AMG GW&K Core Bond ESG Fund
Schedule of Portfolio Investments (unaudited)
January 31, 2022
Principal Amount | Value | |
Corporate Bonds and Notes - 39.2% | ||
Financials - 15.3% | ||
Air Lease Corp. | ||
MTN, 3.000%, 02/01/30 | $2,073,000 | $2,008,717 |
Ally Financial, Inc. | ||
8.000%, 11/01/31 | 1,404,000 | 1,902,717 |
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 | 973,000 | 931,648 |
Bank of America Corp. | ||
MTN, (4.330% to 03/15/49 then 3 month LIBOR + 1.520%), 4.330%, 03/15/501,3 | 1,600,000 | 1,836,799 |
The Bank of New York Mellon Corp. | ||
MTN, 2.450%, 08/17/26 | 937,000 | 955,452 |
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 | 460,000 | 484,725 |
The Bank of Nova Scotia (Canada) | ||
(SOFR + 0.545%), 0.594%, 03/02/263 | 3,986,000 | 3,971,675 |
Boston Properties, LP | ||
3.400%, 06/21/29 | 1,841,000 | 1,903,913 |
Crown Castle International Corp. | ||
4.000%, 03/01/27 | 1,800,000 | 1,913,740 |
The Goldman Sachs Group, Inc. | ||
3.500%, 11/16/26 | 2,726,000 | 2,838,180 |
JPMorgan Chase & Co. | ||
(SOFR + 0.580%), 0.629%, 03/16/243 | 1,962,000 | 1,965,898 |
(SOFR + 0.765%), 0.814%, 09/22/273 | 1,928,000 | 1,928,443 |
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 | 1,409,000 | 1,419,568 |
The Toronto-Dominion Bank, MTN (Canada) | ||
(SOFR + 0.350%), 0.399%, 09/10/243 | 1,951,000 | 1,951,254 |
Wells Fargo & Co. | ||
MTN, (5.013% to 04/04/50 then SOFR + 4.502%), 5.013%, 04/04/511,3 | 1,411,000 | 1,807,397 |
Total Financials | 27,820,126 | |
Industrials - 22.4% | ||
Ashtead Capital, Inc. | ||
1.500%, 08/12/264 | 986,000 | 950,132 |
AT&T, Inc. | ||
4.300%, 12/15/42 | 1,710,000 | 1,833,559 |
Block Financial LLC | ||
3.875%, 08/15/30 | 1,767,000 | 1,824,745 |
Broadcom Corp./Broadcom Cayman Finance, Ltd. | ||
3.875%, 01/15/27 | 1,808,000 | 1,906,414 |
Charter Communications Operating LLC/Charter Communications Operating Capital | ||
2.250%, 01/15/29 | 2,000,000 | 1,883,288 |
Principal Amount | Value | |
CommonSpirit Health | ||
3.347%, 10/01/29 | $1,767,000 | $1,823,132 |
CVS Health Corp. | ||
5.125%, 07/20/45 | 1,735,000 | 2,109,781 |
Dell International LLC/EMC Corp. | ||
6.200%, 07/15/30 | 1,512,000 | 1,836,294 |
Discovery Communications LLC | ||
3.950%, 03/20/28 | 1,766,000 | 1,862,260 |
The Ford Foundation | ||
Series 2020, 2.415%, 06/01/50 | 2,207,000 | 2,032,156 |
Freeport-McMoRan, Inc. | ||
4.625%, 08/01/30 | 1,719,000 | 1,788,362 |
GLP Capital LP/GLP Financing II, Inc. | ||
5.375%, 04/15/26 | 2,610,000 | 2,819,374 |
HCA, Inc. | ||
4.125%, 06/15/29 | 842,000 | 896,933 |
4.500%, 02/15/27 | 874,000 | 941,003 |
Merck & Co., Inc. | ||
1.900%, 12/10/28 | 1,897,000 | 1,856,171 |
Microsoft Corp. | ||
2.525%, 06/01/50 | 2,165,000 | 1,959,680 |
Parker-Hannifin Corp. | ||
3.250%, 06/14/29 | 1,773,000 | 1,832,548 |
Smith & Nephew PLC (United Kingdom) | ||
2.032%, 10/14/30 | 1,010,000 | 933,069 |
Sonoco Products Co. | ||
2.850%, 02/01/32 | 1,852,000 | 1,826,437 |
Sysco Corp. | ||
2.400%, 02/15/30 | 2,284,000 | 2,220,782 |
Verizon Communications, Inc. | ||
3.875%, 02/08/29 | 3,403,000 | 3,664,531 |
Walgreens Boots Alliance, Inc. | ||
4.800%, 11/18/44 | 1,593,000 | 1,801,396 |
Total Industrials | 40,602,047 | |
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 | 1,004,895 |
National Rural Utilities Cooperative Finance Corp. | ||
1.350%, 03/15/31 | 2,024,000 | 1,812,334 |
Total Utilities | 2,817,229 | |
Total Corporate Bonds and Notes (Cost $72,574,662) | 71,239,402 | |
Municipal Bonds - 7.3% | ||
California State General Obligation, School Improvements 7.550%, 04/01/39 | 2,410,000 | 3,860,630 |
JobsOhio Beverage System Series B, 4.532%, 01/01/35 | 1,705,000 | 2,000,968 |
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AMG GW&K Core Bond ESG Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |
Municipal Bonds - 7.3% (continued) | ||
Los Angeles Unified School District, School Improvements 5.750%, 07/01/34 | $1,775,000 | $2,255,435 |
Massachusetts School Building Authority Series B, 1.753%, 08/15/30 | 2,017,000 | 1,976,343 |
University of California, University & College Improvements Series BD, 3.349%, 07/01/29 | 2,935,000 | 3,150,162 |
Total Municipal Bonds (Cost $12,449,887) | 13,243,538 | |
U.S. Government and Agency Obligations - 48.0% | ||
Fannie Mae - 19.1% | ||
FNMA | ||
2.000%, 02/01/36 to 10/01/50 | 2,239,527 | 2,224,720 |
3.000%, 06/01/38 | 465,436 | 483,820 |
3.500%, 03/01/30 to 03/01/48 | 9,790,288 | 10,351,352 |
4.000%, 03/01/44 to 01/01/51 | 8,804,734 | 9,480,859 |
4.500%, 04/01/39 to 07/01/48 | 9,723,372 | 10,665,308 |
5.000%, 07/01/47 | 1,390,562 | 1,556,832 |
Total Fannie Mae | 34,762,891 | |
Freddie Mac - 10.7% | ||
FHLMC | ||
2.500%, 10/01/34 to 08/01/50 | 4,809,505 | 4,908,313 |
3.000%, 11/01/49 to 03/01/50 | 4,599,031 | 4,753,116 |
3.500%, 10/01/45 | 4,478,081 | 4,750,110 |
4.000%, 07/01/48 to 09/01/50 | 1,578,392 | 1,691,648 |
5.000%, 07/01/44 | 1,483,732 | 1,665,065 |
FHLMC Gold Pool | ||
3.500%, 07/01/32 to 05/01/44 | 1,563,285 | 1,661,866 |
Total Freddie Mac | 19,430,118 | |
U.S. Treasury Obligations - 18.2% | ||
U.S. Treasury Bonds | ||
1.875%, 02/15/51 | 4,302,000 | 4,074,465 |
Principal Amount | Value | |
U.S. Treasury Bonds | ||
2.250%, 05/15/41 | $6,512,000 | $6,585,260 |
3.125%, 05/15/48 | 1,598,000 | 1,917,350 |
5.000%, 05/15/37 | 2,459,000 | 3,466,998 |
6.250%, 08/15/23 | 4,918,000 | 5,311,440 |
6.750%, 08/15/26 | 3,054,000 | 3,741,269 |
U.S. Treasury Floating Rate Note | ||
(U.S. Treasury 3 month Bill Money Market Yield + 0.049%), 0.289%, 01/31/233 | 1,964,000 | 1,965,787 |
United States Treasury Notes | ||
2.000%, 11/30/22 | 5,852,000 | 5,913,492 |
Total U.S. Treasury Obligations | 32,976,061 | |
Total U.S. Government and Agency Obligations (Cost $87,391,547) | 87,169,070 | |
Foreign Government Obligation - 0.8% | ||
The Korea Development Bank (South Korea) | ||
0.500%, 10/27/23 (Cost $1,382,976) | 1,385,000 | 1,365,527 |
Short-Term Investments - 3.8% | ||
Repurchase Agreements - 3.8% | ||
Fixed Income Clearing Corp., dated 01/31/22, due 02/01/22, 0.03% total to be received $7,000,006 (collateralized by a U.S. Treasury, 3.125%, 05/15/48, totaling $7,039,152) | 7,000,000 | 7,000,000 |
Total Short-Term Investments (Cost $7,000,000) | 7,000,000 | |
Total Investments - 99.1% (Cost $180,799,072) | 180,017,537 | |
Other Assets, less Liabilities - 0.9% | 1,603,134 | |
Net Assets - 100.0% | $181,620,671 |
1 | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at January 31, 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 January 31, 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 | 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 January 31, 2022, the value of these securities amounted to $950,132 or 0.5% of net assets. |
CMT | Constant Maturity Treasury |
FHLMC | Freddie Mac |
FNMA | Fannie Mae |
LIBOR | London Interbank Offered Rate |
MTN | Medium-Term Note |
SOFR | 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 January 31, 2022:
Level 1 | Level 2 | Level 3 | Total | ||||
Investments in Securities | |||||||
Corporate Bonds and Notes† | — | $71,239,402 | — | $71,239,402 | |||
Municipal Bonds† | — | 13,243,538 | — | 13,243,538 | |||
U.S. Government and Agency Obligations† | — | 87,169,070 | — | 87,169,070 | |||
Foreign Government Obligation | — | 1,365,527 | — | 1,365,527 | |||
Short-Term Investments | |||||||
Repurchase Agreements | $7,000,000 | — | — | 7,000,000 | |||
Total Investments in Securities | $7,000,000 | $173,017,537 | — | $180,017,537 |
† | 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 January 31, 2022, 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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