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: 811-03752
AMG FUNDS III
(Exact name of registrant as specified in charter)
600 Steamboat Road, Suite 300, Greenwich, Connecticut 06830
(Address of principal executive offices) (Zip code)
AMG Funds LLC
600 Steamboat Road, Suite 300, Greenwich, Connecticut 06830
(Name and address of agent for service)
Registrants telephone number, including area code: (203) 299-3500
Date of fiscal year end: DECEMBER 31
Date of reporting period: JANUARY 1, 2016 JUNE 30, 2016
(Semi-Annual Shareholder Report)
Item 1. | Reports to Shareholders |
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SEMI-ANNUAL REPORT
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AMG Funds
June 30, 2016
AMG Managers Bond Fund
Service Class: MGFIX | Institutional Class: MGBIX
AMG Managers Global Income Opportunity Fund: MGGBX
AMG Managers Special Equity Fund
Service Class: MGSEX | Institutional Class: MSEIX
www.amgfunds.com | |
SAR078-0616 |
AMG Funds
Semi-Annual ReportJune 30, 2016 (unaudited)
PAGE | ||||
2 | ||||
3 | ||||
FUND SNAPSHOTS, AND SCHEDULES OF PORTFOLIO INVESTMENTS |
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4 | ||||
15 | ||||
20 | ||||
26 | ||||
FINANCIAL STATEMENTS |
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32 | ||||
Balance sheets, net asset value (NAV) per share computations and cumulative undistributed amounts |
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34 | ||||
Detail of sources of income, expenses, and realized and unrealized gains (losses) during the period |
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35 | ||||
Detail of changes in assets for the past two periods |
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36 | ||||
Historical net asset values per share, distributions, total returns, income and expense ratios, turnover ratios and net assets |
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39 | ||||
40 | ||||
Accounting and distribution policies, details of agreements and transactions with Fund management and affiliates, and descriptions of certain investment risks |
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ANNUAL RENEWAL OF INVESTMENT MANAGEMENT AND SUBADVISORY AGREEMENTS |
48 |
Nothing contained herein is to be considered an offer, sale or solicitation of an offer to buy shares of any series of the AMG Funds family of mutual funds. Such offering is made only by prospectus, which includes details as to offering price and other material information.
About Your Funds Expenses (unaudited)
2 |
Periods ended June 30, 2016
3
Fund Snapshots (unaudited)
June 30, 2016
Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poors (S&P) or Moodys Investors Service, Inc. (Moodys). These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.
Because a funds 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 Funds 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 Funds portfolio of investments by the time you receive this report.
4
AMG Managers Bond Fund
Schedule of Portfolio Investments (unaudited)
June 30, 2016
Principal Amount | Value | |||||||||||
Asset-Backed Securities - 4.3% |
||||||||||||
FAN Engine Securitization, Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/43 (a)2 |
$ | 12,314,110 | $ | 12,271,011 | ||||||||
Global Container Assets, Ltd., Series 2013-1A, Class A2, 3.300%, 11/05/28 (a) |
4,270,000 | 4,217,903 | ||||||||||
John Deere Owner Trust 2015, |
||||||||||||
Series 2015-A, Class A3, 1.320%, 06/17/19 |
10,065,000 | 10,101,653 | ||||||||||
Series 2015-A, Class A4, 1.650%, 12/15/21 |
3,980,000 | 4,006,028 | ||||||||||
Rise, Ltd., Series 2014-1, Class A, 4.750%, 02/15/392,3 |
19,899,521 | 19,601,028 | ||||||||||
Shenton Aircraft Investment I, Ltd., Series 2015-1A, Class A, 4.750%, 10/15/42 (a) |
46,473,825 | 45,580,645 | ||||||||||
Trinity Rail Leasing, L.P., |
||||||||||||
Series 2009-1A, Class A, 6.657%, 11/16/39 (a) |
3,688,785 | 4,033,995 | ||||||||||
Series 2012-1A, Class A1, 2.266%, 01/15/43 (a) |
2,241,523 | 2,186,799 | ||||||||||
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 07/15/41 (a) |
4,668,666 | 4,811,815 | ||||||||||
Total Asset-Backed Securities (cost $107,143,105) |
106,810,877 | |||||||||||
Corporate Bonds and Notes - 64.4% |
||||||||||||
Financials - 26.0% |
||||||||||||
Ally Financial, Inc., |
||||||||||||
4.125%, 02/13/22 |
7,915,000 | 7,855,637 | ||||||||||
8.000%, 11/01/31 |
1,267,000 | 1,466,552 | ||||||||||
Alta Wind Holdings LLC, 7.000%, 06/30/35 (a) |
6,623,306 | 6,821,594 | ||||||||||
American International Group, Inc., 4.875%, 06/01/22 |
560,000 | 623,855 | ||||||||||
Bank of America Corp., |
||||||||||||
6.110%, 01/29/37 |
38,050,000 | 45,163,409 | ||||||||||
EMTN, 4.625%, 09/14/18 |
EUR | 1,750,000 | 2,101,626 | |||||||||
MTN, 4.250%, 10/22/26 |
2,610,000 | 2,706,800 | ||||||||||
MTN, Series C, 6.050%, 06/01/34 |
22,100,000 | 26,741,155 | ||||||||||
Camden Property Trust, 5.700%, 05/15/17 |
5,205,000 | 5,383,901 | ||||||||||
Citigroup, Inc., |
||||||||||||
5.130%, 11/12/19 |
NZD | 5,835,000 | 4,347,949 | |||||||||
6.250%, 06/29/17 |
NZD | 37,108,000 | 27,212,710 | |||||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank, |
||||||||||||
1.700%, 03/19/18 |
2,000,000 | 2,017,586 | ||||||||||
3.875%, 02/08/22 |
9,090,000 | 9,875,385 | ||||||||||
3.950%, 11/09/22 |
2,190,000 | 2,264,856 | ||||||||||
Duke Realty, L.P., 6.500%, 01/15/18 |
4,660,000 | 5,007,016 | ||||||||||
Equifax, Inc., 7.000%, 07/01/37 |
4,421,000 | 5,656,099 | ||||||||||
Equity One, Inc., 6.000%, 09/15/17 |
5,915,000 | 6,199,364 | ||||||||||
First Industrial, L.P., 5.950%, 05/15/17 |
15,000,000 | 15,542,130 | ||||||||||
General Electric Capital Corp., |
||||||||||||
GMTN, 4.250%, 01/17/18 |
NZD | 5,010,000 | 3,629,753 |
The accompanying notes are an integral part of these financial statements.
5
AMG Managers Bond Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||||||
Financials - 26.0% (continued) |
||||||||||||
General Electric Capital Corp., |
||||||||||||
GMTN, 5.500%, 02/01/17 |
NZD | 6,250,000 | $ | 4,519,496 | ||||||||
GMTN, 6.750%, 09/26/16 |
NZD | 6,390,000 | 4,596,634 | |||||||||
The Goldman Sachs Group, Inc., |
||||||||||||
3.375%, 02/01/18 |
CAD | 1,700,000 | 1,351,158 | |||||||||
6.750%, 10/01/37 |
14,590,000 | 17,997,261 | ||||||||||
Highwoods Realty, L.P., |
||||||||||||
5.850%, 03/15/17 |
3,680,000 | 3,784,166 | ||||||||||
7.500%, 04/15/18 |
2,405,000 | 2,624,288 | ||||||||||
ICICI Bank, Ltd., 6.375%, 04/30/22 (a)3 |
900,000 | 911,212 | ||||||||||
Jefferies Group LLC, 5.125%, 01/20/23 |
8,800,000 | 9,244,488 | ||||||||||
JPMorgan Chase & Co., |
||||||||||||
4.125%, 12/15/26 |
19,350,000 | 20,501,654 | ||||||||||
4.250%, 11/02/18 |
NZD | 7,360,000 | 5,353,562 | |||||||||
EMTN, 1.072%, 05/30/173 |
GBP | 1,500,000 | 1,982,915 | |||||||||
Lloyds Banking Group PLC, |
||||||||||||
4.500%, 11/04/244 |
18,500,000 | 18,767,917 | ||||||||||
4.582%, 12/10/25 (a) |
20,972,000 | 21,082,271 | ||||||||||
Marsh & McLennan Cos., Inc., 5.875%, 08/01/33 |
8,295,000 | 10,246,822 | ||||||||||
MBIA Insurance Corp., 11.888%, 01/15/33 (07/15/16) (a) |
525,000 | 194,250 | ||||||||||
Morgan Stanley, |
||||||||||||
3.750%, 02/25/23 |
17,265,000 | 18,286,656 | ||||||||||
GMTN, 4.350%, 09/08/26 |
5,000,000 | 5,230,585 | ||||||||||
GMTN, 8.000%, 05/09/174 |
AUD | 8,100,000 | 6,299,260 | |||||||||
MTN, 4.100%, 05/22/23 |
12,910,000 | 13,385,888 | ||||||||||
MTN, 6.250%, 08/09/26 |
11,000,000 | 13,831,510 | ||||||||||
Mutual of Omaha Insurance Co., 6.800%, 06/15/36 (a) |
13,925,000 | 18,077,867 | ||||||||||
National City Bank of Indiana, 4.250%, 07/01/18 |
6,310,000 | 6,623,967 | ||||||||||
National City Corp., 6.875%, 05/15/19 |
1,905,000 | 2,147,228 | ||||||||||
National Life Insurance Co., 10.500%, 09/15/39 (a)2 |
5,000,000 | 7,663,985 | ||||||||||
Navient Corp., |
||||||||||||
5.500%, 01/25/234 |
18,070,000 | 15,856,425 | ||||||||||
MTN, 4.875%, 06/17/19 |
5,055,000 | 4,878,075 | ||||||||||
MTN, 5.500%, 01/15/19 |
1,695,000 | 1,698,220 | ||||||||||
MTN, 8.450%, 06/15/18 |
10,950,000 | 11,839,688 | ||||||||||
Newfield Exploration Co., 5.625%, 07/01/24 |
6,320,000 | 6,320,000 | ||||||||||
Old Republic International Corp., |
||||||||||||
3.750%, 03/15/184,5 |
15,805,000 | 20,190,888 | ||||||||||
4.875%, 10/01/24 |
4,915,000 | 5,249,844 | ||||||||||
The Penn Mutual Life Insurance Co., 7.625%, 06/15/40 (a) |
8,885,000 | 12,172,414 |
The accompanying notes are an integral part of these financial statements.
6
AMG Managers Bond Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||||||
Financials - 26.0% (continued) |
||||||||||||
Quicken Loans, Inc., 5.750%, 05/01/25 (a) |
$ | 3,895,000 | $ | 3,758,675 | ||||||||
Realty Income Corp., |
||||||||||||
5.750%, 01/15/21 |
2,125,000 | 2,445,029 | ||||||||||
6.750%, 08/15/19 |
5,550,000 | 6,359,468 | ||||||||||
Royal Bank of Scotland Group PLC, 6.125%, 12/15/22 |
4,650,000 | 4,876,511 | ||||||||||
Santander Issuances SAU, 5.179%, 11/19/25 |
27,800,000 | 27,773,117 | ||||||||||
Sirius International Group, Ltd., 6.375%, 03/20/17 (a) |
4,555,000 | 4,655,634 | ||||||||||
Societe Generale, S.A., |
||||||||||||
4.750%, 11/24/25 (a)4 |
11,000,000 | 11,239,228 | ||||||||||
5.200%, 04/15/21 (a) |
7,000,000 | 8,007,111 | ||||||||||
5.625%, 11/24/45 (a)4 |
18,145,000 | 18,854,996 | ||||||||||
Springleaf Finance Corp., |
||||||||||||
5.250%, 12/15/19 |
12,890,000 | 12,003,812 | ||||||||||
7.750%, 10/01/214 |
31,730,000 | 30,540,125 | ||||||||||
8.250%, 10/01/23 |
12,695,000 | 12,060,250 | ||||||||||
Weyerhaeuser Co., |
||||||||||||
6.875%, 12/15/33 |
12,890,000 | 16,066,083 | ||||||||||
7.375%, 10/01/19 |
3,915,000 | 4,500,097 | ||||||||||
7.375%, 03/15/32 |
1,930,000 | 2,553,392 | ||||||||||
Total Financials |
639,221,499 | |||||||||||
Industrials - 35.4% |
||||||||||||
Alcatel-Lucent USA, Inc., 6.500%, 01/15/28 |
305,000 | 313,388 | ||||||||||
America Movil SAB de CV, 6.450%, 12/05/22 |
MXN | 169,300,000 | 8,871,268 | |||||||||
American Airlines 2013-1 Class A Pass Through Trust, 4.000%, 07/15/25 |
2,101,075 | 2,216,634 | ||||||||||
American Airlines 2016-1 Class B Pass Through Trust, Series B, 5.250%, 01/15/24 |
24,220,000 | 25,249,350 | ||||||||||
American Airlines 2016-2 Class B Pass Through Trust, 4.375%, 06/15/24 (a) |
25,000,000 | 24,980,500 | ||||||||||
APL, Ltd., 8.000%, 01/15/242 |
250,000 | 165,000 | ||||||||||
ArcelorMittal, |
||||||||||||
6.500%, 03/01/21 (b)4 |
150,000 | 154,125 | ||||||||||
7.250%, 02/25/22 (b)4 |
1,600,000 | 1,684,000 | ||||||||||
7.750%, 03/01/41 (b) |
11,065,000 | 10,539,412 | ||||||||||
8.000%, 10/15/39 (b) |
6,604,000 | 6,405,880 | ||||||||||
AT&T, Inc., |
||||||||||||
3.400%, 05/15/25 |
13,530,000 | 13,839,932 | ||||||||||
3.950%, 01/15/25 |
4,345,000 | 4,618,492 | ||||||||||
4.125%, 02/17/26 |
35,605,000 | 38,248,102 | ||||||||||
CenturyLink, Inc., |
||||||||||||
Series P, 7.600%, 09/15/39 |
9,335,000 | 7,864,737 | ||||||||||
Series S, 6.450%, 06/15/21 |
13,395,000 | 13,612,669 |
The accompanying notes are an integral part of these financial statements.
7
AMG Managers Bond Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||
Industrials - 35.4% (continued) |
||||||||
Chesapeake Energy Corp., |
||||||||
2.500%, 05/15/375 |
$ | 3,800,000 | $ | 3,505,500 | ||||
6.625%, 08/15/20 |
55,000 | 38,637 | ||||||
6.875%, 11/15/20 |
85,000 | 59,075 | ||||||
Choice Hotels International, Inc., 5.700%, 08/28/20 |
11,900,000 | 12,733,000 | ||||||
Continental Airlines, Inc., |
||||||||
1999-1 Class B Pass Through Trust, Series 991B, 6.795%, 08/02/18 |
2,740 | 2,839 | ||||||
2000-1 Class A-1 Pass Through Trust, Series 00A1, 8.048%, 11/01/20 |
43,934 | 47,997 | ||||||
2007-1 Class A Pass Through Trust, Series 071A, 5.983%, 04/19/22 |
14,006,782 | 15,687,595 | ||||||
2007-1 Class B Pass Through Trust, Series 071B, 6.903%, 04/19/22 |
3,358,670 | 3,505,779 | ||||||
Continental Resources, Inc., |
||||||||
3.800%, 06/01/24 |
2,025,000 | 1,766,812 | ||||||
4.500%, 04/15/23 |
385,000 | 359,012 | ||||||
Corning, Inc., |
||||||||
6.850%, 03/01/29 |
9,142,000 | 11,586,671 | ||||||
7.250%, 08/15/36 |
1,185,000 | 1,431,651 | ||||||
Cox Communications, Inc., 4.800%, 02/01/35 (a) |
3,369,000 | 3,147,903 | ||||||
Cummins, Inc., 5.650%, 03/01/98 |
6,460,000 | 7,274,793 | ||||||
Darden Restaurants, Inc., 6.000%, 08/15/35 |
2,635,000 | 2,829,429 | ||||||
Delta Air Lines, Inc., 2007-1 Class B Pass Through Trust, Series 071B, 8.021%, 08/10/22 |
7,175,215 | 8,215,622 | ||||||
Devon Energy Corp., |
||||||||
3.250%, 05/15/224 |
5,256,000 | 5,097,243 | ||||||
5.850%, 12/15/25 |
8,890,000 | 9,806,426 | ||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., |
||||||||
6.020%, 06/15/26 (a) |
3,270,000 | 3,408,932 | ||||||
8.100%, 07/15/36 (a) |
5,470,000 | 5,896,923 | ||||||
8.350%, 07/15/46 (a) |
2,990,000 | 3,214,576 | ||||||
Dillards, Inc., 7.000%, 12/01/28 |
225,000 | 249,498 | ||||||
Embarq Corp., 7.995%, 06/01/36 |
5,830,000 | 5,837,288 | ||||||
Enbridge Energy Partners L.P., |
||||||||
5.875%, 10/15/254 |
6,145,000 | 6,795,854 | ||||||
7.375%, 10/15/45 |
4,595,000 | 5,600,414 | ||||||
Enterprise Products Operating LLC, |
||||||||
3.900%, 02/15/24 |
6,400,000 | 6,773,485 | ||||||
4.050%, 02/15/22 |
2,219,000 | 2,394,476 | ||||||
EQT Corp., 6.500%, 04/01/18 |
35,420,000 | 36,904,806 | ||||||
ERAC USA Finance LLC, |
||||||||
6.375%, 10/15/17 (a) |
4,910,000 | 5,204,585 | ||||||
6.700%, 06/01/34 (a) |
1,250,000 | 1,656,125 | ||||||
7.000%, 10/15/37 (a) |
19,033,000 | 25,930,064 |
The accompanying notes are an integral part of these financial statements.
8
AMG Managers Bond Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||
Industrials - 35.4% (continued) |
||||||||
Foot Locker, Inc., 8.500%, 01/15/22 |
$ | 570,000 | $ | 677,502 | ||||
Ford Motor Co., 6.375%, 02/01/29 |
1,990,000 | 2,450,757 | ||||||
Ford Motor Credit Co. LLC, GMTN, 4.389%, 01/08/26 |
68,075,000 | 74,313,938 | ||||||
General Motors Co., |
||||||||
5.200%, 04/01/45 |
1,030,000 | 1,020,449 | ||||||
6.750%, 04/01/46 |
1,730,000 | 2,052,100 | ||||||
General Motors Financial Co., Inc., 5.250%, 03/01/26 |
9,680,000 | 10,522,983 | ||||||
Georgia-Pacific LLC, 5.400%, 11/01/20 (a) |
5,175,000 | 5,861,272 | ||||||
HCA, Inc., 7.500%, 11/06/33 |
75,000 | 79,828 | ||||||
Hewlett Packard Enterprise Co., 6.350%, 10/15/45 (a) |
2,243,000 | 2,233,212 | ||||||
Intel Corp., |
||||||||
2.950%, 12/15/35 (b)5 |
8,030,000 | 10,383,794 | ||||||
3.250%, 08/01/395 |
15,000,000 | 24,384,375 | ||||||
INVISTA Finance LLC, 4.250%, 10/15/19 (a) |
14,000,000 | 13,650,000 | ||||||
Kinder Morgan Energy Partners, L.P., |
||||||||
3.500%, 09/01/23 |
6,685,000 | 6,530,343 | ||||||
4.150%, 03/01/22 |
5,620,000 | 5,685,473 | ||||||
4.150%, 02/01/24 |
14,000,000 | 14,071,862 | ||||||
5.300%, 09/15/20 |
1,415,000 | 1,514,033 | ||||||
5.800%, 03/01/21 |
4,320,000 | 4,692,349 | ||||||
KLA-Tencor Corp., 5.650%, 11/01/34 |
4,590,000 | 4,922,311 | ||||||
Macys Retail Holdings, Inc., 4.500%, 12/15/34 |
170,000 | 150,600 | ||||||
Marks & Spencer PLC, 7.125%, 12/01/37 (a) |
4,725,000 | 5,645,524 | ||||||
Masco Corp., |
||||||||
6.500%, 08/15/32 |
955,000 | 1,015,881 | ||||||
7.125%, 03/15/20 |
8,815,000 | 10,150,472 | ||||||
7.750%, 08/01/29 |
1,070,000 | 1,264,192 | ||||||
MeadWestvaco Corp., 7.550%, 03/01/472 |
970,000 | 1,250,827 | ||||||
Methanex Corp., 5.250%, 03/01/22 |
350,000 | 358,165 | ||||||
Missouri Pacific Railroad Co., 5.000%, 01/01/452 |
825,000 | 806,966 | ||||||
New Albertsons, Inc., |
||||||||
7.450%, 08/01/29 |
3,195,000 | 3,099,150 | ||||||
7.750%, 06/15/26 |
915,000 | 892,125 | ||||||
MTN, Series C, 6.625%, 06/01/28 |
1,015,000 | 903,350 | ||||||
Newell Rubbermaid, Inc., 4.000%, 12/01/24 |
3,085,000 | 3,223,816 | ||||||
Noble Energy, Inc., 3.900%, 11/15/244 |
3,670,000 | 3,728,393 | ||||||
ONEOK Partners, L.P., |
||||||||
4.900%, 03/15/254 |
39,570,000 | 41,496,109 | ||||||
6.200%, 09/15/43 |
245,000 | 260,292 |
The accompanying notes are an integral part of these financial statements.
9
AMG Managers Bond Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||||||
Industrials - 35.4% (continued) |
||||||||||||
Owens Corning, |
||||||||||||
6.500%, 12/01/16 |
$ | 54,000 | $ | 54,762 | ||||||||
7.000%, 12/01/36 |
9,175,000 | 11,193,977 | ||||||||||
Panhandle Eastern Pipe Line Co., L.P., |
||||||||||||
6.200%, 11/01/17 |
5,520,000 | 5,742,014 | ||||||||||
7.000%, 06/15/18 |
26,505,000 | 28,331,035 | ||||||||||
Petrobras Global Finance BV, 5.625%, 05/20/43 |
580,000 | 411,800 | ||||||||||
Plains All American Pipeline, L.P. / PAA Finance Corp, |
||||||||||||
6.125%, 01/15/17 |
1,770,000 | 1,814,478 | ||||||||||
6.500%, 05/01/18 |
8,975,000 | 9,544,993 | ||||||||||
Portugal Telecom International Finance, B.V., EMTN, 4.500%, 06/16/25 |
EUR | 500,000 | 83,138 | |||||||||
The Priceline Group, Inc., 0.900%, 09/15/214,5 |
11,970,000 | 12,119,625 | ||||||||||
PulteGroup, Inc., |
||||||||||||
6.000%, 02/15/35 |
11,585,000 | 11,527,075 | ||||||||||
6.375%, 05/15/33 |
5,135,000 | 5,327,562 | ||||||||||
Qwest Capital Funding, Inc., |
||||||||||||
6.500%, 11/15/18 |
620,000 | 658,750 | ||||||||||
6.875%, 07/15/28 |
1,190,000 | 963,900 | ||||||||||
7.625%, 08/03/21 |
2,135,000 | 2,177,700 | ||||||||||
Qwest Corp., |
||||||||||||
6.875%, 09/15/33 |
6,161,000 | 6,075,356 | ||||||||||
7.250%, 09/15/25 |
1,185,000 | 1,264,048 | ||||||||||
7.250%, 10/15/35 |
2,165,000 | 2,183,134 | ||||||||||
Regency Energy Partners L.P. / Regency Energy Finance Corp., 4.500%, 11/01/23 |
700,000 | 683,348 | ||||||||||
Reliance Holdings USA, Inc., 5.400%, 02/14/22 (a) |
3,250,000 | 3,639,070 | ||||||||||
Rowan Cos., Inc., 7.875%, 08/01/194 |
4,710,000 | 4,851,300 | ||||||||||
Samsung Electronics Co., Ltd., 7.700%, 10/01/27 (a) |
2,640,000 | 3,418,861 | ||||||||||
Sealed Air Corp., 5.500%, 09/15/25 (a) |
1,580,000 | 1,645,175 | ||||||||||
Telecom Italia Capital, S.A., |
||||||||||||
6.000%, 09/30/34 |
5,965,000 | 5,696,575 | ||||||||||
6.375%, 11/15/33 |
4,865,000 | 4,834,594 | ||||||||||
Telefonica Emisiones SAU, 4.570%, 04/27/23 |
900,000 | 996,340 | ||||||||||
Telekom Malaysia Bhd, 7.875%, 08/01/25 (a) |
250,000 | 336,877 | ||||||||||
Texas Eastern Transmission, L.P., 6.000%, 09/15/17 (a) |
3,000,000 | 3,147,141 | ||||||||||
Time Warner Cable, Inc., 5.500%, 09/01/41 |
805,000 | 845,559 | ||||||||||
The Toro Co., 6.625%, 05/01/372 |
6,810,000 | 8,204,334 | ||||||||||
Transcontinental Gas Pipe Line Co. LLC, 7.850%, 02/01/26 (a) |
15,140,000 | 18,841,760 | ||||||||||
Transocean, Inc., 7.375%, 04/15/18 |
500,000 | 506,250 | ||||||||||
UAL 2007-1 Pass Through Trust, Series 071A, 6.636%, 07/02/22 |
11,042,488 | 11,705,037 | ||||||||||
United Airlines 2014-1 Class A Pass Through Trust, Series A, 4.000%, 04/11/26 |
8,710,817 | 9,185,383 |
The accompanying notes are an integral part of these financial statements.
10
AMG Managers Bond Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||||||
Industrials - 35.4% (continued) |
||||||||||||
United States Steel Corp., 6.650%, 06/01/374 |
$ | 3,595,000 | $ | 2,408,650 | ||||||||
US Airways 2011-1 Class A Pass Through Trust, Series A, 7.125%, 10/22/234 |
2,785,861 | 3,301,245 | ||||||||||
Vale Overseas, Ltd., 6.875%, 11/21/36 |
3,665,000 | 3,335,150 | ||||||||||
Verizon Communications, Inc., |
||||||||||||
3.500%, 11/01/24 |
27,900,000 | 29,672,571 | ||||||||||
4.862%, 08/21/46 |
25,890,000 | 28,300,022 | ||||||||||
Viacom, Inc., 4.850%, 12/15/34 |
1,725,000 | 1,608,204 | ||||||||||
Virgin Australia 2013-1A Trust, 5.000%, 10/23/23 (a) |
1,112,918 | 1,149,199 | ||||||||||
Western Digital Corp., 7.375%, 04/01/23 (a) |
5,845,000 | 6,224,925 | ||||||||||
Total Industrials |
869,029,859 | |||||||||||
Utilities - 3.0% |
||||||||||||
Abu Dhabi National Energy Co. PJSC, 7.250%, 08/01/18 (a) |
21,130,000 | 23,354,735 | ||||||||||
Allegheny Energy Supply Co. LLC, 6.750%, 10/15/39 (a) |
3,285,000 | 3,107,147 | ||||||||||
Bruce Mansfield Unit 1 2007 Pass Through Trust, 6.850%, 06/01/34 |
7,509,632 | 7,391,205 | ||||||||||
DCP Midstream LLC, 6.450%, 11/03/36 (a) |
870,000 | 761,250 | ||||||||||
EDP Finance, B.V., 4.900%, 10/01/19 (a) |
600,000 | 637,308 | ||||||||||
Empresa Nacional de Electricidad S.A., 7.875%, 02/01/27 |
2,900,000 | 3,580,270 | ||||||||||
Enel Finance International N.V., |
||||||||||||
5.125%, 10/07/19 (a) |
3,700,000 | 4,086,162 | ||||||||||
6.000%, 10/07/39 (a) |
18,382,000 | 21,722,579 | ||||||||||
EMTN, 5.750%, 09/14/40 |
GBP | 210,000 | 363,832 | |||||||||
Mackinaw Power LLC, 6.296%, 10/31/23 (a)2 |
4,338,213 | 4,858,365 | ||||||||||
Nisource Finance Corp., 6.125%, 03/01/22 |
2,020,000 | 2,403,745 | ||||||||||
Tenaga Nasional Bhd, 7.500%, 11/01/25 (a) |
2,000,000 | 2,597,756 | ||||||||||
Total Utilities |
74,864,354 | |||||||||||
Total Corporate Bonds and Notes (cost $1,441,449,445) |
1,583,115,712 | |||||||||||
Foreign Government Obligations - 6.4% |
||||||||||||
Brazilian Government International Bonds, |
||||||||||||
8.500%, 01/05/24 |
BRL | 6,650,000 | 1,805,186 | |||||||||
10.250%, 01/10/28 |
BRL | 5,750,000 | 1,682,595 | |||||||||
Canadian Government Notes, |
||||||||||||
0.250%, 05/01/17 |
CAD | 14,775,000 | 11,410,241 | |||||||||
0.750%, 09/01/20 |
CAD | 15,225,000 | 11,879,731 | |||||||||
1.000%, 08/01/16 |
CAD | 5,965,000 | 4,618,714 | |||||||||
2.750%, 09/01/16 |
CAD | 385,000 | 299,021 | |||||||||
European Investment Bank Bonds, 2.603%, 03/10/216 |
AUD | 5,000,000 | 3,302,635 | |||||||||
Iceland Government International Notes, 5.875%, 05/11/22 (a) |
5,800,000 | 6,769,992 | ||||||||||
Inter-American Development Bank Bonds, EMTN, 6.000%, 12/15/17 |
NZD | 4,215,000 | 3,151,039 |
The accompanying notes are an integral part of these financial statements.
11
AMG Managers Bond Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||||||
Foreign Government Obligations - 6.4% (continued) |
||||||||||||
Mexican Bonos Bonds, |
||||||||||||
Series M, 7.750%, 05/29/31 |
MXN | 49,000,000 | $ | 3,055,397 | ||||||||
Series M, 8.000%, 12/07/23 |
MXN | 122,500,000 | 7,616,179 | |||||||||
Series M 20, 7.500%, 06/03/27 |
MXN | 111,000,000 | 6,789,879 | |||||||||
Series M 20, 8.500%, 05/31/29 |
MXN | 36,000,000 | 2,371,146 | |||||||||
Series M 20, 10.000%, 12/05/24 |
MXN | 761,500,000 | 53,407,984 | |||||||||
New South Wales Treasury Corp. Notes, Series 18, 6.000%, 02/01/18 |
AUD | 19,850,000 | 15,795,794 | |||||||||
New Zealand Government Notes, Series 319, 5.000%, 03/15/19 |
NZD | 14,845,000 | 11,420,812 | |||||||||
Norway Government Bonds, |
||||||||||||
Series 472, 4.250%, 05/19/17 (a) |
NOK | 13,230,000 | 1,632,088 | |||||||||
Series 473, 4.500%, 05/22/19 (a) |
NOK | 18,955,000 | 2,524,372 | |||||||||
Series 474, 3.750%, 05/25/21 (a) |
NOK | 13,210,000 | 1,813,475 | |||||||||
Province of Alberta Bonds, 5.930%, 09/16/16 |
CAD | 11,847 | 9,261 | |||||||||
Queensland Treasury Corp. Notes, 7.125%, 09/18/17 (a) |
NZD | 7,500,000 | 5,642,425 | |||||||||
Total Foreign Government Obligations (cost $191,794,990) |
156,997,966 | |||||||||||
Mortgage-Backed Securities - 1.3% |
||||||||||||
CDGJ Commercial Mortgage Trust, Series 2014-BXCH, Class C, 2.942%, 12/15/27 (07/15/16) (a)1 |
8,000,000 | 7,852,699 | ||||||||||
COMM Mortgage Trust, |
||||||||||||
Series 2014-FL4, Class AR1, 2.143%, 07/13/31 (07/13/16) (a)1,2 |
718,815 | 712,146 | ||||||||||
Series 2014-FL5, Class SV2, 2.785%, 07/15/31 (07/15/16) (a)1,2 |
7,703,000 | 7,692,416 | ||||||||||
Credit Suisse Commercial Mortgage Trust, Series 2007-C5, Class A4, 5.695%, 09/15/403 |
1,256,523 | 1,299,380 | ||||||||||
Extended Stay America Trust, Series 2013-ESH7, Class C7, 3.902%, 12/05/31 (a) |
13,500,000 | 13,552,912 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4, 5.927%, 06/15/493 |
80,000 | 81,439 | ||||||||||
WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.807%, 03/15/44 (a)3 |
435,000 | 448,888 | ||||||||||
Total Mortgage-Backed Securities (cost $31,228,166) |
31,639,880 | |||||||||||
Municipal Bonds - 0.9% |
||||||||||||
Illinois State General Obligation, Series 2003, 5.100%, 06/01/33 |
2,880,000 | 2,767,882 | ||||||||||
Illinois State General Obligation, 5.520%, 04/01/38 |
4,660,000 | 4,340,371 | ||||||||||
Michigan Tobacco Settlement Finance Authority, Series 2006-A, 7.309%, 06/01/34 |
2,775,000 | 2,685,895 | ||||||||||
Virginia Tobacco Settlement Financing Corp., Series 2007 A-1, 6.706%, 06/01/46 |
16,290,000 | 13,714,062 | ||||||||||
Total Municipal Bonds (cost $25,571,061) |
23,508,210 | |||||||||||
U.S. Government and Agency Obligations - 14.4% |
||||||||||||
Federal Home Loan Mortgage Corporation - 0.0%# |
||||||||||||
FHLMC Gold, 5.000%, 12/01/31 |
27,509 | 30,716 | ||||||||||
Federal National Mortgage Association - 0.1% |
||||||||||||
FNMA, |
||||||||||||
3.000%, 07/01/27 |
2,577,529 | 2,707,522 | ||||||||||
6.000%, 07/01/29 |
1,924 | 2,221 | ||||||||||
Total Federal National Mortgage Association |
2,709,743 |
The accompanying notes are an integral part of these financial statements.
12
AMG Managers Bond Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||
U.S. Treasury Obligations - 14.3% |
||||||||
U.S. Treasury Notes, |
||||||||
0.625%, 12/31/16 to 09/30/17 |
$ | 300,000,000 | $ | 300,287,250 | ||||
0.875%, 05/31/18 |
50,000,000 | 50,271,500 | ||||||
Total U.S. Treasury Obligations |
350,558,750 | |||||||
Total U.S. Government and Agency Obligations (cost $352,630,278) |
353,299,209 | |||||||
Shares | ||||||||
Common Stocks - 0.1% |
||||||||
PPG Industries, Inc. (Materials) (cost $1,019,560) |
28,189 | 2,935,884 | ||||||
Preferred Stocks - 0.8% |
||||||||
Financials - 0.5% |
||||||||
Bank of America Corp., Series 3, 6.375%4 |
20,000 | 516,600 | ||||||
Bank of America Corp., Series L, 7.250%5 |
7,808 | 9,330,560 | ||||||
Navient Corp., 6.000% |
41,250 | 855,525 | ||||||
Total Financials |
10,702,685 | |||||||
Industrials - 0.2% |
||||||||
Stanley Black & Decker, Inc., 6.250%5 |
37,854 | 4,394,849 | ||||||
Materials - 0.1% |
||||||||
Alcoa, Inc., Series 1, 5.375%5 |
98,605 | 3,241,146 | ||||||
Utilities - 0.0%# |
||||||||
Entergy New Orleans, Inc., 4.750% |
482 | 47,236 | ||||||
Entergy New Orleans, Inc., 5.560% |
100 | 10,100 | ||||||
Wisconsin Electric Power Co., 3.600% |
3,946 | 339,553 | ||||||
Total Utilities |
396,889 | |||||||
Total Preferred Stocks (cost $17,117,165) |
18,735,569 | |||||||
Principal Amount | ||||||||
Short-Term Investments - 9.5% |
||||||||
Repurchase Agreements - 2.0%7 |
||||||||
Bank of Nova Scotia, dated 06/30/16, due 07/01/16, 0.420% total to be received $11,226,342 (collateralized by various U.S. Government Agency Obligations, 3.000% - 7.250%, 01/01/30 - 06/20/46, totaling $11,450,869) |
$ | 11,226,211 | 11,226,211 | |||||
Cantor Fitzgerald Securities, Inc., dated 06/30/16, due 07/01/16, 0.470% total to be received $11,740,913 (collateralized by various U.S. Government Agency Obligations, 0.000% - 10.500%, 07/15/16 - 05/20/66, totaling $11,975,575) |
11,740,760 | 11,740,760 | ||||||
Daiwa Capital Markets America, dated 06/30/16, due 07/01/16, 0.500% total to be received $11,740,923 (collateralized by various U.S. Government Agency Obligations, 0.000% - 9.000%, 07/07/16 - 02/01/49, totaling $11,975,575) |
11,740,760 | 11,740,760 | ||||||
Nomura Securities International, Inc., dated 06/30/16, due 07/01/16, 0.420% total to be received $11,740,897 (collateralized by various U.S. Government Agency Obligations, 0.000% - 8.000%, 12/01/16 - 05/20/66, totaling $11,975,575) |
11,740,760 | 11,740,760 | ||||||
State of Wisconsin Investment Board, dated 06/30/16, due 07/01/16, 0.480% total to be received $2,985,751 (collateralized by various U.S. Government Agency Obligations, 0.125% - 2.500%, 04/15/18 - 01/15/29, totaling $3,069,575) |
2,985,711 | 2,985,711 | ||||||
Total Repurchase Agreements |
49,434,202 |
The accompanying notes are an integral part of these financial statements.
13
AMG Managers Bond Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||
U.S. Treasury Bills - 6.1% |
||||||||
U.S. Treasury Bills, 0.186%, 07/21/166 |
$ | 150,000,000 | $ | 149,984,700 | ||||
Total U.S. Treasury Bills |
149,984,700 | |||||||
Shares | ||||||||
Other Investment Companies - 1.4%8 |
||||||||
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.39% |
33,977,545 | 33,977,545 | ||||||
Total Other Investment Companies |
33,977,545 | |||||||
Total Short-Term Investments |
233,396,447 | |||||||
Total Investments - 102.1% (cost $2,401,348,350) |
2,510,439,754 | |||||||
Other Assets, less Liabilities - (2.1)% |
(51,965,437 | ) | ||||||
Net Assets - 100.0% |
$ | 2,458,474,317 |
The accompanying notes are an integral part of these financial statements.
14
AMG Managers Global Income Opportunity Fund
Fund Snapshots (unaudited)
June 30, 2016
Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poors (S&P) or Moodys Investors Service, Inc. (Moodys). These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.
Because a funds 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 Funds 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 Funds portfolio of investments by the time you receive this report.
15
AMG Managers Global Income Opportunity Fund
Schedule of Portfolio Investments (unaudited)
June 30, 2016
Principal Amount | Value | |||||||||||
Asset-Backed Securities - 0.4% |
||||||||||||
Trinity Rail Leasing, LLC, Series 2010-1A, Class A, 5.194%, 10/16/40 |
$ | 77,993 | $ | 76,519 | ||||||||
Corporate Bonds and Notes - 62.1% |
||||||||||||
Financials - 20.7% |
||||||||||||
Alfa, SAB de CV, 5.250%, 03/25/24 (a) |
200,000 | 213,500 | ||||||||||
Ally Financial, Inc., 3.500%, 01/27/19 |
135,000 | 134,156 | ||||||||||
AXA SA, 7.125%, 12/15/20 |
GBP | 50,000 | 79,904 | |||||||||
Banco Latinoamericano de Comercio Exterior, S.A., 3.250%, 05/07/20 (a) |
150,000 | 150,750 | ||||||||||
Bank of America Corp., MTN, 4.200%, 08/26/24 |
130,000 | 134,383 | ||||||||||
Bank of Montreal, 1.750%, 06/15/22 (a) |
250,000 | 250,670 | ||||||||||
Barclays PLC, 3.650%, 03/16/25 |
200,000 | 192,314 | ||||||||||
Braskem Finance, Ltd., 5.750%, 04/15/21 (a) |
200,000 | 200,500 | ||||||||||
CIMPOR Financial Operations BV, 5.750%, 07/17/24 (a) |
210,000 | 154,875 | ||||||||||
Citigroup, Inc., |
||||||||||||
4.000%, 08/05/24 |
45,000 | 46,258 | ||||||||||
4.400%, 06/10/25 |
30,000 | 31,368 | ||||||||||
Credit Agricole, S.A., 7.500%, 04/29/493,9 |
GBP | 100,000 | 119,194 | |||||||||
General Motors Financial Co., Inc., 4.000%, 01/15/25 |
120,000 | 121,417 | ||||||||||
HCP, Inc., 3.400%, 02/01/25 |
60,000 | 58,016 | ||||||||||
HSBC Holdings PLC, EMTN, 5.750%, 12/20/27 |
GBP | 55,000 | 80,445 | |||||||||
International Bank for Reconstruction & Development, MTN, 2.500%, 03/12/20 |
AUD | 160,000 | 120,772 | |||||||||
JPMorgan Chase & Co., |
||||||||||||
3.875%, 02/01/24 |
75,000 | 81,024 | ||||||||||
Series X, 6.100%, 10/29/493,9 |
65,000 | 67,031 | ||||||||||
The Korea Development Bank, Series MTN, 4.500%, 11/22/19 |
AUD | 60,000 | 46,823 | |||||||||
Lloyds Banking Group PLC, |
||||||||||||
4.500%, 11/04/24 |
200,000 | 202,896 | ||||||||||
7.500%, 04/30/493,9 |
70,000 | 68,425 | ||||||||||
Old Republic International Corp., 4.875%, 10/01/24 |
100,000 | 106,813 | ||||||||||
Royal Bank of Scotland Group PLC, 7.500%, 12/29/493,9 |
200,000 | 183,000 | ||||||||||
Santander Holdings USA, Inc., 2.650%, 04/17/20 |
215,000 | 212,307 | ||||||||||
Societe Generale, S.A., 6.750%, 04/07/493,9 |
EUR | 105,000 | 110,115 | |||||||||
Turkiye Halk Bankasi A.S., 4.750%, 02/11/21 (a) |
200,000 | 198,950 | ||||||||||
UniCredit S.P.A., EMTN, 6.950%, 10/31/22 |
EUR | 150,000 | 187,562 | |||||||||
Wells Fargo & Co., Series S, 5.900%, 12/29/493,9 |
65,000 | 66,869 | ||||||||||
Yapi ve Kredi Bankasi A.S., 5.250%, 12/03/18 (a) |
200,000 | 207,298 | ||||||||||
Total Financials |
3,827,635 | |||||||||||
Industrials - 37.5% |
||||||||||||
Air Canada, 7.625%, 10/01/19 (a) |
CAD | 110,000 | 88,548 |
The accompanying notes are an integral part of these financial statements.
16
AMG Managers Global Income Opportunity Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||||||
Industrials - 37.5% (continued) |
||||||||||||
Air Canada 2015-2 Class A Pass Through Trust, 4.125%, 06/15/29 (a) |
$ | 85,000 | $ | 87,550 | ||||||||
America Movil SAB de CV, 6.450%, 12/05/22 |
MXN | 4,000,000 | 209,599 | |||||||||
Anadarko Petroleum Corp., 3.450%, 07/15/24 |
200,000 | 195,488 | ||||||||||
Anheuser-Busch InBev Finance, Inc., 3.300%, 02/01/23 |
80,000 | 84,294 | ||||||||||
Anthem, Inc., 3.500%, 08/15/24 |
90,000 | 93,179 | ||||||||||
AT&T, Inc., 4.750%, 05/15/46 |
113,000 | 115,811 | ||||||||||
BRF, S.A., 7.750%, 05/22/18 (a) |
BRL | 300,000 | 85,219 | |||||||||
British Telecommunications PLC, 5.750%, 12/07/28 |
GBP | 100,000 | 174,889 | |||||||||
Cemex SAB de CV, 5.700%, 01/11/25 (a)4 |
200,000 | 189,500 | ||||||||||
Cigna Corp., 3.250%, 04/15/25 |
65,000 | 66,020 | ||||||||||
Colombia Telecomunicaciones, S.A. ESP, 5.375%, 09/27/22 (a) |
200,000 | 189,000 | ||||||||||
Continental Resources, Inc., 3.800%, 06/01/244 |
30,000 | 26,175 | ||||||||||
Corp. Nacional del Cobre de Chile, 4.500%, 09/16/25 (a) |
245,000 | 256,449 | ||||||||||
Delta Air Lines 2015-1 Class B Pass Through Trust, Series 15-1, 4.250%, 07/30/23 |
67,799 | 69,154 | ||||||||||
Ecopetrol, S.A., |
||||||||||||
4.125%, 01/16/25 |
165,000 | 149,276 | ||||||||||
5.875%, 05/28/45 |
135,000 | 117,315 | ||||||||||
Embraer Netherlands Finance BV, 5.050%, 06/15/25 |
90,000 | 88,821 | ||||||||||
Energy Transfer Partners, L.P., 4.050%, 03/15/25 |
210,000 | 206,081 | ||||||||||
ERAC USA Finance LLC, 2.800%, 11/01/18 (a) |
130,000 | 133,233 | ||||||||||
FedEx Corp., 4.000%, 01/15/24 |
180,000 | 196,682 | ||||||||||
Freeport-McMoRan, Inc., |
||||||||||||
4.550%, 11/14/244 |
120,000 | 105,000 | ||||||||||
5.450%, 03/15/43 |
205,000 | 164,513 | ||||||||||
General Electric Co., Series D, 5.000%, 12/29/493,9 |
246,000 | 261,006 | ||||||||||
Glencore Finance Canada, Ltd., 5.550%, 10/25/42 (a), (b) |
235,000 | 193,875 | ||||||||||
Intel Corp., 3.700%, 07/29/254 |
100,000 | 111,071 | ||||||||||
INVISTA Finance LLC, 4.250%, 10/15/19 (a) |
130,000 | 126,750 | ||||||||||
Israel Chemicals, Ltd., 4.500%, 12/02/24 (a) |
125,000 | 127,906 | ||||||||||
Kinder Morgan Energy Partners L.P., 4.250%, 09/01/24 |
220,000 | 222,757 | ||||||||||
Methanex Corp., 3.250%, 12/15/19 |
135,000 | 131,116 | ||||||||||
Millicom International Cellular, S.A., 4.750%, 05/22/20 (a)4 |
200,000 | 201,000 | ||||||||||
MTN Mauritius Investments, Ltd., 4.755%, 11/11/24 (a) |
200,000 | 192,000 | ||||||||||
OCP, S.A., 4.500%, 10/22/25 (a) |
215,000 | 210,012 | ||||||||||
Parker-Hannifin Corp., MTN, 3.300%, 11/21/24 |
260,000 | 281,016 | ||||||||||
Petrobras Global Finance BV, 6.850%, 06/05/15 |
245,000 | 186,200 | ||||||||||
Philippine Long Distance Telephone Co., EMTN, 8.350%, 03/06/17 |
75,000 | 78,375 | ||||||||||
Southern Copper Corp., 3.875%, 04/23/25 |
130,000 | 128,451 | ||||||||||
Telecom Italia Capital, S.A., 6.375%, 11/15/33 |
45,000 | 44,719 |
The accompanying notes are an integral part of these financial statements.
17
AMG Managers Global Income Opportunity Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||||||
Industrials - 37.5% (continued) |
||||||||||||
Telstra Corp., Ltd., 3.125%, 04/07/25 (a) |
$ | 245,000 | $ | 255,981 | ||||||||
Transocean, Inc., 5.050%, 10/15/22 (b) |
40,000 | 28,300 | ||||||||||
Union Andina de Cementos SAA, 5.875%, 10/30/21 (a) |
250,000 | 253,375 | ||||||||||
Vale Overseas, Ltd., 6.875%, 11/21/36 |
55,000 | 50,050 | ||||||||||
Vale, S.A., 5.625%, 09/11/42 |
185,000 | 150,775 | ||||||||||
Verizon Communications, Inc., 5.050%, 03/15/34 |
150,000 | 166,484 | ||||||||||
Wind Acquisition Finance, S.A., 7.375%, 04/23/21 (a) |
205,000 | 195,262 | ||||||||||
YPF, S.A., 8.750%, 04/04/24 (a) |
245,000 | 263,375 | ||||||||||
Total Industrials |
6,951,652 | |||||||||||
Utilities - 3.9% |
||||||||||||
EDP Finance BV, 4.125%, 01/15/20 (a) |
200,000 | 206,320 | ||||||||||
Emgesa, S.A. ESP, 8.750%, 01/25/21 (a) |
COP | 320,000,000 | 104,049 | |||||||||
Empresas Publicas de Medellin ESP, 8.375%, 02/01/21 (a) |
COP | 390,000,000 | 125,437 | |||||||||
Gas Natural Fenosa Finance BV, 3.375%, 12/29/493,9 |
EUR | 100,000 | 98,764 | |||||||||
Petroleos Mexicanos, Series 14-2, 7.470%, 11/12/26 |
MXN | 3,800,000 | 184,430 | |||||||||
Total Utilities |
719,000 | |||||||||||
Total Corporate Bonds and Notes (cost $11,916,505) |
11,498,287 | |||||||||||
Foreign Government Obligations - 33.0% |
||||||||||||
Argentine Republic Government International Bond, 7.625%, 04/22/46 (a)4 |
150,000 | 162,000 | ||||||||||
Brazil Notas do Tesouro Nacional Serie F, Notes, 10.000%, 01/01/19 |
BRL | 500,000 | 148,878 | |||||||||
Corp. Andina de Fomento, Notes, 4.375%, 06/15/22 |
280,000 | 312,589 | ||||||||||
Dominican Republic International, Bonds, 8.625%, 04/20/27 (a) |
100,000 | 118,250 | ||||||||||
Export Credit Bank of Turkey, 5.000%, 09/23/21 (a) |
200,000 | 205,079 | ||||||||||
Export-Import Bank of Korea, EMTN, 3.000%, 05/22/18 (a) |
NOK | 1,000,000 | 122,569 | |||||||||
Hungary Government International, Notes, 5.375%, 03/25/24 |
140,000 | 156,380 | ||||||||||
Iceland Government International, Notes, 5.875%, 05/11/22 (a) |
145,000 | 169,250 | ||||||||||
Indonesia Government International Bond, 4.750%, 01/08/26 (a) |
200,000 | 217,774 | ||||||||||
Indonesia Treasury Bond, Series FR69, 7.875%, 04/15/19 |
IDR | 4,700,000,000 | 359,747 | |||||||||
Italy Buoni Poliennali Del Tesoro, |
||||||||||||
Bond, 1.500%, 06/01/25 |
EUR | 95,000 | 108,117 | |||||||||
Bond, 4.750%, 08/01/23 (a) |
EUR | 500,000 | 705,648 | |||||||||
Korea Treasury, Notes, Series 1709, 2.750%, 09/10/17 |
KRW | 258,000,000 | 227,882 | |||||||||
Mexican Bonos, Bonds, Series M, 6.500%, 06/10/21 |
MXN | 16,950,000 | 968,852 | |||||||||
New South Wales Treasury Corp., Bonds, Series 22, 6.000%, 03/01/22 |
AUD | 300,000 | 273,353 | |||||||||
New Zealand Government, Bonds, Series 423, 5.500%, 04/15/23 |
NZD | 1,180,000 | 1,024,322 | |||||||||
Poland Government, Series 1023, 4.000%, 10/25/23 |
PLN | 2,310,000 | 639,816 | |||||||||
Spain Government Bond, 1.600%, 04/30/25 (a) |
EUR | 95,000 | 109,809 | |||||||||
U.K. Gilt, Bonds, 4.000%, 03/07/22 |
GBP | 50,000 | 79,891 | |||||||||
Total Foreign Government Obligations (cost $6,753,263) |
6,110,206 |
The accompanying notes are an integral part of these financial statements.
18
AMG Managers Global Income Opportunity Fund
Schedule of Portfolio Investments (continued)
Principal Amount | Value | |||||||||||
U.S. Government Obligations - 3.0% |
||||||||||||
United States Treasury Notes, 0.875%, 03/31/18 |
USD | $ | 555,000 | $ | 557,710 | |||||||
Short-Term Investments - 5.0% |
||||||||||||
Repurchase Agreements - 3.3%7 |
||||||||||||
Cantor Fitzgerald Securities, Inc., dated 06/30/16, due 07/01/16, 0.470% total to be received $621,474 (collateralized by various U.S. Government Agency Obligations, 0.000% - 10.500%, 07/15/16 - 05/20/66, totaling $633,895) |
621,466 | 621,466 | ||||||||||
Shares | ||||||||||||
Other Investment Companies - 1.7%8 |
||||||||||||
Dreyfus Institutional Cash Advantage Fund, Institutional Class Shares, 0.39% |
309,318 | 309,318 | ||||||||||
Total Short-Term Investments |
930,784 | |||||||||||
Total Investments - 103.5% (cost $20,235,049) |
19,173,506 | |||||||||||
Other Assets, less Liabilities - (3.5)% |
(649,001 | ) | ||||||||||
Net Assets - 100.0% |
$ | 18,524,505 |
The accompanying notes are an integral part of these financial statements.
19
AMG Managers Special Equity Fund
Fund Snapshots (unaudited)
June 30, 2016
Because a funds 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 Funds 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 Funds portfolio of investments by the time you receive this report.
20
AMG Managers Special Equity Fund
Schedule of Portfolio Investments (unaudited)
June 30, 2016
The accompanying notes are an integral part of these financial statements.
21
AMG Managers Special Equity Fund
Schedule of Portfolio Investments (continued)
The accompanying notes are an integral part of these financial statements.
22
AMG Managers Special Equity Fund
Schedule of Portfolio Investments (continued)
The accompanying notes are an integral part of these financial statements.
23
AMG Managers Special Equity Fund
Schedule of Portfolio Investments (continued)
The accompanying notes are an integral part of these financial statements.
24
AMG Managers Special Equity Fund
Schedule of Portfolio Investments (continued)
The accompanying notes are an integral part of these financial statements.
25
Notes to Schedules of Portfolio Investments (unaudited)
The following footnotes should be read in conjunction with each of the Schedules of Portfolio Investments previously presented in this report.
At June 30, 2016, 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 | ||||||||||||
AMG Managers Bond Fund |
$ | 2,409,157,708 | $ | 178,147,384 | $ | (76,865,338 | ) | $ | 101,282,046 | |||||||
AMG Managers Global Income Opportunity Fund |
20,243,882 | 839,986 | (1,910,362 | ) | (1,070,376 | ) | ||||||||||
AMG Managers Special Equity Fund |
188,995,541 | 30,896,222 | (8,099,417 | ) | 22,796,805 |
* | Non-income producing security. |
| Principal amount stated in U.S. dollars unless otherwise stated. |
# | less than 0.05%. |
(a) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers. At June 30, 2016, the value of these securities amounted to the following: |
Fund | Market Value | % of Net Assets | ||||||
AMG Managers Bond Fund |
$ | 435,540,744 | 17.7 | % | ||||
AMG Managers Global Income Opportunity Fund |
6,671,763 | 36.0 | % |
(b) | Step Bond: A debt instrument with either deferred interest payments or an interest rate that resets at specific times during its term. |
1 | Floating Rate Security. The rate listed is as of June 30, 2016. Date in parentheses represents the securitys next coupon rate reset. |
2 | Illiquid Security: A security not readily convertible into cash such as a stock, bond or commodity that is not actively traded and would be difficult to sell in a timely sale. The Fund may not invest more than 15% of their net assets in illiquid securities. All illiquid securities are valued by an independent pricing agent. The market value of illiquid securities at June 30, 2016, amounted to the following: |
Fund | Market Value | % of Net Assets | ||||||
AMG Managers Bond Fund |
$ | 63,226,078 | 2.6 | % | ||||
AMG Managers Special Equity Fund |
92,800 | 0.1 | % |
3 | Variable Rate Security. The rate listed is as of June 30, 2016, and is periodically reset subject to terms and conditions set forth in the debenture. |
4 | Some or all of these securities were out on loan to various brokers as of June 30, 2016, amounting to the following: |
Fund | Market Value | % of Net Assets | ||||||
AMG Managers Bond Fund |
$ | 48,775,219 | 2.0 | % | ||||
AMG Managers Global Income Opportunity Fund |
595,520 | 3.2 | % | |||||
AMG Managers Special Equity Fund |
21,525,745 | 11.3 | % |
5 | Convertible Security. A corporate bond or preferred stock, usually a junior debenture, that can be converted, at the option of the holder, for a specific number of shares of the companys preferred stock or common stock. The market value of convertible bonds and convertible preferred stocks at June 30, 2016, amounted to the following: |
Convertible Bonds Fund | Market Value | % of Net Assets | ||||||
AMG Managers Bond Fund |
$ | 70,584,182 | 2.9 | % | ||||
Convertible Preferred Stock Fund | Market Value | % of Net Assets | ||||||
AMG Managers Bond Fund |
$ | 16,966,555 | 0.7 | % |
6 | Represents yield to maturity at June 30, 2016. |
7 | Collateral received from brokers for securities lending was invested in these joint repurchase agreements. |
8 | Yield shown represents the June 30, 2016, seven-day average yield, which refers to the sum of the previous seven days dividends paid, expressed as an annual percentage. |
9 | Perpetuity Bond. The date shown is the final call date. |
10 | This security is restricted and not available for re-sale. The security was received as part of a corporate action on January 22, 2016. |
The accompanying notes are an integral part of these financial statements.
26
Notes to Schedules of Portfolio Investments (continued)
The accompanying notes are an integral part of these financial statements.
27
Notes to Schedules of Portfolio Investments (continued)
The following tables summarize the inputs used to value the Funds investments by the fair value hierarchy levels as of June 30, 2016: (See Note 1(a) in the Notes to the Financial Statements.)
Quoted Prices in Active Markets Level 1 |
Significant Other Level 2 |
Significant Level 3 |
Total | |||||||||||||
AMG Managers Bond Fund |
||||||||||||||||
Investments in Securities |
||||||||||||||||
Asset-Backed Securities |
| $ | 87,209,849 | $ | 19,601,028 | $ | 106,810,877 | |||||||||
Corporate Bonds and Notes |
| 1,583,115,712 | | 1,583,115,712 | ||||||||||||
Foreign Government Obligations |
| 156,997,966 | | 156,997,966 | ||||||||||||
Mortgage-Backed Securities |
| 31,639,880 | | 31,639,880 | ||||||||||||
Municipal Bonds |
| 23,508,210 | | 23,508,210 | ||||||||||||
U.S. Government and Agency Obligations |
| 353,299,209 | | 353,299,209 | ||||||||||||
Common Stocks |
$ | 2,935,884 | | | 2,935,884 | |||||||||||
Preferred Stocks |
||||||||||||||||
Financials |
10,702,685 | | | 10,702,685 | ||||||||||||
Industrials |
4,394,849 | | | 4,394,849 | ||||||||||||
Materials |
3,241,146 | | | 3,241,146 | ||||||||||||
Utilities |
| 396,889 | | 396,889 | ||||||||||||
Short-Term Investments |
||||||||||||||||
Repurchase Agreements |
| 49,434,202 | | 49,434,202 | ||||||||||||
U.S. Treasury Bills |
| 149,984,700 | | 149,984,700 | ||||||||||||
Other Investment Companies |
33,977,545 | | | 33,977,545 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 55,252,109 | $ | 2,435,586,617 | $ | 19,601,028 | $ | 2,510,439,754 | ||||||||
|
|
|
|
|
|
|
|
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, 2016:
AMG Managers Bond Fund | Asset-Backed Securities |
|||
Balance as of December 31, 2015 |
$ | 20,421,277 | ||
Accrued discounts (premiums) |
(3,984 | ) | ||
Realized gain (loss) |
(4,872 | ) | ||
Change in unrealized appreciation (depreciation) |
(83,362 | ) | ||
Purchases |
| |||
Sales |
(728,031 | ) | ||
Transfers in to Level 3 |
| |||
Transfers out of Level 3 |
| |||
Balance as of June 30, 2016 |
$ | 19,601,028 | ||
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2016 |
$ | (83,362 | ) |
The Funds investment that is categorized as Level 3 is valued utilizing third party pricing information without adjustment (broker quote). Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investment.
The accompanying notes are an integral part of these financial statements.
28
Notes to Schedules of Portfolio Investments (continued)
Quoted Prices in Active Markets | Significant Other | Significant | ||||||||||||||
for Identical Investments | Observable Inputs | Unobservable Inputs | ||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
AMG Managers Global Income Opportunity Fund |
||||||||||||||||
Investments in Securities |
||||||||||||||||
Asset-Backed Securities |
| $ | 76,519 | | $ | 76,519 | ||||||||||
Corporate Bonds and Notes |
| 11,498,287 | | 11,498,287 | ||||||||||||
Foreign Government Obligations |
| 6,110,206 | | 6,110,206 | ||||||||||||
U.S. Government Obligations |
| 557,710 | | 557,710 | ||||||||||||
Short-Term Investments |
||||||||||||||||
Repurchase Agreements |
| 621,466 | | 621,466 | ||||||||||||
Other Investment Companies |
$ | 309,318 | | | 309,318 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 309,318 | $ | 18,864,188 | | $ | 19,173,506 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Financial Derivative Instruments-Assets |
||||||||||||||||
Foreign Currency Exchange Contracts |
| $ | 104,915 | | $ | 104,915 | ||||||||||
Financial Derivative Instruments-Liabilities |
||||||||||||||||
Foreign Currency Exchange Contracts |
| (145,871 | ) | | (145,871 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financial Derivative Instruments |
| $ | (40,956 | ) | | $ | (40,956 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Quoted Prices in Active Markets | Significant Other | Significant | ||||||||||||||
for Identical Investments | Observable Inputs | Unobservable Inputs | ||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
AMG Managers Special Equity Fund |
||||||||||||||||
Investments in Securities |
||||||||||||||||
Common Stocks |
||||||||||||||||
Information Technology |
$ | 46,593,518 | $ | 92,800 | | $ | 46,686,318 | |||||||||
Health Care |
42,231,093 | | | 42,231,093 | ||||||||||||
Consumer Discretionary |
32,924,096 | | | 32,924,096 | ||||||||||||
Industrials |
25,451,932 | | | 25,451,932 | ||||||||||||
Financials |
16,697,673 | | | 16,697,673 | ||||||||||||
Consumer Staples |
10,428,477 | | | 10,428,477 | ||||||||||||
Energy |
4,139,136 | | | 4,139,136 | ||||||||||||
Materials |
2,673,363 | | | 2,673,363 | ||||||||||||
Telecommunication Services |
2,519,861 | | | 2,519,861 | ||||||||||||
Utilities |
498,459 | | | 498,459 | ||||||||||||
Rights |
| | $ | 47 | 47 | |||||||||||
Warrants |
10,152 | | | 10,152 | ||||||||||||
Short-Term Investments |
||||||||||||||||
Repurchase Agreements |
| 22,223,975 | | 22,223,975 | ||||||||||||
Other Investment Companies |
5,307,764 | | | 5,307,764 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 189,475,524 | $ | 22,316,775 | $ | 47 | $ | 211,792,346 | ||||||||
|
|
|
|
|
|
|
|
At June 30, 2016, the Level 3 security are Rights received as a result of a corporate action.
The accompanying notes are an integral part of these financial statements.
29
Notes to Schedules of Portfolio Investments (continued)
| All corporate bonds and notes and U.S. government and agency obligations held in the Funds are level 2 securities. For a detailed breakout of the corporate bonds and notes and U.S. government and agency obligations by major industry or agency classification, please refer to the respective Schedule of Portfolio Investments. |
| All common stocks held in the Fund are level 1 securities. For a detailed breakout of the common stocks, please refer to the Schedule of Portfolio Investments. |
| Derivative instruments, such as forwards contracts are not reflected in the Schedule of Portfolio Investments and are valued at the unrealized appreciation/depreciation of the instrument. |
As of June 30, 2016, the Funds had no significant transfers between levels from the beginning of the reporting period.
The following schedule shows the value of derivative instruments at June 30, 2016:
Asset Derivatives |
Liability Derivatives |
|||||||||||||
Fund | Derivatives not accounted for as hedging instruments |
Statement of Assets and Liabilities Location |
Fair Value | Statement of Assets and Liabilities Location |
Fair Value | |||||||||
AMG Managers Global Income Opportunity Fund |
||||||||||||||
Foreign currency exchange contracts |
Unrealized appreciation on foreign currency contracts |
$ | 104,915 | Unrealized depreciation on foreign currency contracts |
$ | 145,871 | ||||||||
|
|
|
|
For the six months ended June 30, 2016, the effect of derivative instruments on the Statement of Operations and the amount of realized gain/(loss) and unrealized gain/(loss) on derivatives recognized in income is as follows:
Realized Gain (Loss) |
Change in Unrealized Gain (Loss) |
|||||||||||||
Fund | Derivatives not accounted for as hedging instruments |
Statement of Operations Location |
Realized Gain/(Loss) |
Statement of Operations Location |
Change In Gain/(Loss) |
|||||||||
AMG Managers Global Income Opportunity Fund |
||||||||||||||
Foreign currency exchange contracts |
Net realized gain on foreign currency transactions |
$ | 457,176 | Net change in unrealized appreciation (depreciation) of foreign currency translations |
$ | (40,768 | ) | |||||||
|
|
|
|
At June 30, 2016, the following Fund had foreign currency contracts (in U.S. Dollars):
(See Note 9 in the Notes to Financial Statements.)
AMG Managers Global Income Opportunity Fund | ||||||||||||||||||
Foreign Currency | Position | Settlement Date | Counterparty | Receivable Amount |
Payable Amount |
Unrealized Gain/ (Loss) |
||||||||||||
Brazilian Real |
Long | 09/21/16 | CS | $ | 68,909 | $ | 64,866 | $ | 4,043 | |||||||||
British Pound |
Long | 09/21/16 | CS | 466,312 | 505,718 | (39,406 | ) | |||||||||||
Euro |
Long | 09/21/16 | MS | 3,448,502 | 3,520,072 | (71,570 | ) | |||||||||||
Japanese Yen |
Long | 09/21/16 | CS | 2,393,913 | 2,316,979 | 76,934 | ||||||||||||
Polish Zloty |
Long | 09/21/16 | CITI | 187,214 | 190,818 | (3,604 | ) | |||||||||||
Australian Dollar |
Short | 09/21/16 | CS | 422,906 | 436,475 | (13,569 | ) | |||||||||||
Brazilian Real |
Short | 09/21/16 | CS | 62,007 | 68,909 | (6,902 | ) | |||||||||||
British Pound |
Short | 09/21/16 | CS | 185,820 | 173,201 | 12,619 | ||||||||||||
Euro |
Short | 09/21/16 | MS | 181,547 | 178,102 | 3,445 |
The accompanying notes are an integral part of these financial statements.
30
Notes to Schedules of Portfolio Investments (continued)
Foreign Currency | Position | Settlement Date | Counterparty | Receivable Amount |
Payable Amount |
Unrealized Gain/ (Loss) |
||||||||||||||
Indonesian Rupiah |
Short | 09/21/16 | CS | $ | 230,695 | $ | 231,959 | $ | (1,264 | ) | ||||||||||
Mexican Peso |
Short | 09/21/16 | UBS | 1,103,482 | 1,108,773 | (5,291 | ) | |||||||||||||
New Zealand Dollar |
Short | 09/21/16 | CS | 898,735 | 903,000 | (4,265 | ) | |||||||||||||
Norwegian Krone |
Short | 09/21/16 | UBS | 122,975 | 119,473 | 3,502 | ||||||||||||||
Polish Zloty |
Short | 09/21/16 | CITI | 650,919 | 647,661 | 3,258 | ||||||||||||||
Swiss Franc |
Short | 09/21/16 | UBS | 62,850 | 61,736 | 1,114 | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
Totals | $ | 10,486,786 | $ | 10,527,742 | $ | (40,956 | ) | |||||||||||||
|
|
|
|
|
|
ADR: ADR after the name of a holding stands for American Depositary Receipt, representing ownership of foreign securities on deposit with a domestic custodian bank. The value of the ADR security is determined or significantly influenced by trading on exchanges not located in the United States or Canada. Sponsored ADRs are initiated by the underlying foreign company.
The accompanying notes are an integral part of these financial statements.
31
Statement of Assets and Liabilities (unaudited)
June 30, 2016
AMG Managers Bond Fund |
AMG Managers Global Income Opportunity Fund |
AMG Managers Special Equity Fund |
||||||||||
Assets: |
||||||||||||
Investments at value* (including securities on loan valued at $48,775,219, $595,520 and $21,525,745, respectively) |
$ | 2,461,005,552 | $ | 18,552,040 | $ | 189,568,371 | ||||||
Repurchase Agreements at value** |
49,434,202 | 621,466 | 22,223,975 | |||||||||
Foreign currency*** |
829,781 | 84,038 | | |||||||||
Dividends, interest and other receivables |
22,711,881 | 224,028 | 122,338 | |||||||||
Receivable for investments sold |
2,290,458 | | 5,265,616 | |||||||||
Receivable for Fund shares sold |
3,389,233 | 14,584 | 59,208 | |||||||||
Unrealized appreciation on foreign currency contracts |
| 104,915 | | |||||||||
Receivable from affiliate |
62,190 | 13,490 | 27,284 | |||||||||
Prepaid expenses |
45,504 | 8,106 | 16,697 | |||||||||
Total assets |
2,539,768,801 | 19,622,667 | 217,283,489 | |||||||||
Liabilities: |
||||||||||||
Payable upon return of securities loaned |
49,434,202 | 621,466 | 22,223,975 | |||||||||
Payable for investments purchased |
24,971,000 | 202,091 | 4,695,443 | |||||||||
Payable for Fund shares repurchased |
4,664,279 | 43,657 | 317,889 | |||||||||
Unrealized depreciation on foreign currency contracts |
| 145,871 | | |||||||||
Accrued expenses: |
||||||||||||
Investment advisory and management fees |
1,253,721 | 10,805 | 140,846 | |||||||||
Administrative fees |
501,488 | 3,087 | 39,124 | |||||||||
Shareholder servicing fees - Service Class |
123,928 | | 35,485 | |||||||||
Trustees fees and expenses |
1,411 | 37 | | |||||||||
Other |
344,455 | 71,148 | 87,879 | |||||||||
Total liabilities |
81,294,484 | 1,098,162 | 27,540,641 | |||||||||
Net Assets |
$ | 2,458,474,317 | $ | 18,524,505 | $ | 189,742,848 | ||||||
* Investments at cost |
$ | 2,351,914,148 | $ | 19,613,583 | $ | 164,606,739 | ||||||
** Repurchase agreements at cost |
$ | 49,434,202 | $ | 621,466 | $ | 22,223,975 | ||||||
*** Foreign currency at cost |
$ | 818,781 | $ | 82,848 | |
The accompanying notes are an integral part of these financial statements.
32
Statement of Assets and Liabilities (continued)
AMG Managers Bond Fund |
AMG Managers Global Income Opportunity Fund |
AMG Managers Special Equity Fund |
||||||||||
Net Assets Represent: |
||||||||||||
Paid-in capital |
$ | 2,336,929,448 | $ | 22,566,053 | $ | 292,018,096 | ||||||
Distributions in excess of net investment income |
(4,879,715 | ) | (197,999 | ) | (467,724 | ) | ||||||
Undistributed (accumulated) net realized gain (loss) from investments |
17,282,577 | (2,741,573 | ) | (126,769,155 | ) | |||||||
Net unrealized appreciation (depreciation) of investments |
109,142,007 | (1,101,976 | ) | 24,961,631 | ||||||||
Net Assets |
$ | 2,458,474,317 | $ | 18,524,505 | $ | 189,742,848 | ||||||
Shares outstanding |
n/a | 933,672 | n/a | |||||||||
Net asset value, offering and redemption price per share |
n/a | $ | 19.84 | n/a | ||||||||
Service Class: |
||||||||||||
Net Assets |
$ | 1,513,867,583 | n/a | $ | 172,056,933 | |||||||
Shares outstanding |
55,524,325 | n/a | 1,966,070 | |||||||||
Net asset value, offering and redemption price per share |
$ | 27.26 | n/a | $ | 87.51 | |||||||
Institutional Class: |
||||||||||||
Net Assets |
$ | 944,606,734 | n/a | $ | 17,685,915 | |||||||
Shares outstanding |
34,651,124 | n/a | 197,158 | |||||||||
Net asset value, offering and redemption price per share |
$ | 27.26 | n/a | $ | 89.70 |
The accompanying notes are an integral part of these financial statements.
33
Statement of Operations (unaudited)
For the six months ended June 30, 2016
AMG Managers Bond Fund |
AMG Managers Global Income Opportunity Fund |
AMG Managers Special Equity Fund |
||||||||||
Investment Income: |
||||||||||||
Interest income |
$ | 54,294,918 | $ | 588,950 | $ | 75 | ||||||
Dividend income |
678,440 | 1,587 | 617,729 | |||||||||
Securities lending income |
228,991 | 6,099 | 140,307 | |||||||||
Foreign withholding tax |
(45,823 | ) | (843 | ) | | |||||||
Total investment income |
55,156,526 | 595,793 | 758,111 | |||||||||
Expenses: |
||||||||||||
Investment advisory and management fees |
7,577,572 | 88,755 | 828,673 | |||||||||
Administrative fees |
3,031,029 | 25,359 | 230,187 | |||||||||
Shareholder servicing fees - Service Class |
759,780 | | 208,888 | |||||||||
Reports to shareholders |
138,938 | 6,211 | 9,693 | |||||||||
Custodian fees |
96,643 | 37,854 | 59,530 | |||||||||
Professional fees |
106,388 | 19,567 | 18,497 | |||||||||
Trustees fees and expenses |
90,102 | 1,172 | 6,973 | |||||||||
Transfer agent fees |
78,954 | 3,564 | 16,141 | |||||||||
Registration fees |
25,518 | 9,844 | 10,948 | |||||||||
Miscellaneous |
29,163 | 688 | 2,688 | |||||||||
Total expenses before offsets/reductions |
11,934,087 | 193,014 | 1,392,218 | |||||||||
Expense reimbursements |
(383,845 | ) | (80,157 | ) | (161,286 | ) | ||||||
Expense reductions |
| | (5,097 | ) | ||||||||
Net expenses |
11,550,242 | 112,857 | 1,225,835 | |||||||||
Net Investment income (loss) |
43,606,284 | 482,936 | (467,724 | ) | ||||||||
Net Realized and Unrealized Gain (Loss): |
||||||||||||
Net realized gain (loss) on investments |
15,933,391 | (1,095,063 | ) | (2,176,531 | ) | |||||||
Net realized gain (loss) on foreign currency transactions |
(89,842 | ) | 448,474 | 28 | ||||||||
Net change in unrealized appreciation (depreciation) of investments |
78,914,365 | 2,525,516 | 1,442,441 | |||||||||
Net change in unrealized appreciation (depreciation) of foreign currency translations |
50,948 | (32,014 | ) | | ||||||||
Net realized and unrealized gain (loss) |
94,808,862 | 1,846,913 | (734,062 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations |
$ | 138,415,146 | $ | 2,329,849 | $ | (1,201,786 | ) |
The accompanying notes are an integral part of these financial statements.
34
Statements of Changes in Net Assets
For the six month ended June 30, 2016 (unaudited) and the year ended December 31, 2015
AMG Managers Bond Fund | AMG Managers Global Income Opportunity Fund |
AMG Managers Special Equity Fund | ||||||||||||||||||||||
June 30, 2016 |
December 31, 2015 |
June 30, 2016 |
December 31, 2015 |
June 30, 2016 |
December 31, 2015 |
|||||||||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations: |
||||||||||||||||||||||||
Net investment income (loss) |
$ | 43,606,284 | $ | 75,599,756 | $ | 482,936 | $ | 1,399,051 | $ | (467,724 | ) | $ | (1,080,584 | ) | ||||||||||
Net realized gain (loss) on investments, foreign currency transactions |
15,843,549 | 32,339,001 | (646,589 | ) | (1,405,180 | ) | (2,176,503 | ) | 16,303,340 | |||||||||||||||
Net change in unrealized appreciation (depreciation) of investments, foreign currency translations |
78,965,313 | (164,350,877 | ) | 2,493,502 | (2,587,751 | ) | 1,442,441 | (15,116,156 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from operations |
138,415,146 | (56,412,120 | ) | 2,329,849 | (2,593,880 | ) | (1,201,786 | ) | 106,600 | |||||||||||||||
Distributions to Shareholders: |
||||||||||||||||||||||||
From net investment income: |
||||||||||||||||||||||||
Single Class Fund |
| | | (482,617 | ) | | | |||||||||||||||||
Service Class |
(25,129,550 | ) | (46,749,891 | ) | | | | | ||||||||||||||||
Institutional Class |
(15,547,080 | ) | (25,682,778 | ) | | | | | ||||||||||||||||
From net realized gain on investments: |
||||||||||||||||||||||||
Single Class Fund |
| | | | | | ||||||||||||||||||
Service Class |
| (22,559,422 | ) | | | | | |||||||||||||||||
Institutional Class |
| (12,787,975 | ) | | | | | |||||||||||||||||
Total distributions to shareholders |
(40,676,630 | ) | (107,780,066 | ) | | (482,617 | ) | | | |||||||||||||||
Capital Share Transactions:1 |
||||||||||||||||||||||||
Net decrease from capital share transactions |
(112,035,599 | ) | (371,852,846 | ) | (15,945,970 | ) | (14,995,747 | ) | (9,453,692 | ) | (23,986,851 | ) | ||||||||||||
Total decrease in net assets |
(14,297,083 | ) | (536,045,032 | ) | (13,616,121 | ) | (18,072,244 | ) | (10,655,478 | ) | (23,880,251 | ) | ||||||||||||
Net Assets: |
||||||||||||||||||||||||
Beginning of period |
2,472,771,400 | 3,008,816,432 | 32,140,626 | 50,212,870 | 200,398,326 | 224,278,577 | ||||||||||||||||||
End of period |
$ | 2,458,474,317 | $ | 2,472,771,400 | $ | 18,524,505 | $ | 32,140,626 | $ | 189,742,848 | $ | 200,398,326 | ||||||||||||
End of period distributions in excess of net investment income |
$ | (4,879,715 | ) | $ | (7,809,369 | ) | $ | (197,999 | ) | $ | (680,935 | ) | $ | (467,724 | ) | | ||||||||
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1 | See Note 1(g) of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
35
AMG Managers Bond Fund
For a share outstanding throughout each period
Service Class |
Six Months June 30, 2016 |
For the years ended December 31, | ||||||||||||||||||||||
(Unaudited) | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||
Net Asset Value, Beginning of Period |
$ | 26.19 | $ | 27.88 | $ | 27.33 | $ | 27.93 | $ | 25.97 | $ | 25.61 | ||||||||||||
Income (loss) from Investment Operations: |
||||||||||||||||||||||||
Net investment income1,2 |
0.47 | 0.74 | 0.80 | 0.92 | 1.03 | 1.14 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
1.04 | (1.34 | ) | 0.78 | (0.63 | ) | 2.04 | 0.39 | ||||||||||||||||
Total income (loss) from investment operations |
1.51 | (0.60 | ) | 1.58 | 0.29 | 3.07 | 1.53 | |||||||||||||||||
Less Distributions to Shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.44 | ) | (0.71 | ) | (0.85 | ) | (0.89 | ) | (1.11 | ) | (1.17 | ) | ||||||||||||
Net realized gain on investments |
| (0.38 | ) | (0.18 | ) | | | | ||||||||||||||||
Total distributions to shareholders |
(0.44 | ) | (1.09 | ) | (1.03 | ) | (0.89 | ) | (1.11 | ) | (1.17 | ) | ||||||||||||
Net Asset Value, End of Period |
$ | 27.26 | $ | 26.19 | $ | 27.88 | $ | 27.33 | $ | 27.93 | $ | 25.97 | ||||||||||||
Total Return2 |
5.88 | %4,15 | (2.19 | )%4 | 5.81 | % | 1.06 | % | 12.04 | % | 6.06 | % | ||||||||||||
Ratio of net expenses to average net assets (with offsets/ reductions) |
0.99 | %16 | 0.99 | % | 0.99 | % | 1.01 | %5 | 0.99 | %6 | 0.99 | % | ||||||||||||
Ratio of expenses to average net assets (with offsets) |
0.99 | %16 | 0.99 | % | 0.99 | % | 1.01 | %5 | 0.99 | %6 | 0.99 | % | ||||||||||||
Ratio of total expenses to average net assets (without offsets/reductions)3 |
1.02 | %16 | 1.02 | % | 1.02 | % | 1.05 | %5 | 1.05 | %6 | 1.05 | % | ||||||||||||
Ratio of net investment income to average net assets2 |
3.56 | %16 | 2.69 | % | 2.85 | % | 3.33 | %5 | 3.79 | %6 | 4.36 | % | ||||||||||||
Portfolio turnover |
23 | %15 | 10 | % | 26 | % | 19 | % | 26 | % | 17 | % | ||||||||||||
Net assets at end of period (000s omitted) |
$ | 1,513,867 | $ | 1,575,246 | $ | 1,947,536 | $ | 1,545,765 | $ | 2,374,012 | $ | 2,121,491 | ||||||||||||
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Institutional Class |
Six Months Ended June 30, 2016 (Unaudited) |
For the years ended December 31, | For the period to December 31, 2013 |
|||||||||||||
2015 | 2014 | |||||||||||||||
Net Asset Value, Beginning of Period |
$ | 26.19 | $ | 27.87 | $ | 27.33 | $ | 28.19 | ||||||||
Income (loss) from Investment Operations: |
||||||||||||||||
Net investment income1,2 |
0.48 | 0.77 | 0.83 | 0.73 | ||||||||||||
Net realized and unrealized gain (loss) on investments |
1.04 | (1.33 | ) | 0.77 | (0.88 | ) | ||||||||||
Total income (loss) from investment operations |
1.52 | (0.56 | ) | 1.60 | (0.15 | ) | ||||||||||
Less Distributions to Shareholders from: |
||||||||||||||||
Net investment income |
(0.45 | ) | (0.74 | ) | (0.88 | ) | (0.71 | ) | ||||||||
Net realized gain on investments |
| (0.38 | ) | (0.18 | ) | | ||||||||||
Total distributions to shareholders |
(0.45 | ) | (1.12 | ) | (1.06 | ) | (0.71 | ) | ||||||||
Net Asset Value, End of Period |
$ | 27.26 | $ | 26.19 | $ | 27.87 | $ | 27.33 | ||||||||
Total Return2 |
5.88 | %15 | (2.05 | )% | 5.88 | % | (0.48 | )%15 | ||||||||
Ratio of net expenses to average net assets (with offsets/reductions) |
0.89 | %16 | 0.89 | % | 0.89 | % | 0.91 | %5,16 | ||||||||
Ratio of expenses to average net assets (with offsets) |
0.89 | %16 | 0.89 | % | 0.89 | % | 0.91 | %5,16 | ||||||||
Ratio of total expenses to average net assets (without offsets/reductions)3 |
0.92 | %16 | 0.92 | % | 0.92 | % | 0.95 | %5,16 | ||||||||
Ratio of net investment income to average net assets2 |
3.66 | %16 | 2.79 | % | 2.93 | % | 3.53 | %5,16 | ||||||||
Portfolio turnover |
23 | %15 | 10 | % | 26 | % | 19 | %15 | ||||||||
Net assets at end of period (000s omitted) |
$ | 944,607 | $ | 897,526 | $ | 1,061,280 | $ | 745,121 | ||||||||
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36
AMG Managers Global Income Opportunity Fund
Financial Highlights
For a share outstanding throughout each period
Six Months Ended June 30, 2016 |
For the years ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||
Net Asset Value, Beginning of Period |
$ | 18.18 | $ | 19.68 | $ | 19.69 | $ | 20.56 | $ | 19.30 | $ | 19.33 | ||||||||||||
Income (loss) from Investment Operations: |
||||||||||||||||||||||||
Net investment income1,2 |
0.36 | 0.65 | 0.57 | 0.51 | 0.53 | 0.53 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
1.30 | (1.87 | ) | (0.21 | ) | (0.80 | ) | 1.52 | 0.12 | |||||||||||||||
Total income (loss) from investment operations |
1.66 | (1.22 | ) | 0.36 | (0.29 | ) | 2.05 | 0.65 | ||||||||||||||||
Less Distributions to Shareholders from: |
||||||||||||||||||||||||
Net investment income |
| (0.28 | ) | (0.37 | ) | (0.58 | ) | (0.79 | ) | (0.68 | ) | |||||||||||||
Net Asset Value, End of Period |
$ | 19.84 | $ | 18.18 | $ | 19.68 | $ | 19.69 | $ | 20.56 | $ | 19.30 | ||||||||||||
Total Return2 |
9.13 | %15 | (6.22 | )% | 1.84 | % | (1.40 | )% | 10.63 | % | 3.39 | % | ||||||||||||
Ratio of net expenses to average net assets (with offsets/reductions) |
0.89 | %16 | 0.89 | % | 0.89 | % | 0.91 | %7 | 1.05 | %8 | 1.10 | % | ||||||||||||
Ratio of expenses to average net assets (with offsets) |
0.89 | %16 | 0.89 | % | 0.89 | % | 0.91 | %7 | 1.05 | %8 | 1.10 | % | ||||||||||||
Ratio of total expenses to average net assets (without offsets/reductions)3 |
1.52 | %16 | 1.29 | % | 1.26 | % | 1.23 | %7 | 1.36 | %8 | 1.39 | % | ||||||||||||
Ratio of net investment income to average net assets2 |
3.81 | %16 | 3.36 | % | 2.78 | % | 2.49 | %7 | 2.63 | %8 | 2.63 | % | ||||||||||||
Portfolio turnover |
12 | %15 | 53 | % | 56 | % | 40 | % | 59 | % | 91 | % | ||||||||||||
Net assets at end of period (000s omitted) |
$ | 18,525 | $ | 32,141 | $ | 50,213 | $ | 48,295 | $ | 34,948 | $ | 24,608 | ||||||||||||
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37
AMG Managers Special Equity Fund
Financial Highlights
For a share outstanding throughout each period
Six Months Ended June 30, 2016 |
For the years ended December 31, | |||||||||||||||||||||||
Service Class | (Unaudited) | 2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||
Net Asset Value, Beginning of Period |
$ | 87.84 | $ | 88.30 | $ | 87.24 | $ | 60.14 | $ | 54.51 | $ | 52.71 | ||||||||||||
Income (loss) from Investment Operations: |
||||||||||||||||||||||||
Net investment loss1,2 |
(0.22 | ) | (0.47 | )17 | (0.72 | ) | (0.52 | )9 | (0.24 | )10 | (0.50 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investments |
(0.11 | ) | 0.01 | 1.78 | 27.62 | 5.87 | 2.30 | |||||||||||||||||
Total income (loss) from investment operations |
(0.33 | ) | (0.46 | ) | 1.06 | 27.10 | 5.63 | 1.80 | ||||||||||||||||
Net Asset Value, End of Period |
$ | 87.51 | $ | 87.84 | $ | 88.30 | $ | 87.24 | $ | 60.14 | $ | 54.51 | ||||||||||||
Total Return2 |
(0.38 | )%4,15 | (0.52 | )%4 | 1.22 | % | 45.06 | %11 | 10.35 | %4 | 3.41 | %4 | ||||||||||||
Ratio of net expenses to average net assets (with offsets/reductions) |
1.36 | %16 | 1.35 | % | 1.35 | % | 1.37 | %12 | 1.35 | %13 | 1.37 | %14 | ||||||||||||
Ratio of expenses to average net assets (with offsets) |
1.36 | %16 | 1.36 | % | 1.36 | % | 1.38 | %12 | 1.36 | %13 | 1.38 | % | ||||||||||||
Ratio of total expenses to average net assets (without offsets/reductions)3 |
1.54 | %16 | 1.51 | % | 1.51 | % | 1.52 | %12 | 1.55 | %13 | 1.54 | % | ||||||||||||
Ratio of net investment loss to average net assets2 |
(0.53 | )%16 | (0.51 | )% | (0.83 | )% | (0.71 | )%12 | (0.40 | )%13 | (0.89 | )% | ||||||||||||
Portfolio turnover |
67 | %15 | 116 | % | 121 | % | 129 | % | 107 | % | 126 | % | ||||||||||||
Net assets at end of period (000s omitted) |
$ | 172,057 | $ | 181,862 | $ | 205,362 | $ | 240,162 | $ | 184,142 | $ | 243,858 | ||||||||||||
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Six Months June 30, 2016 |
For the years ended December 31, | |||||||||||||||||||||||
Institutional Class | (Unaudited) | 2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||
Net Asset Value, Beginning of Period |
$ | 89.92 | $ | 90.18 | $ | 88.87 | $ | 61.34 | $ | 55.45 | $ | 53.43 | ||||||||||||
Income (loss) from Investment Operations: |
||||||||||||||||||||||||
Net investment loss1,2 |
(0.12 | ) | (0.26 | )17 | (0.51 | ) | (0.34 | )9 | (0.05 | )10 | (0.29 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investments |
(0.10 | ) | 0.00 | # | 1.82 | 27.87 | 5.94 | 2.31 | ||||||||||||||||
Total income (loss) from investment operations |
(0.22 | ) | (0.26 | ) | 1.31 | 27.53 | 5.89 | 2.02 | ||||||||||||||||
Net Asset Value, End of Period |
$ | 89.70 | $ | 89.92 | $ | 90.18 | $ | 88.87 | $ | 61.34 | $ | 55.45 | ||||||||||||
Total Return2 |
(0.25 | )%4,15 | (0.29 | )%4 | 1.47 | % | 44.88 | % | 10.62 | % | 3.78 | % | ||||||||||||
Ratio of net expenses to average net assets (with offsets/reductions) |
1.11 | %16 | 1.10 | % | 1.10 | % | 1.12 | %12 | 1.10 | %13 | 1.12 | %14 | ||||||||||||
Ratio of expenses to average net assets (with offsets) |
1.11 | %16 | 1.11 | % | 1.11 | % | 1.13 | %12 | 1.11 | %13 | 1.13 | % | ||||||||||||
Ratio of total expenses to average net assets (without offsets/reductions)3 |
1.29 | %16 | 1.26 | % | 1.26 | % | 1.27 | %12 | 1.30 | %13 | 1.29 | % | ||||||||||||
Ratio of net investment loss to average net assets2 |
(0.28 | )%16 | (0.27 | )% | (0.58 | )% | (0.46 | )%12 | (0.08 | )%13 | (0.53 | )% | ||||||||||||
Portfolio turnover |
67 | %15 | 116 | % | 121 | % | 129 | % | 107 | % | 126 | % | ||||||||||||
Net assets at end of period (000s omitted) |
$ | 17,686 | $ | 18,536 | $ | 18,917 | $ | 20,215 | $ | 16,407 | $ | 13,961 | ||||||||||||
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38
Notes to Financial Highlights (unaudited)
The following footnotes should be read in conjunction with the Financial Highlights of the Funds previously presented in this report.
| Formerly shares of the Funds sole class, which were reclassified and redesignated as Service Class shares on April 1, 2013. |
| Commencement of operations was April 1, 2013. |
| All Managers Class shares were renamed Service Class shares on April 1, 2013. |
# | Rounds to less than $0.01 per share. |
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 | Excludes the impact of expense reimbursements 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.) |
4 | The Total Return is based on the Financial Statement Net Asset Values as shown in the Financial Highlights. |
5 | Includes non-routine extraordinary expenses amounting to 0.023% and 0.015% of average net assets for the Service Class and Institutional Class, respectively. |
6 | Includes non-routine extraordinary expenses amounting to 0.004% of average net assets. |
7 | Includes non-routine extraordinary expenses amounting to 0.020% of average net assets. |
8 | Includes non-routine extraordinary expenses amounting to 0.004% of average net assets. |
9 | Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.59) and $(0.41) for the Service Class and Institutional Class, respectively. |
10 | Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.45) and $(0.27) for the Service Class and Institutional Class, respectively. |
11 | The total return would have been 44.56% had the capital contribution of $851,162 not been included. |
12 | Includes non-routine extraordinary expenses amounting to 0.018% and 0.018% of average net assets for the Service Class and Institutional Class, respectively. |
13 | Includes non-routine extraordinary expenses amounting to 0.003% and 0.004% of average net assets for the Service Class and Institutional Class, respectively. |
14 | Effective July 1, 2011, the Funds expense cap was reduced to 1.11% from 1.14%. For the period April 1, 2011 through June 30, 2011, the Funds expense cap was 1.14%. From January 1, 2011 through March 31, 2011, the Funds expense cap was 1.19%. The expense ratio shown reflects the weighted average expense ratio for the full year ended December 31, 2011. |
15 | Not annualized. |
16 | Annualized. |
17 | Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.69) and $(0.48) for the Service Class and Institutional Class, respectively. |
39
Notes to Financial Statements (unaudited)
June 30, 2016
40 |
Notes to Financial Statements (continued)
41 |
Notes to Financial Statements (continued)
42
Notes to Financial Statements (continued)
For the six month ended June 30, 2016 (unaudited) and the year ended December 31, 2015, the capital stock transactions by class for the Funds were as follows:
Bond | Special Equity | |||||||||||||||||||||||||||||||
2016 | 2015 | 2016 | 2015 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Service Class: |
||||||||||||||||||||||||||||||||
Proceeds from sale of shares |
3,613,220 | $ | 96,075,034 | 13,375,634 | $ | 369,405,651 | 42,145 | $ | 3,502,110 | 141,833 | $ | 13,310,456 | ||||||||||||||||||||
Reinvestment of distributions |
889,016 | 23,664,094 | 2,388,316 | 64,332,254 | | | | | ||||||||||||||||||||||||
Cost of shares repurchased |
(9,125,442 | ) | (242,121,277 | ) | (25,478,779 | ) | (698,541,616 | ) | (146,553 | ) | (12,220,426 | ) | (397,066 | ) | (37,030,495 | ) | ||||||||||||||||
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|||||||||||||||||
Net decrease |
(4,623,206 | ) | $ | (122,382,149 | ) | (9,714,829 | ) | $ | (264,803,711 | ) | (104,408 | ) | $ | (8,718,316 | ) | (255,233 | ) | $ | (23,720,039 | ) | ||||||||||||
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|
|||||||||||||||||
Institutional Class: |
||||||||||||||||||||||||||||||||
Proceeds from sale of shares |
3,952,437 | $ | 105,191,630 | 8,240,259 | $ | 226,155,038 | 9,815 | $ | 832,533 | 31,383 | $ | 2,992,129 | ||||||||||||||||||||
Reinvestment of distributions |
583,464 | 15,532,103 | 1,427,491 | 38,442,052 | | | | | ||||||||||||||||||||||||
Cost of shares repurchased |
(4,160,654 | ) | (110,377,183 | ) | (13,467,920 | ) | (371,646,225 | ) | (18,790 | ) | (1,567,909 | ) | (35,017 | ) | (3,258,941 | ) | ||||||||||||||||
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|
|||||||||||||||||
Net increase (decrease) |
375,247 | $ | 10,346,550 | (3,800,170 | ) | $ | (107,049,135 | ) | (8,975 | ) | $ | (735,376 | ) | (3,634 | ) | $ | (266,812 | ) | ||||||||||||||
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Global Income Opportunity | ||||||||||||||||
2016 | 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Single Class: |
||||||||||||||||
Proceeds from sale of shares |
90,522 | $ | 1,700,520 | 577,925 | $ | 11,130,601 | ||||||||||
Reinvestment of distributions |
| | 25,182 | 459,068 | ||||||||||||
Cost of shares repurchased |
(925,225 | ) | (17,646,490 | ) | (1,386,359 | ) | (26,585,416 | ) | ||||||||
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Net decrease |
(834,703 | ) | $ | (15,945,970 | ) | (783,252 | ) | $ | (14,995,747 | ) | ||||||
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|
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|
At June 30, 2016, certain unaffiliated shareholders of record, specifically omnibus accounts, individually or collectively held greater than 10% of the net assets of each Fund as follows: Bond - two collectively own 68%; Global Income Opportunity - three collectively own 60%; Special Equity - two collectively own 51%. Transactions by these shareholders may have a material impact on their respective Fund.
43 |
Notes to Financial Statements (continued)
44 |
Notes to Financial Statements (continued)
45 |
Notes to Financial Statements (continued)
46 |
Notes to Financial Statements (continued)
The following tables are a summary of the Funds open repurchase agreements and derivatives that are subject to master netting agreements as of June 30, 2016:
Gross Amount Not Offset in the Statement of Assets and Liabilities |
||||||||||||||||
Fund | Net Amounts of Assets Presented in the Statement of Assets and Liabilities |
Financial Instruments Collateral |
Cash Collateral Received |
Net Amount | ||||||||||||
Bond |
||||||||||||||||
Bank of Nova Scotia |
$ | 11,226,211 | $ | 11,226,211 | ||||||||||||
Cantor Fitzgerald Securities, Inc. |
11,740,760 | 11,740,760 | | | ||||||||||||
Daiwa Capital Markets America |
11,740,760 | 11,740,760 | | | ||||||||||||
Nomura Securities International, Inc. |
11,740,760 | 11,740,760 | | | ||||||||||||
State of Wisconsin Investment Board |
2,985,711 | 2,985,711 | | | ||||||||||||
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|||||||||
Totals |
$ | 49,434,202 | $ | 49,434,202 | | | ||||||||||
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|
|||||||||
Global Income Opportunity |
||||||||||||||||
Cantor Fitzgerald Securities, Inc. |
$ | 621,466 | $ | 621,466 | | | ||||||||||
Citibank N.A. |
3,258 | 3,258 | | | ||||||||||||
Credit Suisse |
93,596 | 65,406 | | $ | 28,190 | |||||||||||
Morgan Stanley |
3,445 | 3,445 | | | ||||||||||||
UBS Securities LLC |
4,616 | 4,616 | | | ||||||||||||
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|
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|
|
|||||||||
Totals |
$ | 726,381 | $ | 698,191 | | $ | 28,190 | |||||||||
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|
|||||||||
Special Equity |
||||||||||||||||
Cantor Fitzgerald Securities, Inc. |
$ | 5,278,248 | $ | 5,278,248 | | | ||||||||||
Daiwa Capital Markets America |
5,278,248 | 5,278,248 | | | ||||||||||||
Mitsubishi UFJ Securities USA, Inc. |
5,046,961 | 5,046,961 | | | ||||||||||||
Nomura Securities International, Inc. |
5,278,248 | 5,278,248 | | | ||||||||||||
State of Wisconsin Investment Board |
1,342,270 | 1,342,270 | | | ||||||||||||
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|
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|
|
|
|
|||||||||
Totals |
$ | 22,223,975 | $ | 22,223,975 | | | ||||||||||
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|
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|
|
|
|||||||||
Gross Amount Not Offset in the Statement of Assets and Liabilities |
||||||||||||||||
Fund | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities |
Financial Instruments Collateral |
Cash Collateral Pledged |
Net Amount | ||||||||||||
Global Income Opportunity |
||||||||||||||||
Citibank N.A. |
$ | 3,604 | $ | 3,258 | | $ | 346 | |||||||||
Credit Suisse |
65,406 | 65,406 | | | ||||||||||||
Morgan Stanley |
71,570 | 3,445 | | 68,125 | ||||||||||||
UBS Securities LLC |
5,291 | 4,616 | | 675 | ||||||||||||
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|
|
|
|
|
|||||||||
Totals |
$ | 145,871 | $ | 76,725 | | $ | 69,146 | |||||||||
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12. SUBSEQUENT EVENTS
Each Fund has determined that no material events or transactions occurred through the issuance of the Funds financial statements which require additional disclosure in or adjustment of the Funds financial statements.
47
Annual Renewal of Investment Management and Subadvisory Agreements (unaudited)
48 |
Annual Renewal of Investment Management and Subadvisory Agreements (continued)
49 |
Annual Renewal of Investment Management and Subadvisory Agreements (continued)
50 |
Annual Renewal of Investment Management and Subadvisory Agreements (continued)
51
THIS PAGE INTENTIONALLY LEFT BLANK
www.amgfunds.com |
AFFILIATE SUBADVISED FUNDS
OPEN-ARCHITECTURE FUNDS
SAR078-0616
![]() |
| www.amgfunds.com |
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.
Item 11. | CONTROLS AND PROCEDURES |
(a) | The registrants principal executive and principal financial officers have concluded, based on their evaluation of the registrants disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the registrants 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 registrants 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 registrants internal control over financial reporting during the registrants second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the internal control over financial reporting. |
Item 12. | 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. |
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 III | ||
By: | /s/ Jeffrey T. Cerutti | |
Jeffrey T. Cerutti, Principal Executive Officer | ||
Date: | September 6, 2016 |
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/ Jeffrey T. Cerutti | |
Jeffrey T. Cerutti, Principal Executive Officer | ||
Date: | September 6, 2016 | |
By: | /s/ Donald S. Rumery | |
Donald S. Rumery, Principal Financial Officer | ||
Date: | September 6, 2016 |
CERTIFICATION FILED AS EXHIBIT 12(a)(2) TO FORM N-CSR
I, Jeffrey T. Cerutti, certify that:
1. I have reviewed this report on Form N-CSR of AMG Funds III;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
Date: | September 6, 2016 |
/s/ Jeffrey T. Cerutti |
Jeffrey T. Cerutti |
Principal Executive Officer |
CERTIFICATION FILED AS EXHIBIT 12(a)(2) TO FORM N-CSR
I, Donald S. Rumery, certify that:
1. I have reviewed this report on Form N-CSR of AMG Funds III;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
Date: | September 6, 2016 |
/s/ Donald S. Rumery |
Donald S. Rumery |
Principal Financial Officer |
CERTIFICATION FILED AS EXHIBIT 12(B) TO FORM N-CSR
Name of Issuer: | AMG FUNDS III AMG MANAGERS SPECIAL EQUITY FUND, AMG MANAGERS BOND FUND, AND AMG MANAGERS GLOBAL INCOME OPPORTUNITY FUND |
In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that:
1. | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer. |
Dated: | September 6, 2016 |
/s/ Jeffrey T. Cerutti | ||||
Jeffrey T. Cerutti | ||||||
Principal Executive Officer |
CERTIFICATION FILED AS EXHIBIT 12(B) TO FORM N-CSR
Name of Issuer: | AMG FUNDS III AMG MANAGERS SPECIAL EQUITY FUND, AMG MANAGERS BOND FUND, AND AMG MANAGERS GLOBAL INCOME OPPORTUNITY FUND |
In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that:
1. | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer. |
Dated: | September 6, 2016 |
/s/ Donald S. Rumery | ||||
Donald S. Rumery | ||||||
Principal Financial Officer |
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