AMG GW&K Core Bond ESG Fund
Schedule of Portfolio Investments (unaudited)
July 31, 2021
Principal Amount | Value | |
Corporate Bonds and Notes - 47.7% | ||
Financials - 15.1% | ||
Air Lease Corp. | ||
MTN, 3.000%, 02/01/30 | $2,113,000 | $2,183,494 |
Ally Financial, Inc. | ||
8.000%, 11/01/31 | 1,404,000 | 2,042,726 |
Bank of America Corp. | ||
MTN, (4.330% to 03/15/49 then 3 month LIBOR + 1.520%), 4.330%, 03/15/501,2 | 1,600,000 | 2,001,611 |
The Bank of New York Mellon Corp. | ||
MTN, 2.450%, 08/17/26 | 937,000 | 1,000,536 |
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 | 910,000 | 1,009,026 |
The Bank of Nova Scotia (Canada) | ||
(SOFRRATE + 0.545%), 0.587%, 03/02/262 | 3,986,000 | 3,989,907 |
Boston Properties, LP | ||
3.400%, 06/21/29 | 1,841,000 | 2,028,449 |
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%, 06/01/261,2,3 | 1,975,000 | 2,066,344 |
Crown Castle International Corp. | ||
4.000%, 03/01/27 | 1,800,000 | 2,033,384 |
Equinix, Inc. | ||
1.000%, 09/15/25 | 1,020,000 | 1,019,861 |
The Goldman Sachs Group, Inc. | ||
3.500%, 11/16/26 | 2,726,000 | 2,978,986 |
Host Hotels & Resorts LP | ||
Series H, 3.375%, 12/15/29 | 1,052,000 | 1,112,170 |
JPMorgan Chase & Co. | ||
(SOFRRATE + 0.580%), 0.629%, 03/16/242 | 1,962,000 | 1,974,579 |
MetLife, Inc. | ||
Series G, (3.850% to 09/15/25 then U.S. Treasury Yield Curve CMT 5 year + 3.576%), 3.850%, 09/15/251,2,3 | 2,009,000 | 2,106,939 |
Wells Fargo & Co. | ||
MTN, (5.013% to 04/04/50 then SOFRRATE + 4.502%), 5.013%, 04/04/511,2 | 1,411,000 | 1,968,872 |
Total Financials | 29,516,884 | |
Industrials - 31.1% | ||
AT&T, Inc. | ||
4.300%, 12/15/42 | 1,710,000 | 1,980,319 |
Berry Global, Inc. | ||
1.650%, 01/15/274 | 1,950,000 | 1,951,677 |
Block Financial LLC | ||
3.875%, 08/15/30 | 1,767,000 | 1,941,573 |
Broadcom Corp./Broadcom Cayman Finance, Ltd. | ||
3.875%, 01/15/27 | 1,808,000 | 2,005,706 |
Comcast Corp. | ||
4.150%, 10/15/28 | 1,656,000 | 1,926,955 |
Principal Amount | Value | |
CommonSpirit Health | ||
3.347%, 10/01/29 | $2,317,000 | $2,545,320 |
CVS Health Corp. | ||
5.125%, 07/20/45 | 1,735,000 | 2,297,248 |
Dell International LLC/EMC Corp. | ||
6.200%, 07/15/30 | 1,512,000 | 1,960,418 |
Discovery Communications LLC | ||
3.950%, 03/20/28 | 1,766,000 | 1,982,661 |
Fiserv, Inc. | ||
4.200%, 10/01/28 | 1,703,000 | 1,976,804 |
The Ford Foundation | ||
Series 2020, 2.415%, 06/01/50 | 2,207,000 | 2,174,830 |
GLP Capital LP/GLP Financing II, Inc. | ||
5.375%, 04/15/26 | 2,610,000 | 3,024,416 |
HCA, Inc. | ||
4.125%, 06/15/29 | 1,762,000 | 2,010,810 |
4.500%, 02/15/27 | 874,000 | 998,374 |
Lear Corp. | ||
3.800%, 09/15/27 | 1,915,000 | 2,141,331 |
Lowe's Cos., Inc. | ||
4.000%, 04/15/25 | 1,772,000 | 1,964,377 |
Marriott International, Inc. | ||
Series FF, 4.625%, 06/15/30 | 1,743,000 | 2,021,389 |
McDonald's Corp., MTN | ||
3.700%, 01/30/26 | 2,215,000 | 2,469,496 |
Microsoft Corp. | ||
2.525%, 06/01/50 | 2,195,000 | 2,196,968 |
Nordstrom, Inc. | ||
4.375%, 04/01/30 | 936,000 | 987,783 |
Parker-Hannifin Corp. | ||
3.250%, 06/14/29 | 1,773,000 | 1,957,012 |
Precision Castparts Corp. | ||
3.250%, 06/15/25 | 1,831,000 | 1,999,571 |
PulteGroup, Inc. | ||
7.875%, 06/15/32 | 1,400,000 | 2,057,643 |
ServiceNow, Inc. | ||
1.400%, 09/01/30 | 2,080,000 | 1,990,799 |
Smith & Nephew PLC (United Kingdom) | ||
2.032%, 10/14/30 | 1,010,000 | 1,002,037 |
Sysco Corp. | ||
2.400%, 02/15/30 | 2,324,000 | 2,422,329 |
T-Mobile USA, Inc. | ||
3.500%, 04/15/25 | 920,000 | 1,001,600 |
Verizon Communications, Inc. | ||
3.875%, 02/08/29 | 3,403,000 | 3,905,417 |
Walgreens Boots Alliance, Inc. | ||
4.800%, 11/18/44 | 1,593,000 | 1,968,385 |
Xylem, Inc. | ||
2.250%, 01/30/31 | 1,929,000 | 1,978,277 |
Total Industrials | 60,841,525 |
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AMG GW&K Core Bond ESG Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |
Utilities - 1.5% | ||
Dominion Energy, Inc. | ||
Series B, (4.650% to 12/15/24 then U.S. Treasury Yield Curve CMT 5 year + 2.993%), 4.650%, 12/15/241,2,3 | $978,000 | $1,048,172 |
National Rural Utilities Cooperative Finance Corp. | ||
1.350%, 03/15/31 | 2,024,000 | 1,913,929 |
Total Utilities | 2,962,101 | |
Total Corporate Bonds and Notes (Cost $89,767,088) | 93,320,510 | |
Municipal Bonds - 9.1% | ||
California State General Obligation, School Improvements 7.550%, 04/01/39 | 2,410,000 | 4,187,091 |
JobsOhio Beverage System Series B, 4.532%, 01/01/35 | 1,705,000 | 2,135,488 |
Los Angeles Unified School District, School Improvements 5.750%, 07/01/34 | 2,635,000 | 3,621,366 |
Massachusetts School Building Authority Series B, 1.753%, 08/15/30 | 2,017,000 | 2,051,475 |
Metropolitan Transportation Authority 6.687%, 11/15/40 | 1,695,000 | 2,472,076 |
University of California, University & College Improvements Series BD, 3.349%, 07/01/29 | 2,935,000 | 3,343,571 |
Total Municipal Bonds (Cost $15,791,277) | 17,811,067 | |
U.S. Government and Agency Obligations - 40.9% | ||
Fannie Mae - 17.3% | ||
FNMA | ||
2.000%, 02/01/36 to 10/01/50 | 2,472,959 | 2,557,343 |
3.500%, 03/01/30 to 03/01/48 | 7,344,064 | 7,981,963 |
4.000%, 03/01/44 to 01/01/51 | 8,886,553 | 9,740,198 |
4.500%, 04/01/39 to 06/01/41 | 10,476,036 | 11,703,348 |
Principal Amount | Value | |
FNMA | ||
5.000%, 07/01/47 | $1,624,545 | $1,835,907 |
Total Fannie Mae | 33,818,759 | |
Freddie Mac - 12.0% | ||
FHLMC | ||
2.500%, 10/01/34 to 08/01/50 | 5,345,610 | 5,644,593 |
3.000%, 11/01/49 to 03/01/50 | 5,373,549 | 5,775,413 |
3.500%, 10/01/45 | 5,248,167 | 5,748,873 |
4.000%, 07/01/48 to 09/01/50 | 2,111,112 | 2,300,050 |
5.000%, 07/01/44 | 1,785,176 | 2,027,533 |
FHLMC Gold Pool | ||
3.500%, 07/01/32 to 05/01/44 | 1,809,435 | 1,973,748 |
Total Freddie Mac | 23,470,210 | |
U.S. Treasury Obligations - 11.6% | ||
U.S. Treasury Bonds | ||
1.875%, 02/15/51 | 4,292,000 | 4,257,798 |
4.500%, 02/15/36 | 742,000 | 1,041,524 |
6.250%, 08/15/23 | 4,918,000 | 5,525,066 |
6.750%, 08/15/26 | 1,506,000 | 1,957,212 |
U.S. Treasury Floating Rate Note | ||
(U.S. Treasury 3 month Bill Money Market Yield + 0.049%), 0.099%, 01/31/232 | 1,964,000 | 1,965,178 |
United States Treasury Notes | ||
2.000%, 11/30/22 | 5,852,000 | 5,999,671 |
2.875%, 05/15/28 | 1,763,000 | 1,984,718 |
Total U.S. Treasury Obligations | 22,731,167 | |
Total U.S. Government and Agency Obligations (Cost $77,827,463) | 80,020,136 | |
Foreign Government Obligation - 0.7% | ||
The Korea Development Bank (South Korea) | ||
0.500%, 10/27/23 (Cost $1,382,391) | 1,385,000 | 1,386,838 |
Total Investments - 98.4% (Cost $184,768,219) | 192,538,551 | |
Other Assets, less Liabilities - 1.6% | 3,203,837 | |
Net Assets - 100.0% | $195,742,388 |
1 | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at July 31, 2021. Rate will reset at a future date. |
2 | Variable rate security. The rate shown is based on the latest available information as of July 31, 2021. 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. |
3 | Perpetuity Bond. The date shown represents the next call date. |
4 | 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 July 31, 2021, the value of these securities amounted to $1,951,677 or 1.0% of net assets. |
CMT | Constant Maturity Treasury |
FHLMC | Freddie Mac |
FNMA | Fannie Mae |
LIBOR | London Interbank Offered Rate |
MTN | Medium-Term Note |
SOFRRATE | Secured Overnight Financing Rate |
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AMG GW&K 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 July 31, 2021:
Level 1 | Level 2 | Level 3 | Total | ||||
Investments in Securities | |||||||
Corporate Bonds and Notes† | — | $93,320,510 | — | $93,320,510 | |||
Municipal Bonds† | — | 17,811,067 | — | 17,811,067 | |||
U.S. Government and Agency Obligations† | — | 80,020,136 | — | 80,020,136 | |||
Foreign Government Obligation | — | 1,386,838 | — | 1,386,838 | |||
Total Investments in Securities | — | $192,538,551 | — | $192,538,551 |
† | All corporate bonds and notes, municipal bonds, and U.S. government and agency obligations held in the Fund are Level 2 securities. For a detailed breakout of corporate bonds and notes, municipal bonds, and U.S. government and agency obligations by major industry or agency classification, please refer to the Fund's Schedule of Portfolio Investments. |
For the period ended July 31, 2021, there were no transfers in or out of Level 3.
For additional information about significant accounting policies, including valuation of investments, refer to the Fund’s most recent semi or annual report.
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