||||||||
Total distributions to shareholders | (0.23 | ) | (2.91 | ) | (1.01 | ) | (1.19 | ) | (1.02 | ) | (1.06 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $21.83 | $24.89 | $28.13 | $27.14 | $25.49 | $26.97 | ||||||||||||||||||||||||
Total Return3,4 | (11.43 | )%5 | (1.05 | )% | 7.57 | % | 11.32 | % | (1.72 | )% | 6.87 | % | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.48 | %6 | 0.49 | %7 | 0.50 | % | 0.52 | %8 | 0.88 | %7 | 0.89 | %7 | ||||||||||||||||||
Ratio of gross expenses to average net assets9 | 0.48 | %6 | 0.49 | %7 | 0.51 | % | 0.53 | %8 | 0.88 | %7 | 0.89 | %7 | ||||||||||||||||||
Ratio of net investment income to average net assets3 | 1.89 | %6 | 1.91 | % | 3.52 | % | 3.73 | % | 3.29 | % | 3.48 | % | ||||||||||||||||||
Portfolio turnover | 14 | %5 | 186 | % | 25 | % | 20 | % | 9 | % | 4 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $235,542 | $327,121 | $546,698 | $605,353 | $1,094,820 | $1,027,477 | ||||||||||||||||||||||||
1 | Effective February 27, 2017, Class S shares were renamed Class N shares. |
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 | The total return is calculated using the published Net Asset Value as of period end. |
5 | Not annualized. |
6 | Annualized. |
7 | Ratio includes recapture of reimbursed fees from prior years amounting to less than 0.01%, 0.04% and 0.07% for the fiscal year ended December 31, 2021, December 31, 2018 and December 31, 2017, respectively |
8 | Includes 0.01% of extraordinary expense related to legal expense in support of an investment held in the portfolio. |
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.) |
37
Table of Contents
AMG GW&K Enhanced Core Bond ESG 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, 2022 | ||||||||||||||||||||||||||||||
Class N | (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $10.61 | $10.90 | $10.15 | $9.43 | $9.81 | $9.67 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income1,2 | 0.08 | 0.14 | 0.20 | 0.24 | 0.23 | 0.21 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.30 | ) | (0.28 | ) | 0.75 | 0.73 | (0.38 | ) | 0.15 | |||||||||||||||||||||
Total income (loss) from investment operations | (1.22 | ) | (0.14 | ) | 0.95 | 0.97 | (0.15 | ) | 0.36 | |||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.08 | ) | (0.14 | ) | (0.20 | ) | (0.25 | ) | (0.23 | ) | (0.22 | ) | ||||||||||||||||||
Paid in capital | — | (0.01 | ) | — | — | — | — | |||||||||||||||||||||||
Total distributions to shareholders | (0.08 | ) | (0.15 | ) | (0.20 | ) | (0.25 | ) | (0.23 | ) | (0.22 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $9.31 | $10.61 | $10.90 | $10.15 | $9.43 | $9.81 | ||||||||||||||||||||||||
Total Return2,3 | (11.56 | )%4 | (1.26 | )% | 9.41 | % | 10.35 | % | (1.48 | )% | 3.76 | % | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.73 | %5 | 0.73 | % | 0.73 | % | 0.73 | % | 0.73 | % | 0.75 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets6 | 0.95 | %5 | 0.93 | % | 1.06 | % | 1.16 | % | 0.99 | % | 1.04 | % | ||||||||||||||||||
Ratio of net investment income to average net assets2 | 1.57 | %5 | 1.32 | % | 1.86 | % | 2.43 | % | 2.45 | % | 2.19 | % | ||||||||||||||||||
Portfolio turnover | 38 | %4 | 86 | % | 101 | % | 71 | % | 26 | % | 39 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $11,392 | $13,736 | $15,794 | $14,779 | $12,884 | $16,027 | ||||||||||||||||||||||||
38
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AMG GW&K Enhanced Core Bond ESG 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, 2022 | ||||||||||||||||||||||||||||||
Class I | (unaudited) | 2021 | 2020 | 2019 | 2018 | 20177 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $10.65 | $10.94 | $10.19 | $9.47 | $9.85 | $9.70 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income1,2 | 0.09 | 0.16 | 0.22 | 0.26 | 0.25 | 0.23 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.31 | ) | (0.28 | ) | 0.75 | 0.73 | (0.38 | ) | 0.16 | |||||||||||||||||||||
Total income (loss) from investment operations | (1.22 | ) | (0.12 | ) | 0.97 | 0.99 | (0.13 | ) | 0.39 | |||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.08 | ) | (0.16 | ) | (0.22 | ) | (0.27 | ) | (0.25 | ) | (0.24 | ) | ||||||||||||||||||
Paid in capital | — | (0.01 | ) | — | — | — | — | |||||||||||||||||||||||
Total distributions to shareholders | (0.08 | ) | (0.17 | ) | (0.22 | ) | (0.27 | ) | (0.25 | ) | (0.24 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $9.35 | $10.65 | $10.94 | $10.19 | $9.47 | $9.85 | ||||||||||||||||||||||||
Total Return2,3 | (11.45 | )%4 | (1.07 | )% | 9.57 | % | 10.51 | % | (1.27 | )% | 4.03 | % | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.57 | %5 | 0.56 | % | 0.55 | % | 0.55 | % | 0.54 | % | 0.61 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets6 | 0.79 | %5 | 0.76 | % | 0.88 | % | 0.98 | % | 0.80 | % | 0.90 | % | ||||||||||||||||||
Ratio of net investment income to average net assets2 | 1.73 | %5 | 1.49 | % | 2.04 | % | 2.62 | % | 2.64 | % | 2.32 | % | ||||||||||||||||||
Portfolio turnover | 38 | %4 | 86 | % | 101 | % | 71 | % | 26 | % | 39 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $28,551 | $33,402 | $27,800 | $8,502 | $5,967 | $6,864 | ||||||||||||||||||||||||
39
Table of Contents
AMG GW&K Enhanced Core Bond ESG 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, 2022 | ||||||||||||||||||||||||||||||
Class Z | (unaudited) | 2021 | 2020 | 2019 | 2018 | 20177 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $10.65 | $10.93 | $10.18 | $9.46 | $9.84 | $9.70 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income1,2 | 0.09 | 0.17 | 0.22 | 0.27 | 0.26 | 0.24 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.31 | ) | (0.27 | ) | 0.75 | 0.72 | (0.38 | ) | 0.15 | |||||||||||||||||||||
Total income (loss) from investment operations | (1.22 | ) | (0.10 | ) | 0.97 | 0.99 | (0.12 | ) | 0.39 | |||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.09 | ) | (0.17 | ) | (0.22 | ) | (0.27 | ) | (0.26 | ) | (0.25 | ) | ||||||||||||||||||
Paid in capital | — | (0.01 | ) | — | — | — | — | |||||||||||||||||||||||
Total distributions to shareholders | (0.09 | ) | (0.18 | ) | (0.22 | ) | (0.27 | ) | (0.26 | ) | (0.25 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $9.34 | $10.65 | $10.93 | $10.18 | $9.46 | $9.84 | ||||||||||||||||||||||||
Total Return2,3 | (11.50 | )%4 | (0.92 | )% | 9.65 | % | 10.59 | % | (1.23 | )% | 4.01 | % | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.48 | %5 | 0.48 | % | 0.48 | % | 0.48 | % | 0.48 | % | 0.50 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets6 | 0.70 | %5 | 0.68 | % | 0.81 | % | 0.91 | % | 0.74 | % | 0.79 | % | ||||||||||||||||||
Ratio of net investment income to average net assets2 | 1.82 | %5 | 1.57 | % | 2.11 | % | 2.72 | % | 2.70 | % | 2.43 | % | ||||||||||||||||||
Portfolio turnover | 38 | %4 | 86 | % | 101 | % | 71 | % | 26 | % | 39 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $11,805 | $13,712 | $11,552 | $10,080 | $15,254 | $21,271 | ||||||||||||||||||||||||
1 | Per share numbers have been calculated using average shares. |
2 | Total returns and net investment income would have been lower had certain expenses not been offset. |
3 | The total return is calculated using the published Net Asset Value as of period end. |
4 | Not annualized. |
5 | Annualized. |
6 | 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.) |
7 | Effective February 27, 2017, Class I shares were renamed Class Z and Class S shares were renamed Class I. |
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AMG GW&K High Income 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, 2022 | ||||||||||||||||||||||||||||||
Class N | (unaudited) | 2021 | 2020 | 2019 | 2018 | 20171 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $22.46 | $22.23 | $21.52 | $20.04 | $21.06 | $19.05 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income2,3 | 0.31 | 0.53 | 0.51 | 0.57 | 0.69 | 0.75 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (2.63 | ) | 0.28 | 2.09 | 0.98 | (1.57 | ) | 1.26 | ||||||||||||||||||||||
Total income (loss) from investment operations | (2.32 | ) | 0.81 | 2.60 | 1.55 | (0.88 | ) | 2.01 | ||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.33 | ) | (0.53 | ) | (0.48 | ) | (0.07 | ) | (0.14 | ) | — | |||||||||||||||||||
Net realized gain on investments | — | (0.05 | ) | (1.41 | ) | — | — | — | ||||||||||||||||||||||
Total distributions to shareholders | (0.33 | ) | (0.58 | ) | (1.89 | ) | (0.07 | ) | (0.14 | ) | — | |||||||||||||||||||
Net Asset Value, End of Period | $19.81 | $22.46 | $22.23 | $21.52 | $20.04 | $21.06 | ||||||||||||||||||||||||
Total Return3,4 | (10.39 | )%5 | 3.67 | % | 12.16 | % | 7.67 | % | (4.18 | )% | 10.55 | % | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.84 | %6 | 0.84 | % | 0.89 | % | 0.89 | % | 0.89 | % | 0.89 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets7 | 1.28 | %6 | 1.37 | % | 1.70 | % | 1.87 | % | 1.52 | % | 1.39 | % | ||||||||||||||||||
Ratio of net investment income to average net assets3 | 2.93 | %6 | 2.36 | % | 2.28 | % | 2.70 | % | 3.34 | % | 3.71 | % | ||||||||||||||||||
Portfolio turnover | 21 | %5 | 97 | % | 157 | % | 52 | % | 60 | % | 55 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $6,655 | $8,157 | $10,302 | $9,638 | $10,365 | $14,074 | ||||||||||||||||||||||||
41
Table of Contents
AMG GW&K High Income Fund Financial Highlights For a share outstanding throughout each fiscal period |
For the fiscal | ||||||||||
For the six | period ended | |||||||||
months ended | December 31, | |||||||||
June 30, 2022 | ||||||||||
Class I | (unaudited) | 20218 | ||||||||
Net Asset Value, Beginning of Period | $22.45 | $22.27 | ||||||||
Income (loss) from Investment Operations: | ||||||||||
Net investment income2,3 | 0.33 | 0.46 | ||||||||
Net realized and unrealized gain (loss) on investments | (2.63 | ) | 0.35 | |||||||
Total income (loss) from investment operations | (2.30 | ) | 0.81 | |||||||
Less Distributions to Shareholders from: | ||||||||||
Net investment income | (0.35 | ) | (0.58 | ) | ||||||
Net realized gain on investments | — | (0.05 | ) | |||||||
Total distributions to shareholders | (0.35 | ) | (0.63 | ) | ||||||
Net Asset Value, End of Period | $19.80 | $22.45 | ||||||||
Total Return3,4 | (10.31 | )%5 | 3.68 | %5 | ||||||
Ratio of net expenses to average net assets | 0.64 | %6 | 0.64 | %6 | ||||||
Ratio of gross expenses to average net assets7 | 1.08 | %6 | 1.17 | %6 | ||||||
Ratio of net investment income to average net assets3 | 3.13 | %6 | 2.56 | %6 | ||||||
Portfolio turnover | 21 | %5 | 97 | % | ||||||
Net assets end of period (000’s) omitted | $11,454 | $13,166 | ||||||||
1 | Effective February 27, 2017, Class S was renamed Class N. |
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 | The total return is calculated using the published Net Asset Value as of period end. |
5 | Not annualized. |
6 | Annualized. |
7 | 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.) |
8 | Commencement of operations was on March 15, 2021. |
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Table of Contents
AMG GW&K Municipal Bond 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, 2022 | ||||||||||||||||||||||||||||||
Class N | (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $12.24 | $12.45 | $12.12 | $11.48 | $11.60 | $11.25 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income1,2 | 0.07 | 0.13 | 0.15 | 0.19 | 0.17 | 0.15 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.20 | ) | (0.11 | ) | 0.33 | 0.64 | (0.11 | ) | 0.36 | |||||||||||||||||||||
Total income (loss) from investment operations | (1.13 | ) | 0.02 | 0.48 | 0.83 | 0.06 | 0.51 | |||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.07 | ) | (0.13 | ) | (0.15 | ) | (0.19 | ) | (0.18 | ) | (0.15) | |||||||||||||||||||
Net realized gain on investments | — | (0.10 | ) | — | — | (0.00 | )3 | (0.01) | ||||||||||||||||||||||
Total distributions to shareholders | (0.07 | ) | (0.23 | ) | (0.15 | ) | (0.19 | ) | (0.18 | ) | (0.16) | |||||||||||||||||||
Net Asset Value, End of Period | $11.04 | $12.24 | $12.45 | $12.12 | $11.48 | $11.60 | ||||||||||||||||||||||||
Total Return2,4 | (9.26 | )%5 | 0.10 | % | 4.31 | % | 7.29 | % | 0.54 | % | 4.58% | |||||||||||||||||||
Ratio of net expenses to average net assets | 0.72 | %6 | 0.71 | % | 0.71 | % | 0.71 | % | 0.71 | % | 0.71% | |||||||||||||||||||
Ratio of gross expenses to average net assets7 | 0.78 | %6 | 0.76 | % | 0.77 | % | 0.78 | % | 0.77 | % | 0.78% | |||||||||||||||||||
Ratio of net investment income to average net assets2 | 1.17 | %6 | 1.01 | % | 1.25 | % | 1.59 | % | 1.53 | % | 1.31% | |||||||||||||||||||
Portfolio turnover | 11 | %5 | 24 | % | 17 | % | 18 | % | 35 | % | 27% | |||||||||||||||||||
Net assets end of period (000’s) omitted | $13,201 | $17,112 | $18,153 | $18,711 | $17,445 | $29,513 | ||||||||||||||||||||||||
43
Table of Contents
AMG GW&K Municipal Bond 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, 2022 | ||||||||||||||||||||||||||||||
Class I | (unaudited) | 2021 | 2020 | 2019 | 2018 | 20178 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $12.31 | $12.52 | $12.18 | $11.54 | $11.66 | $11.31 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income1,2 | 0.09 | 0.17 | 0.19 | 0.23 | 0.21 | 0.19 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.21 | ) | (0.11 | ) | 0.34 | 0.64 | (0.12 | ) | 0.36 | |||||||||||||||||||||
Total income (loss) from investment operations | (1.12 | ) | 0.06 | 0.53 | 0.87 | 0.09 | 0.55 | |||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.09 | ) | (0.17 | ) | (0.19 | ) | (0.23 | ) | (0.21 | ) | (0.19) | |||||||||||||||||||
Net realized gain on investments | — | (0.10 | ) | — | — | (0.00 | )3 | (0.01) | ||||||||||||||||||||||
Total distributions to shareholders | (0.09 | ) | (0.27 | ) | (0.19 | ) | (0.23 | ) | (0.21 | ) | (0.20) | |||||||||||||||||||
Net Asset Value, End of Period | $11.10 | $12.31 | $12.52 | $12.18 | $11.54 | $11.66 | ||||||||||||||||||||||||
Total Return2,4 | (9.14 | )%5 | 0.43 | % | 4.70 | % | 7.58 | % | 0.87 | % | 4.90% | |||||||||||||||||||
Ratio of net expenses to average net assets | 0.39 | %6 | 0.39 | % | 0.39 | % | 0.39 | % | 0.39 | % | 0.37% | |||||||||||||||||||
Ratio of gross expenses to average net assets7 | 0.45 | %6 | 0.44 | % | 0.45 | % | 0.46 | % | 0.45 | % | 0.45% | |||||||||||||||||||
Ratio of net investment income to average net assets2 | 1.50 | %6 | 1.33 | % | 1.57 | % | 1.91 | % | 1.85 | % | 1.64% | |||||||||||||||||||
Portfolio turnover | 11 | %5 | 24 | % | 17 | % | 18 | % | 35 | % | 27% | |||||||||||||||||||
Net assets end of period (000’s) omitted | $1,071,422 | $1,331,958 | $1,287,667 | $1,014,514 | $940,553 | $1,045,399 | ||||||||||||||||||||||||
1 | Per share numbers have been calculated using average shares. |
2 | Total returns and net investment income would have been lower had certain expenses not been offset. |
3 | Less than $(0.005) per share. |
4 | The total return is calculated using the published Net Asset Value as of period end. |
5 | Not annualized. |
6 | Annualized. |
7 | 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.) |
8 | Effective June 23, 2017, Class S shares were converted to Class I shares. |
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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 | For the fiscal years ended December 31, | |||||||||||||||||||||||||||||
June 30, 2022 | ||||||||||||||||||||||||||||||
Class N | (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $10.74 | $10.69 | $10.42 | $9.69 | $10.02 | $9.40 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income1,2 | 0.10 | 0.20 | 0.23 | 0.26 | 0.27 | 0.26 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.90 | ) | 0.18 | 0.37 | 0.78 | (0.33 | ) | 0.62 | ||||||||||||||||||||||
Total income (loss) from investment operations | (1.80 | ) | 0.38 | 0.60 | 1.04 | (0.06 | ) | 0.88 | ||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.09 | ) | (0.19 | ) | (0.21 | ) | (0.25 | ) | (0.15 | ) | (0.26) | |||||||||||||||||||
Net realized gain on investments | — | (0.14 | ) | (0.12 | ) | (0.06 | ) | — | — | |||||||||||||||||||||
Paid in capital | — | — | — | — | (0.12 | ) | — | |||||||||||||||||||||||
Total distributions to shareholders | (0.09 | ) | (0.33 | ) | (0.33 | ) | (0.31 | ) | (0.27 | ) | (0.26) | |||||||||||||||||||
Net Asset Value, End of Period | $8.85 | $10.74 | $10.69 | $10.42 | $9.69 | $10.02 | ||||||||||||||||||||||||
Total Return2,3 | (16.81 | )%4 | 3.59 | % | 5.95 | % | 10.92 | % | (0.55 | )% | 9.51% | |||||||||||||||||||
Ratio of net expenses to average net assets | 0.99 | %5 | 0.99 | % | 0.99 | % | 0.99 | % | 0.99 | % | 1.01% | |||||||||||||||||||
Ratio of gross expenses to average net assets6 | 1.06 | %5 | 1.05 | % | 1.07 | % | 1.08 | % | 1.08 | % | 1.11% | |||||||||||||||||||
Ratio of net investment income to average net assets2 | 2.13 | %5 | 1.85 | % | 2.17 | % | 2.56 | % | 2.79 | % | 2.67% | |||||||||||||||||||
Portfolio turnover | 28 | %4 | 61 | % | 81 | % | 40 | % | 89 | % | 67% | |||||||||||||||||||
Net assets end of period (000’s) omitted | $2,878 | $14,923 | $5,015 | $5,722 | $7,283 | $8,828 | ||||||||||||||||||||||||
45
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 | For the fiscal years ended December 31, | |||||||||||||||||||||||||||||
June 30, 2022 | ||||||||||||||||||||||||||||||
Class I | (unaudited) | 2021 | 2020 | 2019 | 2018 | 20177 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $10.43 | $10.40 | $10.15 | $9.45 | $10.01 | $9.40 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income1,2 | 0.12 | 0.23 | 0.25 | 0.29 | 0.31 | 0.30 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.84 | ) | 0.17 | 0.37 | 0.76 | (0.32 | ) | 0.61 | ||||||||||||||||||||||
Total income (loss) from investment operations | (1.72 | ) | 0.40 | 0.62 | 1.05 | (0.01 | ) | 0.91 | ||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.12 | ) | (0.23 | ) | (0.25 | ) | (0.29 | ) | (0.31 | ) | (0.30) | |||||||||||||||||||
Net realized gain on investments | — | (0.14 | ) | (0.12 | ) | (0.06 | ) | — | — | |||||||||||||||||||||
Paid in capital | — | — | — | — | (0.24 | ) | — | |||||||||||||||||||||||
Total distributions to shareholders | (0.12 | ) | (0.37 | ) | (0.37 | ) | (0.35 | ) | (0.55 | ) | (0.30) | |||||||||||||||||||
Net Asset Value, End of Period | $8.59 | $10.43 | $10.40 | $10.15 | $9.45 | $10.01 | ||||||||||||||||||||||||
Total Return2,3 | (16.59 | )%4 | 3.94 | % | 6.31 | % | 11.28 | % | (0.07 | )% | 9.79% | |||||||||||||||||||
Ratio of net expenses to average net assets | 0.64 | %5 | 0.64 | % | 0.64 | % | 0.64 | % | 0.64 | % | 0.64% | |||||||||||||||||||
Ratio of gross expenses to average net assets6 | 0.71 | %5 | 0.70 | % | 0.72 | % | 0.73 | % | 0.73 | % | 0.74% | |||||||||||||||||||
Ratio of net investment income to average net assets2 | 2.48 | %5 | 2.20 | % | 2.52 | % | 2.91 | % | 3.14 | % | 3.05% | |||||||||||||||||||
Portfolio turnover | 28 | %4 | 61 | % | 81 | % | 40 | % | 89 | % | 67% | |||||||||||||||||||
Net assets end of period (000’s) omitted | $270,875 | $369,473 | $323,439 | $273,228 | $203,867 | $226,638 | ||||||||||||||||||||||||
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Table of Contents
AMG GW&K Municipal Enhanced Yield Fund | ||
Financial Highlights | ||
For a share outstanding throughout each fiscal period |
For the fiscal | ||||||||||||||||||||||||||||||
For the six | period ended | |||||||||||||||||||||||||||||
months ended | For the fiscal years ended December 31, | December 31, | ||||||||||||||||||||||||||||
June 30, 2022 | ||||||||||||||||||||||||||||||
Class Z | (unaudited) | 2021 | 2020 | 2019 | 2018 | 20178 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.43 | $ | 10.40 | $ | 10.15 | $ | 9.44 | $ | 10.01 | $ | 9.49 | ||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income1,2 | 0.12 | 0.24 | 0.26 | 0.30 | 0.31 | 0.25 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.84 | ) | 0.17 | 0.37 | 0.76 | (0.32 | ) | 0.52 | ||||||||||||||||||||||
Total income (loss) from investment operations | (1.72 | ) | 0.41 | 0.63 | 1.06 | (0.01 | ) | 0.77 | ||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | (0.12 | ) | (0.24 | ) | (0.26 | ) | (0.29 | ) | (0.32 | ) | (0.25 | ) | ||||||||||||||||||
Net realized gain on investments | — | (0.14 | ) | (0.12 | ) | (0.06 | ) | — | — | |||||||||||||||||||||
Paid in capital | — | — | — | — | (0.24 | ) | — | |||||||||||||||||||||||
Total distributions to shareholders | (0.12 | ) | (0.38 | ) | (0.38 | ) | (0.35 | ) | (0.56 | ) | (0.25 | ) | ||||||||||||||||||
Net Asset Value, End of Period | $ | 8.59 | $ | 10.43 | $ | 10.40 | $ | 10.15 | $ | 9.44 | $ | 10.01 | ||||||||||||||||||
Total Return2,3 | (16.57 | )%4 | 3.99 | % | 6.37 | % | 11.45 | % | (0.09 | )% | 8.23 | %4 | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.59 | %5 | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | %5 | ||||||||||||||||||
Ratio of gross expenses to average net assets6 | 0.66 | %5 | 0.65 | % | 0.67 | % | 0.68 | % | 0.68 | % | 0.69 | %5 | ||||||||||||||||||
Ratio of net investment income to average net assets2 | 2.53 | %5 | 2.25 | % | 2.57 | % | 2.96 | % | 3.19 | % | 3.07 | %5 | ||||||||||||||||||
Portfolio turnover | 28 | %4 | 61 | % | 81 | % | 40 | % | 89 | % | 67 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $ | 112 | $ | 135 | $ | 130 | $ | 120 | $ | 108 | $ | 108 |
1 | Per share numbers have been calculated using average shares. |
2 | Total returns and net investment income would have been lower had certain expenses not been offset. |
3 | The total return is calculated using the published Net Asset Value as of period end. |
4 | Not annualized. |
5 | Annualized. |
6 | 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.) |
7 | Effective June 23, 2017, Class S shares were converted to Class I shares. |
8 | Commencement of operations was February 27, 2017. |
47
Table of Contents
Notes to Financial Statements (unaudited) June 30, 2022 |
1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
AMG Funds, AMG Funds II and AMG Funds III 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 Funds II: AMG GW&K Enhanced Core Bond ESG Fund (“Enhanced Core Bond ESG”) and AMG Funds III: AMG GW&K ESG Bond Fund (“ESG Bond”) and AMG GW&K High Income Fund (“High Income”), each a “Fund” and collectively, the “Funds”.
Each Fund offers different classes of shares. All Funds offer Class N shares and Class I shares; and Municipal Enhanced and Enhanced Core Bond ESG offer 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.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the Funds and thus Fund performance.
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
Fixed income securities purchased with a remaining maturity exceeding 60 days are valued at the evaluated bid 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, 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 registered 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 Boards of Trustees of the Trusts. 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 Boards. The Valuation Committee, which is comprised of the Independent Trustees of the Boards, and the Pricing Committee, which is comprised of representatives from AMG Funds LLC (the “Investment Manager”) are the committees appointed by the Boards 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 Boards’ 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 a 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 Boards will be presented with a quarterly report showing as of the most recent quarter end, all outstanding securities fair valued by the Funds, including a comparison with the prior quarter end and the percentage of the Funds that the security represents at each quarter end.
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)
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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.
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
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. Expenses that cannot be directly attributed to a Fund are apportioned among the funds in the Trusts and other trusts or funds within the AMG Funds Family of 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.
d. DIVIDENDS AND DISTRIBUTIONS
Fund distributions resulting from net investment income, if any, will normally be declared and paid monthly by the Funds. Fund distributions resulting from 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 the equalization utilized and net operating losses. Temporary differences are primarily due to wash sales loss deferrals and premium amortization on callable bonds.
At June 30, 2022, 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 for federal income tax purposes were as follows:
Fund | Cost | Appreciation | Depreciation | Net Depreciation | ||||||||||||
ESG Bond | $653,091,370 | $1,776,448 | $(72,126,330 | ) | $(70,349,882 | ) | ||||||||||
Enhanced Core Bond ESG | 57,511,399 | 425 | (5,164,415 | ) | (5,163,990 | ) | ||||||||||
High Income | 21,642,947 | 55,699 | (2,152,414 | ) | (2,096,715 | ) | ||||||||||
Municipal Bond | 1,212,797,121 | 1,777,405 | (74,295,339 | ) | (72,517,934 | ) | ||||||||||
Municipal Enhanced | 308,219,170 | 1,028,175 | (33,758,235 | ) | (32,730,060 | ) |
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 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.
f. CAPITAL LOSS CARRYOVERS AND DEFERRALS
As of December 31, 2021, Enhanced Core Bond ESG had capital loss carryovers for federal income tax purposes as shown in the following chart. These amounts may be used to offset future realized capital gains indefinitely, and retain their character as short-term and/or long-term.
Fund | Short-Term | Long-Term | Total | |||||||||
Enhanced Core Bond ESG | $1,145,095 | $1,383,565 | $2,528,660 |
As of December 31, 2021, ESG Bond, High Income, Municipal Bond and Municipal Enhanced 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, 2022, such amounts may be used to offset future realized capital gains, for an unlimited time period.
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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, 2022 (unaudited) and the fiscal year ended December 31, 2021, the capital stock transactions by class for the Funds were as follows:
ESG Bond | Enhanced Core Bond ESG | |||||||||||||||||||||||||||||||
June 30, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Class N: | ||||||||||||||||||||||||||||||||
Shares sold | 241,551 | $5,644,805 | 1,452,937 | $38,053,195 | 78,816 | $792,295 | 286,260 | $3,068,578 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions | 139,714 | 3,201,668 | 2,051,404 | 51,918,933 | 8,099 | 78,774 | 17,561 | 187,784 | ||||||||||||||||||||||||
Shares redeemed | (2,235,398 | ) | (52,124,918 | ) | (6,049,606 | ) | (156,764,465 | ) | (157,978 | ) | (1,556,063 | ) | (459,141 | ) | (4,905,575 | ) | ||||||||||||||||
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Net decrease | (1,854,133 | ) | $(43,278,445 | ) | (2,545,265 | ) | $(66,792,337 | ) | (71,063 | ) | $(684,994 | ) | (155,320 | ) | $(1,649,213 | ) | ||||||||||||||||
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Class I: | ||||||||||||||||||||||||||||||||
Shares sold | 847,204 | $19,536,416 | 3,132,524 | $82,409,399 | 1,230,228 | $11,968,193 | 1,729,710 | $18,560,256 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions | 111,284 | 2,553,552 | 1,959,229 | 49,642,039 | 23,413 | 228,615 | 40,944 | 439,321 | ||||||||||||||||||||||||
Shares redeemed | (3,314,960 | ) | (76,599,495 | ) | (11,383,287 | ) | (293,819,048 | ) | (1,334,178 | ) | (13,542,784 | ) | (1,177,158 | ) | (12,618,347 | ) | ||||||||||||||||
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Net increase (decrease) | (2,356,472 | ) | $(54,509,527 | ) | (6,291,534 | ) | $(161,767,610 | ) | (80,537 | ) | $(1,345,976 | ) | 593,496 | $6,381,230 | ||||||||||||||||||
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Class Z: | ||||||||||||||||||||||||||||||||
Shares sold | — | — | — | — | 120,632 | $1,229,807 | 442,744 | $4,753,770 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions | — | — | — | — | 11,470 | 112,017 | 17,832 | 191,235 | ||||||||||||||||||||||||
Shares redeemed | — | — | — | — | (156,427 | ) | (1,536,584 | ) | (229,602 | ) | (2,465,708 | ) | ||||||||||||||||||||
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Net increase (decrease) | — | — | — | — | (24,325 | ) | $(194,760 | ) | 230,974 | $2,479,297 | ||||||||||||||||||||||
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High Income | Municipal Bond | |||||||||||||||||||||||||||||||
June 30, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Class N: | ||||||||||||||||||||||||||||||||
Shares sold | 10,626 | $225,697 | 111,205 | $2,494,229 | 318,601 | $3,673,648 | 698,892 | $8,650,727 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions | 5,269 | 110,929 | 9,973 | 224,451 | 7,028 | 79,653 | 23,744 | 292,232 | ||||||||||||||||||||||||
Shares redeemed | (43,179 | ) | (921,421 | ) | (221,405 | ) | (4,977,229 | ) | (527,826 | ) | (5,946,626 | ) | (782,262 | ) | (9,674,017 | ) | ||||||||||||||||
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Net decrease | (27,284 | ) | $(584,795 | ) | (100,227 | ) | $(2,258,549 | ) | (202,197 | ) | $(2,193,325 | ) | (59,626 | ) | $(731,058 | ) | ||||||||||||||||
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Class I:1 | ||||||||||||||||||||||||||||||||
Shares sold | 56,569 | $1,185,612 | 605,743 | $13,584,553 | 38,054,676 | $432,247,355 | 33,594,124 | $418,621,329 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions | 9,732 | 204,694 | 13,885 | 312,124 | 616,493 | 7,030,156 | 1,809,529 | 22,408,701 | ||||||||||||||||||||||||
Shares redeemed | (74,315 | ) | (1,580,163 | ) | (33,112 | ) | (749,594 | ) | (50,361,365 | ) | (571,336,474 | ) | (30,023,803 | ) | (373,936,594 | ) | ||||||||||||||||
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Net increase (decrease) | (8,014 | ) | $(189,857 | ) | 586,516 | $13,147,083 | (11,690,196 | ) | $(132,058,963 | ) | 5,379,850 | $67,093,436 | ||||||||||||||||||||
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Municipal Enhanced | ||||||||||||||||
June 30, 2022 | December 31, 2021 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class N: | ||||||||||||||||
Shares sold | 559,751 | $5,297,427 | 3,442,311 | $37,047,081 | ||||||||||||
Shares issued in reinvestment of distributions | 2,225 | 21,010 | 15,958 | 172,953 | ||||||||||||
Shares redeemed | (1,626,715 | ) | (16,232,212 | ) | (2,537,721 | ) | (27,497,613) | |||||||||
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Net increase (decrease) | (1,064,739 | ) | $(10,913,775 | ) | 920,548 | $9,722,421 | ||||||||||
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Class I: | ||||||||||||||||
Shares sold | 4,935,551 | $45,684,540 | 10,001,279 | $105,402,142 | ||||||||||||
Shares issued in reinvestment of distributions | 218,605 | 2,017,436 | 631,256 | 6,610,515 | ||||||||||||
Shares redeemed | (9,038,271 | ) | (83,632,946 | ) | (6,312,309 | ) | (66,530,105) | |||||||||
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Net increase (decrease) | (3,884,115 | ) | $(35,930,970 | ) | 4,320,226 | $45,482,552 | ||||||||||
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Class Z: | ||||||||||||||||
Shares issued in reinvestment of distributions | 168 | $1,547 | 461 | $4,817 | ||||||||||||
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Net increase | 168 | $1,547 | 461 | $4,817 | ||||||||||||
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1 | Commencement of operations was March 15, 2021 for Class I of High Income. |
h. REPURCHASE AGREEMENTS AND JOINT REPURCHASE AGREEMENTS
The Funds may enter into third-party and bilateral 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, 2022, the market value of Repurchase Agreements outstanding for ESG Bond, Enhanced Core Bond ESG, High Income, Municipal Bond Fund and Municipal Enhanced Yield were $39,722,095, $3,133,691, $2,247,805, $28,400,000 and $6,450,000, respectively.
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. 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
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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.
k. 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 each Fund’s Schedule of Portfolio Investments. With respect to purchase commitments, the Fund’s identify securities as segregated in its 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 Fund’s Statement of Assets and Liabilities. For financial reporting purposes, the Fund does 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 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 the Boards approval) and monitors each subadviser’s investment performance, security holdings and investment strategies. Each Fund’s investment portfolio is managed by GW&K who serves pursuant to a subadvisory agreement with the Investment Manager. AMG indirectly owns a majority interest in GW&K. Prior to March 19, 2021, ESG Bond’s investment portfolio was managed by Loomis, Sayles & Company, L.P.
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, 2022, the Funds’ investment management fees were paid at the following annual rates of each Fund’s respective average daily net assets:
ESG Bond | 0.23 | %1 | ||
Enhanced Core Bond ESG | 0.30 | % | ||
High Income | 0.39 | % | ||
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 | % |
1 | Prior to June 12, 2021, the annual rate for the investment management fees for ESG Bond was 0.26% of the Fund’s average daily net assets. |
The Investment Manager has contractually agreed, through at least May 1, 2023, to waive management fees and/or pay or reimburse fund expenses in order to limit total annual Fund operating expenses (exclusive of taxes, interest (including interest incurred in connection with bank and custody overdrafts, and in connection with securities sold short), shareholder servicing fees, distribution and service (12b-1) fees, brokerage commissions and other transaction costs, dividends payable with respect to securities sold short, acquired fund fees and expenses and extraordinary expenses) of ESG Bond, Enhanced Core Bond ESG, High Income, Municipal Bond, and Municipal Enhanced to the annual rate of 0.43%, 0.48%. 0.59%, 0.34%, and 0.59%, respectively, of each Fund’s average daily net assets (this annual rate or such other annual rate that may be in effect from time to time, the “Expense Cap”), subject to later reimbursement by the Funds in certain circumstances. Prior to June 12, 2021, ESG Bond expense limitation was 0.46%.
In general, for a period of up to 36 months after the date any amounts are paid, waived or reimbursed by the Investment Manager, the Investment Manager may recover such amounts from a Fund, provided that such repayment would not cause the Fund’s total annual operating expenses (exclusive of the items noted in the parenthetical above) to exceed either (i) the Expense Cap in effect at the time such amounts were paid, waived or reimbursed, or (ii) the Expense Cap in effect at the time of such repayment by the Fund.
The contractual expense limitation may only be terminated in the event the Investment Manager or a successor ceases to be the investment manager of a Fund or a successor fund, by mutual agreement between the Investment Manager and the Boards, or in the event of a 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 a Fund.
At June 30, 2022, the Funds’ expiration of reimbursements subject to recoupment is as follows:
Expiration Period | ESG Bond | Enhanced Core Bond ESG | High Income | |||||||||
Less than 1 year | $82,377 | $149,252 | $85,568 | |||||||||
1-2 years | 36,901 | 122,320 | 77,004 | |||||||||
2-3 years | 62,350 | 116,554 | 98,612 | |||||||||
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Total | $181,628 | $388,126 | $261,184 | |||||||||
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Expiration Period | Municipal Bond | Municipal Enhanced | ||||||
Less than 1 year | $668,704 | $233,459 | ||||||
1-2 years | 702,073 | 239,669 | ||||||
2-3 years | 719,839 | 230,876 | ||||||
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Total | $2,090,616 | $704,004 | ||||||
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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, 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, Enhanced Core Bond ESG, Municipal Bond and Municipal Enhanced 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 for maintenance and personal service provided to existing shareholders of that class. The Plan authorized payments to the Distributor up to 0.25% annually of Enhanced Core Bond ESG, Municipal Bond and Municipal Enhanced average daily net assets attributable to the Class N shares. The portion of payments made under the plan by Class N shares of Enhanced Core Bond ESG, Municipal Bond and Municipal Enhanced 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 each of Class N and Class I shares of ESG Bond, High Income, Municipal Bond, Municipal Enhanced, and for Enhanced Core Bond ESG’s Class I shares, 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. The 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 impact on the annualized expense ratios for the six months ended June 30, 2022, were as follows:
Fund | Maximum Annual Amount Approved | Actual Amount Incurred | ||||||
ESG Bond | ||||||||
Class N | 0.25% | 0.25% | ||||||
Class I | 0.05% | 0.05% |
Fund | Maximum Annual Amount Approved | Actual Amount Incurred | ||||||
Enhanced Core Bond ESG | ||||||||
Class I | 0.10% | 0.09% | ||||||
High Income | ||||||||
Class N | 0.25% | 0.25% | ||||||
Class I | 0.05% | 0.05% | ||||||
Municipal Bond | ||||||||
Class N | 0.15% | 0.13% | ||||||
Class I | 0.05% | 0.05% | ||||||
Municipal Enhanced | ||||||||
Class N | 0.15% | 0.15% | ||||||
Class I | 0.05% | 0.05% |
The Boards provide supervision of the affairs of the Trusts and other trusts within the AMG Funds Family. The Trustees of the Trusts 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 Boards 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 certain eligible funds in the AMG Funds Family 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 Boards, and the Boards monitor 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. The interest earned and interest paid on interfund loans are included on the Statement of Operations as interest income and interest expense, respectively. At June 30, 2022, the Funds had no interfund loans outstanding.
The following Funds utilized the interfund loan program during the six months ended June 30, 2022 as follows:
Fund | Average Lent | Number of Days | Interest Earned | Average Interest Rate | ||||||||||||
ESG Bond | $8,489,204 | 2 | $1,111 | 2.388% | ||||||||||||
Enhanced Core Bond ESG | 709,783 | 7 | 229 | 1.683% | ||||||||||||
Municipal Bond | 7,587,361 | 16 | 6,483 | 1.949% | ||||||||||||
Municipal Enhanced | 7,887,664 | 4 | 804 | 0.930% | ||||||||||||
Fund | Average Borrowed | Number of Days | Interest Paid | Average Interest Rate | ||||||||||||
Enhanced Core Bond ESG | $3,295,838 | 5 | $427 | 0.945% |
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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, 2022, were as follows:
Long Term Securities | ||||
Fund | Purchases | Sales | ||
ESG Bond | $27,649,944 | $131,704,040 | ||
Enhanced Core Bond ESG | 8,583,499 | 12,456,031 | ||
High Income | 3,985,431 | 4,765,747 | ||
Municipal Bond | 134,929,579 | 188,509,387 | ||
Municipal Enhanced | 92,362,767 | 139,406,117 |
Purchases and sales of U.S. Government Obligations for the six months ended June 30, 2022 were as follows:
U.S. Government Obligations | ||||
Fund | Purchases | Sales | ||
ESG Bond | $61,370,903 | $63,155,473 | ||
Enhanced Core Bond ESG | 11,112,867 | 8,464,605 |
4. PORTFOLIO SECURITIES LOANED
The Funds participate in the Program providing for the lending of securities to qualified borrowers. 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, U.S. Treasury Obligations or U.S. Government Agency Obligations. Collateral 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 separate omnibus accounts managed by BNYM, who is authorized to exclusively enter into joint repurchase agreements for that cash collateral. Securities collateral is held in separate omnibus accounts managed by BNYM and cannot be sold or pledged. 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. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities as soon as practical, which is normally within three business days.
The value of securities loaned on positions held, cash collateral and securities collateral received at June 30, 2022, were as follows:
Fund | Securities Loaned | Cash Collateral Received | Securities Collateral Received | Total Collateral Received | ||||||||||||
ESG Bond | $ | 24,789,642 | $ | 17,122,095 | $ | 8,660,023 | $ | 25,782,118 | ||||||||
Enhanced Core Bond ESG | 1,543,220 | 1,133,691 | 465,254 | 1,598,945 | ||||||||||||
High Income | 2,054,787 | 1,697,805 | 444,903 | 2,142,708 |
The following table summarizes the securities received as collateral for securities lending at June 30, 2022:
Fund | Collateral Type | Coupon Range | Maturity Date Range | |||
ESG Bond | U.S. Treasury Obligations | 0.010%-4.750% | 10/31/22-05/15/52 | |||
Enhanced Core Bond ESG | U.S. Treasury Obligations | 0.010%-4.750% | 10/31/22-05/15/52 | |||
High Income | U.S. Treasury Obligations | 0.010%-4.625% | 01/15/23-05/15/51 |
5. FOREIGN SECURITIES
Certain Funds invest 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.
6. 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.
7. RISKS ASSOCIATED WITH HIGH YIELD SECURITIES
Investing in high yield securities involves greater risks and considerations not typically associated with U.S. Government and other high quality/investment grade securities. High yield securities are generally below investment grade securities and do not have an established retail secondary market. Economic downturns may disrupt the high yield market and impair the issuer’s ability to repay principal and interest. Also, an increase in interest rates would likely have an adverse impact on the value of such obligations and could cause the securities to become less liquid.
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8. 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, 2022:
Gross Amount Not Offset in the | ||||||||||||||||
Statement of Assets and Liabilities | ||||||||||||||||
Fund | Gross Amounts of Assets Presented in the Statement of Assets and Liabilities | Offset Amount | Net Asset Balance | Collateral Received | Net Amount | |||||||||||
ESG Bond
| ||||||||||||||||
Cantor Fitzgerald Securities, Inc. | $4,066,700 | — | $4,066,700 | $4,066,700 | — | |||||||||||
MUFG Securities America, Inc. | 4,066,698 | — | 4,066,698 | 4,066,698 | — | |||||||||||
National Bank Financial | 4,066,698 | — | 4,066,698 | 4,066,698 | — | |||||||||||
RBC Dominion Securities, Inc. | 2,582,749 | — | 2,582,749 | 2,582,749 | — | |||||||||||
State of Wisconsin Investment Board | 2,339,250 | — | 2,339,250 | 2,339,250 | — | |||||||||||
Fixed Income Clearing Corp. | 22,600,000 | — | 22,600,000 | 22,600,000 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $39,722,095 | — | $39,722,095 | $39,722,095 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Enhanced Core Bond ESG
| ||||||||||||||||
Deutsche Bank Securities, Inc. | $133,691 | — | $133,691 | $133,691 | — | |||||||||||
National Bank Financial | 1,000,000 | — | 1,000,000 | 1,000,000 | — | |||||||||||
Fixed Income Clearing Corp. | 2,000,000 | — | 2,000,000 | 2,000,000 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $3,133,691 | — | $3,133,691 | $3,133,691 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
High Income
| ||||||||||||||||
National Bank Financial | $1,000,000 | — | $1,000,000 | $1,000,000 | — | |||||||||||
RBC Dominion Securities, Inc. | 697,805 | — | 697,805 | 697,805 | — | |||||||||||
Fixed Income Clearing Corp. | 550,000 | — | 550,000 | 550,000 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $2,247,805 | — | $2,247,805 | $2,247,805 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Municipal Bond
| ||||||||||||||||
Fixed Income Clearing Corp. | $28,400,000 | — | $28,400,000 | $28,400,000 | — | |||||||||||
Municipal Enhanced
| ||||||||||||||||
Fixed Income Clearing Corp. | $6,450,000 | — | $6,450,000 | $6,450,000 | — |
9. 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 |
AMG GW&K Municipal Enhanced Yield Fund, AMG GW&K Municipal Bond Fund, AMG GW&K Enhanced Core Bond ESG Fund, AMG GW&K ESG Bond Fund, and AMG GW&K High Income Fund: Approval of Investment Management and Subadvisory Agreements on June 22, 2022
At an in-person meeting held on June 22, 2022, the Board of Trustees (the “Board” or the “Trustees”) of each of AMG Funds, AMG Funds II, and AMG Funds III (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 AMG Funds for each of AMG GW&K Municipal Enhanced Yield Fund and AMG GW&K Municipal Bond Fund, and separately each of Amendment No. 1 thereto dated July 1, 2015, and Amendment No. 2 thereto dated October 1, 2016; the Investment Management Agreement, as amended pursuant to letter agreements at any time prior to the date of the meeting, with the Investment Manager and AMG Funds II for AMG GW&K Enhanced Core Bond ESG Fund, and separately each of Amendment No. 1 thereto, Amendment No. 2 thereto dated July 1, 2015, and Amendment No. 3 thereto dated October 1, 2016; and the Fund Management Agreement, as amended pursuant to letter agreements at any time prior to the date of the meeting, with the Investment Manager and AMG Funds III for AMG GW&K ESG Bond Fund and AMG GW&K High Income Fund, and separately each of Amendment No. 1 thereto dated July 1, 2015, and Amendment No. 2 thereto dated October 1, 2016 (collectively, the “Investment Management Agreements”); and (ii) the Subadvisory Agreements, as amended at any time prior to the date of the meeting (collectively, the “Subadvisory Agreements”), with the Subadviser for each of AMG GW&K Municipal Enhanced Yield Fund, AMG GW&K Municipal Bond Fund, AMG GW&K Enhanced Core Bond ESG Fund, AMG GW&K ESG Bond Fund, and AMG GW&K High Income Fund (each, a “Fund,” and collectively, the “Funds”). 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 Agreements and the Subadvisory Agreements, the Trustees reviewed a variety of materials relating to each Fund, the Investment Manager and the Subadviser, including the nature, extent and quality of services, 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”), other relevant matters, and other information provided to them on a periodic basis throughout the year. 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 Agreements 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, information about 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 Agreements 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, telephonic or videoconference 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, including performing appropriate due diligence, and developing and presenting 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 operations and personnel and the investment philosophy, strategies and techniques (its “Investment Strategy”) used in managing each Fund. Among other things, the Trustees reviewed information on portfolio management and other professional staff, information regarding the Subadviser’s organizational and management structure and the Subadviser’s brokerage policies |
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Annual Renewal of Investment Management and Subadvisory Agreements (continued) |
and practices. The Trustees considered specific information provided regarding the experience of the individuals at the Subadviser with portfolio management responsibility for each Fund, including the information set forth in 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.
The Board considered each Fund’s net performance during relevant time periods as compared to the Fund’s Peer Group and Fund Benchmark, considered the gross performance of each Fund other than AMG GW&K ESG Bond Fund as compared to the Subadviser’s relevant performance composite that utilizes a similar investment strategy and approach, and noted that the Board reviews on a quarterly basis detailed information about both a Fund’s performance results and portfolio composition, as well as the Subadviser’s Investment Strategy. The Board was mindful of the Investment Manager’s expertise, resources, and attention to monitoring the Subadviser’s performance, investment style and risk-adjusted performance with respect to the Funds and its discussions with the management of the Funds’ subadviser during the period regarding the factors that contributed to the performance of the Funds.
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, 2022 was below, below, above, and at, respectively, the median performance of the Peer Group and below, below, below, and above, respectively, the performance of the Fund Benchmark, the Bloomberg U.S. Municipal Bond BAA Index. The Trustees took into account management’s discussion of the Fund’s performance, including the reasons for the Fund’s more recent underperformance relative to the Peer Group and the Fund Benchmark and the fact that Class I shares of the Fund outperformed the Peer Group median for the 5-year period. 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 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, 5-year, and 10-year periods ended March 31, 2022 was below, below, below, and above, respectively, the median performance of the Peer Group and below the performance of the Fund Benchmark, the Bloomberg 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 the Fund Benchmark and its more recent underperformance relative to the Peer Group. The Trustees also noted that Class I shares of the Fund ranked in the top third relative to its Peer Group for the 10-year period. 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 ESG 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 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, 2022 was below, above, above, and below, respectively, the median performance of the Peer Group and below, above, above, and above, respectively, the performance of the Fund Benchmark, the Bloomberg 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 underperformance and its longer-term outperformance relative to the Fund Benchmark. The Trustees also noted that Class Z shares of the Fund ranked in the top quartile relative to its Peer Group for the 3-year period and in the top third relative to its Peer Group for the 5-year period. The Trustees also took into account the fact that the Fund’s investment strategy was changed in 2019. The Trustees concluded that the Fund’s overall performance has been satisfactory.
With respect to AMG GW&K ESG Bond 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 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, 2022 was below, below, above, and above, respectively, the median performance of the Peer Group and above the performance of the Fund Benchmark, the Bloomberg 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 outperformance relative to the Fund Benchmark and the fact that Class N shares of the Fund ranked in the top quintile relative to its Peer Group for the 10-year period. The Trustees also took into account the fact that the Fund’s subadviser, investment strategy, and Fund Benchmark changed effective March 19, 2021, and that the performance information prior to that date reflected that of the Fund’s prior subadviser and investment strategy. The Trustees concluded that the Fund’s overall performance has been satisfactory.
With respect to AMG GW&K High Income 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, 2022 was below, above, above, and below, respectively, the median performance of the Peer Group and below, above, above, and below, respectively, the performance of the Fund Benchmark, the Bloomberg U.S. High Yield 1-5 Year Ba Index. The Trustees took into account management’s discussion of the Fund’s performance, noting that Class N shares of the Fund ranked in the top quintile relative to its Peer Group for the 3-year period. The Trustees also took into account the fact that the Fund’s subadviser, investment strategy, and Fund Benchmark changed effective December 4, 2020, and that the performance information prior to that date reflected that of the Fund’s prior subadviser and investment strategy. 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; FUND EXPENSES; PROFITABILITY; AND ECONOMIES OF SCALE.
In considering the reasonableness of the advisory fee payable to the Investment Manager, the Trustees reviewed information provided by the Investment Manager at the June 22, 2022 and prior meetings 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 |
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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 payments are made from the Subadviser to the Investment Manager, and other payments are 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 each Fund, 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 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 each 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 to the Subadviser of providing subadvisory services to each Fund and the resulting profitability 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 Municipal Enhanced Yield Fund, the Trustees noted that the management fees (which include both the advisory and administration fees) and total expenses (net of applicable expense waivers/reimbursements) of Class I shares of the Fund as of March 31, 2022 were both higher 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, 2023, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.59%. The Board also took into account management’s discussion of the Fund’s expenses and competitiveness with comparably sized funds and select competitors. 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 management fees (which include both the advisory and administration fees) and total expenses (net of applicable expense waivers/reimbursements) of Class I shares of the Fund as of March 31, 2022 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, 2023, 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 ESG Fund, the Trustees noted that the management fees (which include both the advisory and administration fees) and total expenses (net of applicable expense waivers/reimbursements) of Class I shares (the class of shares which is the primary focus of the Fund’s distribution) of the Fund as of March 31, 2022 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, 2023, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.48%. The Trustees also took into account management’s discussion of the Fund’s expenses and competitiveness with comparably sized funds and select competitors. 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 ESG Bond Fund, the Trustees noted that the management fees (which include both the advisory and administration fees) and total expenses (net of applicable expense waivers/reimbursements) of Class I shares (the class of shares which is the primary focus of the Fund’s distribution) of the Fund as of March 31, 2022 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, 2023, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.43%. The Trustees also took into account management’s discussion of the Fund’s expenses, including fees and expenses relative to comparably sized funds and key competitors. 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 High Income Fund, the Trustees noted that the management fees (which include both the advisory and administration fees) and total expenses (net of applicable expense waivers/reimbursements) of Class I shares (the class of shares which is the primary focus of the Fund’s distribution) of the Fund as of March 31, 2022 were both lower than the average for the Peer Group. The |
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Annual Renewal of Investment Management and Subadvisory Agreements (continued) |
Trustees took into account the fact that the Investment Manager has contractually agreed, through May 1, 2023, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.59%. 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 and the Subadviser have demonstrated that they possess the capability and resources to perform the duties required of them under each Investment Management Agreement and each Subadvisory Agreement and (b) 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 22, 2022, the Trustees, and separately a majority of the Independent Trustees, voted to approve the Investment Management Agreement and the Subadvisory Agreement for each Fund. |
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The Securities and Exchange Commission (the “SEC”) adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that a fund will be unable to meet its redemption obligations and mitigating dilution of the interests of fund shareholders.
The AMG Funds Family of Funds (each a “Fund,” and collectively, the “Funds”) have adopted and implemented a Liquidity Risk Management Program (the “Program”) as required by the Liquidity Rule. The Program is reasonably designed to assess and manage each Fund’s liquidity risk, taking into consideration the Fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short and long-term cash flow projections, and its holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources, including access to the Funds’ credit facility. Under the Liquidity Rule, each liquidity classification category (highly liquid, moderately liquid, less liquid and illiquid) is defined with respect to the time it is reasonably expected to take to convert the investment to cash (or sell or dispose of the investment) in current market conditions without significantly changing the market value of the investment.
The Funds’ Board of Trustees (the “Board”) appointed AMG Funds, LLC (“AMGF”) as the Program administrator. AMGF formed a Liquidity Risk Management Committee (“LRMC”), which includes | members of various departments across AMGF, including Legal, Compliance, Mutual Fund Services, Investment Research and Product Analysis & Operations and, as needed, other representatives of AMGF and/or representatives of the subadvisers to the Funds. The LRMC meets on a periodic basis, no less frequently than monthly. The LRMC is responsible for the Program’s administration and oversight and for reporting to the Board on at least an annual basis regarding the Program’s operation and effectiveness.
At a meeting of the Board held on March 17, 2022, the Board received a report from the LRMC regarding the design and operational effectiveness of the Program for the period January 1, 2021 through December 31, 2021 (the “Program Reporting Period”).
The Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing a Fund’s liquidity risk, as follows:
A. The Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions:
During the Program Reporting Period, the LRMC reviewed whether each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions is appropriate for an open-end fund structure. The LRMC also factored a Fund’s concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. | B. Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions:
During the Program Reporting Period, the LRMC reviewed historical net redemption activity and used this information as a component to establish each Fund’s reasonably anticipated trading size. The Funds maintain an in-kind redemption policy, which may be utilized to meet larger redemption requests, when appropriate. The LRMC may also take into consideration a Fund’s shareholder ownership concentration, a Fund’s distribution channels, and the degree of certainty associated with a Fund’s short-term and long-term cash flow projections.
C. Holdings of cash and cash equivalents, as well as borrowing arrangements:
The LRMC considered the terms of the credit facilities available to the Funds.
The report concluded that, based upon the review of the Program, using resources and methodologies that AMGF considers reasonable, AMGF believes that the Program and Funds’ Liquidity Risk Management Policies and Procedures are adequate, effective, and reasonably designed to effectively manage the Funds’ liquidity risk.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to each Fund’s prospectus or statement of additional information for more information regarding a Fund’s exposure to liquidity risk and other principal risks to which an investment in a Fund may be subject. |
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INVESTMENT MANAGER AND ADMINISTRATOR
AMG Funds LLC 680 Washington Blvd., Suite 500 Stamford, CT 06901 800.548.4539
DISTRIBUTOR
AMG Distributors, Inc. 680 Washington Blvd., Suite 500 Stamford, CT 06901 800.548.4539
SUBADVISER
GW&K Investment Management, LLC 222 Berkeley St. Boston, MA 02116
CUSTODIAN
The Bank of New York Mellon Mutual Funds Custody 6023 Airport Road Oriskany, NY 13424
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 4400 Computer Drive Westborough, MA 01581 800.548.4539
TRUSTEES
Bruce B. Bingham Kurt A. Keilhacker Steven J. Paggioli Eric Rakowski Victoria L. Sassine Thomas R. Schneeweis Garret W. Weston | 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 800.548.4539. 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 800.548.4539, 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 800.548.4539 or visit the SEC website at sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ portfolio holdings on Form N-PORT are available on the SEC’s website at sec.gov and the Funds’ website at amgfunds.com. To review a complete list of the Funds’ portfolio holdings, or to view the most recent semiannual report or annual report, please visit amgfunds.com. |
amgfunds.com | |
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BALANCED FUNDS AMG GW&K Global Allocation GW&K Investment Management, LLC
EQUITY FUNDS AMG Beutel Goodman International Equity Beutel, Goodman & Company Ltd.
AMG Boston Common Global Impact Boston Common Asset Management, LLC
AMG Frontier Small Cap Growth Frontier Capital Management Co., LLC
AMG GW&K Small Cap Core AMG GW&K Small Cap Value AMG GW&K Small/Mid Cap AMG GW&K Small/Mid Cap Growth AMG GW&K Emerging Markets Equity AMG GW&K Emerging Wealth Equity AMG GW&K International Small Cap GW&K Investment Management, LLC
AMG Montrusco Bolton Large Cap Growth Montrusco Bolton Investments, Inc. | AMG Renaissance Large Cap Growth The Renaissance Group LLC
AMG River Road Dividend All Cap Value AMG River Road Focused Absolute Value AMG River Road International Value Equity AMG River Road Large Cap Value Select AMG River Road Mid Cap Value AMG River Road Small-Mid Cap Value AMG River Road Small Cap Value River Road Asset Management, LLC
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 Veritas Asia Pacific AMG Veritas China AMG Veritas Global Focus AMG Veritas Global Real Return Veritas Asset Management LLP
AMG Yacktman AMG Yacktman Focused AMG Yacktman Global AMG Yacktman Special Opportunities Yacktman Asset Management LP
| FIXED INCOME FUNDS AMG Beutel Goodman Core Plus Bond Beutel, Goodman & Company Ltd.
AMG GW&K Core Bond ESG AMG GW&K Enhanced Core Bond ESG AMG GW&K ESG Bond AMG GW&K High Income AMG GW&K Municipal Bond AMG GW&K Municipal Enhanced Yield GW&K Investment Management, LLC |
amgfunds.com | | 063022 SAR088 |
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| SEMI-ANNUAL REPORT | |
AMG Funds | ||||||
June 30, 2022 | ||||||
AMG GW&K Small Cap Core Fund | ||||||
Class N: GWETX | Class I: GWEIX | Class Z: GWEZX | ||||
AMG GW&K Small Cap Value Fund | ||||||
Class N: SKSEX | Class I: SKSIX | Class Z: SKSZX | ||||
AMG GW&K Small/Mid Cap Fund | ||||||
Class N: GWGVX | Class I: GWGIX | Class Z: GWGZX | ||||
AMG GW&K Global Allocation Fund | ||||||
Class N: MBEAX | Class I: MBESX | Class Z: MBEYX | ||||
amgfunds.com | 063022 | SAR089 |
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AMG Funds Semi-Annual Report — June 30, 2022 (unaudited) |
TABLE OF CONTENTS | PAGE | |||||
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2 | ||||||
3 | ||||||
FUND SNAPSHOTS AND SCHEDULES OF PORTFOLIO INVESTMENTS | ||||||
5 | ||||||
9 | ||||||
13 | ||||||
16 | ||||||
FINANCIAL STATEMENTS | ||||||
23 | ||||||
Balance sheets, net asset value (NAV) per share computations and cumulative distributable earnings (loss) | ||||||
25 | ||||||
Detail of sources of income, expenses, and realized and unrealized gains (losses) during the fiscal period | ||||||
26 | ||||||
Detail of changes in assets for the past two fiscal periods | ||||||
28 | ||||||
Historical net asset values per share, distributions, total returns, income and expense ratios, turnover ratios and net assets | ||||||
40 | ||||||
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 | 49 | |||||
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 Funds. Such offering is made only by prospectus, which includes details as to offering price and other material information.
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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, 2022 | Expense Ratio for the Period | Beginning Account Value 01/01/22 | Ending Account Value 06/30/22 | Expenses Paid During the Period* | ||||
AMG GW&K Small Cap Core Fund | ||||||||
Based on Actual Fund Return | ||||||||
Class N | 1.30% | $1,000 | $791 | $5.77 | ||||
Class I | 0.95% | $1,000 | $792 | $4.22 | ||||
Class Z | 0.90% | $1,000 | $792 | $4.00 | ||||
Based on Hypothetical 5% Annual Return | ||||||||
Class N | 1.30% | $1,000 | $1,018 | $6.51 | ||||
Class I | 0.95% | $1,000 | $1,020 | $4.76 | ||||
Class Z | 0.90% | $1,000 | $1,020 | $4.51 | ||||
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AMG GW&K Small Cap Value Fund | ||||||||
Based on Actual Fund Return | ||||||||
Class N | 1.15% | $1,000 | $818 | $5.18 | ||||
Class I | 0.95% | $1,000 | $818 | $4.28 | ||||
Class Z | 0.90% | $1,000 | $819 | $4.06 | ||||
Based on Hypothetical 5% Annual Return | ||||||||
Class N | 1.15% | $1,000 | $1,019 | $5.76 | ||||
Class I | 0.95% | $1,000 | $1,020 | $4.76 | ||||
Class Z | 0.90% | $1,000 | $1,020 | $4.51 | ||||
AMG GW&K Small/Mid Cap Fund | ||||||||
Based on Actual Fund Return | ||||||||
Class N | 1.07% | $1,000 | $787 | $4.74 | ||||
Class I | 0.87% | $1,000 | $788 | $3.86 | ||||
Class Z | 0.82% | $1,000 | $788 | $3.63 | ||||
Based on Hypothetical 5% Annual Return | ||||||||
Class N | 1.07% | $1,000 | $1,019 | $5.36 | ||||
Class I | 0.87% | $1,000 | $1,020 | $4.36 | ||||
Class Z | 0.82% | $1,000 | $1,021 | $4.11 |
Six Months Ended June 30, 2022 | Expense Ratio for the Period | Beginning Account Value 01/01/22 | Ending Account Value 06/30/22 | Expenses Paid During the Period* | ||||
AMG GW&K Global Allocation Fund | ||||||||
Based on Actual Fund Return | ||||||||
Class N | 1.06% | $1,000 | $795 | $4.72 | ||||
Class I | 0.91% | $1,000 | $796 | $4.05 | ||||
Class Z | 0.81% | $1,000 | $796 | $3.61 | ||||
Based on Hypothetical 5% Annual Return | ||||||||
Class N | 1.06% | $1,000 | $1,020 | $5.31 | ||||
Class I | 0.91% | $1,000 | $1,020 | $4.56 | ||||
Class Z | 0.81% | $1,000 | $1,021 | $4.06 |
* | 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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Periods ended June 30, 2022 |
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, 2022.
Average Annual Total Returns1 | Six Months* | One Year | Five Years | Ten Years | Since Inception | Inception Date | ||||||||||||||||||
AMG GW&K Small Cap Core Fund2, 3, 4, 5, 6 |
| |||||||||||||||||||||||
Class N | (20.95 | %) | (18.00 | %) | 6.78 | % | 10.41% | 8.02% | 12/10/96 | |||||||||||||||
Class I | (20.78 | %) | (17.69 | %) | 7.15 | % | 10.84% | 12.33% | 07/27/09 | |||||||||||||||
Class Z | (20.79 | %) | (17.66 | %) | 7.20 | % | — | 7.58% | 02/24/17 | |||||||||||||||
Russell 2000® Index18 | (23.43 | %) | (25.20 | %) | 5.17 | % | 9.35% | 7.67% | 12/10/96† | |||||||||||||||
AMG GW&K Small Cap Value Fund2, 3, 5, 6, 7, 8, 15 |
| |||||||||||||||||||||||
Class N | (18.22 | %) | (11.42 | %) | 4.55 | % | 9.98% | 10.99% | 04/23/87 | |||||||||||||||
Class I | (18.17 | %) | (11.27 | %) | 4.72 | % | — | 4.58% | 02/24/17 | |||||||||||||||
Class Z | (18.14 | %) | (11.19 | %) | 4.80 | % | — | 4.65% | 02/24/17 | |||||||||||||||
Russell 2000® Value Index19 | (17.31 | %) | (16.28 | %) | 4.89 | % | 9.05% | — | — | |||||||||||||||
AMG GW&K Small/Mid Cap Fund2, 3, 4, 5, 6, 8, 9 |
| |||||||||||||||||||||||
Class N | (21.33 | %) | (14.45 | %) | 9.23 | % | — | 9.09% | 02/24/17 | |||||||||||||||
Class I | (21.25 | %) | (14.25 | %) | 9.40 | % | — | 7.54% | 06/30/15 | |||||||||||||||
Class Z | (21.22 | %) | (14.23 | %) | 9.50 | % | — | 9.36% | 02/24/17 | |||||||||||||||
Russell 2500® Index20 | (21.81 | %) | (21.00 | %) | 7.04 | % | 10.49% | 7.16% | 06/30/15† | |||||||||||||||
AMG GW&K Global Allocation Fund2, 3, 4, 6, 10, 11, 12, 13, 14, 16, 17 |
| |||||||||||||||||||||||
Class N | (20.46 | %) | (21.24 | %) | 3.51 | % | 6.12% | 6.99% | 01/02/97 | |||||||||||||||
Class I | (20.42 | %) | (21.14 | %) | 3.66 | % | — | 6.13% | 11/30/12 | |||||||||||||||
Class Z | (20.40 | %) | (21.04 | %) | 3.77 | % | 6.38% | 7.34% | 01/02/97 | |||||||||||||||
60% MSCI ACWI/40% | ||||||||||||||||||||||||
Bloomberg Global Aggregate Bond Index 21, 22 | (17.54 | %) | (15.28 | %) | 4.27 | % | 5.49% | — | — | |||||||||||||||
MSCI ACWI Index 21 | (20.18 | %) | (15.75 | %) | 7.00 | % | 8.76% | — | — | |||||||||||||||
Bloomberg Global Aggregate Bond Index22 | (13.91 | %) | (15.25 | %) | (0.55 | %) | 0.11% | — | — | |||||||||||||||
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. |
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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 800.548.4539 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. |
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† | 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, 2022. All returns are in U.S. dollars ($). |
| 2 From time to time, the Fund’s advisor has waived its fees and/or absorbed Fund expenses, which has resulted in higher returns.
3 Market prices of investments held by the Fund may fall rapidly or unpredictably due to a variety of economic or political factors, market conditions, disasters or public health issues, or in response to events that affect particular industries or companies.
4 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.
5 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.
6 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.
7 Companies that are in similar industry sectors may be similarly affected by particular economic or market events; to the extent the Fund has substantial holdings within a particular sector, the risks associated with that sector increase.
8 The Fund is subject to special risk considerations similar to those associated with the direct ownership of real estate. Real estate valuations may be subject to factors such as changing general and local economic, financial, competitive, and environmental conditions.
9 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.
10 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.
11 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.
12 The Fund is subject to the risks associated with investments in emerging markets, such as erratic earnings patterns, economic and political instability, changing exchange controls, limitations on repatriation of foreign capital and changes in local governmental attitudes toward private investment, possibly leading to nationalization or confiscation of investor assets. |
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Fund Performance Periods ended June 30, 2022 (continued) |
13 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.
14 The Fund’s investments may not be allocated in the best performing asset classes.
15 As of December 4, 2020, the Fund’s subadvisor was changed to GW&K Investment Management, LLC. Prior to December 4, 2020, the Fund was known as the AMG Managers Skyline Special Equities Fund, and had different principal investment strategies and corresponding risks. Performance shown for periods prior to December 4, 2020 reflects the performance and investment strategies of the Fund’s previous subadvisor, Skyline Asset Management, L.P. The Fund’s past performance would have been different if the Fund were managed by the current subadvisor and strategy, and the Fund’s prior performance record might be less pertinent for investors considering whether to purchase shares of the Fund.
16 As of April 17, 2020, the Fund’s subadvisor was changed to GW&K Investment Management, LLC. Prior to April 17, 2020, the Fund was known as the AMG Chicago Equity Partners Balanced Fund, and had different principal investment strategies and corresponding risks. Performance shown for periods prior to April 17, 2020 reflects the performance and investment strategies of the Fund’s previous subadvisor, Chicago Equity Partners, LLC. The Fund’s past performance would have been different if the Fund were managed by the current subadvisor and strategy, and the Fund’s prior performance record might be less pertinent for investors considering whether to purchase shares of the Fund.
17 The Fund is subject to currency risk resulting from | fluctuations in exchange rates that may affect the total loss or gain on a non-U.S. Dollar investment when converted back to U.S. Dollars.
18 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.
19 The Russell 2000® Value Index is an unmanaged, market-value weighted, value-oriented index comprised of small stocks that have relatively low price-to-book ratios and lower forecasted growth values. Unlike the Fund, the Russell 2000® Value Index is unmanaged, is not available for investment and does not incur expenses.
20 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.
21 The MSCI All Country World Index (ACWI) is a free-float adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. Please go to msci.com for most current list of countries represented by the Index. Unlike the Fund, the MSCI All Country World Index (ACWI) is unmanaged, is not available for investment and does not incur expenses.
22 The Bloomberg Global Aggregate Bond Index provides a broad-based measure of the global investment-grade fixed income markets. The three major components of this index are the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate Indices. The Index also includes Eurodollar | and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and USD investment grade 144A securities. Unlike the Fund, the Bloomberg Global Aggregate Bond 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.
All MSCI data is provided “as is”. The products described herein are not sponsored or endorsed and have not been reviewed or passed on by MSCI. In no event shall MSCI, its affiliates or any MSCI data provider have any liability of any kind in connection with the MSCI data or the products described herein. Copying or redistributing the MSCI data is strictly prohibited. All holdings and sector/region allocations are subject to review and adjustment in accordance with the Portfolio’s investment strategy and may vary in the future, and should not be considered recommendations to buy or sell any security.
“Bloomberg®” and any Bloomberg index described herein are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”) and have been licensed for use for certain purposes by AMG Funds LLC. Bloomberg is not affiliated with AMG Funds LLC, and Bloomberg does not approve, endorse, review, or recommend the fund described herein. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to such fund.
Not FDIC insured, nor bank guaranteed. May lose value. | ||||||
4
Table of Contents
Fund Snapshots (unaudited) June 30, 2022 |
PORTFOLIO BREAKDOWN
Sector | % of Net Assets | |
Health Care | 21.3 | |
Financials | 16.3 | |
Industrials | 15.0 | |
Consumer Discretionary | 12.1 | |
Information Technology | 11.8 | |
Materials | 5.0 | |
Real Estate | 4.8 | |
Energy | 4.5 | |
Consumer Staples | 3.5 | |
Utilities | 2.8 | |
Short-Term Investments | 3.8 | |
Other Assets Less Liabilities | (0.9) |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |
Halozyme Therapeutics, Inc. | 2.1 | |
Performance Food Group Co. | 2.1 | |
Magnolia Oil & Gas Corp., Class A | 1.8 | |
SPX Corp. | 1.8 | |
Matador Resources Co. | 1.8 | |
RBC Bearings, Inc. | 1.8 | |
Seacoast Banking Corp. of Florida | 1.7 | |
Ritchie Bros. Auctioneers, Inc. (Canada) | 1.7 | |
Avient Corp. | 1.6 | |
Texas Roadhouse, Inc. | 1.6 | |
| ||
Top Ten as a Group | 18.0 | |
| ||
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.
5
Table of Contents
AMG GW&K Small Cap Core Fund Schedule of Portfolio Investments (unaudited) June 30, 2022 |
Shares | Value | |||||||
Common Stocks - 97.1% | ||||||||
Consumer Discretionary - 12.1% |
| |||||||
Boot Barn Holdings, Inc.* | 71,573 | $4,932,095 | ||||||
Churchill Downs, Inc. | 47,889 | 9,172,180 | ||||||
Chuy’s Holdings, Inc.* | 143,980 | 2,868,082 | ||||||
Five Below, Inc.* | 32,905 | 3,732,414 | ||||||
Grand Canyon Education, Inc.* | 106,519 | 10,033,025 | ||||||
Helen of Troy, Ltd.* | 28,072 | 4,559,174 | ||||||
Lithia Motors, Inc., Class A | 35,228 | 9,681,007 | ||||||
Oxford Industries, Inc. | 90,567 | 8,036,916 | ||||||
Patrick Industries, Inc. | 78,291 | 4,058,606 | ||||||
Revolve Group, Inc.*,1 | 76,441 | 1,980,586 | ||||||
Skyline Champion Corp.* | 145,703 | 6,909,236 | ||||||
Texas Roadhouse, Inc. | 146,277 | 10,707,476 | ||||||
Wolverine World Wide, Inc. | 208,090 | 4,195,094 | ||||||
Total Consumer Discretionary | 80,865,891 | |||||||
Consumer Staples - 3.5% | ||||||||
Central Garden & Pet Co., Class A* | 230,052 | 9,204,380 | ||||||
Performance Food Group Co.*,1 | 302,057 | 13,888,581 | ||||||
Total Consumer Staples | 23,092,961 | |||||||
Energy - 4.5% | ||||||||
ChampionX Corp. | 142,301 | 2,824,675 | ||||||
Magnolia Oil & Gas Corp., Class A1 | 583,617 | 12,250,121 | ||||||
Matador Resources Co. | 257,720 | 12,007,174 | ||||||
Patterson-UTI Energy, Inc. | 199,650 | 3,146,484 | ||||||
Total Energy | 30,228,454 | |||||||
Financials - 16.3% | ||||||||
Ameris Bancorp | 250,219 | 10,053,799 | ||||||
AMERISAFE, Inc. | 110,060 | 5,724,221 | ||||||
Cathay General Bancorp | 244,915 | 9,588,422 | ||||||
Cohen & Steers, Inc.1 | 120,954 | 7,691,465 | ||||||
Glacier Bancorp, Inc. | 156,809 | 7,435,883 | ||||||
Horace Mann Educators Corp. | 212,751 | 8,165,383 | ||||||
Houlihan Lokey, Inc. | 120,152 | 9,483,597 | ||||||
Independent Bank Corp. | 91,774 | 7,289,609 | ||||||
OceanFirst Financial Corp. | 372,374 | 7,123,515 | ||||||
Open Lending Corp., Class A*,1 | 117,332 | 1,200,306 | ||||||
Pacific Premier Bancorp, Inc. | 277,043 | 8,100,737 | ||||||
Seacoast Banking Corp. of Florida | 344,596 | 11,385,452 | ||||||
Stifel Financial Corp. | 162,976 | 9,129,916 | ||||||
Veritex Holdings, Inc. | 213,375 | 6,243,353 | ||||||
Total Financials
|
| 108,615,658
|
|
Shares | Value | |||||||
Health Care - 21.3% | ||||||||
Arcutis Biotherapeutics, Inc.* | 109,178 | $2,326,583 | ||||||
Artivion, Inc.*,1 | 277,872 | 5,246,223 | ||||||
AtriCure, Inc.* | 153,249 | 6,261,754 | ||||||
Azenta, Inc. | 106,794 | 7,699,848 | ||||||
Castle Biosciences, Inc.* | 94,615 | 2,076,799 | ||||||
ChemoCentryx, Inc.* | 283,404 | 7,022,751 | ||||||
Covetrus, Inc.* | 344,529 | 7,148,977 | ||||||
CryoPort, Inc.* | 151,716 | 4,700,162 | ||||||
Globus Medical, Inc., Class A* | 177,169 | 9,946,268 | ||||||
Halozyme Therapeutics, Inc.*,1 | 317,960 | 13,990,240 | ||||||
HealthEquity, Inc.* | 155,705 | 9,558,730 | ||||||
ICU Medical, Inc.*,1 | 35,346 | 5,810,529 | ||||||
Integra LifeSciences Holdings Corp.* | 141,301 | 7,634,493 | ||||||
Intra-Cellular Therapies, Inc.* | 103,415 | 5,902,928 | ||||||
Medpace Holdings, Inc.*,1 | 65,601 | 9,818,502 | ||||||
Phreesia, Inc.* | 347,506 | 8,691,125 | ||||||
Progyny, Inc.* | 175,990 | 5,112,510 | ||||||
Supernus Pharmaceuticals, Inc.* | 352,846 | 10,204,306 | ||||||
Syneos Health, Inc.* | 131,324 | 9,413,304 | ||||||
Veracyte, Inc.* | 157,337 | 3,131,006 | ||||||
Total Health Care | 141,697,038 | |||||||
Industrials - 15.0% | ||||||||
Alamo Group, Inc. | 70,770 | 8,239,751 | ||||||
Allegiant Travel Co.* | 54,496 | 6,162,953 | ||||||
Heartland Express, Inc. | 178,628 | 2,484,716 | ||||||
Helios Technologies, Inc. | 126,181 | 8,359,491 | ||||||
ICF International, Inc. | 95,238 | 9,047,610 | ||||||
ITT, Inc. | 71,650 | 4,817,746 | ||||||
Primoris Services Corp. | 337,886 | 7,352,399 | ||||||
RBC Bearings, Inc.* | 63,248 | 11,697,718 | ||||||
Ritchie Bros. Auctioneers, Inc. (Canada) | 169,330 | 11,016,610 | ||||||
The Shyft Group, Inc. | 227,236 | 4,224,317 | ||||||
SPX Corp.* | 230,880 | 12,199,699 | ||||||
Terex Corp. | 183,328 | 5,017,687 | ||||||
UFP Industries, Inc. | 132,708 | 9,042,723 | ||||||
Total Industrials | 99,663,420 | |||||||
Information Technology - 11.8% | ||||||||
Cerence, Inc.*,1 | 100,191 | 2,527,819 | ||||||
The Descartes Systems Group, Inc. (Canada)* | 134,409 | 8,341,422 | ||||||
Endava PLC, ADR (United Kingdom)* | 34,749 | 3,067,294 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 217,133 | 10,009,831 | ||||||
Novanta, Inc.*
|
| 78,090
|
|
| 9,469,974
|
|
The accompanying notes are an integral part of these financial statements.
6
Table of Contents
AMG GW&K Small Cap Core Fund Schedule of Portfolio Investments (continued) |
Shares | Value | |||||||
Information Technology - 11.8% (continued) | ||||||||
Paycor HCM, Inc.*,1 | 242,102 | $6,294,652 | ||||||
Paylocity Holding Corp.* | 43,512 | 7,589,363 | ||||||
Rapid7, Inc.* | 124,561 | 8,320,675 | ||||||
Silicon Laboratories, Inc.* | 60,536 | 8,488,358 | ||||||
Thoughtworks Holding, Inc.*,1 | 409,552 | 5,778,779 | ||||||
Viavi Solutions, Inc.* | 653,625 | 8,647,459 | ||||||
Total Information Technology | 78,535,626 | |||||||
Materials - 5.0% | ||||||||
Avient Corp. | 268,430 | 10,758,674 | ||||||
Balchem Corp. | 67,828 | 8,800,005 | ||||||
Minerals Technologies, Inc. | 144,706 | 8,876,266 | ||||||
Silgan Holdings, Inc. | 111,347 | 4,604,199 | ||||||
Total Materials | 33,039,144 | |||||||
Real Estate - 4.8% | ||||||||
Agree Realty Corp., REIT | 118,822 | 8,570,631 | ||||||
National Health Investors, Inc., REIT | 101,210 | 6,134,338 | ||||||
Ryman Hospitality Properties, Inc., REIT * | 115,403 | 8,774,090 | ||||||
STAG Industrial, Inc., REIT | 276,103 | 8,526,061 | ||||||
Total Real Estate | 32,005,120 | |||||||
Utilities - 2.8% | ||||||||
IDACORP, Inc. | 76,501 | 8,102,986 | ||||||
NorthWestern Corp.1 | 175,899 | 10,365,728 | ||||||
Total Utilities | 18,468,714 | |||||||
Total Common Stocks | 646,212,026 | |||||||
Principal Amount | ||||||||
Short-Term Investments - 3.8% | ||||||||
Joint Repurchase Agreements - 0.9%2 |
| |||||||
Bank of America Securities, Inc., dated 06/30/22, due 07/01/22, 1.550% total to be received $1,518,458 (collateralized by various U.S. Government Agency Obligations, 1.000% - 8.500%, 01/20/24 - 06/20/52, totaling $1,548,761)
|
| $1,518,393
|
|
| 1,518,393
|
|
Principal Amount | Value | |||||||
Citigroup Global Markets, Inc., dated 06/30/22, due 07/01/22, 1.500% total to be received $319,328 (collateralized by various U.S. Treasuries, 1.875% - 3.250%, 06/30/24 - 05/15/52, totaling $325,701) | $319,315 | $319,315 | ||||||
Daiwa Capital Markets America, dated 06/30/22, due 07/01/22, 1.550% total to be received $1,518,458 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 6.500%, 07/31/22 - 07/01/52, totaling $1,548,761) | 1,518,393 | 1,518,393 | ||||||
National Bank Financial, dated 06/30/22, due 07/01/22, 1.590% total to be received $1,518,460 (collateralized by various U.S. Treasuries, 0.000% - 2.750%, 07/01/22 - 09/09/49, totaling $1,548,762) | 1,518,393 | 1,518,393 | ||||||
RBC Dominion Securities, Inc., dated 06/30/22, due 07/01/22, 1.550% total to be received $1,518,458 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 6.875%, 08/16/22 - 05/20/52, totaling $1,548,761) | 1,518,393 | 1,518,393 | ||||||
Total Joint Repurchase Agreements | 6,392,887 | |||||||
Repurchase Agreements - 2.9% |
| |||||||
Fixed Income Clearing Corp., dated 6/30/2022 due 7/01/2022, 1.35% total to be received $19,150,718 (collateralized by a U.S. Treasury, 0.375%, 07/15/27, totaling $19,533,050) | 19,150,000 | 19,150,000 | ||||||
Total Short-Term Investments (Cost $25,542,887) |
| 25,542,887 | ||||||
Total Investments - 100.9% |
| |||||||
(Cost $592,827,920) | 671,754,913 | |||||||
Other Assets, less Liabilities - (0.9)% |
| (5,838,023 | ) | |||||
Net Assets - 100.0%
|
| $665,916,890
|
|
* | Non-income producing security. |
1 | Some of these securities, amounting to $38,111,959 or 5.7% of net assets, were out on loan to various borrowers and are collateralized by cash and various U.S. Treasury Obligations. See Note 4 of Notes to Financial Statements. |
2 | Cash collateral received for securities lending activity was invested in these joint repurchase agreements. |
ADR American Depositary Receipt
REIT Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements.
7
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, 2022:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks† | $646,212,026 | — | — | $646,212,026 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Joint Repurchase Agreements | — | $6,392,887 | — | 6,392,887 | ||||||||||||
Repurchase Agreements | — | 19,150,000 | — | 19,150,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $646,212,026 | $25,542,887 | — | $671,754,913 | ||||||||||||
|
|
|
|
|
|
|
|
† | 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. |
For the six months ended June 30, 2022, there were no transfers in or out of Level 3.
The accompanying notes are an integral part of these financial statements.
8
Table of Contents
Fund Snapshots (unaudited) June 30, 2022 |
PORTFOLIO BREAKDOWN
Sector | % of Net Assets | ||||
Financials | 27.5 | ||||
Industrials | 14.4 | ||||
Real Estate | 10.8 | ||||
Consumer Discretionary | 10.1 | ||||
Health Care | 9.3 | ||||
Energy | 5.3 | ||||
Information Technology | 5.0 | ||||
Utilities | 4.3 | ||||
Materials | 4.2 | ||||
Consumer Staples | 3.2 | ||||
Communication Services | 2.7 | ||||
Short-Term Investments | 4.3 | ||||
Other Assets Less Liabilities | (1.1) |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |
Independence Realty Trust, Inc. | 2.7 | |
Selective Insurance Group, Inc. | 2.3 | |
Group 1 Automotive, Inc. | 2.2 | |
Walker & Dunlop, Inc. | 2.1 | |
Tenet Healthcare Corp. | 2.1 | |
First Interstate BancSystem, Inc., Class A | 1.9 | |
Central Garden & Pet Co. | 1.9 | |
Boot Barn Holdings, Inc. | 1.9 | |
CACI International, Inc., Class A | 1.8 | |
Atlantic Union Bankshares Corp. | 1.8 | |
| ||
Top Ten as a Group | 20.7 | |
|
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.
9
Table of Contents
AMG GW&K Small Cap Value Fund Schedule of Portfolio Investments (unaudited) June 30, 2022 |
Shares | Value | |||||||
Common Stocks - 96.8% | ||||||||
Communication Services - 2.7% | ||||||||
Gray Television, Inc. | 284,546 | $4,805,982 | ||||||
IMAX Corp. (Canada)* | 172,600 | 2,915,214 | ||||||
Total Communication Services | 7,721,196 | |||||||
Consumer Discretionary - 10.1% | ||||||||
Academy Sports & Outdoors, Inc. | 74,800 | 2,658,392 | ||||||
Boot Barn Holdings, Inc.* | 76,132 | 5,246,256 | ||||||
Callaway Golf Co.* | 170,734 | 3,482,974 | ||||||
First Watch Restaurant Group, Inc.* | 152,077 | 2,192,950 | ||||||
Group 1 Automotive, Inc.1 | 35,779 | 6,075,274 | ||||||
LCI Industries | 23,375 | 2,615,195 | ||||||
Leslie’s, Inc.* | 176,800 | 2,683,824 | ||||||
Noodles & Co.* | 389,069 | 1,828,624 | ||||||
Signet Jewelers, Ltd. | 29,475 | 1,575,734 | ||||||
Total Consumer Discretionary | 28,359,223 | |||||||
Consumer Staples - 3.2% | ||||||||
BJ’s Wholesale Club Holdings, Inc.* | 58,542 | 3,648,337 | ||||||
Central Garden & Pet Co.* | 127,400 | 5,404,308 | ||||||
Total Consumer Staples | 9,052,645 | |||||||
Energy - 5.3% | ||||||||
Earthstone Energy, Inc.*,1 | 215,698 | 2,944,278 | ||||||
Magnolia Oil & Gas Corp., Class A1 | 130,690 | 2,743,183 | ||||||
Matador Resources Co.1 | 74,436 | 3,467,973 | ||||||
ProPetro Holding Corp.* | 293,269 | 2,932,690 | ||||||
Solaris Oilfield Infrastructure, Inc., Class A | 241,715 | 2,629,859 | ||||||
Total Energy | 14,717,983 | |||||||
Financials - 27.5% | ||||||||
Ameris Bancorp | 122,201 | 4,910,036 | ||||||
Atlantic Union Bankshares Corp. | 146,149 | 4,957,374 | ||||||
Cathay General Bancorp | 94,247 | 3,689,770 | ||||||
City Holding Co.1 | 41,859 | 3,343,697 | ||||||
Community Bank System, Inc. | 68,230 | 4,317,594 | ||||||
Enterprise Financial Services Corp. | 81,120 | 3,366,480 | ||||||
Federal Agricultural Mortgage Corp., Class C | 38,535 | 3,762,943 | ||||||
First Financial Bancorp1 | 153,074 | 2,969,636 | ||||||
First Interstate BancSystem, Inc., Class A | 143,720 | 5,477,169 | ||||||
International Bancshares Corp. | 94,063 | 3,770,045 | ||||||
James River Group Holdings, Ltd. (Bermuda) | 62,677 | 1,553,136 | ||||||
OceanFirst Financial Corp. | 228,858 | 4,378,054 | ||||||
Pacific Premier Bancorp, Inc. | 154,409 | 4,514,919 | ||||||
Piper Sandler Cos. | 38,372 | 4,349,850 | ||||||
PJT Partners, Inc., Class A |
| 40,911
|
|
| 2,875,225
|
|
Shares | Value | |||||||
Selective Insurance Group, Inc. | 73,260 | $6,369,224 | ||||||
Stifel Financial Corp. | 69,610 | 3,899,552 | ||||||
Walker & Dunlop, Inc. | 61,115 | 5,887,819 | ||||||
WesBanco, Inc. | 77,353 | 2,452,864 | ||||||
Total Financials | 76,845,387 | |||||||
Health Care - 9.3% | ||||||||
Arcutis Biotherapeutics, Inc.* | 191,182 | 4,074,089 | ||||||
Covetrus, Inc.* | 184,484 | 3,828,043 | ||||||
Integer Holdings Corp.* | 57,944 | 4,094,323 | ||||||
Ligand Pharmaceuticals, Inc.* | 30,850 | 2,752,437 | ||||||
SeaSpine Holdings Corp.* | 326,052 | 1,842,194 | ||||||
Supernus Pharmaceuticals, Inc.* | 129,521 | 3,745,747 | ||||||
Tenet Healthcare Corp.* | 110,693 | 5,818,024 | ||||||
Total Health Care | 26,154,857 | |||||||
Industrials - 14.4% | ||||||||
Atkore, Inc.* | 33,771 | 2,803,331 | ||||||
CACI International, Inc., Class A* | 18,200 | 5,128,396 | ||||||
CBIZ, Inc.* | 111,759 | 4,465,890 | ||||||
Columbus McKinnon Corp. | 114,972 | 3,261,756 | ||||||
Comfort Systems USA, Inc. | 34,488 | 2,867,677 | ||||||
Herc Holdings, Inc. | 22,000 | 1,983,300 | ||||||
Hillenbrand, Inc. | 75,591 | 3,096,207 | ||||||
ICF International, Inc. | 50,823 | 4,828,185 | ||||||
Primoris Services Corp. | 138,470 | 3,013,107 | ||||||
RBC Bearings, Inc.* | 16,520 | 3,055,374 | ||||||
Terex Corp. | 95,830 | 2,622,867 | ||||||
UFP Industries, Inc. | 46,577 | 3,173,757 | ||||||
Total Industrials | 40,299,847 | |||||||
Information Technology - 5.0% | ||||||||
American Software, Inc., Class A | 240,628 | 3,888,548 | ||||||
Power Integrations, Inc. | 52,150 | 3,911,772 | ||||||
Silicon Laboratories, Inc.* | 20,452 | 2,867,779 | ||||||
Viavi Solutions, Inc.* | 247,925 | 3,280,048 | ||||||
Total Information Technology | 13,948,147 | |||||||
Materials - 4.2% | ||||||||
Minerals Technologies, Inc. | 48,551 | 2,978,118 | ||||||
Orion Engineered Carbons, S.A. (Luxembourg) | 234,496 | 3,641,723 | ||||||
Schnitzer Steel Industries, Inc., Class A | 76,010 | 2,496,169 | ||||||
Worthington Industries, Inc. | 61,053 | 2,692,437 | ||||||
Total Materials | 11,808,447 | |||||||
Real Estate - 10.8% | ||||||||
Agree Realty Corp., REIT | 55,550 | 4,006,821 | ||||||
Four Corners Property Trust, Inc., REIT |
| 170,003
|
|
| 4,520,380
|
|
The accompanying notes are an integral part of these financial statements.
10
Table of Contents
AMG GW&K Small Cap Value Fund Schedule of Portfolio Investments (continued) |
Shares | Value | |||||||
Real Estate - 10.8% (continued) | ||||||||
Getty Realty Corp., REIT | 140,277 | $3,717,341 | ||||||
Independence Realty Trust, Inc., REIT | 363,877 | 7,543,170 | ||||||
Lexington Realty Trust, REIT | 196,434 | 2,109,701 | ||||||
STAG Industrial, Inc., REIT | 106,570 | 3,290,882 | ||||||
Summit Hotel Properties, Inc., REIT * | 253,375 | 1,842,036 | ||||||
Xenia Hotels & Resorts, Inc., REIT * | 212,866 | 3,092,943 | ||||||
Total Real Estate | 30,123,274 | |||||||
Utilities - 4.3% | ||||||||
IDACORP, Inc. | 42,071 | 4,456,161 | ||||||
NorthWestern Corp.1 | 59,683 | 3,517,119 | ||||||
Southwest Gas Holdings, Inc. | 45,779 | 3,986,435 | ||||||
Total Utilities | 11,959,715 | |||||||
Total Common Stocks | 270,990,721 | |||||||
Principal | ||||||||
Short-Term Investments - 4.3% | ||||||||
Joint Repurchase Agreements - 1.2%2 |
| |||||||
Citigroup Global Markets, Inc., dated 06/30/22, due 07/01/22, 1.500% total to be received $262,923 (collateralized by U.S. Treasuries, 1.875% - 3.250%, 06/30/24 - 05/15/52, totaling $268,170) | $262,912 | 262,912 | ||||||
MUFG Securities America, Inc., dated 06/30/22, due 07/01/22, 1.550% total to be received $1,000,043 (collateralized by various U.S. Government Agency Obligations, 3.000% - 5.000%, 11/01/26 - 07/01/52, totaling $1,020,000) |
| 1,000,000
|
|
| 1,000,000
|
|
Principal Amount | Value | |||||||
National Bank Financial, dated 06/30/22, due 07/01/22, 1.590% total to be received $1,000,044 (collateralized by U.S. Treasuries, 0.000% - 2.750%, 07/01/22 - 09/09/49, totaling $1,020,001) | $1,000,000 | $1,000,000 | ||||||
RBC Dominion Securities, Inc., dated 06/30/22, due 07/01/22, 1.550% total to be received $1,000,043 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 6.875%, 08/16/22 - 05/20/52, totaling $1,020,000) | 1,000,000 | 1,000,000 | ||||||
Total Joint Repurchase Agreements |
| 3,262,912 | ||||||
Repurchase Agreements - 3.1% |
| |||||||
Fixed Income Clearing Corp., dated 06/30/2022 due 07/01/2022, 1.35% total to be received $8,750,328 (collateralized by a U.S. Treasury, 0.375%, 07/15/27, totaling $8,925,053) | 8,750,000 | 8,750,000 | ||||||
Total Short-Term Investments | 12,012,912 | |||||||
Total Investments - 101.1% | 283,003,633 | |||||||
Other Assets, less Liabilities - (1.1)% |
| (3,170,689 | ) | |||||
Net Assets - 100.0% |
| $279,832,944
|
|
* | Non-income producing security. |
1 | Some of these securities, amounting to $14,963,170 or 5.3% of net assets, were out on loan to various borrowers and are collateralized by cash and various U.S. Treasury Obligations. See Note 4 of Notes to Financial Statements. |
2 | Cash collateral received for securities lending activity was invested in these joint repurchase agreements. |
REIT Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements.
11
Table of Contents
AMG GW&K Small Cap Value 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, 2022:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks† | $270,990,721 | — | — | $270,990,721 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Joint Repurchase Agreements | — | $3,262,912 | — | 3,262,912 | ||||||||||||
Repurchase Agreements | — | 8,750,000 | — | 8,750,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $270,990,721 | $12,012,912 | — | $283,003,633 | ||||||||||||
|
|
|
|
|
|
|
|
† | 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. |
For the six months ended June 30, 2022, there were no transfers in or out of Level 3.
The accompanying notes are an integral part of these financial statements.
12
Table of Contents
AMG GW&K Small/Mid Cap Fund | ||
Fund Snapshots (unaudited) | ||
June 30, 2022 |
PORTFOLIO BREAKDOWN
Sector | % of Net Assets | |
Health Care | 16.7 | |
Industrials | 16.2 | |
Information Technology | 14.1 | |
Consumer Discretionary | 13.1 | |
Financials | 11.4 | |
Real Estate | 6.7 | |
Materials | 5.8 | |
Energy | 4.5 | |
Consumer Staples | 4.5 | |
Utilities | 2.3 | |
Short-Term Investments | 2.6 | |
Other Assets Less Liabilities | 2.1 |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |
Diamondback Energy, Inc. | 2.6 | |
BJ’s Wholesale Club Holdings, Inc. | 2.2 | |
Manhattan Associates, Inc. | 1.8 | |
RBC Bearings, Inc. | 1.8 | |
Catalent, Inc. | 1.8 | |
Western Alliance Bancorp. | 1.7 | |
Voya Financial, Inc. | 1.7 | |
Horizon Therapeutics PLC | 1.7 | |
Sun Communities, Inc. | 1.7 | |
Jazz Pharmaceuticals PLC (Ireland) | 1.6 | |
| ||
Top Ten as a Group | 18.6 | |
|
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.
13
Table of Contents
AMG GW&K Small/Mid Cap Fund Schedule of Portfolio Investments (unaudited) June 30, 2022 |
Shares | Value | |||||||
Common Stocks - 95.3% | ||||||||
Consumer Discretionary - 13.1% | ||||||||
Bright Horizons Family Solutions, Inc.* | 44,059 | $3,723,867 | ||||||
Burlington Stores, Inc.* | 36,229 | 4,935,477 | ||||||
Carter’s, Inc.1 | 47,497 | 3,347,589 | ||||||
Cavco Industries, Inc.* | 32,380 | 6,346,156 | ||||||
Dorman Products, Inc.* | 70,689 | 7,755,290 | ||||||
Five Below, Inc.* | 49,921 | 5,662,539 | ||||||
Gentherm, Inc.* | 80,264 | 5,009,276 | ||||||
Grand Canyon Education, Inc.* | 38,395 | 3,616,425 | ||||||
Krispy Kreme Inc. | 173,615 | 2,361,164 | ||||||
Lithia Motors, Inc., Class A | 31,858 | 8,754,897 | ||||||
Nordstrom, Inc. | 145,484 | 3,074,077 | ||||||
Polaris, Inc.1 | 73,271 | 7,274,345 | ||||||
Texas Roadhouse, Inc. | 95,161 | 6,965,785 | ||||||
Vail Resorts, Inc. | 15,328 | 3,342,270 | ||||||
Total Consumer Discretionary | 72,169,157 | |||||||
Consumer Staples - 4.5% | ||||||||
BJ’s Wholesale Club Holdings, Inc.* | 198,311 | 12,358,741 | ||||||
Lancaster Colony Corp. | 41,491 | 5,343,211 | ||||||
Performance Food Group Co.* | 152,357 | 7,005,375 | ||||||
Total Consumer Staples | 24,707,327 | |||||||
Energy - 4.5% | ||||||||
ChampionX Corp. | 118,916 | 2,360,483 | ||||||
Diamondback Energy, Inc. | 120,629 | 14,614,203 | ||||||
Magnolia Oil & Gas Corp., Class A | 247,121 | 5,187,070 | ||||||
ProPetro Holding Corp.* | 266,483 | 2,664,830 | ||||||
Total Energy | 24,826,586 | |||||||
Financials - 11.4% | ||||||||
Artisan Partners Asset Management, Inc., Class A | 63,669 | 2,264,706 | ||||||
Atlantic Union Bankshares Corp. | 176,711 | 5,994,037 | ||||||
Glacier Bancorp, Inc. | 94,710 | 4,491,148 | ||||||
Kinsale Capital Group, Inc. | 37,192 | 8,540,771 | ||||||
Pinnacle Financial Partners, Inc. | 118,551 | 8,572,423 | ||||||
Piper Sandler Cos. | 56,211 | 6,372,079 | ||||||
Signature Bank | 44,780 | 8,025,024 | ||||||
Voya Financial, Inc.1 | 156,822 | 9,335,613 | ||||||
Western Alliance Bancorp. | 134,298 | 9,481,439 | ||||||
Total Financials | 63,077,240 | |||||||
Health Care - 16.7% | ||||||||
Acadia Healthcare Co., Inc.* | 111,072 | 7,511,799 | ||||||
Azenta, Inc. | 54,766 | 3,948,629 | ||||||
Bio-Rad Laboratories, Inc., Class A* |
| 10,992
|
|
| 5,441,040
|
|
Shares | Value | |||||||
Catalent, Inc.* | 90,411 | $9,700,196 | ||||||
Globus Medical, Inc., Class A* | 86,771 | 4,871,324 | ||||||
Hologic, Inc.* | 72,208 | 5,004,014 | ||||||
Horizon Therapeutics PLC* | 116,816 | 9,317,244 | ||||||
Integer Holdings Corp.* | 74,234 | 5,245,375 | ||||||
Jazz Pharmaceuticals PLC (Ireland)* | 57,442 | 8,961,527 | ||||||
Molina Healthcare, Inc.* | 23,152 | 6,473,531 | ||||||
Neurocrine Biosciences, Inc.* | 89,734 | 8,747,270 | ||||||
STERIS PLC | 30,333 | 6,253,148 | ||||||
Syneos Health, Inc.* | 103,884 | 7,446,405 | ||||||
Vericel Corp.*,1 | 122,462 | 3,083,593 | ||||||
Total Health Care | 92,005,095 | |||||||
Industrials - 16.2% | ||||||||
Booz Allen Hamilton Holding Corp. | 88,383 | 7,986,288 | ||||||
Columbus McKinnon Corp. | 137,603 | 3,903,797 | ||||||
Comfort Systems USA, Inc. | 78,793 | 6,551,638 | ||||||
Exponent, Inc. | 62,331 | 5,701,417 | ||||||
Federal Signal Corp. | 171,496 | 6,105,258 | ||||||
Gates Industrial Corp. PLC* | 651,767 | 7,045,601 | ||||||
Gibraltar Industries, Inc.* | 98,030 | 3,798,662 | ||||||
Hexcel Corp. | 106,345 | 5,562,907 | ||||||
Ingersoll Rand, Inc. | 168,157 | 7,076,046 | ||||||
Nordson Corp. | 42,283 | 8,559,770 | ||||||
RBC Bearings, Inc.* | 52,882 | 9,780,526 | ||||||
Ritchie Bros. Auctioneers, Inc. (Canada) | 103,814 | 6,754,139 | ||||||
Schneider National, Inc., Class B | 157,149 | 3,516,995 | ||||||
The Toro Co. | 93,416 | 7,079,999 | ||||||
Total Industrials | 89,423,043 | |||||||
Information Technology - 14.1% | ||||||||
Cerence, Inc.*,1 | 92,690 | 2,338,569 | ||||||
Cognex Corp. | 113,339 | 4,819,174 | ||||||
Entegris, Inc. | 89,874 | 8,280,092 | ||||||
Gartner, Inc.* | 31,339 | 7,578,710 | ||||||
Globant SA (Uruguay)* | 31,595 | 5,497,530 | ||||||
HubSpot, Inc.* | 14,185 | 4,264,720 | ||||||
Manhattan Associates, Inc.* | 87,280 | 10,002,288 | ||||||
Paylocity Holding Corp.* | 40,841 | 7,123,487 | ||||||
Power Integrations, Inc. | 88,682 | 6,652,037 | ||||||
Rapid7, Inc.* | 103,956 | 6,944,261 | ||||||
Silicon Laboratories, Inc.* | 48,027 | 6,734,346 | ||||||
Zebra Technologies Corp., Class A* | 24,478 | 7,195,308 | ||||||
Total Information Technology |
| 77,430,522
|
|
The accompanying notes are an integral part of these financial statements.
14
Table of Contents
AMG GW&K Small/Mid Cap Fund Schedule of Portfolio Investments (continued) |
Shares | Value | |||||||
Materials - 5.8% |
| |||||||
AptarGroup, Inc. | 51,988 | $5,365,682 | ||||||
Eagle Materials, Inc. | 61,173 | 6,725,360 | ||||||
Element Solutions, Inc. | 488,908 | 8,702,562 | ||||||
Quaker Chemical Corp.1 | 34,024 | 5,087,268 | ||||||
RPM International, Inc. | 79,406 | 6,250,840 | ||||||
Total Materials | 32,131,712 | |||||||
Real Estate - 6.7% | ||||||||
Agree Realty Corp., REIT | 61,525 | 4,437,798 | ||||||
Easterly Government Properties, Inc., REIT | 301,042 | 5,731,840 | ||||||
Hudson Pacific Properties, Inc., REIT | 250,788 | 3,721,694 | ||||||
Physicians Realty Trust, REIT | 322,082 | 5,620,331 | ||||||
PS Business Parks, Inc., Class A, REIT | 25,235 | 4,722,730 | ||||||
Summit Hotel Properties, Inc., REIT * | 447,118 | 3,250,548 | ||||||
Sun Communities, Inc., REIT | 57,484 | 9,160,650 | ||||||
Total Real Estate | 36,645,591 | |||||||
Utilities - 2.3% | ||||||||
IDACORP, Inc. | 67,838 | 7,185,401 | ||||||
Portland General Electric Co. | 114,099 | 5,514,405 | ||||||
Total Utilities | 12,699,806 | |||||||
Total Common Stocks |
| 525,116,079
|
|
Principal Amount | Value | |||||||
Short-Term Investments - 2.6% |
| |||||||
Joint Repurchase Agreements - 0.0%#,2 |
| |||||||
HSBC Securities USA, Inc., dated 06/30/22, due 07/01/22, 1.480% total to be received $1,990 (collateralized by various U.S. Treasuries, 0.000% - 6.500%, 11/15/23 - 08/15/51, totaling $2,030) | $1,990 | $1,990 | ||||||
Repurchase Agreements - 2.6% |
| |||||||
Fixed Income Clearing Corp., dated 06/30/2022 due 07/01/2022, 1.35% total to be received $14,350,538 (collateralized by a U.S. Treasury, 2.25%, 08/15/46, totaling $14,637,002) | 14,350,000 | 14,350,000 | ||||||
Total Short-Term Investments |
| |||||||
(Cost $14,351,990) |
| 14,351,990 | ||||||
Total Investments - 97.9% |
| |||||||
(Cost $536,227,394) |
| 539,468,069 | ||||||
Other Assets, less Liabilities - 2.1% |
| 11,511,315 | ||||||
Net Assets - 100.0% |
|
| $550,979,384
|
|
* | Non-income producing security. |
# | Less than 0.05%. |
1 | Some of these securities, amounting to $23,840,157 or 4.3% of net assets, were out on loan to various borrowers and are collateralized by cash and various U.S. Treasury Obligations. See Note 4 of Notes to Financial Statements. |
2 | Cash collateral received for securities lending activity was invested in these joint repurchase agreements. |
REIT Real Estate Investment Trust
The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of June 30, 2022:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks† | $525,116,079 | — | — | $525,116,079 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Joint Repurchase Agreements | — | $1,990 | — | 1,990 | ||||||||||||
Repurchase Agreements | — | 14,350,000 | — | 14,350,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $525,116,079 | $14,351,990 | — | $539,468,069 | ||||||||||||
|
|
|
|
|
|
|
|
† | 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. |
For the six months ended June 30, 2022, there were no transfers in or out of Level 3.
The accompanying notes are an integral part of these financial statements.
15
Table of Contents
AMG GW&K Global Allocation Fund Fund Snapshots (unaudited) June 30, 2022 |
PORTFOLIO BREAKDOWN
Sector | % of Net Assets | |
Consumer Discretionary | 17.7 | |
Information Technology | 16.2 | |
U.S. Government and Agency Obligations | 15.7 | |
Industrials | 13.0 | |
Health Care | 11.4 | |
Financials | 11.1 | |
Foreign Government Obligations | 9.6 | |
Communication Services | 5.2 | |
Energy | 4.3 | |
Utilities | 3.0 | |
Real Estate | 2.8 | |
Municipal Bonds | 1.3 | |
Short-Term Investments | 7.0 | |
Other Assets, Less Liabilities | (18.3) |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |
UnitedHealth Group, Inc. | 4.3 | |
Alphabet, Inc., Class A | 3.0 | |
AIA Group, Ltd. (Hong Kong) | 2.9 | |
STERIS PLC | 2.9 | |
Alibaba Group Holding, Ltd. (China) | 2.8 | |
American Tower Corp. | 2.7 | |
Yum China Holdings, Inc. (China) | 2.6 | |
NextEra Energy, Inc. | 2.6 | |
The Charles Schwab Corp. | 2.6 | |
Microsoft Corp. | 2.5 | |
| ||
Top Ten as a Group | 28.9 | |
| ||
Rating | % of Market Value1 | |
U.S. Government and Agency Obligations | 42.5 | |
Aaa/AAA | 13.4 | |
Aa/AA | 17.0 | |
A | 2.8 | |
Baa/BBB | 15.8 | |
Ba/BB | 8.5 |
1 | Includes market value of long-term fixed-income securities only. |
Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch. 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 any of the rating agencies. 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 Global Allocation Fund Schedule of Portfolio Investments (unaudited) June 30, 2022 |
Shares | Value | |||||||
Common Stocks - 74.5% | ||||||||
Communication Services - 5.2% | ||||||||
Alphabet, Inc., Class A* | 708 | $1,542,916 | ||||||
Tencent Holdings, Ltd. (China) | 24,800 | 1,122,576 | ||||||
Total Communication Services | 2,665,492 | |||||||
Consumer Discretionary - 17.7% | ||||||||
Alibaba Group Holding, Ltd. (China)* | 102,500 | 1,462,203 | ||||||
Amazon.com, Inc.* | 9,610 | 1,020,678 | ||||||
Huazhu Group, Ltd., ADR (China) | 31,190 | 1,188,339 | ||||||
JD.com, Inc., Class A (China) | 1,280 | 41,245 | ||||||
LVMH Moet Hennessy Louis Vuitton SE (France) | 1,421 | 870,900 | ||||||
MakeMyTrip, Ltd. (India)* | 44,931 | 1,153,828 | ||||||
Moncler SpA (Italy)1 | 19,450 | 838,023 | ||||||
Trip.com Group, Ltd. (China)* | 42,600 | 1,178,761 | ||||||
Yum China Holdings, Inc. (China) | 27,700 | 1,358,996 | ||||||
Total Consumer Discretionary | 9,112,973 | |||||||
Energy - 4.3% | ||||||||
Canadian Natural Resources, Ltd. (Canada) | 18,700 | 1,004,878 | ||||||
Hess Corp. | 11,290 | 1,196,063 | ||||||
Total Energy | 2,200,941 | |||||||
Financials - 8.7% | ||||||||
AIA Group, Ltd. (Hong Kong) | 135,100 | 1,476,179 | ||||||
The Charles Schwab Corp. | 20,900 | 1,320,462 | ||||||
Goosehead Insurance, Inc., Class A1 | 12,125 | 553,749 | ||||||
HDFC Bank, Ltd., ADR (India) | 20,110 | 1,105,246 | ||||||
Total Financials | 4,455,636 | |||||||
Health Care - 11.4% | ||||||||
Avantor, Inc.* | 40,670 | 1,264,837 | ||||||
IDEXX Laboratories, Inc.* | 2,577 | 903,831 | ||||||
STERIS PLC | 7,160 | 1,476,034 | ||||||
UnitedHealth Group, Inc. | 4,281 | 2,198,850 | ||||||
Total Health Care | 5,843,552 | |||||||
Industrials - 5.6% | ||||||||
Casella Waste Systems, Inc., Class A* | 13,070 | 949,927 | ||||||
MISUMI Group, Inc. (Japan) | 47,800 | 1,009,511 | ||||||
Union Pacific Corp. | 4,420 | 942,698 | ||||||
Total Industrials | 2,902,136 | |||||||
Information Technology - 16.2% | ||||||||
Adyen, N.V. (Netherlands)*,1,2 | 801 | 1,155,949 | ||||||
Black Knight, Inc.* | 17,710 | 1,158,057 | ||||||
Halma PLC (United Kingdom) | 40,762 | 1,000,794 | ||||||
Infineon Technologies AG (Germany) | 47,530 | 1,156,192 | ||||||
Mastercard, Inc., Class A |
| 3,720
|
|
| 1,173,586
|
|
Shares | Value | |||||||
Microsoft Corp. | 4,990 | $1,281,582 | ||||||
PayPal Holdings, Inc.* | 7,035 | 491,324 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (Taiwan) | 11,010 | 900,068 | ||||||
Total Information Technology | 8,317,552 | |||||||
Real Estate - 2.8% | ||||||||
American Tower Corp., REIT | 5,535 | 1,414,691 | ||||||
Utilities - 2.6% | ||||||||
NextEra Energy, Inc. | 17,120 | 1,326,115 | ||||||
Total Common Stocks | ||||||||
(Cost $34,183,852) | 38,239,088 | |||||||
Principal | ||||||||
Corporate Bonds and Notes - 10.2% | ||||||||
Financials - 2.4% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) | $280,000 | 258,533 | ||||||
Aircastle, Ltd. (Bermuda) | 96,000 | 92,687 | ||||||
Bank of America Corp. | 60,000 | 53,883 | ||||||
Citigroup, Inc. | 115,000 | 95,450 | ||||||
First-Citizens Bank & Trust Co. | 93,000 | 96,903 | ||||||
Landwirtschaftliche Rentenbank, EMTN (Germany) | 220,000 | 206,818 | ||||||
MetLife, Inc. | 198,000 | 176,310 | ||||||
SBA Communications Corp. | 67,000 | 61,157 | ||||||
Sprint Capital Corp. | 75,000 | 78,864 | ||||||
Truist Financial Corp. | 151,000 | 135,130 | ||||||
Total Financials | 1,255,735 | |||||||
Industrials - 7.4% | ||||||||
AECOM | 66,000 | 62,370 | ||||||
Alcoa Nederland Holding, B.V. (Netherlands) |
| 200,000
|
|
| 178,828
|
|
The accompanying notes are an integral part of these financial statements.
17
Table of Contents
AMG GW&K Global Allocation Fund Schedule of Portfolio Investments (continued) |
Principal Amount | Value | |||||||
Industrials - 7.4% (continued) | ||||||||
Anheuser-Busch InBev Worldwide, Inc. | $117,000 | $107,305 | ||||||
ArcelorMittal, S.A. (Luxembourg) | 94,000 | 89,238 | ||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC | 200,000 | 170,714 | ||||||
AT&T, Inc. | 94,000 | 81,942 | ||||||
Ball Corp. | 81,000 | 79,684 | ||||||
The Boeing Co. | 62,000 | 56,945 | ||||||
Centene Corp. | 51,000 | 40,482 | ||||||
3.375%, 02/15/30 | 59,000 | 50,035 | ||||||
CF Industries, Inc. | 92,000 | 85,755 | ||||||
Cisco Systems, Inc. | 68,000 | 74,161 | ||||||
Cogent Communications Group, Inc. | 78,000 | 71,760 | ||||||
Crown Americas LLC/Crown Americas Capital Corp. V | 64,000 | 59,040 | ||||||
CVS Health Corp. | 83,000 | 79,947 | ||||||
Dell, Inc. | 85,000 | 92,440 | ||||||
Delta Air Lines, Inc. | 95,000 | 94,853 | ||||||
Ford Motor Co. | 70,000 | 69,038 | ||||||
HB Fuller Co. | 89,000 | 74,676 | ||||||
HCA, Inc. | 79,000 | 67,206 | ||||||
KB Home | 63,000 | 48,589 | ||||||
Kraft Heinz Foods Co. | 106,000 | 88,341 | ||||||
Lamar Media Corp. | 84,000 | 74,569 | ||||||
MDC Holdings, Inc. | 97,000 | 71,598 | ||||||
MEG Energy Corp. (Canada) | 82,000 | 74,896 | ||||||
Meritor, Inc. |
| 91,000
|
|
| 93,326
|
|
Principal Amount | Value | |||||||
Microsoft Corp. | $80,000 | $58,922 | ||||||
Murphy Oil USA, Inc. | 67,000 | 65,660 | ||||||
Nestle Holdings, Inc. | 275,000 | 240,739 | ||||||
Newell Brands, Inc. | 74,000 | 70,486 | ||||||
NuStar Logistics LP | 100,000 | 93,500 | ||||||
Occidental Petroleum Corp. | 109,000 | 107,365 | ||||||
Pernod Ricard International Finance LLC | 250,000 | 210,909 | ||||||
Silgan Holdings, Inc. | 69,000 | 61,874 | ||||||
SK Hynix, Inc. (South Korea) | 200,000 | 157,518 | ||||||
Smith & Nephew PLC (United Kingdom) | 172,000 | 136,858 | ||||||
Teva Pharmaceutical Finance Netherlands III, B.V. (Netherlands) | 84,000 | 68,880 | ||||||
Travel + Leisure Co. | 71,000 | 69,758 | ||||||
United Rentals North America, Inc. | 71,000 | 59,895 | ||||||
Verizon Communications, Inc. | 74,000 | 71,594 | ||||||
Walmart, Inc. | 60,000 | 58,644 | ||||||
Western Digital Corp. | 73,000 | 69,650 | ||||||
Yum! Brands, Inc. | 73,000 | 61,320 | ||||||
Total Industrials | 3,801,310 | |||||||
Utilities - 0.4% | ||||||||
Dominion Energy, Inc. | ||||||||
Series B, (4.650% to 12/15/24 then U.S. Treasury Yield Curve CMT 5 year + 2.993%), 4.650%, 12/15/243,4,5 | 151,000 | 134,185 | ||||||
Northern States Power Co. | 73,000 | 54,871 | ||||||
Total Utilities | 189,056 | |||||||
Total Corporate Bonds and Notes | ||||||||
(Cost $6,085,882) | 5,246,101 | |||||||
Municipal Bonds - 1.3% | ||||||||
California State General Obligation, School Improvements |
| 110,000
|
|
| 149,213
|
|
The accompanying notes are an integral part of these financial statements.
18
Table of Contents
AMG GW&K Global Allocation Fund Schedule of Portfolio Investments (continued) |
Principal Amount | Value | |||||||
Municipal Bonds - 1.3% (continued) | ||||||||
JobsOhio Beverage System | $195,000 | $200,165 | ||||||
Los Angeles Unified School District, School Improvements | 140,000 | 155,531 | ||||||
New Jersey Transportation Trust Fund Authority Series C, | 175,000 | 183,315 | ||||||
Total Municipal Bonds | ||||||||
(Cost $789,984) | 688,224 | |||||||
U.S. Government and Agency Obligations - 15.7% |
| |||||||
Fannie Mae - 5.0% | ||||||||
FNMA | 63,242 | 59,293 | ||||||
3.000%, 01/01/38 | 110,508 | 106,511 | ||||||
3.500%, 01/01/48 | 124,438 | 121,678 | ||||||
4.000%, 11/01/44 to 11/01/50 | 914,997 | 916,856 | ||||||
4.500%, 02/01/49 to 09/01/49 | 705,897 | 718,503 | ||||||
5.000%, 08/01/49 to 08/01/50 | 599,739 | 622,912 | ||||||
5.500%, 02/01/37 | 5,403 | 5,713 | ||||||
Total Fannie Mae | 2,551,466 | |||||||
Freddie Mac - 1.1% | ||||||||
FHLMC Gold Pool | 597,834 | 588,041 | ||||||
U.S. Treasury Obligations - 9.6% | ||||||||
U.S. Treasury Bonds | 684,000 | 513,080 | ||||||
2.250%, 05/15/41 | 318,000 | 265,356 | ||||||
3.000%, 11/15/44 | 235,000 | 217,770 | ||||||
3.125%, 05/15/48 | 463,000 | 448,079 | ||||||
3.500%, 02/15/39 | 574,000 | 599,628 | ||||||
5.000%, 05/15/37 | 687,000 | 849,331 | ||||||
U.S. Treasury Notes | 573,000 | 514,670 | ||||||
1.875%, 02/15/32 | 1,041,000 | 943,081 | ||||||
2.250%, 02/15/27 | 574,000 | 553,439 | ||||||
Total U.S. Treasury Obligations | 4,904,434 | |||||||
Total U.S. Government and Agency Obligations |
| |||||||
(Cost $9,135,613) | 8,043,941 | |||||||
Foreign Government Obligations - 9.6% |
| |||||||
African Development Bank | 375,000 | 345,008 | ||||||
Agence Francaise de Developpement EPIC (France) | 200,000 | 182,489 | ||||||
Asian Development Bank (Philippines) | 225,000 | 203,693 | ||||||
BNG Bank, N.V. (Netherlands) |
| 200,000
|
|
| 182,912
|
|
Principal Amount | Value | |||||||
China Government Bond (China) | $6,210,000 | $936,688 | ||||||
European Investment Bank (Luxembourg) | 192,000 | 168,353 | ||||||
Finland Government International Bond (Finland) | 200,000 | 167,338 | ||||||
Inter-American Development Bank | 310,000 | 342,009 | ||||||
International Bank for Reconstruction & Development Series GDIF | 360,000 | 360,037 | ||||||
International Finance Corp. | 220,000 | 211,798 | ||||||
Japan Finance Organization for Municipalities (Japan) | 300,000 | 280,598 | ||||||
Kingdom of Belgium Government International Bond (Belgium) | 200,000 | 168,229 | ||||||
Kommunalbanken A.S. (Norway) | 200,000 | 183,123 | ||||||
The Korea Development Bank (South Korea) | 299,000 | 288,287 | ||||||
1.375%, 04/25/27 | 200,000 | 180,224 | ||||||
Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden, N.V. (Netherlands) | 300,000 | 273,353 | ||||||
Philippine Government International Bond (Philippines) | 200,000 | 160,184 | ||||||
Province of Ontario Canada (Canada) | 181,000 | 162,133 | ||||||
Province of Quebec Canada (Canada) | 163,000 | 138,330 | ||||||
Total Foreign Government Obligations | ||||||||
(Cost $5,390,267) | 4,934,786 | |||||||
Short-Term Investments - 7.0% | ||||||||
Joint Repurchase Agreements - 4.4%8 |
| |||||||
Citigroup Global Markets, Inc., dated 06/30/22, due 07/01/22, 1.500% total to be received $235,304 (collateralized by various U.S. Treasuries, 1.875% - 3.250%, 06/30/24 - 05/15/52, totaling $240,000) | 235,294 | 235,294 | ||||||
National Bank Financial, dated 06/30/22, due 07/01/22, 1.590% total to be received $1,000,044 (collateralized by various U.S. Treasuries, 0.000% - 2.750%, 07/01/22 - 09/09/49, totaling $1,020,001) |
| 1,000,000
|
|
| 1,000,000
|
|
The accompanying notes are an integral part of these financial statements.
19
Table of Contents
AMG GW&K Global Allocation Fund Schedule of Portfolio Investments (continued) |
Principal Amount | Value | |||||||
Joint Repurchase Agreements - 4.4%8 (continued) |
| |||||||
RBC Dominion Securities, Inc., dated 06/30/22, due 07/01/22, 1.550% total to be received $1,000,043 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 6.875%, 08/16/22 - 05/20/52, totaling $1,020,000) | $1,000,000 | $1,000,000 | ||||||
Total Joint Repurchase Agreements |
| 2,235,294 | ||||||
Repurchase Agreements - 2.6% | ||||||||
Fixed Income Clearing Corp., dated 06/30/2022 due 07/01/2022, 1.35% total to be received $1,350,051 (collateralized by a U.S. Treasury, 0.375%, 07/15/27, totaling $1,377,050) | 1,350,000 | 1,350,000 | ||||||
Total Short-Term Investments | ||||||||
(Cost $3,585,294) |
| 3,585,294
|
|
Value | ||||||||
Total Investments - 118.3% | ||||||||
(Cost $59,170,892) | $ | 60,737,434 | ||||||
Other Assets, less Liabilities - (18.3)% | (9,382,999 | ) | ||||||
Net Assets - 100.0% | $
| 51,354,435
|
|
* | Non-income producing security. |
1 | Some of these securities, amounting to $2,728,331 or 5.3% of net assets, were out on loan to various borrowers and are collateralized by cash and various U.S. Treasury Obligations. See Note 4 of Notes to Financial Statements. |
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 institutional buyers. At June 30, 2022, the value of these securities amounted to $3,261,297 or 6.4% of net assets. |
3 | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2022. Rate will reset at a future date. |
4 | Variable rate security. The rate shown is based on the latest available information as of June 30, 2022. 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 | Perpetuity Bond. The date shown represents the next call date. |
6 | Step Bond: A debt instrument with either deferred interest payments or an interest rate that resets at specific times during its term. |
7 | Principal amount stated in Chinese Yuan (CNY). |
8 | Cash collateral received for securities lending activity was invested in these joint repurchase agreements. |
ADR | American Depositary Receipt | |
CMT | Constant Maturity Treasury | |
EMTN | European Medium Term Note | |
EPIC | Établissement Public à caractère Industriel ou Commercial | |
FHLMC | Freddie Mac | |
FNMA | Fannie Mae | |
LIBOR | London Interbank Offered Rate | |
MTN | Medium-Term Note | |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of these financial statements.
20
Table of Contents
AMG GW&K Global Allocation 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, 2022:
Level 1 | Level 21 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $3,362,845 | $5,750,128 | — | $9,112,973 | ||||||||||||
Information Technology | 5,004,617 | 3,312,935 | — | 8,317,552 | ||||||||||||
Health Care | 5,843,552 | — | — | 5,843,552 | ||||||||||||
Financials | 2,979,457 | 1,476,179 | — | 4,455,636 | ||||||||||||
Industrials | 1,892,625 | 1,009,511 | — | 2,902,136 | ||||||||||||
Communication Services | 1,542,916 | 1,122,576 | — | 2,665,492 | ||||||||||||
Energy | 2,200,941 | — | — | 2,200,941 | ||||||||||||
Real Estate | 1,414,691 | — | — | 1,414,691 | ||||||||||||
Utilities | 1,326,115 | — | — | 1,326,115 | ||||||||||||
Corporate Bonds and Notes† | — | 5,246,101 | — | 5,246,101 | ||||||||||||
Municipal Bonds† | — | 688,224 | — | 688,224 | ||||||||||||
U.S. Government and Agency Obligations† | — | 8,043,941 | — | 8,043,941 | ||||||||||||
Foreign Government Obligations† | — | 4,934,786 | — | 4,934,786 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Joint Repurchase Agreements | — | 2,235,294 | — | 2,235,294 | ||||||||||||
Repurchase Agreements | — | 1,350,000 | — | 1,350,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $25,567,759 | $35,169,675 | — | $60,737,434 | ||||||||||||
|
|
|
|
|
|
|
|
† | All corporate bonds and notes, municipal bonds, U.S. government and agency obligations, and foreign government obligations held in the Fund are Level 2 securities. For a detailed breakout of corporate bonds and notes, municipal bonds, U.S. government and agency obligations and foreign government obligations by major industry or agency 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. |
For the six months ended June 30, 2022, there were no transfers in or out of Level 3.
The accompanying notes are an integral part of these financial statements.
21
Table of Contents
AMG GW&K Global Allocation Fund Schedule of Portfolio Investments (continued) |
The country allocation in the Schedule of Portfolio Investments at June 30, 2022, was as follows:
Country | % of Long-Term Investments | |
Belgium | 0.3 | |
Bermuda | 0.2 | |
Canada | 2.4 | |
China | 12.8 | |
Côte d’Ivoire | 0.6 | |
Finland | 0.3 | |
France | 1.8 | |
Germany | 2.4 | |
Hong Kong | 2.6 | |
India | 3.9 | |
Ireland | 0.4 | |
Italy | 1.5 | |
Japan | 2.3 | |
Luxembourg | 0.4 | |
Netherlands | 3.3 | |
Norway | 0.3 | |
Philippines | 0.6 | |
South Korea | 1.1 | |
Taiwan | 1.6 | |
United Kingdom | 2.0 | |
United States | 59.2 | |
| ||
100.0 | ||
|
The accompanying notes are an integral part of these financial statements.
22
Table of Contents
Statement of Assets and Liabilities (unaudited) | ||
June 30, 2022
|
AMG GW&K Small Cap Core Fund | AMG GW&K Small Cap Value Fund | AMG GW&K Small/Mid Cap Fund | AMG GW&K Global Allocation Fund | |||||||||||||||||
Assets: | ||||||||||||||||||||
Investments at value1 (including securities on loan valued at $38,111,959, $14,963,170, $23,840,157, and $2,728,331, respectively) | $671,754,913 | $283,003,633 | $539,468,069 | $60,737,434 | ||||||||||||||||
Cash | 982,835 | 441,893 | 756,327 | 32,485 | ||||||||||||||||
Foreign currency2 | — | — | — | 652,637 | ||||||||||||||||
Receivable for investments sold | — | 974,068 | 13,573,094 | 1,137,190 | ||||||||||||||||
Dividend and interest receivables | 383,175 | 309,550 | 213,973 | 221,125 | ||||||||||||||||
Securities lending income receivable | 6,206 | 2,745 | 3,202 | 870 | ||||||||||||||||
Receivable for Fund shares sold | 168,993 | 25,312 | 7,425,495 | 2,783 | ||||||||||||||||
Receivable from affiliate | — | 8,324 | 1,917 | 8,842 | ||||||||||||||||
Prepaid expenses and other assets | 37,945 | 26,533 | 34,221 | 24,540 | ||||||||||||||||
Total assets | 673,334,067 | 284,792,058 | 561,476,298 | 62,817,906 | ||||||||||||||||
Liabilities: | ||||||||||||||||||||
Payable upon return of securities loaned | 6,392,887 | 3,262,912 | 1,990 | 2,235,294 | ||||||||||||||||
Payable for investments purchased | 221,822 | 1,272,737 | 9,901,396 | — | ||||||||||||||||
Payable for Fund shares repurchased | 239,011 | 127,936 | 174,051 | 9,124,647 | ||||||||||||||||
Accrued expenses: | ||||||||||||||||||||
Investment advisory and management fees | 392,439 | 170,724 | 282,797 | 38,534 | ||||||||||||||||
Administrative fees | 83,978 | 36,584 | 68,419 | 9,634 | ||||||||||||||||
Distribution fees | 1,752 | — | 11,211 | 5,557 | ||||||||||||||||
Shareholder service fees | 19,089 | 39,689 | 10,658 | 4,019 | ||||||||||||||||
Other | 66,199 | 48,532 | 46,392 | 45,786 | ||||||||||||||||
Total liabilities | 7,417,177 | 4,959,114 | 10,496,914 | 11,463,471 | ||||||||||||||||
| ||||||||||||||||||||
Net Assets | $665,916,890 | $279,832,944 | $550,979,384 | $51,354,435 | ||||||||||||||||
1 Investments at cost | $592,827,920 | $272,085,476 | $536,227,394 | $59,170,892 | ||||||||||||||||
2 Foreign currency at cost | — | — | — | $656,065 |
The accompanying notes are an integral part of these financial statements.
23
Table of Contents
Statement of Assets and Liabilities (continued)
|
AMG GW&K Small Cap Core Fund | AMG GW&K Small Cap Value Fund | AMG GW&K Small/Mid Cap Fund | AMG GW&K Global Allocation Fund | |||||||||||||||||
Net Assets Represent: | ||||||||||||||||||||
Paid-in capital | $584,615,025 | $260,630,881 | $528,727,705 | $40,181,394 | ||||||||||||||||
Total distributable earnings | 81,301,865 | 19,202,063 | 22,251,679 | 11,173,041 | ||||||||||||||||
Net Assets | $665,916,890 | $279,832,944 | $550,979,384 | $51,354,435 | ||||||||||||||||
Class N: | ||||||||||||||||||||
Net Assets | $8,278,393 | $165,025,042 | $52,533,727 | $26,851,078 | ||||||||||||||||
Shares outstanding | 316,060 | 6,531,181 | 3,499,603 | 1,731,720 | ||||||||||||||||
Net asset value, offering and redemption price per share | $26.19 | $25.27 | $15.01 | $15.51 | ||||||||||||||||
Class I: | ||||||||||||||||||||
Net Assets | $426,827,333 | $86,953,142 | $255,580,933 | $22,345,983 | ||||||||||||||||
Shares outstanding | 15,840,019 | 3,441,668 | 16,948,578 | 1,422,971 | ||||||||||||||||
Net asset value, offering and redemption price per share | $26.95 | $25.26 | $15.08 | $15.70 | ||||||||||||||||
Class Z: | ||||||||||||||||||||
Net Assets | $230,811,164 | $27,854,760 | $242,864,724 | $2,157,374 | ||||||||||||||||
Shares outstanding | 8,556,816 | 1,106,272 | 16,075,065 | 137,186 | ||||||||||||||||
Net asset value, offering and redemption price per share | $26.97 | $25.18 | $15.11 | $15.73 |
The accompanying notes are an integral part of these financial statements.
24
Table of Contents
Statement of Operations (unaudited) For the six months ended June 30, 2022
|
AMG | AMG | AMG | AMG | |||||||||||||||||
GW&K Small Cap | GW&K Small Cap | GW&K Small/Mid | GW&K Global | |||||||||||||||||
Core Fund | Value Fund | Cap Fund | Allocation Fund | |||||||||||||||||
Investment Income: | ||||||||||||||||||||
Dividend income | $2,969,905 | $2,750,071 | $3,386,024 | $378,724 | ||||||||||||||||
Interest income | 21,424 | 4,807 | 15,912 | 323,335 | ||||||||||||||||
Securities lending income | 25,037 | 11,677 | 17,288 | 4,301 | ||||||||||||||||
Foreign withholding tax | (11,948 | ) | (2,273 | ) | (11,641 | ) | (27,897 | ) | ||||||||||||
Total investment income | 3,004,418 | 2,764,282 | 3,407,583 | 678,463 | ||||||||||||||||
Expenses: | ||||||||||||||||||||
Investment advisory and management fees | 2,431,492 | 1,137,256 | 1,757,186 | 297,926 | ||||||||||||||||
Administrative fees | 521,034 | 243,698 | 425,126 | 74,481 | ||||||||||||||||
Distribution fees - Class N | 11,814 | — | 75,446 | 39,752 | ||||||||||||||||
Shareholder servicing fees - Class N | 7,088 | 241,541 | — | — | ||||||||||||||||
Shareholder servicing fees - Class I | 118,594 | 25,564 | 67,420 | 32,486 | ||||||||||||||||
Professional fees | 31,913 | 25,342 | 29,733 | 22,834 | ||||||||||||||||
Registration fees | 31,079 | 26,366 | 24,811 | 23,970 | ||||||||||||||||
Custodian fees | 30,516 | 20,275 | 23,637 | 17,392 | ||||||||||||||||
Trustee fees and expenses | 23,542 | 11,333 | 18,673 | 3,762 | ||||||||||||||||
Transfer agent fees | 11,897 | 13,950 | 12,462 | 4,424 | ||||||||||||||||
Reports to shareholders | 11,037 | 13,806 | 10,797 | 5,103 | ||||||||||||||||
Interest expense | 804 | 96 | — | 4,380 | ||||||||||||||||
Miscellaneous | 11,689 | 6,289 | 8,660 | 3,670 | ||||||||||||||||
Repayment of prior reimbursements | 22,005 | — | 14,991 | — | ||||||||||||||||
Total expenses before offsets | 3,264,504 | 1,765,516 | 2,468,942 | 530,180 | ||||||||||||||||
Expense reimbursements | — | (36,128 | ) | (2,056 | ) | (51,361 | ) | |||||||||||||
Expense reductions | (29,092 | ) | (17,296 | ) | (8,222 | ) | — | |||||||||||||
Net expenses | 3,235,412 | 1,712,092 | 2,458,664 | 478,819 | ||||||||||||||||
| ||||||||||||||||||||
Net investment income (loss) | (230,994 | ) | 1,052,190 | 948,919 | 199,644 | |||||||||||||||
Net Realized and Unrealized Loss: | ||||||||||||||||||||
Net realized gain on investments | 6,199,136 | 5,680,537 | 12,089,474 | 5,456,304 | ||||||||||||||||
Net realized loss on foreign currency transactions | — | — | — | (57,184 | ) | |||||||||||||||
Net change in unrealized appreciation/depreciation on investments | (170,771,378 | ) | (71,262,698 | ) | (149,077,279 | ) | (30,694,412 | ) | ||||||||||||
Net change in unrealized appreciation/depreciation on foreign currency translations | — | — | — | (6,812 | ) | |||||||||||||||
Net realized and unrealized loss | (164,572,242 | ) | (65,582,161 | ) | (136,987,805 | ) | (25,302,104 | ) | ||||||||||||
| ||||||||||||||||||||
Net decrease in net assets resulting from operations | $(164,803,236 | ) | $(64,529,971 | ) | $(136,038,886 | ) | $(25,102,460 | ) |
The accompanying notes are an integral part of these financial statements.
25
Table of Contents
Statements of Changes in Net Assets For the six months ended June 30, 2022 (unaudited) and the fiscal year ended December 31, 2021
|
AMG GW&K Small Cap Core Fund | AMG GW&K Small Cap Value Fund | |||||||||||||||
June 30, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations: | ||||||||||||||||
Net investment income (loss) | $(230,994 | ) | $(629,013 | ) | $1,052,190 | $1,232,848 | ||||||||||
Net realized gain on investments | 6,199,136 | 49,419,834 | 5,680,537 | 38,956,174 | ||||||||||||
Net change in unrealized appreciation/depreciation on investments | (170,771,378 | ) | 79,668,547 | (71,262,698 | ) | 60,248,817 | ||||||||||
Net increase (decrease) in net assets resulting from operations | (164,803,236 | ) | 128,459,368 | (64,529,971 | ) | 100,437,839 | ||||||||||
Distributions to Shareholders: | ||||||||||||||||
Class N | — | (949,945 | ) | — | (28,587,718 | ) | ||||||||||
Class I | — | (46,514,091 | ) | — | (12,015,888 | ) | ||||||||||
Class Z | — | (15,991,224 | ) | — | (1,267,238 | ) | ||||||||||
Total distributions to shareholders | — | (63,455,260 | ) | — | (41,870,844 | ) | ||||||||||
Capital Share Transactions:1 | ||||||||||||||||
Net increase (decrease) from capital share transactions | 73,265,118 | 87,562,396 | (27,769,670 | ) | (23,573,512 | ) | ||||||||||
| ||||||||||||||||
Total increase (decrease) in net assets | (91,538,118 | ) | 152,566,504 | (92,299,641 | ) | 34,993,483 | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 757,455,008 | 604,888,504 | 372,132,585 | 337,139,102 | ||||||||||||
End of period | $665,916,890 | $757,455,008 | $279,832,944 | $372,132,585 |
1 See Note 1(g) of the Notes to Financial Statements.
The accompanying notes are an integral part of these financial statements.
26
Table of Contents
Statements of Changes in Net Assets (continued) For the six months ended June 30, 2022 (unaudited) and the fiscal year ended December 31, 2021
|
AMG GW&K Small/Mid Cap Fund | AMG GW&K Global Allocation Fund | |||||||||||||||
June 30, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations: | ||||||||||||||||
Net investment income (loss) | $948,919 | $(577,795) | $199,644 | $(157,875 | ) | |||||||||||
Net realized gain on investments | 12,089,474 | 32,735,934 | 5,399,120 | 8,621,655 | ||||||||||||
Net change in unrealized appreciation/depreciation on investments | (149,077,279 | ) | 63,516,205 | (30,701,224 | ) | (4,403,764 | ) | |||||||||
Net increase (decrease) in net assets resulting from operations | (136,038,886 | ) | 95,674,344 | (25,102,460 | ) | 4,060,016 | ||||||||||
Distributions to Shareholders: | ||||||||||||||||
Class N | — | (3,691,812 | ) | — | (999,921 | ) | ||||||||||
Class I | — | (14,552,343 | ) | — | (2,220,592 | ) | ||||||||||
Class Z | — | (10,207,781 | ) | — | (78,887 | ) | ||||||||||
Total distributions to shareholders | — | (28,451,936 | ) | — | (3,299,400 | ) | ||||||||||
Capital Share Transactions:1 | ||||||||||||||||
Net increase (decrease) from capital share transactions | 123,706,925 | 225,319,643 | (50,114,923 | ) | (27,205,033 | ) | ||||||||||
| ||||||||||||||||
Total increase (decrease) in net assets | (12,331,961 | ) | 292,542,051 | (75,217,383 | ) | (26,444,417 | ) | |||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 563,311,345 | 270,769,294 | 126,571,818 | 153,016,235 | ||||||||||||
End of period | $550,979,384 | $563,311,345 | $51,354,435 | $126,571,818 |
1 See Note 1(g) of the Notes to Financial Statements.
The accompanying notes are an integral part of these financial statements.
27
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 | For the fiscal years ended December 31, | |||||||||||||||||||||||
June 30, 2022 | ||||||||||||||||||||||||
Class N | (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||
Net Asset Value, Beginning of Period | $33.13 | $29.97 | $26.09 | $21.03 | $28.04 | $24.57 | ||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment loss1,2 | (0.06) | (0.15 | ) | (0.03 | ) | (0.04 | ) | (0.04 | ) | (0.06 | )3 | |||||||||||||
Net realized and unrealized gain (loss) on investments | (6.88) | 6.34 | 4.64 | 6.47 | (3.95 | ) | 5.06 | |||||||||||||||||
Total income (loss) from investment operations | (6.94) | 6.19 | 4.61 | 6.43 | (3.99 | ) | 5.00 | |||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||
Net realized gain on investments | — | (3.03 | ) | (0.73 | ) | (1.37 | ) | (3.02 | ) | (1.53 | ) | |||||||||||||
Net Asset Value, End of Period | $26.19 | $33.13 | $29.97 | $26.09 | $21.03 | $28.04 | ||||||||||||||||||
Total Return2,4 | (20.95)%5 | 21.01 | % | 17.73 | % | 30.66 | % | (14.08 | )% | 20.32 | % | |||||||||||||
Ratio of net expenses to average net assets6 | 1.30%7,8 | 1.30 | %8 | 1.29 | % | 1.29 | % | 1.28 | % | 1.32 | % | |||||||||||||
Ratio of gross expenses to average net assets9 | 1.30%7,8 | 1.30 | %8 | 1.30 | % | 1.31 | % | 1.28 | % | 1.33 | % | |||||||||||||
Ratio of net investment loss to average net assets2 | (0.43)%7 | (0.45 | )% | (0.14 | )% | (0.15 | )% | (0.13 | )% | (0.21 | )% | |||||||||||||
Portfolio turnover | 11%5 | 33 | % | 37 | % | 20 | % | 25 | % | 23 | % | |||||||||||||
Net assets end of period (000’s) omitted | $8,278 | $11,278 | $8,667 | $10,239 | $12,655 | $24,989 | ||||||||||||||||||
28
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 | For the fiscal years ended December 31, | |||||||||||||||||||||||||||||||||
June 30, 2022 | ||||||||||||||||||||||||||||||||||
Class I | (unaudited) | 2021 | 2020 | 2019 | 2018 | 201710 | ||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $34.02 | $30.61 | $26.57 | $21.37 | $28.42 | $24.84 | ||||||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss)1,2 | (0.01 | ) | (0.03 | ) | 0.05 | 0.05 | 0.06 | 0.07 | 3 | |||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (7.06 | ) | 6.47 | 4.76 | 6.58 | (4.03 | ) | 5.10 | ||||||||||||||||||||||||||
Total income (loss) from investment operations | (7.07 | ) | 6.44 | 4.81 | 6.63 | (3.97 | ) | 5.17 | ||||||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||||||
Net investment income | — | — | (0.04 | ) | (0.06 | ) | (0.06 | ) | (0.06 | ) | ||||||||||||||||||||||||
Net realized gain on investments | — | (3.03 | ) | (0.73 | ) | (1.37 | ) | (3.02 | ) | (1.53 | ) | |||||||||||||||||||||||
Total distributions to shareholders | — | (3.03 | ) | (0.77 | ) | (1.43 | ) | (3.08 | ) | (1.59 | ) | |||||||||||||||||||||||
Net Asset Value, End of Period | $26.95 | $34.02 | $30.61 | $26.57 | $21.37 | $28.42 | ||||||||||||||||||||||||||||
Total Return2,4 | (20.78 | )%5 | 21.38 | % | 18.16 | % | 31.13 | % | (13.83 | )% | 20.79 | % | ||||||||||||||||||||||
Ratio of net expenses to average net assets6 | 0.95 | %7,8 | 0.95 | %8 | 0.94 | % | 0.94 | % | 0.95 | % | 0.95 | % | ||||||||||||||||||||||
Ratio of gross expenses to average net assets9 | 0.95 | %7,8 | 0.95 | %8 | 0.95 | % | 0.96 | % | 0.95 | % | 0.96 | % | ||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets2 | (0.08 | )%7 | (0.10 | )% | 0.21 | % | 0.20 | % | 0.20 | % | 0.24 | % | ||||||||||||||||||||||
Portfolio turnover | 11 | %5 | 33 | % | 37 | % | 20 | % | 25 | % | 23 | % | ||||||||||||||||||||||
Net assets end of period (000’s) omitted | $426,827 | $546,326 | $470,373 | $331,703 | $311,252 | $403,309 | ||||||||||||||||||||||||||||
29
Table of Contents
AMG GW&K Small Cap Core Fund | ||
Financial Highlights | ||
For a share outstanding throughout each fiscal period |
For the fiscal | ||||||||||||||||||||||||||||||||||
For the six | period ended | |||||||||||||||||||||||||||||||||
months ended | For the fiscal years ended December 31, | December 31, | ||||||||||||||||||||||||||||||||
June 30, 2022 | ||||||||||||||||||||||||||||||||||
Class Z | (unaudited) | 2021 | 2020 | 2019 | 2018 | 201711 | ||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $34.05 | $30.61 | $26.57 | $21.37 | $28.42 | $26.13 | ||||||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss)1,2 | (0.00 | )12 | (0.02 | ) | 0.07 | 0.06 | 0.07 | 0.14 | 3 | |||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (7.08 | ) | 6.49 | 4.75 | 6.59 | (4.03 | ) | 3.75 | ||||||||||||||||||||||||||
Total income (loss) from investment operations | (7.08 | ) | 6.47 | 4.82 | 6.65 | (3.96 | ) | 3.89 | ||||||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||||||
Net investment income | — | — | (0.05 | ) | (0.08 | ) | (0.07 | ) | (0.07 | ) | ||||||||||||||||||||||||
Net realized gain on investments | — | (3.03 | ) | (0.73 | ) | (1.37 | ) | (3.02 | ) | (1.53 | ) | |||||||||||||||||||||||
Total distributions to shareholders | — | (3.03 | ) | (0.78 | ) | (1.45 | ) | (3.09 | ) | (1.60 | ) | |||||||||||||||||||||||
Net Asset Value, End of Period | $26.97 | $34.05 | $30.61 | $26.57 | $21.37 | $28.42 | ||||||||||||||||||||||||||||
Total Return2,4 | (20.79 | )%5 | 21.48 | % | 18.21 | % | 31.13 | % | (13.73 | )% | 14.87 | %5 | ||||||||||||||||||||||
Ratio of net expenses to average net assets6 | 0.90 | %7,8 | 0.90 | %8 | 0.89 | % | 0.89 | % | 0.90 | % | 0.90 | %7 | ||||||||||||||||||||||
Ratio of gross expenses to average net assets9 | 0.90 | %7,8 | 0.90 | %8 | 0.90 | % | 0.91 | % | 0.90 | % | 0.91 | %7 | ||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets2 | (0.03 | )%7 | (0.05 | )% | 0.26 | % | 0.25 | % | 0.25 | % | 0.56 | %7 | ||||||||||||||||||||||
Portfolio turnover | 11 | %5 | 33 | % | 37 | % | 20 | % | 25 | % | 23 | % | ||||||||||||||||||||||
Net assets end of period (000’s) omitted | $ | 230,811 | $ | 199,851 | $ | 125,848 | $ | 110,020 | $ | 85,009 | $ | 108,047 | ||||||||||||||||||||||
1 | Per share numbers have been calculated using average shares. |
2 | Total returns and net investment income (loss) would have been lower had certain expenses not been offset. |
3 | Includes non-recurring dividends. Without these dividends, net investment income (loss) per share would have been $(0.12), $0.01, and $0.09 for Class N, Class I and Class Z shares, respectively. |
4 | The total return is calculated using the published Net Asset Value as of period end. |
5 | Not annualized. |
6 | Includes reduction from broker recapture amounting to less than 0.01% for the six months ended June 30,2022 and for the fiscal year ended December 31, 2021, 0.01% for the fiscal years ended 2020 and 2019, less than 0.01% for the fiscal year ended 2018 and the period ended December 31, 2017. |
7 | Annualized. |
8 | Such ratio includes recapture of waived/reimbursed fees from prior periods amounting to less than 0.01% |
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 | Effective June 23, 2017, Class S shares were converted to Class I shares. |
11 | Commencement of operations was on February 27, 2017. |
12 | Less than $(0.005) per share. |
30
Table of Contents
AMG GW&K Small Cap Value 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, 2022 | ||||||||||||||||||||||||||||||||||
Class N | (unaudited) | 2021 | 2020 | 2019 | 2018 | 20171 | ||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $30.90 | $26.71 | $37.16 | $30.93 | $43.98 | $43.30 | ||||||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss)2,3 | 0.08 | 0.09 | 0.08 | 0.07 | (0.01 | ) | (0.08 | ) | ||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (5.71 | ) | 8.41 | 1.00 | 8.79 | (8.40 | ) | 3.73 | ||||||||||||||||||||||||||
Total income (loss) from investment operations | (5.63 | ) | 8.50 | 1.08 | 8.86 | (8.41 | ) | 3.65 | ||||||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||||||
Net investment income | — | (0.08 | ) | (0.08 | ) | (0.09 | ) | — | — | |||||||||||||||||||||||||
Net realized gain on investments | — | (4.23 | ) | (11.45 | ) | (2.54 | ) | (4.64 | ) | (2.97 | ) | |||||||||||||||||||||||
Total distributions to shareholders | — | (4.31 | ) | (11.53 | ) | (2.63 | ) | (4.64 | ) | (2.97 | ) | |||||||||||||||||||||||
Net Asset Value, End of Period | $25.27 | $30.90 | $26.71 | $37.16 | $30.93 | $43.98 | ||||||||||||||||||||||||||||
Total Return3,4 | (18.22 | )%5 | 32.93 | % | 3.29 | % | 28.64 | % | (19.00 | )% | 8.39 | % | ||||||||||||||||||||||
Ratio of net expenses to average net assets | 1.14 | %6,7 | 1.13 | %7 | 1.17 | % | 1.17 | % | 1.17 | % | 1.25 | % | ||||||||||||||||||||||
Ratio of gross expenses to average net assets8 | 1.17 | %6,7 | 1.17 | % | 1.21 | % | 1.20 | % | 1.18 | % | 1.27 | % | ||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets3 | 0.56 | %6 | 0.28 | % | 0.28 | % | 0.19 | % | (0.03 | )% | (0.18 | )% | ||||||||||||||||||||||
Portfolio turnover | 12 | %5 | 41 | % | 115 | % | 20 | % | 24 | % | 33 | % | ||||||||||||||||||||||
Net assets end of period (000’s) omitted | $ | 165,025 | $ | 223,586 | $ | 243,655 | $ | 359,550 | $ | 425,540 | $ | 923,139 | ||||||||||||||||||||||
31
Table of Contents
AMG GW&K Small Cap Value Fund | ||
Financial Highlights | ||
For a share outstanding throughout each fiscal period |
For the fiscal | ||||||||||||||||||||||||||||||||||
For the six | period ended | |||||||||||||||||||||||||||||||||
months ended | For the fiscal years ended December 31, | December 31, | ||||||||||||||||||||||||||||||||
June 30, 2022 | ||||||||||||||||||||||||||||||||||
Class I | (unaudited) | 2021 | 2020 | 2019 | 2018 | 20179 | ||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $30.87 | $26.79 | $37.23 | $31.05 | $44.06 | $43.64 | ||||||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income2,3 | 0.11 | 0.15 | 0.14 | 0.13 | 0.06 | 0.02 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (5.72 | ) | 8.42 | 1.02 | 8.83 | (8.43 | ) | 3.37 | ||||||||||||||||||||||||||
Total income (loss) from investment operations | (5.61 | ) | 8.57 | 1.16 | 8.96 | (8.37 | ) | 3.39 | ||||||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||||||
Net investment income | — | (0.26 | ) | (0.15 | ) | (0.24 | ) | — | — | |||||||||||||||||||||||||
Net realized gain on investments | — | (4.23 | ) | (11.45 | ) | (2.54 | ) | (4.64 | ) | (2.97 | ) | |||||||||||||||||||||||
Total distributions to shareholders | — | (4.49 | ) | (11.60 | ) | (2.78 | ) | (4.64 | ) | (2.97 | ) | |||||||||||||||||||||||
Net Asset Value, End of Period | $25.26 | $30.87 | $26.79 | $37.23 | $31.05 | $44.06 | ||||||||||||||||||||||||||||
Total Return3,4 | (18.17 | )%5 | 33.17 | % | 3.50 | % | 28.86 | % | (18.88 | )% | 7.73 | %5 | ||||||||||||||||||||||
Ratio of net expenses to average net assets | 0.94 | %6,7 | 0.93 | %7 | 0.99 | % | 1.01 | % | 1.01 | % | 1.13 | %6 | ||||||||||||||||||||||
Ratio of gross expenses to average net assets8 | 0.97 | %6,7 | 0.97 | % | 1.03 | % | 1.04 | % | 1.02 | % | 1.15 | %6 | ||||||||||||||||||||||
Ratio of net investment income to average net assets3 | 0.76 | %6 | 0.48 | % | 0.46 | % | 0.35 | % | 0.13 | % | 0.06 | %6 | ||||||||||||||||||||||
Portfolio turnover | 12 | %5 | 41 | % | 115 | % | 20 | % | 24 | % | 33 | % | ||||||||||||||||||||||
Net assets end of period (000’s) omitted | $ | 86,953 | $ | 115,837 | $ | 83,003 | $ | 122,323 | $ | 306,757 | $ | 362,723 | ||||||||||||||||||||||
32
Table of Contents
AMG GW&K Small Cap Value Fund | ||
Financial Highlights | ||
For a share outstanding throughout each fiscal period |
For the fiscal | ||||||||||||||||||||||||||||||||||
For the six | period ended | |||||||||||||||||||||||||||||||||
months ended | For the fiscal years ended December 31, | December 31, | ||||||||||||||||||||||||||||||||
June 30, 2022 | ||||||||||||||||||||||||||||||||||
Class Z | (unaudited) | 2021 | 2020 | 2019 | 2018 | 20179 | ||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $30.76 | $26.72 | $37.16 | $31.10 | $44.08 | $43.64 | ||||||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income2,3 | 0.11 | 0.16 | 0.16 | 0.16 | 0.10 | 0.08 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (5.69 | ) | 8.41 | 1.02 | 8.84 | (8.44 | ) | 3.33 | ||||||||||||||||||||||||||
Total income (loss) from investment operations | (5.58 | ) | 8.57 | 1.18 | 9.00 | (8.34 | ) | 3.41 | ||||||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||||||
Net investment income | — | (0.30 | ) | (0.17 | ) | (0.40 | ) | — | — | |||||||||||||||||||||||||
Net realized gain on investments | — | (4.23 | ) | (11.45 | ) | (2.54 | ) | (4.64 | ) | (2.97 | ) | |||||||||||||||||||||||
Total distributions to shareholders | — | (4.53 | ) | (11.62 | ) | (2.94 | ) | (4.64 | ) | (2.97 | ) | |||||||||||||||||||||||
Net Asset Value, End of Period | $25.18 | $30.76 | $26.72 | $37.16 | $31.10 | $44.08 | ||||||||||||||||||||||||||||
Total Return3,4 | (18.14 | )%5 | 33.27 | % | 3.57 | % | 28.94 | % | (18.80 | )% | 7.78 | %5 | ||||||||||||||||||||||
Ratio of net expenses to average net assets | 0.89 | %6,7 | 0.88 | %7 | 0.92 | % | 0.92 | % | 0.92 | % | 0.98 | %6 | ||||||||||||||||||||||
Ratio of gross expenses to average net assets8 | | 0.92 | %6,7 | 0.92 | % | 0.96 | % | 0.95 | % | 0.93 | % | 1.00 | %6 | |||||||||||||||||||||
Ratio of net investment income to average net assets3 | 0.81 | %6 | 0.53 | % | 0.53 | % | 0.44 | % | 0.22 | % | 0.21 | %6 | ||||||||||||||||||||||
Portfolio turnover | 12 | %5 | 41 | % | 115 | % | 20 | % | 24 | % | 33 | % | ||||||||||||||||||||||
Net assets end of period (000’s) omitted | $ | 27,855 | $ | 32,710 | $ | 10,481 | $ | 11,815 | $ | 16,969 | $ | 9,929 | ||||||||||||||||||||||
1 | Effective February 27, 2017, Class S was renamed Class N. |
2 | Per share numbers have been calculated using average shares. |
3 | Total returns and net investment income (loss) would have been lower had certain expenses not been offset. |
4 | The total return is calculated using the published Net Asset Value as of period end. |
5 | Not annualized. |
6 | Annualized. |
7 | Includes reduction from broker recapture amounting to 0.01% for the six months ended 30 June, 2022 and 0.02% for the fiscal year ended December 31, 2021. |
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 | Commencement of operations was on February 27, 2017. |
33
Table of Contents
AMG GW&K Small/Mid Cap Fund | ||
Financial Highlights | ||
For a share outstanding throughout each fiscal period |
For the fiscal | ||||||||||||||||||||||||||||||||||
For the six | period ended | |||||||||||||||||||||||||||||||||
months ended | For the fiscal years ended December 31, | December 31, | ||||||||||||||||||||||||||||||||
June 30, 2022 | ||||||||||||||||||||||||||||||||||
Class N | (unaudited) | 2021 | 2020 | 2019 | 2018 | 20171 | ||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $19.08 | $16.04 | $13.03 | $9.99 | $11.15 | $10.35 | ||||||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss)2,3 | 0.01 | (0.06 | ) | (0.01 | ) | 0.00 | 4 | (0.01 | ) | 0.01 | 5 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (4.08 | ) | 4.14 | 3.02 | 3.07 | (0.91 | ) | 0.94 | ||||||||||||||||||||||||||
Total income (loss) from investment operations | (4.07 | ) | 4.08 | 3.01 | 3.07 | (0.92 | ) | 0.95 | ||||||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||||||
Net investment income | — | — | — | (0.01 | ) | — | — | |||||||||||||||||||||||||||
Net realized gain on investments | — | (1.04 | ) | — | (0.02 | ) | (0.24 | ) | (0.15 | ) | ||||||||||||||||||||||||
Total distributions to shareholders | — | (1.04 | ) | — | (0.03 | ) | (0.24 | ) | (0.15 | ) | ||||||||||||||||||||||||
Net Asset Value, End of Period | $15.01 | $19.08 | $16.04 | $13.03 | $9.99 | $11.15 | ||||||||||||||||||||||||||||
Total Return3,6 | (21.33 | )%7 | 25.63 | % | 23.10 | % | 30.64 | % | (8.25 | )% | 9.17 | %7 | ||||||||||||||||||||||
Ratio of net expenses to average net assets8 | 1.06 | %9,10 | 1.06 | % | 1.10 | % | 1.09 | % | 1.09 | % | 1.10 | %9 | ||||||||||||||||||||||
Ratio of gross expenses to average net assets11 | 1.07 | %9,10 | 1.08 | % | 1.13 | % | 1.14 | % | 1.16 | % | 1.71 | %9 | ||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets3 | 0.14 | %9 | (0.32 | )% | (0.07 | )% | 0.02 | % | (0.09 | )% | 0.12 | %9 | ||||||||||||||||||||||
Portfolio turnover | 9 | %7 | 19 | % | 29 | % | 18 | % | 53 | % | 38 | % | ||||||||||||||||||||||
Net assets end of period (000’s) omitted | $52,534 | $70,736 | $224 | $172 | $89 | $11 | ||||||||||||||||||||||||||||
34
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 | For the fiscal years ended December 31, | |||||||||||||||||||||||||||||||||
June 30, 2022 | ||||||||||||||||||||||||||||||||||
Class I | (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $19.15 | $16.06 | $13.04 | $9.99 | $11.15 | $9.80 | ||||||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss)2,3 | 0.03 | (0.02 | ) | 0.01 | 0.02 | 0.01 | 0.03 | 5 | ||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (4.10 | ) | 4.15 | 3.03 | 3.07 | (0.92 | ) | 1.48 | ||||||||||||||||||||||||||
Total income (loss) from investment operations | (4.07 | ) | 4.13 | 3.04 | 3.09 | (0.91 | ) | 1.51 | ||||||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||||||
Net investment income | — | — | (0.02 | ) | (0.02 | ) | (0.01 | ) | (0.01 | ) | ||||||||||||||||||||||||
Net realized gain on investments | — | (1.04 | ) | — | (0.02 | ) | (0.24 | ) | (0.15 | ) | ||||||||||||||||||||||||
Total distributions to shareholders | — | (1.04 | ) | (0.02 | ) | (0.04 | ) | (0.25 | ) | (0.16 | ) | |||||||||||||||||||||||
Net Asset Value, End of Period | $15.08 | $19.15 | $16.06 | $13.04 | $9.99 | $11.15 | ||||||||||||||||||||||||||||
Total Return3,6 | (21.25 | )%7 | 25.91 | % | 23.31 | % | 30.86 | % | (8.15 | )% | 15.44 | % | ||||||||||||||||||||||
Ratio of net expenses to average net assets8 | 0.86 | %9,10 | 0.86 | % | 0.92 | % | 0.94 | % | 0.94 | % | 0.94 | % | ||||||||||||||||||||||
Ratio of gross expenses to average net assets11 | 0.87 | %9,10 | 0.88 | % | 0.95 | % | 0.99 | % | 1.01 | % | 1.62 | % | ||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets3 | 0.34 | %9 | (0.12 | )% | 0.11 | % | 0.17 | % | 0.06 | % | 0.26 | % | ||||||||||||||||||||||
Portfolio turnover | 9 | %7 | 19 | % | 29 | % | 18 | % | 53 | % | 38 | % | ||||||||||||||||||||||
Net assets end of period (000’s) omitted | $ | 255,581 | $ | 293,614 | $ | 165,840 | $ | 102,784 | $ | 54,376 | $ | 24,266 | ||||||||||||||||||||||
35
Table of Contents
AMG GW&K Small/Mid Cap Fund | ||
Financial Highlights | ||
For a share outstanding throughout each fiscal period |
For the fiscal | ||||||||||||||||||||||||||||||||||
For the six | period ended | |||||||||||||||||||||||||||||||||
months ended | For the fiscal years ended December 31, | December 31, | ||||||||||||||||||||||||||||||||
June 30, 2022 | ||||||||||||||||||||||||||||||||||
Class Z | (unaudited) | 2021 | 2020 | 2019 | 2018 | 20171 | ||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $19.18 | $16.07 | $13.05 | $10.00 | $11.15 | $10.35 | ||||||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss)2,3 | 0.03 | (0.01 | ) | 0.02 | 0.03 | 0.02 | 0.03 | 5 | ||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (4.10 | ) | 4.16 | 3.03 | 3.07 | (0.91 | ) | 0.94 | ||||||||||||||||||||||||||
Total income (loss) from investment operations | (4.07 | ) | 4.15 | 3.05 | 3.10 | (0.89 | ) | 0.97 | ||||||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||||||
Net investment income | — | — | (0.03 | ) | (0.03 | ) | (0.02 | ) | (0.02 | ) | ||||||||||||||||||||||||
Net realized gain on investments | — | (1.04 | ) | — | (0.02 | ) | (0.24 | ) | (0.15 | ) | ||||||||||||||||||||||||
Total distributions to shareholders | — | (1.04 | ) | (0.03 | ) | (0.05 | ) | (0.26 | ) | (0.17 | ) | |||||||||||||||||||||||
Net Asset Value, End of Period | $15.11 | $19.18 | $16.07 | $13.05 | $10.00 | $11.15 | ||||||||||||||||||||||||||||
Total Return3,6 | (21.22 | )%7 | 26.02 | % | 23.37 | % | 30.94 | % | (7.98 | )% | 9.34 | %7 | ||||||||||||||||||||||
Ratio of net expenses to average net assets8 | 0.81 | %9,10 | 0.81 | % | 0.83 | % | 0.84 | % | 0.84 | % | 0.85 | %9 | ||||||||||||||||||||||
Ratio of gross expenses to average net assets11 | 0.82 | %9,10 | 0.83 | % | 0.86 | % | 0.89 | % | 0.91 | % | 1.46 | %9 | ||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets3 | 0.39 | %9 | (0.07 | )% | 0.19 | % | 0.27 | % | 0.16 | % | 0.37 | %9 | ||||||||||||||||||||||
Portfolio turnover | 9 | %7 | 19 | % | 29 | % | 18 | % | 53 | % | 38 | % | ||||||||||||||||||||||
Net assets end of period (000’s) omitted | $242,865 | $198,961 | $104,705 | $95,884 | $65,375 | $6,980 | ||||||||||||||||||||||||||||
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 (loss) 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 (loss) per share 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 0.01% for the six months ended June 30 2022 and for the fiscal year ended 2021, 2020, 2019, 2018, and less than 0.01% for the fiscal year ended 2017. |
9 | Annualized. |
10 | Such ratio includes recapture of waived/reimbursed fees from prior periods amounting to less than 0.01% |
11 | 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.) |
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Table of Contents
AMG GW&K Global Allocation 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, 2022 | ||||||||||||||||||||||||||||||||||
Class N | (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $19.50 | $19.50 | $17.04 | $15.45 | $17.03 | $15.45 | ||||||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss)1,2 | 0.03 | (0.04 | ) | 0.10 | 0.25 | 0.18 | 0.10 | |||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (4.02 | ) | 0.51 | 2.93 | 2.35 | (0.67 | ) | 2.30 | ||||||||||||||||||||||||||
Total income (loss) from investment operations | (3.99 | ) | 0.47 | 3.03 | 2.60 | (0.49 | ) | 2.40 | ||||||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||||||
Net investment income | — | (0.00 | )3 | (0.09 | ) | (0.27 | ) | (0.16 | ) | (0.11 | ) | |||||||||||||||||||||||
Net realized gain on investments | — | (0.47 | ) | (0.48 | ) | (0.74 | ) | (0.93 | ) | (0.71 | ) | |||||||||||||||||||||||
Paid in capital | — | — | (0.00 | )3 | — | — | — | |||||||||||||||||||||||||||
Total distributions to shareholders | — | (0.47 | ) | (0.57 | ) | (1.01 | ) | (1.09 | ) | (0.82 | ) | |||||||||||||||||||||||
Net Asset Value, End of Period | $15.51 | $19.50 | $19.50 | $17.04 | $15.45 | $17.03 | ||||||||||||||||||||||||||||
Total Return2,4 | (20.46 | )%5 | 2.44 | % | 18.92 | % | 16.96 | % | (2.89 | )% | 15.54 | % | ||||||||||||||||||||||
Ratio of net expenses to average net assets6 | 1.06 | %7 | 1.06 | % | 1.07 | % | 1.08 | % | 1.08 | % | 1.09 | % | ||||||||||||||||||||||
Ratio of gross expenses to average net assets8 | 1.16 | %7 | 1.10 | % | 1.19 | % | 1.16 | % | 1.15 | % | 1.14 | % | ||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets2 | 0.30 | %7 | (0.21 | )% | 0.60 | % | 1.51 | % | 1.02 | % | 0.63 | % | ||||||||||||||||||||||
Portfolio turnover | 14 | %5 | 36 | % | 156 | % | 123 | % | 80 | % | 75 | % | ||||||||||||||||||||||
Net assets end of period (000’s) omitted | $ | 26,851 | $ | 41,939 | $ | 51,415 | $ | 69,774 | $ | 75,271 | $ | 74,315 | ||||||||||||||||||||||
37
Table of Contents
AMG GW&K Global Allocation 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, 2022 | ||||||||||||||||||||||||||||||||||
Class I | (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $19.75 | $19.71 | $17.22 | $15.60 | $17.19 | $15.59 | ||||||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss)1,2 | 0.04 | (0.01 | ) | 0.13 | 0.28 | 0.21 | 0.13 | |||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (4.09 | ) | 0.53 | 2.95 | 2.38 | (0.68 | ) | 2.31 | ||||||||||||||||||||||||||
Total income (loss) from investment operations | (4.05 | ) | 0.52 | 3.08 | 2.66 | (0.47 | ) | 2.44 | ||||||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||||||
Net investment income | — | (0.01 | ) | (0.11 | ) | (0.30 | ) | (0.19 | ) | (0.13 | ) | |||||||||||||||||||||||
Net realized gain on investments | — | (0.47 | ) | (0.48 | ) | (0.74 | ) | (0.93 | ) | (0.71 | ) | |||||||||||||||||||||||
Paid in capital | — | — | (0.00 | )3 | — | — | — | |||||||||||||||||||||||||||
Total distributions to shareholders | — | (0.48 | ) | (0.59 | ) | (1.04 | ) | (1.12 | ) | (0.84 | ) | |||||||||||||||||||||||
Net Asset Value, End of Period | $15.70 | $19.75 | $19.71 | $17.22 | $15.60 | $17.19 | ||||||||||||||||||||||||||||
Total Return2,4 | (20.42 | )%5 | 2.60 | % | 19.08 | % | 17.17 | % | (2.77 | )% | 15.71 | % | ||||||||||||||||||||||
Ratio of net expenses to average net assets6 | 0.91 | %7 | 0.91 | % | 0.92 | % | 0.93 | % | 0.92 | % | 0.94 | % | ||||||||||||||||||||||
Ratio of gross expenses to average net assets8 | 1.01 | %7 | 0.95 | % | 1.04 | % | 1.01 | % | 0.99 | % | 0.99 | % | ||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets2 | 0.45 | %7 | (0.06 | )% | 0.75 | % | 1.66 | % | 1.18 | % | 0.78 | % | ||||||||||||||||||||||
Portfolio turnover | 14 | %5 | 36 | % | 156 | % | 123 | % | 80 | % | 75 | % | ||||||||||||||||||||||
Net assets end of period (000’s) omitted | $ | 22,346 | $ | 81,515 | $ | 97,869 | $ | 173,575 | $ | 166,554 | $ | 114,913 | ||||||||||||||||||||||
38
Table of Contents
AMG GW&K Global Allocation 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, 2022 | ||||||||||||||||||||||||||||||
Class Z | (unaudited)
| 2021
| 2020
| 2019
| 2018
| 2017
| ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $19.76 | $19.71 | $17.21 | $15.60 | $17.19 | $15.58 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment income1,2 | 0.05 | 0.01 | 0.14 | 0.30 | 0.22 | 0.15 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (4.08) | 0.52 | 2.97 | 2.37 | (0.67 | ) | 2.32 | |||||||||||||||||||||||
Total income (loss) from investment operations | (4.03) | 0.53 | 3.11 | 2.67 | (0.45 | ) | 2.47 | |||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | – | (0.01 | ) | (0.13 | ) | (0.32 | ) | (0.21 | ) | (0.15 | ) | |||||||||||||||||||
Net realized gain on investments | – | (0.47 | ) | (0.48 | ) | (0.74 | ) | (0.93 | ) | (0.71 | ) | |||||||||||||||||||
Paid in capital | – | – | (0.00 | )3 | – | – | – | |||||||||||||||||||||||
Total distributions to shareholders | – | (0.48 | ) | (0.61 | ) | (1.06 | ) | (1.14 | ) | (0.86 | ) | |||||||||||||||||||
Net Asset Value, End of Period | $15.73 | $19.76 | $19.71 | $17.21 | $15.60 | $17.19 | ||||||||||||||||||||||||
Total Return2,4 | (20.40)%5 | 2.73 | % | 19.28 | % | 17.21 | % | (2.68 | )% | 15.90 | % | |||||||||||||||||||
Ratio of net expenses to average net assets6 | 0.81%7 | 0.81 | % | 0.82 | % | 0.83 | % | 0.83 | % | 0.84 | % | |||||||||||||||||||
Ratio of gross expenses to average net assets8 | 0.91%7 | 0.85 | % | 0.94 | % | 0.91 | % | 0.90 | % | 0.89 | % | |||||||||||||||||||
Ratio of net investment income to average net assets2 | 0.55%7 | 0.04 | % | 0.85 | % | 1.76 | % | 1.27 | % | 0.88 | % | |||||||||||||||||||
Portfolio turnover | 14%5 | 36 | % | 156 | % | 123 | % | 80 | % | 75 | % | |||||||||||||||||||
Net assets end of period (000’s) omitted | $2,157 | $3,118 | $3,733 | $8,358 | $8,429 | $7,060 |
1 | Per share numbers have been calculated using average shares. |
2 | Total returns and net investment income (loss) would have been lower had certain expenses not been offset. |
3 | Less than $(0.005) per share. |
4 | The total return is calculated using the published Net Asset Value as of period end. |
5 | Not annualized. |
6 | Includes reduction from broker recapture amounting to less than 0.01% for the fiscal year ended December 31, 2020, 0.01% for the fiscal years ended December 31, 2019 and 2018 and less than 0.01% for the fiscal year ended 2017. |
7 | Annualized. |
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.) |
39
Table of Contents
Notes to Financial Statements (unaudited) June 30, 2022
|
1. ORGANIZATION AND 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 Small Cap Core Fund (“Small Cap Core”), AMG GW&K Small Cap Value (“Small Cap Value”) and GW&K Small/Mid Cap Fund (“Small/Mid Cap”) and AMG Funds II: AMG GW&K Global Allocation Fund (“Global Allocation”), each a “Fund” and collectively, the “Funds”.
Each Fund offers Class N shares, Class I shares 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.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the Funds and thus Fund performance.
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
For the Funds, 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. Equity securities held by the Funds that are traded in the over-the-counter market (other than NMS securities) are valued at the bid price. Foreign equity securities (securities principally traded in markets other than U.S. markets) held by the Funds 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 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.
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 registered 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 Boards of Trustees of the Trusts (the “Boards”). 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 Boards. The Valuation Committee, which is comprised of the Independent Trustees of the Boards, and the Pricing Committee, which is comprised of representatives from AMG Funds LLC (the “Investment Manager”) are the committees appointed by the Boards 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 Boards’ 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 a 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 Boards will be presented with a quarterly report showing as of the most recent quarter end, all outstanding securities fair valued by the Funds, including a comparison with the prior quarter end and the percentage of the Funds that the security represents at each quarter end.
With respect to foreign equity securities and certain foreign fixed income securities, the Boards have adopted a policy that securities held in the Funds 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
40
Table of Contents
Notes to Financial Statements (continued)
|
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.
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 the issuer, 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 or funds within the AMG Funds Family of 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, Small Cap Value and Small/Mid Cap 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, 2022, the impact on the expenses
and expense ratios were as follows: Small Cap Core $29,092or less than 0.01%, Small Cap Value $17,296 or 0.01% and Small/Mid Cap $8,222 or 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 primarily due to adjustments related to mergers and net operating losses. Temporary differences are primarily due to the deferral of late year losses and wash sale loss deferrals.
At June 30, 2022, 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 for federal income tax purposes were as follows:
Fund | Cost | Appreciation | Depreciation | Net Appreciation | ||||
Small Cap Core | $592,827,920 | $118,966,245 | $(40,039,252) | $78,926,993 | ||||
Small Cap Value | 272,085,476 | 32,086,211 | (21,168,054) | 10,918,157 | ||||
Small/Mid Cap | 536,227,394 | 50,663,629 | (47,422,954) | 3,240,675 | ||||
Global Allocation | 59,170,892 | 6,864,816 | (5,298,364) | 1,566,452 |
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 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.
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f. CAPITAL LOSS CARRYOVERS AND DEFERRALS
As of December 31, 2021, the Funds had no capital loss carryovers for federal income tax purposes. Should the Funds incur net capital losses for the fiscal year
ended December 31, 2022, such amounts may be used to offset future realized capital gains indefinitely, and retain their character as short-term and/or long-term.
g. CAPITALSTOCK
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, 2022 (unaudited) and the fiscal year ended December 31, 2021, the capital stock transactions by class for the Funds were as follows:
Small Cap Core | Small Cap Value | |||||||||||||||||||||||||||||||
June 30, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Class N: | ||||||||||||||||||||||||||||||||
Shares sold | 19,640 | $574,462 | 84,169 | $2,934,323 | 237,039 | $6,806,513 | 646,059 | $20,089,418 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions | — | — | 29,602 | 949,062 | — | — | 964,248 | 28,375,377 | ||||||||||||||||||||||||
Proceeds from sale of shares issued in connection with merger1 | — | — | — | — | — | — | 186,108 | 5,493,756 | ||||||||||||||||||||||||
Shares redeemed | (44,023 | ) | (1,306,134 | ) | (62,485 | ) | (2,150,775 | ) | (941,032 | ) | (26,651,208 | ) | (3,681,845 | ) | (115,582,183 | ) | ||||||||||||||||
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Net increase (decrease) | (24,383 | ) | $(731,672) | 51,286 | $1,732,610 | (703,993 | ) | $(19,844,695 | ) | (1,885,430 | ) | $(61,623,632 | ) | |||||||||||||||||||
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Class I: | ||||||||||||||||||||||||||||||||
Shares sold | 2,622,778 | $78,920,167 | 2,645,735 | $91,738,088 | 99,436 | $2,864,218 | 341,959 | $10,607,900 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions | — | — | 1,277,694 | 42,061,693 | — | — | 396,269 | 11,704,153 | ||||||||||||||||||||||||
Proceeds from sale of shares issued in connection with merger1 | — | — | — | — | — | — | 1,824,176 | 53,997,408 | ||||||||||||||||||||||||
Shares redeemed | (2,840,688 | ) | (85,527,070 | ) | (3,234,127 | ) | (111,529,391 | ) | (410,332 | ) | (11,562,813 | ) | (1,908,490 | ) | (57,882,036 | ) | ||||||||||||||||
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Net increase (decrease) | (217,910 | ) | $(6,606,903 | ) | 689,302 | $22,270,390 | (310,896 | ) | $(8,698,595 | ) | 653,914 | $18,427,425 | ||||||||||||||||||||
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Class Z: | ||||||||||||||||||||||||||||||||
Shares sold | 3,282,171 | $97,956,179 | 3,719,320 | $134,331,474 | 204,665 | $5,482,012 | 139,820 | $4,232,314 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions | — | — | 441,716 | 14,554,549 | — | — | 42,709 | 1,267,237 | ||||||||||||||||||||||||
Proceeds from sale of shares issued in connection with merger1 | — | — | — | — | — | — | 914,333 | 26,987,694 | ||||||||||||||||||||||||
Shares redeemed | (594,870 | ) | (17,352,486 | ) | (2,402,803 | ) | (85,326,627 | ) | (161,934 | ) | (4,708,392 | ) | (425,526 | ) | (12,864,550 | ) | ||||||||||||||||
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Net increase | 2,687,301 | $80,603,693 | 1,758,233 | $63,559,396 | 42,731 | $773,620 | 671,336 | $19,622,695 | ||||||||||||||||||||||||
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Small/Mid Cap | Global Allocation | |||||||||||||||||||||||||||||||
June 30, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Class N: | ||||||||||||||||||||||||||||||||
Shares sold | 24,135 | $394,841 | 77,253 | $1,461,251 | 115,391 | $1,929,746 | 294,575 | $5,879,209 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions | — | — | 188,828 | 3,512,206 | — | — | 47,121 | 910,836 | ||||||||||||||||||||||||
Proceeds from sale of shares issued in connection with merger1 | — | — | 3,848,331 | 66,278,653 | — | — | — | — | ||||||||||||||||||||||||
Shares redeemed | (230,976 | ) | (3,862,474 | ) | (421,926 | ) | (7,905,351 | ) | (533,837 | ) | (9,229,797 | ) | (828,499 | ) | (16,567,833 | ) | ||||||||||||||||
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Net increase (decrease) | (206,841 | ) | $(3,467,633 | ) | 3,692,486 | $63,346,759 | (418,446 | ) | $(7,300,051 | ) | (486,803 | ) | $(9,777,788 | ) | ||||||||||||||||||
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Class I: | ||||||||||||||||||||||||||||||||
Shares sold | 2,930,957 | $49,076,729 | 4,826,923 | $88,859,351 | 55,379 | $968,924 | 551,511 | $11,042,654 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions | — | — | 738,929 | 13,795,804 | — | — | 31,565 | 617,691 | ||||||||||||||||||||||||
Proceeds from sale of shares issued in connection with merger1 | — | — | 792,895 | 13,678,626 | — | — | — | — | ||||||||||||||||||||||||
Shares redeemed | (1,312,549 | ) | (21,688,202 | ) | (1,355,973 | ) | (25,571,871 | ) | (2,760,514 | ) | (43,437,949 | ) | (1,420,191 | ) | (28,442,920 | ) | ||||||||||||||||
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Net increase (decrease) | 1,618,408 | $27,388,527 | 5,002,774 | $90,761,910 | (2,705,135 | ) | $(42,469,025 | ) | (837,115 | ) | $(16,782,575 | ) | ||||||||||||||||||||
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Class Z: | ||||||||||||||||||||||||||||||||
Shares sold | 6,625,513 | $115,718,801 | 3,681,463 | $68,683,820 | 2,749 | $46,297 | 11,662 | $233,192 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions | — | — | 516,351 | 9,655,772 | — | — | 3,937 | 77,077 | ||||||||||||||||||||||||
Proceeds from sale of shares issued in connection with merger1 | — | — | 780,901 | 13,486,545 | — | — | — | — | ||||||||||||||||||||||||
Shares redeemed | (922,627 | ) | (15,932,770 | ) | (1,120,356 | ) | (20,615,163 | ) | (23,387 | ) | (392,144 | ) | (47,183 | ) | (954,939 | ) | ||||||||||||||||
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Net increase (decrease) | 5,702,886 | $99,786,031 | 3,858,359 | $71,210,974 | (20,638 | ) | $(345,847 | ) | (31,584 | ) | $(644,670 | ) | ||||||||||||||||||||
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1 See Note 8 of the Notes to Financial Statements.
h. REPURCHASE AGREEMENTS AND JOINT REPURCHASE AGREEMENTS
The Funds may enter into third-party and bilateral 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, 2022, the market value of Repurchase Agreements outstanding for Small Cap Core, Small Cap Value, Small/Mid Cap and Global Allocation were $6,392,887, $3,262,912, $1,990 and $2,235,294, respectively.
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.
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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. SECURITIES TRANSACTED ON A WHEN ISSUED BASIS
Global Allocation 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.
During the six months ended June 30, 2022, Global Allocation did not invest in TBA commitment transactions.
k. DELAYED DELIVERY TRANSACTIONS AND WHEN-ISSUED SECURITIES
Global Allocation 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 each Fund’s Schedule of Portfolio Investments. With respect to purchase commitments, the Fund identifies securities as segregated in its 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 Fund’s Statement of Assets and Liabilities. For financial reporting purposes, the Fund does 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.
During the six months ended June 30, 2022, Global Allocation did not enter into securities transactions on a delayed delivery or when issued basis.
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, 2022, the Funds’ investment management fees were paid at the following annual rates of each Fund’s respective average daily net assets:
Small Cap Core | 0.70% | |||
Small Cap Value | 0.70% | |||
Small/Mid Cap | 0.62% | |||
Global Allocation | 0.60% |
The Investment Manager has contractually agreed, through at least May 1, 2023, to waive management fees and/or pay or reimburse fund expenses in order to limit total annual Fund operating expenses (exclusive of taxes, interest (including interest incurred in connection with bank and custody overdrafts, and in connection with securities sold short), shareholder servicing fees, distribution and service (12b-1) fees, brokerage commissions and other transaction costs, dividends payable with respect to securities sold short, acquired fund fees and expenses and extraordinary expenses) of Small Cap Core, Small Cap Value, Small/Mid Cap and Global Allocation to the annual rate of 0.90%, 0.90%, 0.82% and 0.81%, respectively, of each Fund’s average daily net assets (this annual rate or such other annual rate that may be in effect from time to time, the “Expense Cap”), subject to later reimbursement by the Funds in certain circumstances.
In general, for a period of up to 36 months after the date any amounts are paid, waived or reimbursed by the Investment Manager, the Investment Manager may recover such amounts from a Fund, provided that such repayment would not cause the Fund’s total annual operating expenses (exclusive of the items noted in the parenthetical above) to exceed either (i) the Expense Cap in effect at the time such amounts were paid, waived or reimbursed, or (ii) the Expense Cap in effect at the time of such repayment by the Fund.
The contractual expense limitation may only be terminated in the event the Investment Manager or a successor ceases to be the investment manager of a Fund or a successor fund, by mutual agreement between the Investment Manager and the Board, or in the event of a 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 a Fund.
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Notes to Financial Statements (continued) |
At June 30, 2022, the Funds’ expiration of reimbursements subject to recoupment is as follows:
Expiration Period | Small Cap Core | Small Cap Value | Small/Mid Cap | Global Allocation | ||||||||||||
Less than 1 year | — | $158,806 | $65,954 | $226,789 | ||||||||||||
1-2 years | — | 109,155 | 21,000 | 127,078 | ||||||||||||
2-3 years | $3,404 | 53,216 | 43,340 | 80,552 | ||||||||||||
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Total | $3,404 | $321,177 | $130,294 | $434,419 | ||||||||||||
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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, 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, except Small Cap Value, 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 for maintenance and personal service provided to existing shareholders of that class. The Plan authorized payments to the Distributor up to 0.25% annually of each Fund’s, except Small Cap Value, average daily net assets attributable to the Class N shares. The portion of payments made under the plan by Class N shares of each Fund, except Small Cap Value, 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 each of Class N and Class I shares of Small Cap Core and Small Cap Value, and for Small/Mid Cap and Global Allocation’s Class I shares, the Boards have 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. The 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 impact on the annualized expense ratios for the six months ended June 30, 2022, were as follows:
Fund | Maximum Annual Amount Approved | Actual Amount Incurred | ||||||||||
Small Cap Core | ||||||||||||
Class N | 0.15% | 0.15% | ||||||||||
Class I | 0.05% | 0.05% | ||||||||||
Small Cap Value | ||||||||||||
Class N | 0.25% | 0.25% | ||||||||||
Class I | 0.05% | 0.05% | ||||||||||
Small/Mid Cap | ||||||||||||
Class I | 0.05% | 0.05% | ||||||||||
Global Allocation | ||||||||||||
Class I | 0.10% | 0.10% |
The Boards provide supervision of the affairs of the Trusts and other trusts within the AMG Funds Family. The Trustees of the Trusts 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 Boards 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 certain eligible funds in the AMG Funds Family 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 Boards, and the Boards monitor 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. The interest earned and interest paid on interfund loans are included on the Statement of Operations as interest income and interest expense, respectively. At June 30, 2022, the Funds had no interfund loans outstanding.
The following Funds utilized the interfund loan program during the six months ended June 30, 2022 as follows:
Fund | Average Lent | Number of Days | Interest Earned | Average Interest Rate | ||||||||||||
Global Allocation | $748,899 | 2 | $49 | 1.193% | ||||||||||||
Fund | Average Borrowed | Number of Days | Interest Paid | Average Interest Rate | ||||||||||||
Small Cap Core | $7,887,664 | 4 | $804 | 0.930% | ||||||||||||
Small Cap Value | 1,875,692 | 2 | 96 | 0.935% | ||||||||||||
Global Allocation | 8,080,297 | 9 | 4,380 | 2.199% |
45
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Notes to Financial Statements (continued) |
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, 2022, were as follows:
Long Term Securities | ||||||||
Fund | Purchases | Sales | ||||||
Small Cap Core | $ | 134,593,744 | $ | 73,388,152 | ||||
Small Cap Value | 38,951,627 | 70,802,778 | ||||||
Small/Mid Cap | 172,833,123 | 52,200,154 | ||||||
Global Allocation | 9,728,226 | 52,007,128 |
Global Allocation purchases and sales of U.S. Government Obligations for the six months ended June 30, 2022 were $3,592,540 and $5,737,719, respectively.
4. PORTFOLIO SECURITIES LOANED
The Funds participate in the Program providing for the lending of securities to qualified borrowers. 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, U.S. Treasury Obligations or U.S. Government Agency Obligations. Collateral 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 separate omnibus accounts managed by BNYM, who is authorized to exclusively enter into joint repurchase agreements for that cash collateral. Securities collateral is held in separate omnibus accounts managed by BNYM and cannot be sold or pledged. 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. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities as soon as practical, which is normally within three business days.
The value of securities loaned on positions held, cash collateral and securities collateral received at June 30, 2022, were as follows:
Fund | Securities Loaned | Cash Collateral Received | Securities Collateral Received | Total Collateral Received | ||||||||||||
Small Cap Core | $ | 38,111,959 | $ | 6,392,887 | $ | 33,351,294 | $ | 39,744,181 | ||||||||
Small Cap Value | 14,963,170 | 3,262,912 | 12,561,551 | 15,824,463 | ||||||||||||
Small/Mid Cap | 23,840,157 | 1,990 | 24,725,722 | 24,727,712 | ||||||||||||
Global Allocation | 2,728,331 | 2,235,294 | 629,631 | 2,864,925 |
The following table summarizes the securities received as collateral for securities lending at June 30, 2022:
Fund | Collateral Type | Coupon Range | Maturity Date Range | |||||
Small Cap Core | U.S. Treasury Obligations | 0.000%-7.500% | 07/14/22-05/15/52 | |||||
Small Cap Value | U.S. Treasury Obligations | 0.000%-7.500% | 07/14/22-11/15/51 | |||||
Small/Mid Cap | U.S. Treasury Obligations | 0.000%-7.500% | 07/14/22-05/15/52 | |||||
Global Allocation | U.S. Treasury Obligations | 0.010%-4.750% | 10/31/22-05/15/52 |
5. FOREIGN SECURITIES
Global Allocation 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.
6. 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.
7. 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.
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The following table is a summary of the Funds’ open Repurchase Agreements that are subject to a master netting agreement as of June 30, 2022:
Gross Amount Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||||
Fund | Gross Amounts of Assets Presented in the Statement of Assets and Liabilities | Offset Amount | Net Asset Balance | Collateral Received | Net Amount | |||||||||||||||
Small Cap Core | ||||||||||||||||||||
Bank of America Securities, Inc. | $1,518,393 | — | $1,518,393 | $1,518,393 | — | |||||||||||||||
Citigroup Global Markets, Inc. | 319,315 | — | 319,315 | 319,315 | — | |||||||||||||||
Daiwa Capital Markets America | 1,518,393 | — | 1,518,393 | 1,518,393 | — | |||||||||||||||
National Bank Financial | 1,518,393 | — | 1,518,393 | 1,518,393 | — | |||||||||||||||
RBC Dominion Securities, Inc. | 1,518,393 | — | 1,518,393 | 1,518,393 | — | |||||||||||||||
Fixed Income Clearing Corp. | 19,150,000 | — | 19,150,000 | 19,150,000 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total | $25,542,887 | — | $25,542,887 | $25,542,887 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Small Cap Value | ||||||||||||||||||||
Citigroup Global Markets, Inc. | $262,912 | — | $262,912 | $262,912 | — | |||||||||||||||
MUFG Securities America, Inc. | 1,000,000 | — | 1,000,000 | 1,000,000 | — | |||||||||||||||
National Bank Financial | 1,000,000 | — | 1,000,000 | 1,000,000 | — | |||||||||||||||
RBC Dominion Securities, Inc. | 1,000,000 | — | 1,000,000 | 1,000,000 | — | |||||||||||||||
Fixed Income Clearing Corp. | 8,750,000 | — | 8,750,000 | 8,750,000 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total | $12,012,912 | — | $12,012,912 | $12,012,912 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Small/Mid Cap | ||||||||||||||||||||
HSBC Securities USA, Inc. | $1,990 | — | $1,990 | $1,990 | — | |||||||||||||||
Fixed Income Clearing Corp. | 14,350,000 | — | 14,350,000 | 14,350,000 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total | $14,351,990 | — | $14,351,990 | $14,351,990 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Global Allocation | ||||||||||||||||||||
Citigroup Global Markets, Inc. | $235,294 | — | $235,294 | $235,294 | — | |||||||||||||||
National Bank Financial | 1,000,000 | — | 1,000,000 | 1,000,000 | — | |||||||||||||||
RBC Dominion Securities, Inc. | 1,000,000 | — | 1,000,000 | 1,000,000 | — | |||||||||||||||
Fixed Income Clearing Corp. | 1,350,000 | — | 1,350,000 | 1,350,000 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total | $3,585,294 | — | $3,585,294 | $3,585,294 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8. FUND MERGER
On March 8, 2021, Small/Mid Cap acquired all the net assets of AMG GW&K Mid Cap Fund (“Mid Cap”), a series of AMG Funds IV, based on the respective valuations as of the close of business on March 5, 2021, pursuant to a Plan of Reorganization approved by the Board of Mid Cap on October 8, 2021.
The acquisition was accomplished by a tax-free exchange of 3,848,331 Class N shares of Small/Mid Cap at a net asset value of $17.22 per share for 2,667,192 Class N shares of Mid Cap; 792,895 Class I shares of Small/Mid Cap at a net asset
value of $17.25 per share for 519,987 Class I shares of Mid Cap; and 780,901 Class Z shares of Small/Mid Cap at a net asset value of $17.27 per share for 474,356 Class Z shares of Mid Cap.
The net assets of Small/Mid Cap and Mid Cap immediately before the acquisition were $311,921,414 and $93,443,824, respectively, including unrealized appreciation of $16,703,006 for Mid Cap. Immediately after the acquisition, the combined net assets of Small/Mid Cap amounted to $405,365,238. For financial reporting purposes, assets received and shares issued by Small/Mid Cap were recorded at fair value; however, the cost basis of the investments received from Mid Cap was
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carried forward to align ongoing reporting of Small/Mid Cap’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
On August 9, 2021, Small Cap Value acquired all the net assets of AMG GW&K Small Cap Value Fund II (“Small Cap Value II”), a series of AMG Funds IV, based on the respective valuations as of the close of business on August 6, 2021, pursuant to a Plan of Reorganization approved by the Board of Small Cap Value II on March 17-18, 2021.
The acquisition was accomplished by a tax-free exchange of 186,108 Class N shares of Small Cap Value at a net asset value of $29.52 per share for 399,433 Class N shares of Small Cap Value II; 1,824,176 Class I shares of Small Cap Value at a net asset value of $29.60 per share for 3,846,984 Class I shares of Small Cap Value II; and 914,333 Class Z shares of Small Cap Value at a net asset value of $29.52 per share for 1,924,341 Class Z shares of Small Cap Value II.
The net assets of Small Cap Value and Small Cap Value II immediately before the acquisition were $299,058,407 and $86,478,858, respectively, including unrealized appreciation of $7,179,547 for Small Cap Value II. Immediately after the acquisition, the combined net assets of Small Cap Value amounted to $385,537,265. For financial reporting purposes, assets received and shares issued by Small Cap Value were recorded at fair value; however, the cost basis of the investments received from Small Cap Value II was carried forward to align ongoing reporting of Small Cap Value’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
Assuming these reorganizations had been completed on January 1, 2021, the Funds’ results of operations for the fiscal year ended December 31, 2021 would have been as follows:
Small/Mid Cap | Small Cap Value | |||||||
Net Investment Income | $(381,491) | $1,325,967 | ||||||
Realized and Unrealized Gain on Investments | 121,546,008 | 140,200,795 | ||||||
|
|
|
|
| ||||
Net Increase to Net Assets from Operations | $121,164,517 | $141,526,762 | ||||||
|
|
|
|
|
Because the combined investment portfolios have been managed as single portfolios since the reorganizations were completed, it is not practical to separate the amounts of revenue and earnings to the Small/Mid Cap and Small Cap Value that have been included in their statements of operations for the fiscal year ended December 31, 2021.
9. 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 |
AMG GW&K Small Cap Core Fund, AMG GW&K Small Cap Value Fund, AMG GW&K Small/Mid Cap Fund, and AMG GW&K Global Allocation Fund: Approval of Investment Management and Subadvisory Agreements on June 22, 2022 | ||
At an in-person meeting held on June 22, 2022, 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 AMG Funds for each of AMG GW&K Small Cap Core Fund, AMG GW&K Small Cap Value Fund, and AMG GW&K Small/Mid Cap Fund, and separately each of Amendment No. 1 thereto dated July 1, 2015, and Amendment No. 2 thereto dated October 1, 2016; and the Investment Management Agreement, as amended pursuant to letter agreements at any time prior to the date of the meeting, with the Investment Manager and AMG Funds II for AMG GW&K Global Allocation Fund, and separately each of Amendment No. 1 thereto, Amendment No. 2 thereto dated July 1, 2015, and Amendment No. 3 thereto dated October 1, 2016 (collectively, the “Investment Management Agreements”); and (ii) the Subadvisory Agreements, as amended at any time prior to the date of the meeting (collectively, the “Subadvisory Agreements”), with the Subadviser for each of AMG GW&K Small Cap Core Fund, AMG GW&K Small Cap Value Fund, AMG GW&K Small/Mid Cap Fund, and AMG GW&K Global Allocation Fund (each, a “Fund,” and collectively, the “Funds”). 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 Agreements and the Subadvisory Agreements, the Trustees reviewed a variety of materials relating to each Fund, the Investment Manager and the Subadviser, including the nature, extent and quality of services, 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”), other relevant matters, and other information provided to them on a periodic basis throughout the year. 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 Agreements 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, information about 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 Agreements 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, telephonic or videoconference 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, including performing appropriate due diligence, and developing and presenting 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 operations and personnel and the investment philosophy, strategies and techniques (its “Investment Strategy”) used in managing each Fund. Among other things, the Trustees reviewed 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 each Fund, including the information set forth in 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 |
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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.
The Board considered each Fund’s net performance during relevant time periods as compared to the Fund’s Peer Group and Fund Benchmark, considered the gross performance of each Fund as compared to the Subadviser’s relevant performance composite that utilizes a similar investment strategy and approach, and noted that the Board reviews on a quarterly basis detailed information about both a Fund’s performance results and portfolio composition, as well as the Subadviser’s Investment Strategy. The Board was mindful of the Investment Manager’s expertise, resources, and attention to monitoring the Subadviser’s performance, investment style and risk-adjusted performance with respect to the Funds and its discussions with the management of the Funds’ subadviser during the period 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, 2022 was below, above, above, and above, respectively, 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, including the reasons for the Fund’s recent outperformance relative to the Fund Benchmark and the fact that Class N shares of the Fund ranked in the top quintile relative to its Peer Group for the 3-year period and the top quartile 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.
With respect to AMG GW&K Small Cap Value 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 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, 2022 was below, above, below, and above, respectively, the median performance of the Peer Group and above, above, below, and above, respectively, the performance of the Fund Benchmark, the Russell 2000 Value Index. The Trustees took into account management’s discussion of the Fund’s performance, including the reasons for the Fund’s recent outperformance of its benchmark and recent underperformance of its Peer Group. The Trustees also took into account the fact that the Fund’s subadviser and investment strategy changed effective December 4, 2020, and that the performance information prior to that date reflected that of the Fund’s prior subadviser and investment strategy. 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 and 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, 2022 and for the period from the Fund’s inception on June 30, 2015 through March 31, 2022 was below, above, above, and above, respectively, the median performance of the Peer Group and above, above, above, and below, respectively, 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 fact that Class I shares of the Fund ranked in the top decile relative to its Peer Group for the 3-year and 5-year periods. The Trustees concluded that the Fund’s overall performance has been satisfactory. |
With respect to AMG GW&K Global Allocation 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 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, 2022 was below, below, below, and above, respectively, the median performance of the Peer Group and below, below, below, and above, respectively, the performance of the Fund Benchmark, a Composite Index (60% MSCI ACWI Index and 40% Bloomberg Global 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 underperformance relative to the Peer Group and the Fund Benchmark. The Trustees also |
noted that Class N shares of the Fund ranked in the top quintile relative to its Peer Group for the 10-year period. The Trustees also took into account the fact that the Fund’s subadviser, investment strategy, and Fund Benchmark changed effective April 17, 2020, and that the performance information prior to that date reflected that of the Fund’s prior subadviser and investment strategy. 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; FUND EXPENSES; PROFITABILITY; AND ECONOMIES OF SCALE |
In considering the reasonableness of the advisory fee payable to the Investment Manager, the Trustees reviewed information provided by the Investment Manager at the June 22, 2022 and prior meetings 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 payments are made from the Subadviser to the Investment Manager, and other payments are 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 each Fund, 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 the services the Investment Manager provides in performing its functions under each Investment Management Agreement and supervising the Subadviser. Based |
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Annual Renewal of Investment Management and Subadvisory Agreements (continued) |
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 each 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 to the Subadviser of providing subadvisory services to each Fund and the resulting profitability 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 management fees (which include both the advisory and administration fees) and total expenses (net of applicable expense waivers/reimbursements) of Class I shares (the class of shares which is the primary focus of the Fund’s distribution) of the Fund as of March 31, 2022 were both higher 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, 2023, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.90%. The Trustees also took into account management’s discussion of the Fund’s expenses and competitiveness with comparably sized funds and select competitors. 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 Cap Value Fund, the Trustees noted that the management fees (which include both the advisory and administration fees) and total expenses (net of applicable expense waivers/reimbursements) of Class I shares (the class of shares which is the primary focus of the Fund’s distribution) of the Fund as of March 31, 2022 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, 2023, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.90%. The Trustees also took into account management’s discussion of the Fund’s expenses, including the fact that the total expenses of Class I shares of the Fund as of March 31, 2022 were lower than the median of the Peer Group. 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 management fees (which include both the advisory and administration fees) and total expenses (net of applicable expense waivers/reimbursements) of Class I shares of the Fund as of March 31, 2022 were both higher 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, 2023, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.82%. The Trustees also took into account management’s discussion of the Fund’s expenses and competitiveness with comparably sized funds and select competitors. 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 Global Allocation Fund, the Trustees noted that the management fees (which include both the advisory and administration fees) and total expenses (net of applicable expense waivers/reimbursements) of Class I shares (the class of shares which is the primary focus of the Fund’s distribution) of the Fund as of March 31, 2022 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, 2023, to limit the Fund’s net annual operating expenses (subject to certain excluded expenses) to 0.81%. The Trustees also took into account management’s discussion of the Fund’s expenses, including fees and expenses relative to comparably sized funds and key competitors. 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 and the Subadviser have demonstrated that they possess the capability and resources to perform the duties required of them under each Investment Management Agreement and each Subadvisory Agreement and (b) 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 22, 2022, the Trustees, and separately a majority of the Independent Trustees, voted to approve the Investment Management Agreement and the Subadvisory Agreement for each Fund.
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|
The Securities and Exchange Commission (the “SEC”) adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that a fund will be unable to meet its redemption obligations and mitigating dilution of the interests of fund shareholders.
The AMG Funds Family of Funds (each a “Fund,” and collectively, the “Funds”) have adopted and implemented a Liquidity Risk Management Program (the “Program”) as required by the Liquidity Rule. The Program is reasonably designed to assess and manage each Fund’s liquidity risk, taking into consideration the Fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short and long-term cash flow projections, and its holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources, including access to the Funds’ credit facility. Under the Liquidity Rule, each liquidity classification category (highly liquid, moderately liquid, less liquid and illiquid) is defined with respect to the time it is reasonably expected to take to convert the investment to cash (or sell or dispose of the investment) in current market conditions without significantly changing the market value of the investment.
The Funds’ Board of Trustees (the “Board”) appointed AMG Funds, LLC (“AMGF”) as the Program administrator. AMGF formed a Liquidity Risk Management Committee (“LRMC”), which includes
members of various departments across AMGF, including Legal, Compliance, Mutual Fund Services, Investment Research and Product Analysis & Operations and, as needed, other representatives of AMGF and/or representatives of the subadvisers to the Funds. The LRMC meets on a periodic basis, no less frequently than monthly. The LRMC is responsible for the Program’s administration and oversight and for reporting to the Board on at least an annual basis regarding the Program’s operation and effectiveness. |
At a meeting of the Board held on March 17, 2022, the Board received a report from the LRMC regarding the design and operational effectiveness of the Program for the period January 1, 2021 through December 31, 2021 (the “Program Reporting Period”). |
The Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing a Fund’s liquidity risk, as follows: |
A. The Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions: |
During the Program Reporting Period, the LRMC reviewed whether each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions is appropriate for an open-end fund structure. The LRMC also factored a Fund’s concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. |
B. Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions:
During the Program Reporting Period, the LRMC reviewed historical net redemption activity and used this information as a component to establish each Fund’s reasonably anticipated trading size. The Funds maintain an in-kind redemption policy, which may be utilized to meet larger redemption requests, when appropriate. The LRMC may also take into consideration a Fund’s shareholder ownership concentration, a Fund’s distribution channels, and the degree of certainty associated with a Fund’s short-term and long-term cash flow projections.
C. Holdings of cash and cash equivalents, as well as borrowing arrangements:
The LRMC considered the terms of the credit facilities available to the Funds.
The report concluded that, based upon the review of the Program, using resources and methodologies that AMGF considers reasonable, AMGF believes that the Program and Funds’ Liquidity Risk Management Policies and Procedures are adequate, effective, and reasonably designed to effectively manage the Funds’ liquidity risk.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to each Fund’s prospectus or statement of additional information for more information regarding a Fund’s exposure to liquidity risk and other principal risks to which an investment in a Fund may be subject.
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INVESTMENT MANAGER AND ADMINISTRATOR AMG Funds LLC 680 Washington Blvd., Suite 500 Stamford, CT 06901 800.548.4539 |
DISTRIBUTOR AMG Distributors, Inc. 680 Washington Blvd., Suite 500 Stamford, CT 06901 800.548.4539 |
SUBADVISER GW&K Investment Management, LLC 222 Berkeley St. Boston, MA 02116 |
CUSTODIAN The Bank of New York Mellon Mutual Funds Custody 6023 Airport Road Oriskany, NY 13424 |
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 4400 Computer Drive Westborough, MA 01581 800.548.4539 |
TRUSTEES Bruce B. Bingham Kurt A. Keilhacker Steven J. Paggioli Eric Rakowski Victoria L. Sassine Thomas R. Schneeweis Garret W. Weston |
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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 800.548.4539. 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 800.548.4539, 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 800.548.4539 or visit the SEC website at sec.gov. |
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ portfolio holdings on Form N-PORT are available on the SEC’s website at sec.gov and the Funds’ website at amgfunds.com. To review a complete list of the Funds’ portfolio holdings, or to view the most recent semiannual report or annual report, please visit amgfunds.com. |
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BALANCED FUNDS AMG GW&K Global Allocation GW&K Investment Management, LLC |
EQUITY FUNDS AMG Beutel Goodman International Equity Beutel, Goodman & Company Ltd. |
AMG Boston Common Global Impact Boston Common Asset Management, LLC |
AMG Frontier Small Cap Growth Frontier Capital Management Co., LLC |
AMG GW&K Small Cap Core AMG GW&K Small Cap Value AMG GW&K Small/Mid Cap AMG GW&K Small/Mid Cap Growth AMG GW&K Emerging Markets Equity AMG GW&K Emerging Wealth Equity AMG GW&K International Small Cap GW&K Investment Management, LLC |
AMG Montrusco Bolton Large Cap Growth Montrusco Bolton Investments, Inc. |
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AMG Renaissance Large Cap Growth The Renaissance Group LLC |
AMG River Road Dividend All Cap Value AMG River Road Focused Absolute Value AMG River Road International Value Equity AMG River Road Large Cap Value Select AMG River Road Mid Cap Value AMG River Road Small-Mid Cap Value AMG River Road Small Cap Value River Road Asset Management, LLC |
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 Veritas Asia Pacific AMG Veritas China AMG Veritas Global Focus AMG Veritas Global Real Return Veritas Asset Management LLP |
AMG Yacktman AMG Yacktman Focused AMG Yacktman Global AMG Yacktman Special Opportunities Yacktman Asset Management LP |
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FIXED INCOME FUNDS AMG Beutel Goodman Core Plus Bond Beutel, Goodman & Company Ltd. |
AMG GW&K Core Bond ESG AMG GW&K Enhanced Core Bond ESG AMG GW&K ESG Bond AMG GW&K High Income AMG GW&K Municipal Bond AMG GW&K Municipal Enhanced Yield GW&K Investment Management, LLC |
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amgfunds.com | | 063022 SAR089 |
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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 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 1, 2022 |
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 1, 2022 | |
By: | /s/ Thomas Disbrow | |
Thomas Disbrow, Principal Financial Officer | ||
Date: | September 1, 2022 |