AMG Funds III
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, 2019 JUNE 30, 2019
(Semi-Annual Shareholder Report)
Item 1. |
Reports to Shareholders |
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SEMI-ANNUAL REPORT |
AMG Funds
June 30,
2019
AMG Managers Loomis Sayles Bond Fund
Class N: MGFIX | Class I: MGBIX
AMG Managers Global Income Opportunity Fund
Class N: MGGBX
AMG Managers Special Equity Fund
Class N: MGSEX | Class I: MSEIX
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds shareholder
reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the
Funds website (https://www.amgfunds.com/resources/order_literature.html), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect
to receive shareholder reports and other communications from the Funds electronically at any time by contacting your financial intermediary or, if you invest directly with the Funds, by logging into your account at www.amgfunds.com.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial
intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Funds, you can call 1.800.548.4539 to inform the Funds that you wish to continue receiving paper copies of your
shareholder reports. Your election to receive reports in paper will apply to all funds in the AMG Funds Family of Funds held in your account if you invest through your financial intermediary or all funds in the AMG Funds Family of Funds held with
the fund complex if you invest directly with the Funds.
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amgfunds.com | |
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063019 SAR078 |
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AMG Funds |
Semi-Annual Report June 30, 2019 (unaudited) |
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)
As a shareholder of a Fund, you may incur two types of costs: (1) transaction costs, which may include
sales charges (loads) on purchase payments; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is
intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on $1,000 invested at the beginning of the period and
held for the entire period as indicated below.
ACTUAL EXPENSES
The first line of the following table provides information about the actual account values and
actual expenses. You may use the information in this line, together with the amount you invested, to estimate
the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled Expenses
Paid During Period to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the following table provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense
ratio and an assumed annual rate of return of 5% before expenses, which is not the Funds
actual return. The hypothetical account values and expenses may not be used to estimate the actual ending
account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect
any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning
different funds.
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Six Months Ended June 30, 2019 |
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Expense Ratio for the Period |
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Beginning Account Value 01/01/19 |
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Ending Account Value 06/30/19 |
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Expenses Paid During the Period* |
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AMG Managers Loomis Sayles Bond Fund |
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Based on Actual Fund Return |
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Class N |
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0.71 |
% |
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$ |
1,000 |
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$ |
1,074 |
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$ |
3.65 |
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Class I |
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0.51 |
% |
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$ |
1,000 |
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$ |
1,075 |
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$ |
2.62 |
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Based on Hypothetical 5% Annual Return |
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Class N |
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0.71 |
% |
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$ |
1,000 |
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$ |
1,021 |
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$ |
3.56 |
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Class I |
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0.51 |
% |
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$ |
1,000 |
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$ |
1,022 |
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$ |
2.56 |
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AMG Managers Global Income Opportunity Fund |
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Based on Actual Fund Return |
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Class N |
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0.89 |
% |
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$ |
1,000 |
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$ |
1,066 |
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$ |
4.56 |
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Based on Hypothetical 5% Annual Return |
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Class N |
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0.89 |
% |
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$ |
1,000 |
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$ |
1,020 |
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$ |
4.46 |
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Six Months Ended June 30, 2019 |
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Expense Ratio for the Period |
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Beginning Account Value 01/01/19 |
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Ending Account Value 06/30/19 |
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Expenses Paid During the Period* |
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AMG Managers Special Equity Fund |
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Based on Actual Fund Return |
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Class N |
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1.36 |
% |
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$ |
1,000 |
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$ |
1,237 |
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$ |
7.54 |
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Class I |
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1.11 |
% |
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$ |
1,000 |
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$ |
1,239 |
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$ |
6.16 |
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Based on Hypothetical 5% Annual Return |
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Class N |
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1.36 |
% |
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$ |
1,000 |
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$ |
1,018 |
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$ |
6.80 |
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Class I |
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1.11 |
% |
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$ |
1,000 |
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$ |
1,019 |
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$ |
5.56 |
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* |
Expenses are equal to the Funds annualized expense ratio multiplied by the average account value over the
period, multiplied by the number of days in the most recent fiscal half-year (181), then divided by 365. |
2
Fund Performance (unaudited)
Periods ended June 30, 2019
The table below shows the average annual total returns for the periods indicated for each Fund, as well as each
Funds relative index for the same time periods ended June 30, 2019.
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Average Annual Total Returns1 |
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Six Months* |
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One Year |
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Five Years |
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Ten Years |
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Since Inception |
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Inception Date |
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AMG Managers Loomis Sayles Bond Fund2, 3, 4, 5, 6, 7, 8 |
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Class N |
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7.44 |
% |
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7.50 |
% |
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2.99 |
% |
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6.30 |
% |
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8.00 |
% |
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06/01/84 |
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Class I |
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7.54 |
% |
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7.66 |
% |
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3.11 |
% |
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3.34 |
% |
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04/01/13 |
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Bloomberg Barclays |
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U.S. Government/Credit |
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Bond Index13, 16 |
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6.90 |
% |
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8.52 |
% |
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3.11 |
% |
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4.09 |
% |
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7.22 |
% |
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06/01/84 |
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AMG Managers Global Income Opportunity Fund2, 3, 5, 6, 7, 8 |
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Class N |
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6.64 |
% |
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5.70 |
% |
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1.31 |
% |
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4.40 |
% |
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4.81 |
% |
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03/25/94 |
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Bloomberg Barclays Global Aggregate Bond Index14,
16 |
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5.57 |
% |
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5.85 |
% |
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1.20 |
% |
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2.89 |
% |
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4.94 |
% |
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03/31/94 |
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AMG Managers Special Equity
Fund2, 7, 9, 10, 11, 12 |
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Class N |
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23.74 |
% |
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4.48 |
% |
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10.07 |
% |
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15.93 |
% |
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11.51 |
% |
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06/01/84 |
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Class I |
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23.90 |
% |
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4.74 |
% |
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10.35 |
% |
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16.18 |
% |
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8.85 |
% |
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05/03/04 |
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Russell 2000® Growth Index15, 16 |
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20.36 |
% |
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(0.49 |
%) |
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8.63 |
% |
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14.41 |
% |
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9.10 |
% |
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05/03/04 |
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The performance data shown represents past performance. Past performance is not a guarantee of future results. Current
performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost.
Investors should carefully consider the Funds investment objectives, risks, charges and expenses before investing. For performance information
through the most recent month end, current net asset values per share for the Funds and other information, please call 800.548.4539 or visit our website at amgfunds.com for a free prospectus. Read it carefully before investing or sending money.
Distributed by AMG Distributors, Inc., member FINRA/SIPC.
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Date reflects the inception date of the Fund. |
1 |
Total return equals income yield plus share price change and assumes reinvestment of all dividends and capital
gain distributions. Returns are net of fees and may reflect offsets of Fund expenses as described in the prospectus. No adjustment has been made for taxes payable by shareholders on their reinvested dividends and capital gain distributions. Returns
for periods greater than one year are annualized. The listed returns on the Fund are net of expenses and based on the published NAV as of June 30, 2019. All returns are in U.S. dollars($). |
2 |
From time to time, the Funds advisor has waived its fees and/or absorbed Fund expenses, which has resulted
in higher returns. |
3 |
The Fund is subject to the risks associated with investments in debt securities, such as default risk and
fluctuations in the perception of the debtors ability to pay its creditors. Changing interest rates may adversely affect the value of an investment. An increase in interest rates typically causes the value of bonds and other fixed income
securities to fall. |
4 |
To the extent that the Fund invests in asset-backed or mortgage-backed securities, its exposure to prepayment
and extension risks may be greater than investments in other fixed income securities. |
5 |
The Fund may invest in derivatives such as options and futures; the complexity and rapidly changing structure of
derivatives markets may increase the possibility of market losses. |
6 |
High-yield bonds (also known as junk bonds) may be subject to greater levels of interest rate,
credit, and liquidity risk than investments in higher rated securities. These securities are considered predominantly speculative with respect to the issuers continuing ability to make principal and interest payments. The issuers of the
Funds holdings may be
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involved in bankruptcy proceedings, reorganizations, or financial restructurings, and are not as strong financially as higher-rated issuers. |
7 |
Investments in international securities are subject to certain risks of overseas investing including currency
fluctuations and changes in political and economic conditions, which could result in significant market fluctuations. These risks are magnified in emerging markets. |
8 |
The Fund is subject to currency risk resulting from fluctuations in exchange rates that may affect the total
loss or gain on a non-U.S. Dollar investment when converted back to U.S. Dollars. |
9 |
The Fund is subject to risks associated with investments in small-capitalization companies, such as erratic
earnings patterns, competitive conditions, limited earnings history and a reliance on one or a limited number of products. |
10 |
The Fund is subject to risks associated with investments in
mid-capitalization companies such as greater price volatility, lower trading volume, and less liquidity than the stocks of larger, more established companies. |
11 |
The Fund invests in growth stocks, which may be more sensitive to market movements because their prices tend to
reflect future investor expectations rather than just current profits. Growth stocks may underperform value stocks during given periods. |
12 |
Companies that are in similar businesses may be similarly affected by particular economic or market events; to
the extent the Fund has substantial holdings within a particular sector, the risks associated with that sector increase. |
13 |
The Bloomberg Barclays U.S. Government/Credit Bond Index is an index of investment-grade government and
corporate bonds with a maturity rate of more than one year. |
14 |
The Bloomberg Barclays Global Aggregate Bond Index provides a broad-based measure of the global investment-grade
fixed income markets. The three major components of this index are the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate Indices. The Index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and USD investment-grade 144A securities. |
15 |
The Russell 2000® Growth Index measures the performance
of the Russell 2000® companies with higher price-to-book ratios and higher forecasted growth values.
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16 |
Unlike the Funds, the indices are unmanaged, are not available for investment and do not incur expenses.
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Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark
of Bloomberg Finance L.P. and its affiliates (collectively Bloomberg). BARCLAYS® is a trademark and service mark of Barclays Bank Plc (collectively with its affiliates,
Barclays), used under license. Bloomberg or Bloombergs licensors, including Barclays, own all
3
Fund Performance
Periods ended June 30, 2019 (continued)
proprietary rights in the Bloomberg Barclays Indices. Neither Bloomberg nor Barclays approves or endorses this
material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent
allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection
therewith.
The Russell 2000® Growth Index is a trademark of the London Stock Exchange Group
companies.
Not FDIC Insured, nor bank guaranteed. May lose value.
4
AMG Managers Loomis Sayles Bond Fund
Fund Snapshots (unaudited)
June 30, 2019
PORTFOLIO BREAKDOWN
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Category |
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% of Net Assets |
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Corporate Bonds and Notes |
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62.5 |
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Foreign Government Obligations |
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4.6 |
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U.S. Government and Agency Obligations |
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2.0 |
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Asset-Backed Securities |
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1.8 |
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Common Stocks |
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1.7 |
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Municipal Bonds |
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1.1 |
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Preferred Stocks |
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1.0 |
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Mortgage-Backed Securities |
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0.1 |
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Short-Term Investments |
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26.7 |
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Other Assets Less Liabilities |
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(1.5 |
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Rating |
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% of Market Value1 |
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U.S. Government and Agency Obligations |
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2.8 |
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Aaa |
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2.4 |
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Aa |
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4.3 |
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A |
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39.7 |
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Baa |
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39.5 |
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Ba |
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9.8 |
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B |
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1.4 |
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1 |
Includes market value of long-term fixed-income securities only. |
TOP TEN HOLDINGS
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Security Name |
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% of Net Assets |
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Verizon Communications, Inc., 3.500%, 11/01/24 |
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2.4 |
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Ford Motor Credit Co. LLC, 4.389%, 01/08/26 |
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2.3 |
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Mexican Bonos Bonds, Series M 20, 10.000%, 12/05/24 (Mexico) |
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2.2 |
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U.S. Treasury Bonds, 3.000%, 08/15/48 |
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1.9 |
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Lloyds Banking Group PLC, 4.582%, 12/10/25 (United Kingdom) |
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1.8 |
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American Airlines 2016-2 Class B Pass Through Trust,
4.375%, 06/15/24 |
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1.6 |
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Transcontinental Gas Pipe Line Co. LLC, 7.850%, 02/01/26 |
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1.6 |
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Banco Santander, S.A., 5.179%, 11/19/25 (Spain) |
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1.5 |
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Apple, Inc., 1.800%, 05/11/20 |
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1.5 |
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Morgan Stanley, 3.950%, 04/23/27 |
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1.4 |
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Top Ten as a Group |
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18.2 |
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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.
5
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AMG Managers Loomis Sayles Bond Fund |
Schedule of Portfolio Investments (unaudited) |
June 30, 2019 |
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Principal Amount
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Value |
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Corporate Bonds and Notes - 62.5% |
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Financials - 21.7% |
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Ally Financial, Inc. |
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4.125%, 02/13/22 |
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$ |
7,915,000 |
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$ |
8,112,875 |
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8.000%, 11/01/31 |
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1,267,000 |
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1,674,607 |
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Alta Wind Holdings LLC |
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7.000%, 06/30/351 |
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5,179,895 |
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5,808,778 |
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American International Group, Inc. |
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4.875%, 06/01/22 |
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560,000 |
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600,348 |
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Banco Santander, S.A. (Spain) |
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5.179%, 11/19/25 |
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17,200,000 |
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18,706,982 |
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Bank of America Corp. |
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(3 month LIBOR + 1.040%) 3.419%, 12/20/282
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12,410,000 |
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12,769,840 |
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Brighthouse Financial Inc. |
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4.700%, 06/22/47 |
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890,000 |
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743,627 |
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Citigroup, Inc. |
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5.130%, 11/12/19 |
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5,835,000 |
NZD |
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3,958,995 |
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Cooperatieve Centrale |
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Raiffeisen-Boerenleenbank (Netherlands) |
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3.875%, 02/08/22 |
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9,090,000 |
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9,460,174 |
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3.950%, 11/09/22 |
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2,190,000 |
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2,271,712 |
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Equifax, Inc. |
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7.000%, 07/01/37 |
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4,421,000 |
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5,271,445 |
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The Goldman Sachs Group, Inc. |
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6.750%, 10/01/37 |
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9,880,000 |
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12,922,545 |
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iStar, Inc. |
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3.125%, 09/15/223 |
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2,055,000 |
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2,108,642 |
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Jefferies Group LLC |
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5.125%, 01/20/23 |
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8,800,000 |
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9,425,387 |
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JPMorgan Chase & Co. |
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4.125%, 12/15/26 |
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11,005,000 |
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11,770,528 |
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JPMorgan Chase Bank, N.A. BKNT |
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1.650%, 09/23/19 |
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8,457,000 |
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8,441,015 |
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Lloyds Banking Group PLC (United Kingdom) |
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4.582%, 12/10/25 |
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20,972,000 |
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21,883,615 |
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Marsh & McLennan Cos., Inc. |
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5.875%, 08/01/33 |
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8,295,000 |
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10,440,205 |
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MBIA Insurance Corp. |
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(3 month LIBOR + 11.260%) |
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13.857%, 01/15/331,2 |
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525,000 |
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366,844 |
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Morgan Stanley |
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3.950%, 04/23/27 |
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17,265,000 |
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18,058,742 |
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GMTN, 4.350%, 09/08/26 |
|
|
5,000,000 |
|
|
|
5,361,632 |
|
MTN, 6.250%, 08/09/26 |
|
|
11,000,000 |
|
|
|
13,199,680 |
|
National Life Insurance Co. |
|
|
|
|
|
|
|
|
10.500%, 09/15/391 |
|
|
5,000,000 |
|
|
|
8,088,931 |
|
Navient Corp. |
|
|
|
|
|
|
|
|
5.500%, 01/25/23 |
|
|
14,070,000 |
|
|
|
14,456,925 |
|
Old Republic International Corp. |
|
|
|
|
|
|
|
|
4.875%, 10/01/24 |
|
|
4,915,000 |
|
|
|
5,326,784 |
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount
|
|
|
Value |
|
Quicken Loans, Inc. |
|
|
|
|
|
|
|
|
5.250%, 01/15/281 |
|
$ |
2,080,000 |
|
|
$ |
2,069,600 |
|
5.750%, 05/01/251 |
|
|
1,815,000 |
|
|
|
1,871,719 |
|
Realty Income Corp. |
|
|
|
|
|
|
|
|
5.750%, 01/15/21 |
|
|
2,125,000 |
|
|
|
2,216,863 |
|
Royal Bank of Scotland Group PLC (United Kingdom) |
|
|
|
|
|
|
|
|
6.125%, 12/15/22 |
|
|
4,650,000 |
|
|
|
5,016,790 |
|
Societe Generale, S.A. (France) |
|
|
|
|
|
|
|
|
4.750%, 11/24/251 |
|
|
11,000,000 |
|
|
|
11,601,202 |
|
5.200%, 04/15/211 |
|
|
7,000,000 |
|
|
|
7,316,534 |
|
Springleaf Finance Corp. |
|
|
|
|
|
|
|
|
8.250%, 10/01/23 |
|
|
8,015,000 |
|
|
|
9,289,385 |
|
Weyerhaeuser Co. |
|
|
|
|
|
|
|
|
6.875%, 12/15/33 |
|
|
12,890,000 |
|
|
|
17,195,260 |
|
Total Financials |
|
|
|
|
|
|
267,808,211 |
|
Industrials - 38.5% |
|
|
|
|
|
|
|
|
America Movil SAB de CV (Mexico) |
|
|
|
|
|
|
|
|
6.450%, 12/05/22 |
|
|
169,300,000 |
MXN |
|
|
8,260,473 |
|
American Airlines 2016-2 Class B Pass Through
Trust |
|
|
|
|
|
|
|
|
4.375%, 06/15/241 |
|
|
19,375,000 |
|
|
|
19,857,437 |
|
American Airlines 2016-3 Class B Pass Through
Trust |
|
|
|
|
|
|
|
|
3.750%, 10/15/25 |
|
|
6,987,106 |
|
|
|
7,035,556 |
|
American Airlines 2017-1B Class B Pass Through
Trust |
|
|
|
|
|
|
|
|
Series B |
|
|
|
|
|
|
|
|
4.950%, 02/15/25 |
|
|
3,374,774 |
|
|
|
3,529,835 |
|
American Airlines 2017-2 Class B Pass Through
Trust |
|
|
|
|
|
|
|
|
Series B |
|
|
|
|
|
|
|
|
3.700%, 10/15/25 |
|
|
2,602,298 |
|
|
|
2,592,087 |
|
APL, Ltd. |
|
|
|
|
|
|
|
|
8.000%, 01/15/24 |
|
|
250,000 |
|
|
|
210,000 |
|
Apple, Inc. |
|
|
|
|
|
|
|
|
1.800%, 05/11/204 |
|
|
18,480,000 |
|
|
|
18,435,043 |
|
ArcelorMittal (Luxembourg) |
|
|
|
|
|
|
|
|
6.750%, 03/01/415 |
|
|
11,065,000 |
|
|
|
12,897,844 |
|
7.000%, 10/15/395 |
|
|
6,604,000 |
|
|
|
7,836,083 |
|
AT&T, Inc. |
|
|
|
|
|
|
|
|
3.400%, 05/15/25 |
|
|
13,530,000 |
|
|
|
13,908,912 |
|
4.300%, 02/15/30 |
|
|
14,685,000 |
|
|
|
15,717,592 |
|
Booking Holdings, Inc. |
|
|
|
|
|
|
|
|
0.900%, 09/15/213,4 |
|
|
10,970,000 |
|
|
|
12,548,557 |
|
CenturyLink, Inc. |
|
|
|
|
|
|
|
|
Series S |
|
|
|
|
|
|
|
|
6.450%, 06/15/21 |
|
|
5,900,000 |
|
|
|
6,239,250 |
|
Choice Hotels International, Inc. |
|
|
|
|
|
|
|
|
5.700%, 08/28/20 |
|
|
7,095,000 |
|
|
|
7,298,981 |
|
The accompanying notes are an integral part of these financial statements.
6
AMG Managers Loomis Sayles Bond Fund
Schedule of Portfolio Investments (continued)
|
|
|
|
|
|
|
|
|
|
|
Principal Amount
|
|
|
Value |
|
Industrials - 38.5% (continued) |
|
|
|
|
|
|
|
|
Continental Airlines, Inc.
2000-1 Class A-1 |
|
|
|
|
|
|
|
|
Pass Through Trust |
|
|
|
|
|
|
|
|
Series 00A1 |
|
|
|
|
|
|
|
|
8.048%, 11/01/20 |
|
$ |
14,509 |
|
|
$ |
14,689 |
|
Continental Airlines, Inc. 2007-1 Class A |
|
|
|
|
|
|
|
|
Pass Through Trust |
|
|
|
|
|
|
|
|
Series 071A |
|
|
|
|
|
|
|
|
5.983%, 04/19/22 |
|
|
12,086,906 |
|
|
|
12,820,581 |
|
Continental Airlines, Inc. 2007-1 Class B |
|
|
|
|
|
|
|
|
Pass Through Trust |
|
|
|
|
|
|
|
|
Series 071B |
|
|
|
|
|
|
|
|
6.903%, 04/19/22 |
|
|
956,680 |
|
|
|
996,765 |
|
Continental Resources, Inc. |
|
|
|
|
|
|
|
|
3.800%, 06/01/24 |
|
|
2,025,000 |
|
|
|
2,082,082 |
|
4.500%, 04/15/23 |
|
|
385,000 |
|
|
|
404,512 |
|
Corning, Inc. |
|
|
|
|
|
|
|
|
6.850%, 03/01/29 |
|
|
9,142,000 |
|
|
|
11,378,706 |
|
Cox Communications, Inc. |
|
|
|
|
|
|
|
|
4.800%, 02/01/351 |
|
|
3,369,000 |
|
|
|
3,413,480 |
|
Cummins, Inc. |
|
|
|
|
|
|
|
|
5.650%, 03/01/98 |
|
|
6,460,000 |
|
|
|
7,655,250 |
|
Dell International LLC / EMC Corp. |
|
|
|
|
|
|
|
|
6.020%, 06/15/261 |
|
|
3,270,000 |
|
|
|
3,607,404 |
|
8.100%, 07/15/361 |
|
|
3,110,000 |
|
|
|
3,834,143 |
|
8.350%, 07/15/461 |
|
|
2,990,000 |
|
|
|
3,774,867 |
|
Delta Air Lines, Inc. |
|
|
|
|
|
|
|
|
Series 071B |
|
|
|
|
|
|
|
|
8.021%, 08/10/22 |
|
|
2,745,305 |
|
|
|
3,028,620 |
|
Devon Energy Corp. |
|
|
|
|
|
|
|
|
3.250%, 05/15/22 |
|
|
3,606,000 |
|
|
|
3,674,118 |
|
Dillards, Inc. |
|
|
|
|
|
|
|
|
7.000%, 12/01/28 |
|
|
225,000 |
|
|
|
242,660 |
|
Embraer Netherlands Finance BV (Netherlands) |
|
|
|
|
|
|
|
|
5.400%, 02/01/27 |
|
|
2,325,000 |
|
|
|
2,578,448 |
|
Enable Midstream Partners, LP |
|
|
|
|
|
|
|
|
5.000%, 05/15/445 |
|
|
2,725,000 |
|
|
|
2,542,527 |
|
Enbridge Energy Partners, LP |
|
|
|
|
|
|
|
|
7.375%, 10/15/45 |
|
|
1,870,000 |
|
|
|
2,747,188 |
|
Energy Transfer Partners, LP / Regency |
|
|
|
|
|
|
|
|
Energy Finance Corp. |
|
|
|
|
|
|
|
|
4.500%, 11/01/23 |
|
|
700,000 |
|
|
|
739,468 |
|
EnLink Midstream Partners, LP |
|
|
|
|
|
|
|
|
4.150%, 06/01/25 |
|
|
6,145,000 |
|
|
|
6,022,100 |
|
Enterprise Products Operating LLC |
|
|
|
|
|
|
|
|
4.050%, 02/15/22 |
|
|
2,219,000 |
|
|
|
2,308,447 |
|
ERAC USA Finance LLC |
|
|
|
|
|
|
|
|
7.000%, 10/15/371 |
|
|
12,000,000 |
|
|
|
16,390,255 |
|
Ford Motor Co. |
|
|
|
|
|
|
|
|
6.375%, 02/01/29 |
|
|
1,990,000 |
|
|
|
2,155,811 |
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount
|
|
|
Value |
|
Ford Motor Credit Co. LLC, GMTN |
|
|
|
|
|
|
|
|
4.389%, 01/08/26 |
|
$ |
28,075,000 |
|
|
$ |
28,221,202 |
|
General Motors Co. |
|
|
|
|
|
|
|
|
5.200%, 04/01/45 |
|
|
2,760,000 |
|
|
|
2,635,616 |
|
General Motors Financial Co., Inc. |
|
|
|
|
|
|
|
|
5.250%, 03/01/26 |
|
|
9,680,000 |
|
|
|
10,383,454 |
|
Georgia-Pacific LLC |
|
|
|
|
|
|
|
|
5.400%, 11/01/201 |
|
|
5,175,000 |
|
|
|
5,378,648 |
|
HCA, Inc. |
|
|
|
|
|
|
|
|
4.500%, 02/15/27 |
|
|
3,040,000 |
|
|
|
3,243,258 |
|
7.500%, 11/06/33 |
|
|
75,000 |
|
|
|
86,250 |
|
Hewlett Packard Enterprise Co. |
|
|
|
|
|
|
|
|
6.350%, 10/15/455 |
|
|
2,243,000 |
|
|
|
2,485,398 |
|
International Business Machines Corp. |
|
|
|
|
|
|
|
|
1.625%, 05/15/20 |
|
|
5,980,000 |
|
|
|
5,945,670 |
|
INVISTA Finance LLC |
|
|
|
|
|
|
|
|
4.250%, 10/15/191 |
|
|
14,000,000 |
|
|
|
14,079,879 |
|
Kinder Morgan Energy Partners, LP |
|
|
|
|
|
|
|
|
3.500%, 09/01/23 |
|
|
6,685,000 |
|
|
|
6,878,447 |
|
4.150%, 03/01/22 |
|
|
5,620,000 |
|
|
|
5,866,256 |
|
5.800%, 03/01/21 |
|
|
4,320,000 |
|
|
|
4,553,702 |
|
KLA-Tencor Corp. |
|
|
|
|
|
|
|
|
5.650%, 11/01/34 |
|
|
4,590,000 |
|
|
|
5,222,886 |
|
Marks & Spencer PLC (United Kingdom) |
|
|
|
|
|
|
|
|
7.125%, 12/01/371,4 |
|
|
4,725,000 |
|
|
|
5,276,840 |
|
Masco Corp. |
|
|
|
|
|
|
|
|
6.500%, 08/15/32 |
|
|
254,000 |
|
|
|
299,737 |
|
7.125%, 03/15/20 |
|
|
357,000 |
|
|
|
367,256 |
|
7.750%, 08/01/29 |
|
|
499,000 |
|
|
|
626,799 |
|
Methanex Corp. (Canada) |
|
|
|
|
|
|
|
|
5.250%, 03/01/22 |
|
|
350,000 |
|
|
|
364,631 |
|
Microsoft Corp. |
|
|
|
|
|
|
|
|
1.100%, 08/08/19 |
|
|
3,819,000 |
|
|
|
3,814,457 |
|
Newell Brands, Inc. |
|
|
|
|
|
|
|
|
4.000%, 12/01/24 |
|
|
3,085,000 |
|
|
|
3,140,594 |
|
Noble Energy, Inc. |
|
|
|
|
|
|
|
|
3.900%, 11/15/24 |
|
|
3,670,000 |
|
|
|
3,829,044 |
|
Nuance Communications, Inc. |
|
|
|
|
|
|
|
|
1.000%, 12/15/353 |
|
|
2,140,000 |
|
|
|
2,008,548 |
|
1.250%, 04/01/253 |
|
|
1,585,000 |
|
|
|
1,553,148 |
|
1.500%, 11/01/353 |
|
|
50,000 |
|
|
|
50,017 |
|
ONEOK Partners, LP |
|
|
|
|
|
|
|
|
4.900%, 03/15/25 |
|
|
13,736,000 |
|
|
|
14,932,244 |
|
6.200%, 09/15/43 |
|
|
245,000 |
|
|
|
289,857 |
|
Owens Corning |
|
|
|
|
|
|
|
|
7.000%, 12/01/36 |
|
|
2,715,000 |
|
|
|
3,221,465 |
|
Petrobras Global Finance BV (Netherlands) |
|
|
|
|
|
|
|
|
5.625%, 05/20/43 |
|
|
580,000 |
|
|
|
560,860 |
|
PulteGroup, Inc. |
|
|
|
|
|
|
|
|
6.000%, 02/15/35 |
|
|
8,860,000 |
|
|
|
9,081,500 |
|
The accompanying notes are an integral part of these financial statements.
7
AMG Managers Loomis Sayles Bond Fund
Schedule of Portfolio Investments (continued)
|
|
|
|
|
|
|
|
|
|
|
Principal Amount
|
|
|
Value |
|
Industrials - 38.5% (continued) |
|
|
|
|
|
|
|
|
PulteGroup, Inc. 6.375%, 05/15/33 |
|
$ |
5,135,000 |
|
|
$ |
5,475,194 |
|
Qwest Corp. 7.250%, 09/15/25 |
|
|
990,000 |
|
|
|
1,102,249 |
|
Reliance Holding USA, Inc. 5.400%, 02/14/221
|
|
|
3,250,000 |
|
|
|
3,453,413 |
|
Samsung Electronics Co., Ltd. (South Korea) 7.700%, 10/01/271 |
|
|
1,980,000 |
|
|
|
2,291,730 |
|
Sealed Air Corp. 5.500%, 09/15/251
|
|
|
1,580,000 |
|
|
|
1,682,700 |
|
Telecom Italia Capital, S.A. (Luxembourg) 6.000%, 09/30/34 |
|
|
4,665,000 |
|
|
|
4,758,300 |
|
6.375%, 11/15/33 |
|
|
3,530,000 |
|
|
|
3,662,375 |
|
Telefonica Emisiones SAU (Spain) 4.570%, 04/27/23 |
|
|
900,000 |
|
|
|
973,247 |
|
Time Warner Cable LLC 5.500%, 09/01/41 |
|
|
805,000 |
|
|
|
843,982 |
|
The Toro Co. 6.625%, 05/01/37 |
|
|
6,810,000 |
|
|
|
8,364,754 |
|
Transcontinental Gas Pipe Line Co. LLC 7.850%, 02/01/26 |
|
|
15,140,000 |
|
|
|
19,330,785 |
|
UAL 2007-1 Pass Through Trust Series 071A 6.636%,
07/02/22 |
|
|
8,227,377 |
|
|
|
8,739,120 |
|
United Airlines 2016-2 Class B Pass Through Trust
Series 16-2 3.650%, 10/07/25 |
|
|
2,049,833 |
|
|
|
2,052,908 |
|
United States Steel Corp. 6.650%, 06/01/374
|
|
|
3,425,000 |
|
|
|
2,877,000 |
|
US Airways 2011-1 Class A Pass Through Trust Series
A 7.125%, 10/22/23 |
|
|
2,015,010 |
|
|
|
2,269,103 |
|
Vale Overseas, Ltd. (Brazil) 6.875%, 11/21/36 |
|
|
1,759,000 |
|
|
|
2,112,999 |
|
Verizon Communications, Inc. 3.500%, 11/01/24 |
|
|
27,900,000 |
|
|
|
29,318,105 |
|
Virgin Australia 2013-1A Trust (Australia) 5.000%,
10/23/231 |
|
|
357,215 |
|
|
|
367,717 |
|
WestRock MWV LLC 7.550%, 03/01/47 |
|
|
970,000 |
|
|
|
1,297,617 |
|
Total Industrials |
|
|
|
|
|
|
474,150,732 |
|
Utilities - 2.3% |
|
|
|
|
|
|
|
|
DCP Midstream Operating, LP 6.450%, 11/03/361
|
|
|
870,000 |
|
|
|
913,500 |
|
EDP Finance, B.V. (Netherlands) 4.900%, 10/01/191
|
|
|
600,000 |
|
|
|
603,012 |
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount
|
|
|
Value |
|
Empresa Nacional de Electricidad S.A. (Cayman Islands) 7.875%, 02/01/27 |
|
$ |
2,900,000 |
|
|
$ |
3,647,108 |
|
Enel Finance International, N.V., EMTN (Netherlands) 5.750%, 09/14/40 |
|
|
210,000 |
GBP |
|
|
362,943 |
|
6.000%, 10/07/391 |
|
|
11,152,000 |
|
|
|
13,224,258 |
|
Enterprise Products Operating LLC 3.900%, 02/15/24 |
|
|
6,400,000 |
|
|
|
6,779,464 |
|
Tenaga Nasional Bhd (Malaysia) 7.500%, 11/01/251
|
|
|
2,000,000 |
|
|
|
2,489,420 |
|
Total Utilities |
|
|
|
|
|
|
28,019,705 |
|
Total Corporate Bonds and Notes (Cost $694,262,897) |
|
|
|
|
|
|
769,978,648 |
|
Asset-Backed Securities - 1.8% |
|
|
|
|
|
|
|
|
FAN Engine Securitization, Ltd. (Ireland) Series 2013-1A,
Class 1A 4.625%, 10/15/431,6 |
|
|
9,199,364 |
|
|
|
8,739,396 |
|
Shenton Aircraft Investment I, Ltd. (Cayman Islands) Series
2015-1A, Class A 4.750%, 10/15/421 |
|
|
13,613,506 |
|
|
|
13,957,082 |
|
Total Asset-Backed Securities (Cost $22,604,526) |
|
|
|
|
|
|
22,696,478 |
|
Mortgage-Backed Securities - 0.1% |
|
|
|
|
|
|
|
|
Commercial Mortgage Trust Series 2014-UBS4, Class A2 2.963%, 08/10/47 |
|
|
1,045,241 |
|
|
|
1,044,655 |
|
JPMorgan Chase Commercial Mortgage Securities Trust Series
2014-C20, Class A2 2.872%, 07/15/47 |
|
|
168,562 |
|
|
|
168,382 |
|
WFRBS Commercial Mortgage Trust Series 2011-C3,
Class D 5.855%, 03/15/441,7 |
|
|
435,000 |
|
|
|
392,622 |
|
Total Mortgage-Backed Securities (Cost $1,614,138) |
|
|
|
|
|
|
1,605,659 |
|
Municipal Bonds - 1.1% |
|
|
|
|
|
|
|
|
Illinois State 5.100%, 06/01/33 |
|
|
1,070,000 |
|
|
|
1,126,796 |
|
Michigan Tobacco Settlement Finance Authority 7.309%, 06/01/46 |
|
|
1,950,000 |
|
|
|
1,954,017 |
|
Virginia Tobacco Settlement Financing Corp. 6.706%, 06/01/46 |
|
|
11,510,000 |
|
|
|
10,857,843 |
|
Total Municipal Bonds (Cost $13,918,635) |
|
|
|
|
|
|
13,938,656 |
|
U.S. Government and Agency Obligations - 2.0% |
|
|
|
|
|
Fannie Mae - 0.1% |
|
|
|
|
|
|
|
|
FNMA, 3.000%, 07/01/27 |
|
|
1,254,156 |
|
|
|
1,283,535 |
|
The accompanying notes are an integral part of these financial statements.
8
AMG Managers Loomis Sayles Bond Fund
Schedule of Portfolio Investments (continued)
|
|
|
|
|
|
|
|
|
|
|
Principal Amount
|
|
|
Value |
|
Fannie Mae - 0.1% (continued) |
|
|
|
|
|
FNMA, 6.000%, 07/01/29 |
|
$ |
856 |
|
|
$ |
952 |
|
Total Fannie Mae |
|
|
|
|
|
|
1,284,487 |
|
Freddie Mac - 0.0%# |
|
|
|
|
|
|
|
|
FHLMC Gold, 5.000%, 12/01/31 |
|
|
15,375 |
|
|
|
16,372 |
|
U.S. Treasury Obligations - 1.9% |
|
U.S. Treasury Bonds, 3.000%, 08/15/484
|
|
|
21,295,000 |
|
|
|
23,354,626 |
|
Total U.S. Government and Agency Obligations (Cost
$20,979,706) |
|
|
|
24,655,485 |
|
Foreign Government Obligations - 4.6% |
|
Brazilian Government International Bonds |
|
|
|
|
|
|
|
|
8.500%, 01/05/24 |
|
|
6,650,000 |
BRL |
|
|
1,829,813 |
|
10.250%, 01/10/28 |
|
|
5,750,000 |
BRL |
|
|
1,730,533 |
|
Canadian When Issued Government Bond Series 0001 0.750%, 09/01/20 |
|
|
15,225,000 |
CAD |
|
|
11,505,103 |
|
European Investment Bank Bonds 0.000%, 03/10/218
|
|
|
5,000,000 |
AUD |
|
|
3,412,658 |
|
Mexican Bonos Series M 8.000%, 12/07/23 |
|
|
122,500,000 |
MXN |
|
|
6,518,292 |
|
Mexican Bonos Bonds |
|
|
|
|
|
|
|
|
Series M 7.750%, 05/29/31 |
|
|
49,000,000 |
MXN |
|
|
2,580,026 |
|
Series M 20 10.000%, 12/05/24 |
|
|
461,500,000 |
MXN |
|
|
26,808,176 |
|
Norway Government Bonds Series 474 3.750%,
05/25/211 |
|
|
13,210,000 |
NOK |
|
|
1,620,613 |
|
Total Foreign Government Obligations (Cost $79,523,840) |
|
|
|
56,005,214 |
|
|
|
|
|
|
Shares |
|
|
|
|
Common Stocks - 1.7% |
|
|
|
|
|
|
|
|
Communication Services - 0.9% |
|
|
|
|
|
AT&T, Inc. |
|
|
314,704 |
|
|
|
10,545,731 |
|
Health Care - 0.3% |
|
|
|
|
|
|
|
|
Bristol-Myers Squibb Co. |
|
|
91,569 |
|
|
|
4,152,654 |
|
Information Technology - 0.5% |
|
|
|
|
|
Corning, Inc. |
|
|
181,220 |
|
|
|
6,021,941 |
|
Total Common Stocks (Cost $18,756,817) |
|
|
|
|
|
|
20,720,326 |
|
Preferred Stocks - 1.0% |
|
|
|
|
|
|
|
|
Financials - 1.0% |
|
|
|
|
|
|
|
|
Bank of America Corp., 7.25% 3 |
|
|
7,808 |
|
|
|
10,712,576 |
|
Navient Corp., 6.00% 4 |
|
|
41,250 |
|
|
|
848,100 |
|
Total Financials |
|
|
|
|
|
|
11,560,676 |
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Value |
|
Utilities - 0.0%# |
|
|
|
|
|
|
|
|
Wisconsin Electric Power Co., 3.60% |
|
|
3,946 |
|
|
$ |
345,275 |
|
Total Preferred Stocks (Cost $8,303,211) |
|
|
|
|
|
|
11,905,951 |
|
|
|
Principal Amount |
|
|
|
|
Short-Term Investments - 26.7% |
|
|
|
|
|
|
|
|
Joint Repurchase Agreements -
1.4%9 |
|
|
|
|
|
Bank of America Securities, Inc., dated 06/28/19, due 07/01/19, 2.500% total to be received
$4,012,086 (collateralized by various U.S. Government Agency Obligations, 3.298% - 4.500%, 06/01/46 - 07/01/49, totaling $4,091,475) |
|
$ |
4,011,250 |
|
|
|
4,011,250 |
|
Cantor Fitzgerald Securities, Inc., dated 06/28/19, due 07/01/19, 2.530% total to be received
$4,012,096 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 10.000%, 06/30/19 - 05/20/69, totaling $4,091,475) |
|
|
4,011,250 |
|
|
|
4,011,250 |
|
Citigroup Global Markets, Inc., dated 06/28/19, due 07/01/19, 2.500% total to be received
$4,012,086 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 9.500%, 07/02/19 -01/20/63, totaling $4,091,475) |
|
|
4,011,250 |
|
|
|
4,011,250 |
|
Jefferies LLC, dated 06/28/19, due 07/01/19, 2.520% total to be received $4,012,092 (collateralized
by various U.S. Government Agency Obligations, 0.000% - 2.650%, 07/05/19 - 08/16/23, totaling $4,091,494) |
|
|
4,011,250 |
|
|
|
4,011,250 |
|
TD Securities (USA) LLC, dated 06/28/19, due 07/01/19, 2.490% total to be received $843,596
(collateralized by various U.S. Treasuries, 2.000% - 2.125%, 10/31/22 - 05/31/26, totaling $860,290) |
|
|
843,421 |
|
|
|
843,421 |
|
Total Joint Repurchase Agreements |
|
|
|
16,888,421 |
|
U.S. Government Obligations - 22.5% |
|
|
|
|
|
U.S. Treasury Bills, 0.322%,
07/25/194,10 |
|
|
25,000,000 |
|
|
|
24,959,467 |
|
U.S. Treasury Bills, 0.522%,
08/08/194,10 |
|
|
5,000,000 |
|
|
|
4,987,175 |
|
U.S. Treasury Bills, 0.605%,
08/15/194,10 |
|
|
100,000,000 |
|
|
|
99,695,587 |
|
U.S. Treasury Bills, 0.681%,
08/29/194,10 |
|
|
53,000,000 |
|
|
|
52,817,591 |
|
U.S. Treasury Bills, 1.242%,
10/17/194,10 |
|
|
5,000,000 |
|
|
|
4,969,287 |
|
U.S. Treasury Bills, 1.713%,
11/29/194,10 |
|
|
80,000,000 |
|
|
|
79,307,078 |
|
U.S. Treasury Bill, 2.069%,
09/26/1910 |
|
|
10,000,000 |
|
|
|
9,950,000 |
|
Total U.S. Government Obligations |
|
|
|
|
|
|
276,686,185 |
|
|
|
Shares |
|
|
|
|
Other Investment Companies - 2.8% |
|
|
|
|
|
Dreyfus Government Cash Management Fund, Institutional Shares, 2.25%11 |
|
|
11,597,797 |
|
|
|
11,597,797 |
|
The accompanying notes are an integral part of these financial statements.
9
AMG Managers Loomis Sayles Bond Fund
Schedule of Portfolio Investments (continued)
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Value |
|
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 2.35%11 |
|
|
11,597,797 |
|
|
$ |
11,597,798 |
|
JPMorgan U.S. Government Money Market Fund, IM Shares, 2.32%11 |
|
|
11,949,247 |
|
|
|
11,949,247 |
|
Total Other Investment Companies |
|
|
|
|
|
|
35,144,842 |
|
Total Short-Term Investments (Cost $328,604,654) |
|
|
|
|
|
|
328,719,448 |
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Value |
|
Total Investments - 101.5% (Cost $1,188,568,424) |
|
|
|
|
|
$ |
1,250,225,865 |
|
Other Assets, less Liabilities - (1.5)% |
|
|
|
|
|
|
(18,005,757 |
) |
Net Assets - 100.0% |
|
|
|
|
|
$ |
1,232,220,108 |
|
|
Principal amount stated in U.S. dollars unless otherwise stated. |
1 |
Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in
transactions exempt from registration, normally to qualified buyers. At June 30, 2019, the value of these securities amounted to $162,472,024 or 13.2% of net assets. |
2 |
Variable rate security. The rate shown is based on the latest available information as of June 30, 2019.
|
3 |
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, 2019, amounted to $28,981,488 or 2.4% of net
assets. |
4 |
Some of these securities, amounting to $300,127,728 or 24.4% of net assets, were out on loan to various
borrowers and are collateralized by cash and various U.S. Treasury Obligations. See Note 4 of Notes to Financial Statements. |
5 |
Step Bond: A debt instrument with either deferred interest payments or an interest rate that resets at specific
times during its term. |
6 |
Securitys value was determined by using significant unobservable inputs. |
7 |
Certain variable rate securities are not based on a published reference rate and spread but are determined by
the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
9 |
Cash collateral received for securities lending activity was invested in these joint repurchase agreements.
|
10 |
Represents yield to maturity at June 30, 2019. |
11 |
Yield shown represents the June 30, 2019, seven day average yield, which refers to the sum of the previous
seven days dividends paid, expressed as an annual percentage. |
EMTN |
European Medium Term Note |
GMTN |
Global Medium-Term Notes |
LIBOR |
London Interbank Offered Rate |
CURRENCY ABBREVIATIONS:
The accompanying notes are an integral part of these financial statements.
10
AMG Managers Loomis Sayles Bond Fund
Schedule of Portfolio Investments (continued)
The following table summarizes the inputs used to value the Funds investments by the fair value
hierarchy levels as of June 30, 2019:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds and Notes |
|
|
|
|
|
$ |
769,978,648 |
|
|
|
|
|
|
$ |
769,978,648 |
|
Asset-Backed Securities |
|
|
|
|
|
|
13,957,082 |
|
|
$ |
8,739,396 |
|
|
|
22,696,478 |
|
Mortgage-Backed Securities |
|
|
|
|
|
|
1,605,659 |
|
|
|
|
|
|
|
1,605,659 |
|
Municipal Bonds |
|
|
|
|
|
|
13,938,656 |
|
|
|
|
|
|
|
13,938,656 |
|
U.S. Government and Agency Obligations |
|
|
|
|
|
|
24,655,485 |
|
|
|
|
|
|
|
24,655,485 |
|
Foreign Government Obligations |
|
|
|
|
|
|
56,005,214 |
|
|
|
|
|
|
|
56,005,214 |
|
Common
Stocks
|
|
$ |
20,720,326 |
|
|
|
|
|
|
|
|
|
|
|
20,720,326 |
|
Preferred
Stocks
|
|
|
11,905,951 |
|
|
|
|
|
|
|
|
|
|
|
11,905,951 |
|
Short-Term Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Joint Repurchase Agreements |
|
|
|
|
|
|
16,888,421 |
|
|
|
|
|
|
|
16,888,421 |
|
U.S. Government Obligations |
|
|
|
|
|
|
276,686,185 |
|
|
|
|
|
|
|
276,686,185 |
|
Other Investment Companies |
|
|
35,144,842 |
|
|
|
|
|
|
|
|
|
|
|
35,144,842 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities |
|
$ |
67,771,119 |
|
|
$ |
1,173,715,350 |
|
|
$ |
8,739,396 |
|
|
$ |
1,250,225,865 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
All corporate bonds and notes and U.S. government and agency obligations held in the Fund are Level 2
securities. For a detailed breakout of corporate bonds and notes and U.S. government and agency obligations by major industry or agency classification, please refer to the Funds Schedule of Portfolio Investments. |
|
All common stocks and preferred stocks held in the Fund are Level 1 securities. For a detailed breakout of
common stocks and preferred stocks by major industry classification, please refer to the Funds Schedule of Portfolio Investments. |
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, 2019:
|
|
|
|
|
|
|
Asset-Backed Securities |
|
Balance as of December 31, 2018 |
|
$ |
11,579,866 |
|
Accrued discounts (premiums) |
|
|
2,221 |
|
Realized gain (loss) |
|
|
(59,453 |
) |
Change in unrealized appreciation/depreciation |
|
|
68,013 |
|
Purchases |
|
|
|
|
Sales |
|
|
(12,697,353 |
) |
Paydowns |
|
|
(492,663 |
) |
Transfers in to Level 3 |
|
|
10,338,765 |
|
Transfers out of Level 3 |
|
|
|
|
Balance as of June 30, 2019 |
|
$ |
8,739,396 |
|
Net change in unrealized appreciation/depreciation on investments still held at June 30,
2019 |
|
$ |
66,865 |
|
The following table summarizes the quantitative inputs and assumptions used for investments categorized in Level 3 of the
fair value hierarchy as of June 30, 2019. The table below is not intended to be all-inclusive, but rather provides information on the significant Level 3 inputs as they relate to the Funds fair
value measurements:
Quantitative Information about Level 3 Fair Value Measurements
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value as of June 30, 2019 |
|
|
Valuation Technique(s) |
|
|
Unobservable Inputs(s) |
|
|
Range |
|
|
Average |
|
AMG Managers Loomis Sayles Bond Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
$ |
8,739,396 |
|
|
|
Market Approach |
|
|
|
Recent Trade Price, Indicative Bid |
|
|
|
N/A |
|
|
|
N/A |
|
The accompanying notes are an integral part of these financial statements.
11
AMG Managers Loomis Sayles Bond Fund
Schedule of Portfolio Investments (continued)
|
|
|
|
|
Country |
|
% of Long-Term Investments |
|
Australia |
|
|
0.0 |
# |
Brazil |
|
|
0.6 |
|
Canada |
|
|
1.3 |
|
Cayman Islands |
|
|
1.9 |
|
France |
|
|
2.1 |
|
Ireland |
|
|
0.9 |
|
Luxembourg |
|
|
3.5 |
|
Malaysia |
|
|
0.3 |
|
Mexico |
|
|
4.8 |
|
Netherlands |
|
|
3.2 |
|
Norway |
|
|
0.2 |
|
South Korea |
|
|
0.3 |
|
Spain |
|
|
2.1 |
|
United Kingdom |
|
|
3.5 |
|
United States |
|
|
75.3 |
|
|
|
|
|
|
|
|
|
100.0 |
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
12
AMG Managers Global Income Opportunity Fund
Fund Snapshots (unaudited)
June 30, 2019
PORTFOLIO BREAKDOWN
|
|
|
|
|
Category |
|
% of Net Assets |
|
Corporate Bonds and Notes |
|
|
46.5 |
|
Foreign Government Obligations |
|
|
34.1 |
|
U.S. Government and Agency Obligations |
|
|
17.0 |
|
Short-Term Investments |
|
|
3.2 |
|
Other Assets Less Liabilities |
|
|
(0.8 |
) |
|
|
|
|
|
Rating |
|
% of Market Value |
|
U.S. Government and Agency Obligations |
|
|
17.4 |
|
Aaa |
|
|
6.7 |
|
Aa |
|
|
10.4 |
|
A |
|
|
27.9 |
|
Baa |
|
|
32.7 |
|
Ba |
|
|
3.8 |
|
B |
|
|
1.1 |
|
TOP TEN HOLDINGS
|
|
|
|
|
Security Name |
|
% of Net Assets |
|
U.S. Treasury Notes, 1.875%, 03/31/22 |
|
|
5.8 |
|
French Republic Government Bond OAT, 4.250%, 10/25/23 (France) |
|
|
5.3 |
|
U.S. Treasury Notes, 3.125%, 11/15/28 |
|
|
5.3 |
|
U.S. Treasury Notes, 2.875%, 10/15/21 |
|
|
4.5 |
|
Energy Transfer Partners, LP, 4.050%, 03/15/25 |
|
|
2.3 |
|
Indonesia Government International Bonds, 4.750%, 01/08/26 (Indonesia) |
|
|
2.2 |
|
Enel Finance International NV, 4.625%, 09/14/25 (Netherlands) |
|
|
2.2 |
|
Alfa, SAB de CV, 5.250%, 03/25/24 (Mexico) |
|
|
2.2 |
|
Lloyds Banking Group PLC, 4.500%, 11/04/24 (United Kingdom) |
|
|
2.2 |
|
Barclays PLC, 3.650%, 03/16/25 (United Kingdom) |
|
|
2.1 |
|
|
|
|
|
|
Top Ten as a Group |
|
|
34.1 |
|
|
|
|
|
|
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.
13
AMG Managers Global Income Opportunity Fund
Schedule of Portfolio Investments (unaudited)
June 30, 2019
|
|
|
|
|
|
|
|
|
|
|
Principal Amount
|
|
|
Value |
|
Corporate Bonds and Notes - 46.5% |
|
|
|
|
|
Financials - 14.1% |
|
|
|
|
|
|
|
|
American Homes 4 Rent LP 4.900%, 02/15/29 |
|
$ |
25,000 |
|
|
$ |
27,218 |
|
Bank of America Corp. Series MTN 4.200%, 08/26/24 |
|
|
130,000 |
|
|
|
138,190 |
|
Barclays PLC (United Kingdom) 3.650%, 03/16/25 |
|
|
200,000 |
|
|
|
201,008 |
|
Brookfield Finance, Inc. (Canada) 4.850%, 03/29/29 |
|
|
25,000 |
|
|
|
27,344 |
|
Citigroup, Inc. 4.400%, 06/10/25 |
|
|
75,000 |
|
|
|
80,043 |
|
Goodman Australia Industrial Fund Bond Issuer Pty, Ltd. (Australia) 3.400%, 09/30/261 |
|
|
60,000 |
|
|
|
59,847 |
|
HSBC Holdings PLC (United Kingdom) Series EMTN 5.750%, 12/20/27 |
|
|
55,000 |
GBP |
|
|
84,374 |
|
JPMorgan Chase & Co. |
|
|
|
|
|
|
|
|
3.900%, 07/15/25 |
|
|
50,000 |
|
|
|
53,392 |
|
3.875%, 02/01/24 |
|
|
25,000 |
|
|
|
26,549 |
|
Series X, (3 month LIBOR + 3.330%), 6.100%, 04/01/682,3 |
|
|
65,000 |
|
|
|
70,026 |
|
Lloyds Banking Group PLC (United Kingdom) 4.500%, 11/04/24 |
|
|
200,000 |
|
|
|
209,224 |
|
Mid-America Apartments, LP 4.200%, 06/15/28 |
|
|
95,000 |
|
|
|
102,016 |
|
Old Republic International Corp. 4.875%, 10/01/24 |
|
|
100,000 |
|
|
|
108,378 |
|
Santander Holdings USA, Inc. 2.650%, 04/17/20 |
|
|
110,000 |
|
|
|
109,970 |
|
Ventas Realty, LP 3.100%, 01/15/23 |
|
|
70,000 |
|
|
|
71,231 |
|
Total Financials |
|
|
|
|
|
|
1,368,810 |
|
Industrials - 24.8% |
|
|
|
|
|
|
|
|
Air Canada 2017-1 Class AA Pass Through Trust
(Canada) 3.300%, 01/15/301 |
|
|
48,720 |
|
|
|
49,096 |
|
Alfa, SAB de CV (Mexico) 5.250%, 03/25/241
|
|
|
200,000 |
|
|
|
213,250 |
|
Anheuser-Busch InBev Worldwide, Inc. 4.750%, 01/23/29 |
|
|
45,000 |
|
|
|
51,084 |
|
BMW US Capital LLC 3.150%, 04/18/241
|
|
|
25,000 |
|
|
|
25,662 |
|
Broadcom Inc. 4.250%, 04/15/261 |
|
|
25,000 |
|
|
|
25,372 |
|
Burlington Northern Santa Fe LLC 4.050%, 06/15/48 |
|
|
65,000 |
|
|
|
72,111 |
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Value |
|
Covanta Holding Corp. 5.875%, 07/01/25 |
|
$ |
30,000 |
|
|
$ |
31,200 |
|
CSX Corp. 3.800%, 03/01/28 |
|
|
70,000 |
|
|
|
75,255 |
|
CVS Health Corp. |
|
|
|
|
|
|
|
|
4.300%, 03/25/28 |
|
|
25,000 |
|
|
|
26,362 |
|
4.100%, 03/25/25 |
|
|
50,000 |
|
|
|
52,735 |
|
Delta Air Lines 2015-1 Class B Pass Through Trust
Series 15-1 4.250%, 07/30/23 |
|
|
53,687 |
|
|
|
56,875 |
|
Embraer Netherlands Finance BV (Netherlands) 5.050%, 06/15/25 |
|
|
70,000 |
|
|
|
75,513 |
|
Enbridge, Inc. (Canada) 2.900%, 07/15/22 |
|
|
25,000 |
|
|
|
25,368 |
|
Energy Transfer Partners, LP 4.050%, 03/15/25 |
|
|
210,000 |
|
|
|
218,599 |
|
General Motors Financial Co., Inc. 4.000%, 01/15/25 |
|
|
120,000 |
|
|
|
121,804 |
|
Glencore Finance Canada, Ltd. (Canada) 5.550%, 10/25/421,4 |
|
|
115,000 |
|
|
|
118,866 |
|
Hyundai Capital America 2.750%, 09/27/261
|
|
|
85,000 |
|
|
|
80,105 |
|
Intel Corp. 3.700%, 07/29/25 |
|
|
100,000 |
|
|
|
107,219 |
|
INVISTA Finance LLC 4.250%, 10/15/191
|
|
|
130,000 |
|
|
|
130,742 |
|
Kinder Morgan Energy Partners, LP 4.250%, 09/01/24 |
|
|
110,000 |
|
|
|
117,085 |
|
KT Corp. (South Korea) 2.500%, 07/18/261
|
|
|
200,000 |
|
|
|
193,783 |
|
Latam Airlines 2015-1 Pass Through Trust A
(Chile) 4.200%, 11/15/27 |
|
|
44,644 |
|
|
|
45,077 |
|
Nissan Motor Acceptance Corp. 3.650%, 09/21/211
|
|
|
60,000 |
|
|
|
61,427 |
|
Petrobras Global Finance BV (Netherlands) 5.999%, 01/27/28 |
|
|
15,000 |
|
|
|
15,945 |
|
Southern Copper Corp. (Peru) 3.875%, 04/23/25 |
|
|
130,000 |
|
|
|
135,031 |
|
Toyota Motor Credit Corp. MTN 2.650%, 04/12/22 |
|
|
35,000 |
|
|
|
35,549 |
|
Weibo Corp. (China) 3.500%, 07/05/24 |
|
|
200,000 |
|
|
|
200,830 |
|
Whiting Petroleum Corp. 6.625%, 01/15/265
|
|
|
40,000 |
|
|
|
38,575 |
|
Total Industrials |
|
|
|
|
|
|
2,400,520 |
|
Utilities - 7.6% |
|
|
|
|
|
|
|
|
CenterPoint Energy, Inc. 3.850%, 02/01/24 |
|
|
30,000 |
|
|
|
31,432 |
|
The accompanying notes are an integral part of these financial statements.
14
AMG Managers Global Income Opportunity Fund
Schedule of Portfolio Investments (continued)
|
|
|
|
|
|
|
|
|
|
|
Principal Amount
|
|
|
Value |
|
Utilities - 7.6% (continued) |
|
|
|
|
|
Duke Energy Corp. 3.150%, 08/15/27 |
|
$ |
70,000 |
|
|
$ |
71,005 |
|
Emgesa, S.A. ESP (Colombia) 8.750%, 01/25/211
|
|
|
320,000,000 |
COP |
|
|
103,805 |
|
Empresas Publicas de Medellin ESP (Colombia) 8.375%, 02/01/211 |
|
|
390,000,000 |
COP |
|
|
125,159 |
|
Enel Chile, S.A. (Chile) 4.875%, 06/12/28 |
|
|
20,000 |
|
|
|
21,850 |
|
Enel Finance International NV (Netherlands) 4.625%, 09/14/251 |
|
|
200,000 |
|
|
|
214,694 |
|
Enel Finance International, N.V. (Netherlands) 1.375%, 06/01/26 |
|
|
100,000 |
EUR |
|
|
120,603 |
|
Virginia Electric & Power Co. Series A 3.800%, 04/01/28 |
|
|
40,000 |
|
|
|
42,879 |
|
Total Utilities |
|
|
|
|
|
|
731,427 |
|
Total Corporate Bonds and Notes (Cost $4,483,440) |
|
|
|
4,500,757 |
|
U.S. Government and Agency Obligations - 17.0% |
|
|
|
|
|
U.S. Treasury Obligations - 17.0% |
|
|
|
|
|
U.S. Treasury Notes, |
|
|
|
|
|
|
|
|
1.625%, 08/31/19 |
|
|
140,000 |
|
|
|
139,846 |
|
1.875%, 03/31/22 |
|
|
555,000 |
|
|
|
557,450 |
|
2.875%, 10/15/21 |
|
|
430,000 |
|
|
|
440,935 |
|
3.125%, 11/15/286 |
|
|
465,000 |
|
|
|
510,028 |
|
Total U.S. Treasury Obligations |
|
|
|
|
|
|
1,648,259 |
|
Foreign Government Obligations - 34.1% |
|
|
|
|
|
Argentine Republic Government International Bond 7.125%, 06/28/17 |
|
|
95,000 |
|
|
|
71,013 |
|
Australia Government Bond Series 133 5.500%, 04/21/23 |
|
|
75,000 |
AUD |
|
|
61,502 |
|
Bonos de la Tesoreria de la Republica en pesos |
|
|
|
|
|
|
|
|
4.000%, 03/01/231 |
|
|
20,000,000 |
CLP |
|
|
30,820 |
|
4.500%, 03/01/26 |
|
|
45,000,000 |
CLP |
|
|
71,842 |
|
Brazil Notas Do Tesouro Nacional 10.000%, 01/01/21 |
|
|
460,000 |
BRL |
|
|
126,459 |
|
Bundesrepublik Deutschland Bundesanleihe 0.500%, 08/15/27 |
|
|
20,000 |
EUR |
|
|
24,533 |
|
Colombian TES Series B 6.250%, 11/26/25 |
|
|
189,000,000 |
COP |
|
|
60,961 |
|
Dominican Republic International, Bonds 8.625%, 04/20/271 |
|
|
100,000 |
|
|
|
119,376 |
|
Export Development Canada 1.800%, 09/01/22 |
|
|
55,000 |
CAD |
|
|
42,226 |
|
French Republic Government Bond OAT 1.750%, 11/25/24 |
|
|
20,000 |
EUR |
|
|
25,497 |
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount
|
|
|
Value |
|
French Republic Government Bond OAT 4.250%, 10/25/23 |
|
|
375,000 |
EUR |
|
$ |
517,083 |
|
Hellenic Republic Government Bond 3.750%, 01/30/28 |
|
|
45,000 |
EUR |
|
|
56,752 |
|
Indonesia Government International Bonds 4.750%, 01/08/261 |
|
$ |
200,000 |
|
|
|
217,598 |
|
Indonesia Treasury Bonds Series FR53 8.250%, 07/15/21 |
|
|
395,000,000 |
IDR |
|
|
28,577 |
|
Italy Buoni Poliennali Del Tesoro |
|
|
|
|
|
|
|
|
2.000%, 02/01/28 |
|
|
115,000 |
EUR |
|
|
132,974 |
|
5.000%, 03/01/22 |
|
|
90,000 |
EUR |
|
|
114,030 |
|
Japan Government Thirty Year Bond Series 62 0.500%, 03/20/49 |
|
|
6,950,000 |
JPY |
|
|
66,763 |
|
Korea Treasury Bond Series 2209 2.000%, 09/10/22 |
|
|
189,070,000 |
KRW |
|
|
166,251 |
|
Mexican Bonos |
|
|
|
|
|
|
|
|
Series M 5.750%, 03/05/26 |
|
|
3,630,000 |
MXN |
|
|
171,946 |
|
Series M 6.500%, 06/10/21 |
|
|
850,000 |
MXN |
|
|
43,443 |
|
Series M 8.000%, 12/07/23 |
|
|
1,600,000 |
MXN |
|
|
85,137 |
|
New South Wales Treasury Corp., Bonds Series 22 6.000%, 03/01/22 |
|
|
150,000 |
AUD |
|
|
118,692 |
|
Norway Government Bonds Series 474 3.750%,
05/25/211 |
|
|
485,000 |
NOK |
|
|
59,500 |
|
South Africa Government Bond Series R213 7.000%, 02/28/31 |
|
|
2,680,000 |
ZAR |
|
|
163,078 |
|
Spain Government Bonds |
|
|
|
|
|
|
|
|
1.600%, 04/30/251 |
|
|
95,000 |
EUR |
|
|
118,471 |
|
4.400%, 10/31/231 |
|
|
105,000 |
EUR |
|
|
143,356 |
|
Thailand Government Bonds 2.125%, 12/17/26 |
|
|
5,000,000 |
THB |
|
|
164,351 |
|
United Kingdom Gilt |
|
|
|
|
|
|
|
|
2.750%, 09/07/24 |
|
|
90,000 |
GBP |
|
|
126,639 |
|
2.000%, 09/07/25 |
|
|
130,000 |
GBP |
|
|
178,716 |
|
Total Foreign Government Obligations (Cost $3,322,342) |
|
|
|
3,307,586 |
|
|
|
Principal Amount |
|
|
|
|
Short-Term Investments - 3.2% |
|
|
|
|
|
Joint Repurchase Agreements - 0.4%7 |
|
|
|
|
|
RBC Dominion Securities, Inc., dated 06/28/19, due 07/01/19, 2.510% total to be received $40,463
(collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 7.000%, 07/18/19 - 09/09/49, totaling $41,264) |
|
$ |
40,455 |
|
|
|
40,455 |
|
The accompanying notes are an integral part of these financial statements.
15
AMG Managers Global Income Opportunity Fund
Schedule of Portfolio Investments (continued)
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Value |
|
Other Investment Companies - 2.8% |
|
|
|
|
|
|
|
|
Dreyfus Government Cash Management Fund, |
|
|
|
|
|
|
|
|
Institutional Shares, 2.25%8 |
|
|
87,213 |
|
|
$ |
87,213 |
|
Dreyfus Institutional Preferred Government |
|
|
|
|
|
|
|
|
Money Market Fund, Institutional Shares,
2.35%8 |
|
|
87,213 |
|
|
|
87,213 |
|
JPMorgan U.S. Government Money Market Fund, IM Shares, 2.32%8 |
|
|
89,855 |
|
|
|
89,855 |
|
Total Other Investment Companies |
|
|
|
|
|
|
264,281 |
|
Total Short-Term Investments (Cost $304,736) |
|
|
|
|
|
|
304,736 |
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Value |
|
Total Investments - 100.8% (Cost $9,714,151) |
|
|
|
|
|
$ |
9,761,338 |
|
Other Assets, less Liabilities - (0.8)% |
|
|
|
|
|
|
(76,674 |
) |
Net Assets - 100.0% |
|
|
|
|
|
$ |
9,684,664 |
|
|
Principal amount stated in U.S. dollars unless otherwise stated. |
1 |
Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in
transactions exempt from registration, normally to qualified buyers. At June 30, 2019, the value of these securities amounted to $2,090,929 or 21.6% of net assets. |
2 |
Variable rate security. The rate shown is based on the latest available information as of June 30, 2019.
|
3 |
Perpetuity Bond. The date shown is the final call date. |
4 |
Step Bond: A debt instrument with either deferred interest payments or an interest rate that resets at specific
times during its term. |
5 |
Some of these securities, amounting to $38,189 or 0.4% of net assets, were out on loan to various borrowers and
are collateralized by cash. See Note 4 of Notes to Financial Statements. |
6 |
Some or all of this security is held as collateral for futures contracts. The market value of collateral at
June 30, 2019, amounted to $510,028, or 5.3% of net assets. |
7 |
Cash collateral received for securities lending activity was invested in these joint repurchase agreements.
|
8 |
Yield shown represents the June 30, 2019, seven day average yield, which refers to the sum of the previous
seven days dividends paid, expressed as an annual percentage. |
EMTN European Medium Term Note
|
|
|
LIBOR |
|
London Interbank Offered Rate |
MTN |
|
Medium-Term Note |
CURRENCY ABBREVIATIONS: |
AUD |
|
Australian Dollar |
BRL |
|
Brazilian Real |
CAD |
|
Canadian Dollar |
CLP |
|
Chile Peso |
COP |
|
Colombia Peso |
EUR |
|
Euro Dollar |
GBP |
|
British Pound |
IDR |
|
Indonesia Rupiah |
JPY |
|
Japanese Yen |
KRW |
|
Korean Won |
MXN |
|
Mexico Peso |
NOK |
|
Norwegian Krone |
THB |
|
Thailand Baht |
ZAR |
|
South Africa Rand |
Open Futures Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Currency |
|
|
Number of Contracts |
|
|
Position |
|
|
Expiration
Date |
|
|
Current Notional Amount |
|
|
Value and Unrealized Gain/(Loss) |
|
10-Year U.S. Treasury Note |
|
|
USD |
|
|
|
4 |
|
|
|
Long |
|
|
|
09/19/19 |
|
|
$ |
511,875 |
|
|
$ |
8,992 |
|
|
|
|
|
|
|
|
CURRENCY ABBREVIATIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
USD US Dollar |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Open Forward Foreign Currency Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency Purchased |
|
Amount |
|
|
Currency Sold |
|
|
Amount |
|
|
Expiration |
|
Counterparty |
|
Receivable/ Payable Amount |
|
Canadian Dollar |
|
|
515,000 |
|
|
|
U.S. Dollar |
|
|
|
383,101 |
|
|
09/18/19 |
|
UBS Securities LLC |
|
$ |
10,747 |
|
Chinese Offshore Yuan |
|
|
410,000 |
|
|
|
U.S. Dollar |
|
|
|
58,982 |
|
|
09/18/19 |
|
JPMorganChase |
|
|
661 |
|
Euro |
|
|
950,000 |
|
|
|
U.S. Dollar |
|
|
|
1,076,645 |
|
|
09/18/19 |
|
Morgan Stanley |
|
|
10,591 |
|
Japanese Yen |
|
|
178,300,000 |
|
|
|
U.S. Dollar |
|
|
|
1,660,280 |
|
|
09/18/19 |
|
Credit Suisse |
|
|
3,422 |
|
The accompanying notes are an integral part of these financial statements.
16
AMG Managers Global Income Opportunity Fund
Schedule of Portfolio Investments (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency Purchased |
|
Amount |
|
|
Currency
Sold |
|
|
Amount |
|
|
Expiration |
|
|
Counterparty |
|
|
Receivable/ Payable Amount |
|
Sweden Krona |
|
|
580,000 |
|
|
|
U.S. Dollar |
|
|
|
61,821 |
|
|
|
09/18/19 |
|
|
|
UBS Securities LLC |
|
|
$ |
1,001 |
|
U.S. Dollar |
|
|
153,996 |
|
|
|
Thailand Baht |
|
|
|
4,825,000 |
|
|
|
09/18/19 |
|
|
|
UBS Securities LLC |
|
|
|
(3,641 |
) |
U.S. Dollar |
|
|
78,091 |
|
|
|
Australian Dollar |
|
|
|
112,000 |
|
|
|
09/18/19 |
|
|
|
Credit Suisse |
|
|
|
(731 |
) |
U.S. Dollar |
|
|
85,487 |
|
|
|
Brazilian Real |
|
|
|
345,000 |
|
|
|
09/04/19 |
|
|
|
Merrill Lynch |
|
|
|
(3,779 |
) |
U.S. Dollar |
|
|
156,180 |
|
|
|
Colombia Peso |
|
|
|
510,710,000 |
|
|
|
09/18/19 |
|
|
|
Credit Suisse |
|
|
|
(1,960 |
) |
U.S. Dollar |
|
|
265,731 |
|
|
|
Mexico Peso |
|
|
|
5,285,000 |
|
|
|
09/18/19 |
|
|
|
UBS Securities LLC |
|
|
|
(5,875 |
) |
U.S. Dollar |
|
|
154,766 |
|
|
|
South Africa Rand |
|
|
|
2,305,000 |
|
|
|
09/18/19 |
|
|
|
Citibank |
|
|
|
(7,214 |
) |
Total Forward Foreign Currency Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
3,222 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table summarizes the inputs used to value the Funds investments by the fair value hierarchy levels as of
June 30, 2019:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds and Notes |
|
|
|
|
|
$ |
4,500,757 |
|
|
|
|
|
|
$ |
4,500,757 |
|
U.S. Government and Agency Obligations |
|
|
|
|
|
|
1,648,259 |
|
|
|
|
|
|
|
1,648,259 |
|
Foreign Government Obligations |
|
|
|
|
|
|
3,307,586 |
|
|
|
|
|
|
|
3,307,586 |
|
Short-Term Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Joint Repurchase Agreements |
|
|
|
|
|
|
40,455 |
|
|
|
|
|
|
|
40,455 |
|
Other Investment Companies |
|
$ |
264,281 |
|
|
|
|
|
|
|
|
|
|
|
264,281 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities |
|
$ |
264,281 |
|
|
$ |
9,497,057 |
|
|
|
|
|
|
$ |
9,761,338 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Derivative InstrumentsAssets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Currency Exchange Contracts |
|
|
|
|
|
$ |
26,422 |
|
|
|
|
|
|
$ |
26,422 |
|
Interest Rate Futures Contracts |
|
$ |
8,992 |
|
|
|
|
|
|
|
|
|
|
|
8,992 |
|
Financial Derivative InstrumentsLiabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Currency Exchange Contracts |
|
|
|
|
|
|
(23,200 |
) |
|
|
|
|
|
|
(23,200 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financial Derivative Instruments |
|
$ |
8,992 |
|
|
$ |
3,222 |
|
|
|
|
|
|
$ |
12,214 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
All corporate bonds and notes held in the Fund are Level 2 securities. For a detailed breakout of
corporate bonds and notes by major industry classification, please refer to the Funds Schedule of Portfolio Investments. |
For the
six months ended June 30, 2019, there were no transfers in or out of Level 3.
The following schedule shows the value of derivative instruments
at June 30, 2019.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Derivatives |
|
|
Liability Derivatives |
|
Derivatives not accounted for as
hedging instruments |
|
Statement of Assets and Liabilities Location |
|
Fair Value |
|
|
Statement of Assets and Liabilities Location |
|
Fair Value |
|
Foreign currency exchange contracts |
|
Unrealized appreciation on foreign currency contracts |
|
$ |
26,422 |
|
|
Unrealized depreciation on foreign currency contracts |
|
$ |
23,200 |
|
Interest rate contracts |
|
Receivable for variation margin1 |
|
|
125 |
|
|
Payable for variation margin |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Totals |
|
$ |
26,547 |
|
|
|
|
$ |
23,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
17
AMG Managers Global Income Opportunity Fund
Schedule of Portfolio Investments (continued)
For the six months ended June 30, 2019, the effect of derivative instruments on the Statement of
Operations for the Fund and the amount of realized gain/loss and unrealized appreciation/depreciation on derivatives recognized in income was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized Gain/Loss |
|
|
Change in Unrealized Appreciation/Depreciation |
|
Derivatives not accounted for as
hedging instruments |
|
Statement of Operations Location |
|
Realized Gain/Loss |
|
|
Statement of Operations
Location |
|
Change in Unrealized Appreciation/ Depreciation |
|
Foreign currency exchange contracts |
|
Net realized loss on forward contracts |
|
$ |
(6,217 |
) |
|
Net change in unrealized appreciation/ depreciation on futures contracts |
|
$ |
(63,812 |
) |
Interest rate contracts |
|
Net realized gain on futures contracts |
|
|
9,355 |
|
|
Net change in unrealized appreciation/ depreciation on futures contracts |
|
|
8,992 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Totals |
|
$ |
3,138 |
|
|
|
|
$ |
(54,820 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
Only current days variation margin is reported within the Statement of Assets and Liabilities. The
variation margin is included in the open futures cumulative appreciation of $8,992. |
|
|
|
|
|
Country |
|
% of Long-Term Investments |
|
Argentina |
|
|
0.8 |
|
Australia |
|
|
2.6 |
|
Brazil |
|
|
1.3 |
|
Canada |
|
|
2.8 |
|
Chile |
|
|
1.8 |
|
China |
|
|
2.1 |
|
Colombia |
|
|
3.1 |
|
Dominican Republic |
|
|
1.3 |
|
France |
|
|
5.7 |
|
Germany |
|
|
0.3 |
|
Greece |
|
|
0.6 |
|
Indonesia |
|
|
2.6 |
|
Italy |
|
|
2.6 |
|
Japan |
|
|
0.7 |
|
Mexico |
|
|
5.4 |
|
Netherlands |
|
|
4.5 |
|
Norway |
|
|
0.6 |
|
Peru |
|
|
1.4 |
|
South Africa |
|
|
1.7 |
|
South Korea |
|
|
3.8 |
|
Spain |
|
|
2.8 |
|
Thailand |
|
|
1.7 |
|
United Kingdom |
|
|
8.5 |
|
United States |
|
|
41.3 |
|
|
|
|
|
|
|
|
|
100.0 |
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
18
AMG Managers Special Equity Fund
Fund Snapshots (unaudited)
June 30, 2019
PORTFOLIO BREAKDOWN
|
|
|
|
|
Sector |
|
% of Net Assets |
|
Information Technology |
|
|
27.3 |
|
Health Care |
|
|
27.0 |
|
Consumer Discretionary |
|
|
13.2 |
|
Industrials |
|
|
12.7 |
|
Financials |
|
|
6.4 |
|
Consumer Staples |
|
|
4.6 |
|
Communication Services |
|
|
2.3 |
|
Energy |
|
|
1.8 |
|
Materials |
|
|
1.4 |
|
Short-Term Investments |
|
|
7.4 |
|
Other Assets Less Liabilities |
|
|
(4.1 |
) |
TOP TEN HOLDINGS
|
|
|
|
|
Security Name |
|
% of Net Assets |
|
Repligen Corp. |
|
|
2.1 |
|
Pegasystems, Inc. |
|
|
1.7 |
|
WNS Holdings, Ltd., ADR (India) |
|
|
1.7 |
|
PRA Health Sciences, Inc. |
|
|
1.5 |
|
MAXIMUS, Inc. |
|
|
1.5 |
|
Mimecast, Ltd. |
|
|
1.5 |
|
Qualys, Inc. |
|
|
1.4 |
|
Axon Enterprise, Inc. |
|
|
1.3 |
|
Inter Parfums, Inc. |
|
|
1.3 |
|
Evo Payments, Inc., Class A |
|
|
1.2 |
|
|
|
|
|
|
Top Ten as a Group |
|
|
15.2 |
|
|
|
|
|
|
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.
19
AMG Managers Special Equity Fund
Schedule of Portfolio Investments (unaudited)
June 30, 2019
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Value |
|
Common Stocks - 96.7% |
|
|
|
|
|
|
|
|
Communication Services - 2.3% |
|
|
|
|
|
CarGurus, Inc.*,1 |
|
|
20,090 |
|
|
$ |
725,450 |
|
Cogent Communications Holdings, Inc. |
|
|
20,754 |
|
|
|
1,231,957 |
|
IMAX Corp. (Canada)* |
|
|
2,119 |
|
|
|
42,804 |
|
Jumia Technologies AG, ADR (Germany)*
|
|
|
14,247 |
|
|
|
376,406 |
|
The New York Times Co., Class A1
|
|
|
2,402 |
|
|
|
78,353 |
|
Nexstar Media Group, Inc., Class A1
|
|
|
5,165 |
|
|
|
521,665 |
|
The RealReal, Inc.* |
|
|
13,283 |
|
|
|
383,878 |
|
Shenandoah Telecommunications Co. |
|
|
7,167 |
|
|
|
276,073 |
|
Sinclair Broadcast Group, Inc., Class A |
|
|
10,795 |
|
|
|
578,936 |
|
World Wrestling Entertainment, |
|
|
|
|
|
|
|
|
Inc., Class A1 |
|
|
6,405 |
|
|
|
462,505 |
|
Yelp, Inc.*,1 |
|
|
13,254 |
|
|
|
453,022 |
|
Total Communication Services |
|
|
|
|
|
|
5,131,049 |
|
Consumer Discretionary - 13.2% |
|
|
|
|
|
1-800-Flowers.com,
Inc., Class A* |
|
|
13,000 |
|
|
|
245,440 |
|
American Eagle Outfitters, Inc. |
|
|
16,541 |
|
|
|
279,543 |
|
Asbury Automotive Group, Inc.*,1 |
|
|
1,916 |
|
|
|
161,595 |
|
BJs Restaurants, Inc. |
|
|
5,345 |
|
|
|
234,859 |
|
Bluegreen Vacations Corp.1 |
|
|
14,582 |
|
|
|
170,464 |
|
Bright Horizons Family Solutions, Inc.*
|
|
|
6,431 |
|
|
|
970,245 |
|
Brinker International, Inc.1 |
|
|
13,800 |
|
|
|
543,030 |
|
Chegg, Inc.*,1 |
|
|
57,458 |
|
|
|
2,217,304 |
|
Churchill Downs, Inc.1 |
|
|
2,871 |
|
|
|
330,366 |
|
Cooper-Standard Holdings, Inc.* |
|
|
2,714 |
|
|
|
124,355 |
|
Cracker Barrel Old Country Store, Inc. |
|
|
1,000 |
|
|
|
170,730 |
|
Dave & Busters Entertainment, Inc. |
|
|
5,100 |
|
|
|
206,397 |
|
Deckers Outdoor Corp.* |
|
|
6,805 |
|
|
|
1,197,476 |
|
Dine Brands Global, Inc. |
|
|
6,200 |
|
|
|
591,914 |
|
Eldorado Resorts, Inc.*,1 |
|
|
3,993 |
|
|
|
183,958 |
|
Etsy, Inc.*,1 |
|
|
27,887 |
|
|
|
1,711,425 |
|
Fox Factory Holding Corp.*,1 |
|
|
16,564 |
|
|
|
1,366,696 |
|
Grand Canyon Education, Inc.* |
|
|
6,577 |
|
|
|
769,641 |
|
Installed Building Products, Inc.* |
|
|
4,011 |
|
|
|
237,531 |
|
iRobot Corp.*,1 |
|
|
6,187 |
|
|
|
566,977 |
|
Libbey, Inc.* |
|
|
7,654 |
|
|
|
14,236 |
|
Lithia Motors, Inc., Class A1 |
|
|
2,864 |
|
|
|
340,186 |
|
The Lovesac Co.* |
|
|
8,228 |
|
|
|
255,644 |
|
Malibu Boats, Inc., Class A* |
|
|
29,674 |
|
|
|
1,152,835 |
|
Ollies Bargain Outlet Holdings, Inc.*,1
|
|
|
1,721 |
|
|
|
149,916 |
|
Oxford Industries, Inc.1 |
|
|
14,359 |
|
|
|
1,088,412 |
|
PetMed Express, Inc.1 |
|
|
8,350 |
|
|
|
130,844 |
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Value |
|
Planet Fitness, Inc., Class A* |
|
|
29,495 |
|
|
$ |
2,136,618 |
|
PlayAGS, Inc.* |
|
|
691 |
|
|
|
13,440 |
|
RH* |
|
|
483 |
|
|
|
55,835 |
|
Roku, Inc.*,1 |
|
|
8,486 |
|
|
|
768,662 |
|
Sally Beauty Holdings, Inc.*,1 |
|
|
16,400 |
|
|
|
218,776 |
|
SeaWorld Entertainment, Inc.*,1 |
|
|
23,439 |
|
|
|
726,609 |
|
Skyline Champion Corp.* |
|
|
82,540 |
|
|
|
2,259,945 |
|
Sonos, Inc.* |
|
|
1,308 |
|
|
|
14,833 |
|
Stamps.com, Inc.*,1 |
|
|
3,988 |
|
|
|
180,537 |
|
Steven Madden, Ltd. |
|
|
38,820 |
|
|
|
1,317,939 |
|
Stitch Fix, Inc., Class A*,1 |
|
|
19,602 |
|
|
|
627,068 |
|
Strategic Education, Inc. |
|
|
7,461 |
|
|
|
1,328,058 |
|
Tailored Brands, Inc. |
|
|
47,396 |
|
|
|
273,475 |
|
TopBuild Corp.* |
|
|
24,038 |
|
|
|
1,989,385 |
|
Weight Watchers International, Inc.*,1
|
|
|
23,763 |
|
|
|
453,873 |
|
YETI Holdings, Inc.*,1 |
|
|
65,038 |
|
|
|
1,882,850 |
|
Total Consumer Discretionary |
|
|
|
|
|
|
29,659,922 |
|
Consumer Staples - 4.6% |
|
|
|
|
|
BJs Wholesale Club Holdings, Inc.*,1
|
|
|
23,242 |
|
|
|
613,589 |
|
Calavo Growers, Inc.1 |
|
|
22,122 |
|
|
|
2,140,082 |
|
The Chefs Warehouse, Inc.* |
|
|
8,424 |
|
|
|
295,430 |
|
Inter Parfums, Inc. |
|
|
43,508 |
|
|
|
2,892,847 |
|
J&J Snack Foods Corp. |
|
|
14,957 |
|
|
|
2,407,329 |
|
Medifast, Inc. |
|
|
5,640 |
|
|
|
723,612 |
|
National Beverage Corp.1 |
|
|
7,875 |
|
|
|
351,461 |
|
Performance Food Group Co.* |
|
|
10,692 |
|
|
|
428,001 |
|
Turning Point Brands, Inc. |
|
|
1,748 |
|
|
|
85,617 |
|
USANA Health Sciences, Inc.* |
|
|
5,581 |
|
|
|
443,299 |
|
Total Consumer Staples |
|
|
|
|
|
|
10,381,267 |
|
Energy - 1.8% |
|
|
|
|
|
Cactus, Inc., Class A* |
|
|
18,401 |
|
|
|
609,441 |
|
Carrizo Oil & Gas, Inc.*,1 |
|
|
10,400 |
|
|
|
104,208 |
|
CONSOL Energy, Inc.*,1 |
|
|
14,458 |
|
|
|
384,727 |
|
CVR Energy, Inc. |
|
|
9,900 |
|
|
|
494,901 |
|
Delek US Holdings, Inc.1 |
|
|
7,504 |
|
|
|
304,062 |
|
Denbury Resources, Inc.* |
|
|
123,149 |
|
|
|
152,705 |
|
DMC Global, Inc. |
|
|
754 |
|
|
|
47,766 |
|
Liberty Oilfield Services, Inc., Class A1
|
|
|
9,903 |
|
|
|
160,231 |
|
Mammoth Energy Services, Inc. |
|
|
17,114 |
|
|
|
117,744 |
|
Select Energy Services, Inc., Class A*,1
|
|
|
142,220 |
|
|
|
1,651,174 |
|
Total Energy |
|
|
|
|
|
|
4,026,959 |
|
Financials - 6.4% |
|
|
|
|
|
Banc of California, Inc.1 |
|
|
55,818 |
|
|
|
779,777 |
|
The accompanying notes are an integral part of these financial statements.
20
AMG Managers Special Equity Fund
Schedule of Portfolio Investments (continued)
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Value |
|
Financials - 6.4% (continued) |
|
|
|
|
|
BrightSphere Investment Group PLC (United Kingdom) |
|
|
33,400 |
|
|
$ |
381,094 |
|
CenterState Bank Corp. |
|
|
76,304 |
|
|
|
1,757,281 |
|
Central Pacific Financial Corp. |
|
|
2,900 |
|
|
|
86,884 |
|
City Holding Co. |
|
|
1,200 |
|
|
|
91,512 |
|
Cohen & Steers, Inc.1 |
|
|
2,400 |
|
|
|
123,456 |
|
eHealth, Inc.* |
|
|
9,159 |
|
|
|
788,590 |
|
Essent Group, Ltd.* |
|
|
10,582 |
|
|
|
497,248 |
|
Evercore, Inc., Class A |
|
|
7,311 |
|
|
|
647,535 |
|
Goosehead Insurance, Inc., Class A |
|
|
44,277 |
|
|
|
2,116,441 |
|
Green Dot Corp., Class A* |
|
|
10,473 |
|
|
|
512,130 |
|
Heritage Insurance Holdings, Inc. |
|
|
10,318 |
|
|
|
159,000 |
|
James River Group Holdings, Ltd. (Bermuda) |
|
|
2,400 |
|
|
|
112,560 |
|
Kemper Corp. |
|
|
6,514 |
|
|
|
562,093 |
|
Kinsale Capital Group, Inc. |
|
|
3,883 |
|
|
|
355,217 |
|
LegacyTexas Financial Group, Inc. |
|
|
11,189 |
|
|
|
455,504 |
|
LendingTree, Inc.*,1 |
|
|
5,097 |
|
|
|
2,140,893 |
|
Meta Financial Group, Inc.1 |
|
|
1,501 |
|
|
|
42,103 |
|
National General Holdings Corp. |
|
|
41,857 |
|
|
|
960,200 |
|
NMI Holdings, Inc., Class A* |
|
|
17,766 |
|
|
|
504,377 |
|
RLI Corp.1 |
|
|
194 |
|
|
|
16,628 |
|
United Community Banks, Inc./GA |
|
|
16,500 |
|
|
|
471,240 |
|
Walker & Dunlop, Inc. |
|
|
7,900 |
|
|
|
420,359 |
|
Webster Financial Corp. |
|
|
5,815 |
|
|
|
277,782 |
|
Western Alliance Bancorp* |
|
|
3,632 |
|
|
|
162,423 |
|
Total Financials |
|
|
|
|
|
|
14,422,327 |
|
Health Care - 27.0% |
|
|
|
|
|
ACADIA Pharmaceuticals, Inc.*,1 |
|
|
2,700 |
|
|
|
72,171 |
|
Acceleron Pharma, Inc.*,1 |
|
|
800 |
|
|
|
32,864 |
|
Adaptive Biotechnologies Corp.* |
|
|
5,091 |
|
|
|
245,895 |
|
Addus HomeCare Corp.* |
|
|
2,900 |
|
|
|
217,355 |
|
Adeptus Health, Inc.2,3 |
|
|
24,574 |
|
|
|
0 |
|
Agios Pharmaceuticals, Inc.*,1 |
|
|
3,755 |
|
|
|
187,299 |
|
Akorn, Inc.* |
|
|
35,300 |
|
|
|
181,795 |
|
Allogene Therapeutics, Inc.*,1 |
|
|
8,222 |
|
|
|
220,761 |
|
Amarin Corp. PLC, ADR (Ireland)*,1 |
|
|
19,557 |
|
|
|
379,210 |
|
Amedisys, Inc.* |
|
|
4,523 |
|
|
|
549,137 |
|
Amicus Therapeutics, Inc.*,1 |
|
|
4,700 |
|
|
|
58,656 |
|
AnaptysBio, Inc.* |
|
|
600 |
|
|
|
33,852 |
|
ANI Pharmaceuticals, Inc.*,1 |
|
|
3,300 |
|
|
|
271,260 |
|
Arena Pharmaceuticals, Inc.* |
|
|
5,794 |
|
|
|
339,702 |
|
Argenx SE, ADR (Netherlands)* |
|
|
5,598 |
|
|
|
792,565 |
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Value |
|
ArQule, Inc.* |
|
|
5,532 |
|
|
$ |
60,907 |
|
Array BioPharma, Inc.* |
|
|
6,300 |
|
|
|
291,879 |
|
Arrowhead Pharmaceuticals, Inc.*,1 |
|
|
3,163 |
|
|
|
83,820 |
|
Assertio Therapeutics, Inc.* |
|
|
176,320 |
|
|
|
608,304 |
|
Audentes Therapeutics, Inc.* |
|
|
15,492 |
|
|
|
586,527 |
|
Biohaven Pharmaceutical Holding Co., Ltd.*
|
|
|
1,139 |
|
|
|
49,877 |
|
BioTelemetry, Inc.*,1 |
|
|
26,772 |
|
|
|
1,289,072 |
|
Blueprint Medicines Corp.* |
|
|
17,694 |
|
|
|
1,669,075 |
|
Bridgebio Pharma, Inc.* |
|
|
10,589 |
|
|
|
285,585 |
|
Cambrex Corp.*,1 |
|
|
28,210 |
|
|
|
1,320,510 |
|
Cardiovascular Systems, Inc.* |
|
|
6,944 |
|
|
|
298,106 |
|
CareDx, Inc.* |
|
|
28,275 |
|
|
|
1,017,617 |
|
Chemed Corp. |
|
|
1,565 |
|
|
|
564,715 |
|
Clovis Oncology, Inc.*,1 |
|
|
1,200 |
|
|
|
17,844 |
|
Codexis, Inc.*,1 |
|
|
12,748 |
|
|
|
234,946 |
|
Coherus Biosciences, Inc.*,1 |
|
|
53,315 |
|
|
|
1,178,262 |
|
Collegium Pharmaceutical, Inc.* |
|
|
11,956 |
|
|
|
157,221 |
|
Computer Programs & Systems, Inc. |
|
|
14,500 |
|
|
|
402,955 |
|
Cymabay Therapeutics, Inc.* |
|
|
3,315 |
|
|
|
23,735 |
|
Cytokinetics Inc.*,1 |
|
|
19,645 |
|
|
|
221,006 |
|
Denali Therapeutics, Inc.*,1 |
|
|
25,955 |
|
|
|
538,826 |
|
Diplomat Pharmacy, Inc.*,1 |
|
|
15,081 |
|
|
|
91,843 |
|
Eidos Therapeutics, Inc.*,1 |
|
|
2,744 |
|
|
|
85,284 |
|
Emergent BioSolutions, Inc.* |
|
|
1,400 |
|
|
|
67,634 |
|
Enanta Pharmaceuticals, Inc.*,1 |
|
|
500 |
|
|
|
42,190 |
|
Encompass Health Corp. |
|
|
6,900 |
|
|
|
437,184 |
|
The Ensign Group, Inc. |
|
|
6,575 |
|
|
|
374,249 |
|
Epizyme, Inc.* |
|
|
2,535 |
|
|
|
31,814 |
|
Esperion Therapeutics, Inc.*,1 |
|
|
1,164 |
|
|
|
54,149 |
|
Evolus, Inc.*,1 |
|
|
8,900 |
|
|
|
130,118 |
|
Fate Therapeutics, Inc.*,1 |
|
|
702 |
|
|
|
14,251 |
|
FibroGen, Inc.*,1 |
|
|
2,000 |
|
|
|
90,360 |
|
Fluidigm Corp.* |
|
|
23,800 |
|
|
|
293,216 |
|
Glaukos Corp.* |
|
|
17,798 |
|
|
|
1,341,969 |
|
Global Blood Therapeutics, Inc.*,1 |
|
|
4,282 |
|
|
|
225,233 |
|
Globus Medical, Inc., Class A* |
|
|
5,459 |
|
|
|
230,916 |
|
Guardant Health, Inc.* |
|
|
9,039 |
|
|
|
780,337 |
|
GW Pharmaceuticals PLC, ADR (United Kingdom)*,1
|
|
|
4,357 |
|
|
|
751,103 |
|
Halozyme Therapeutics, Inc.* |
|
|
37,940 |
|
|
|
651,809 |
|
Heron Therapeutics, Inc.*,1 |
|
|
2,200 |
|
|
|
40,898 |
|
Heska Corp.* |
|
|
10,590 |
|
|
|
901,950 |
|
HMS Holdings Corp.* |
|
|
24,006 |
|
|
|
777,554 |
|
The accompanying notes are an integral part of these financial statements.
21
AMG Managers Special Equity Fund
Schedule of Portfolio Investments (continued)
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Value |
|
Health Care - 27.0% (continued) |
|
|
|
|
|
Horizon Therapeutics PLC* |
|
|
16,721 |
|
|
$ |
402,307 |
|
Immunomedics, Inc.* |
|
|
3,700 |
|
|
|
51,319 |
|
Innoviva, Inc.*,1 |
|
|
8,364 |
|
|
|
121,780 |
|
Inogen, Inc.* |
|
|
3,575 |
|
|
|
238,667 |
|
Insmed, Inc.*,1 |
|
|
7,386 |
|
|
|
189,082 |
|
Inspire Medical Systems, Inc.* |
|
|
13,767 |
|
|
|
834,969 |
|
Insulet Corp.*,1 |
|
|
3,276 |
|
|
|
391,089 |
|
Integer Holdings Corp.* |
|
|
23,748 |
|
|
|
1,992,932 |
|
Intercept Pharmaceuticals, Inc.*,1 |
|
|
600 |
|
|
|
47,742 |
|
Invitae Corp.* |
|
|
15,914 |
|
|
|
373,979 |
|
Iovance Biotherapeutics, Inc.*,1 |
|
|
10,370 |
|
|
|
254,272 |
|
iRhythm Technologies, Inc.*,1 |
|
|
8,379 |
|
|
|
662,611 |
|
Ironwood Pharmaceuticals, Inc.*,1 |
|
|
4,000 |
|
|
|
43,760 |
|
Kura Oncology, Inc.* |
|
|
2,174 |
|
|
|
42,806 |
|
Lantheus Holdings, Inc.* |
|
|
2,633 |
|
|
|
74,514 |
|
LeMaitre Vascular, Inc.1 |
|
|
30,200 |
|
|
|
844,996 |
|
Ligand Pharmaceuticals, Inc.*,1 |
|
|
600 |
|
|
|
68,490 |
|
LivaNova PLC (United Kingdom)* |
|
|
378 |
|
|
|
27,201 |
|
Masimo Corp.* |
|
|
4,757 |
|
|
|
707,937 |
|
Medidata Solutions, Inc.* |
|
|
14,045 |
|
|
|
1,271,213 |
|
Medpace Holdings, Inc.*,1 |
|
|
34,470 |
|
|
|
2,255,027 |
|
MeiraGTx Holdings plc* |
|
|
1,738 |
|
|
|
46,717 |
|
Merit Medical Systems, Inc.* |
|
|
1,259 |
|
|
|
74,986 |
|
Mirati Therapeutics, Inc.*,1 |
|
|
8,434 |
|
|
|
868,702 |
|
Molina Healthcare, Inc.* |
|
|
5,848 |
|
|
|
837,083 |
|
Momenta Pharmaceuticals Inc.* |
|
|
2,100 |
|
|
|
26,145 |
|
Myovant Sciences, Ltd. (United Kingdom)*
|
|
|
19,299 |
|
|
|
174,656 |
|
Myriad Genetics, Inc.*,1 |
|
|
18,388 |
|
|
|
510,819 |
|
Natera, Inc.* |
|
|
610 |
|
|
|
16,824 |
|
Neogen Corp.* |
|
|
24,400 |
|
|
|
1,515,484 |
|
NeoGenomics, Inc.*,1 |
|
|
80,573 |
|
|
|
1,767,772 |
|
Nevro Corp.*,1 |
|
|
4,821 |
|
|
|
312,545 |
|
Novocure, Ltd. (Jersey)* |
|
|
1,251 |
|
|
|
79,101 |
|
NuVasive, Inc.* |
|
|
4,905 |
|
|
|
287,139 |
|
Omnicell, Inc.* |
|
|
2,059 |
|
|
|
177,136 |
|
Pacira BioSciences, Inc.* |
|
|
23,777 |
|
|
|
1,034,062 |
|
PDL BioPharma, Inc.* |
|
|
78,443 |
|
|
|
246,311 |
|
Penumbra, Inc.*,1 |
|
|
6,174 |
|
|
|
987,840 |
|
Portola Pharmaceuticals, Inc.*,1 |
|
|
1,900 |
|
|
|
51,547 |
|
PRA Health Sciences, Inc.* |
|
|
34,630 |
|
|
|
3,433,565 |
|
PTC Therapeutics, Inc.* |
|
|
1,400 |
|
|
|
63,000 |
|
R1 RCM, Inc.* |
|
|
3,576 |
|
|
|
44,986 |
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Value |
|
Reata Pharmaceuticals, Inc.*,1 |
|
|
1,142 |
|
|
$ |
107,748 |
|
REGENXBIO, Inc.*,1 |
|
|
700 |
|
|
|
35,959 |
|
Repligen Corp.*,1 |
|
|
55,941 |
|
|
|
4,808,129 |
|
Sage Therapeutics, Inc.*,1 |
|
|
3,203 |
|
|
|
586,437 |
|
Sarepta Therapeutics, Inc.*,1 |
|
|
1,991 |
|
|
|
302,532 |
|
Spectrum Pharmaceuticals, Inc.*,1 |
|
|
3,100 |
|
|
|
26,691 |
|
Supernus Pharmaceuticals, Inc.*,1 |
|
|
30,229 |
|
|
|
1,000,278 |
|
Syneos Health, Inc.*,1 |
|
|
5,300 |
|
|
|
270,777 |
|
Tabula Rasa HealthCare, Inc.*,1 |
|
|
36,200 |
|
|
|
1,807,466 |
|
Tactile Systems Technology, Inc.*,1 |
|
|
26,470 |
|
|
|
1,506,672 |
|
Tandem Diabetes Care, Inc.* |
|
|
21,799 |
|
|
|
1,406,472 |
|
Teladoc Health, Inc.*,1 |
|
|
4,654 |
|
|
|
309,072 |
|
Tenet Healthcare Corp.*,1 |
|
|
15,099 |
|
|
|
311,945 |
|
Tricida, Inc.*,1 |
|
|
1,493 |
|
|
|
58,914 |
|
Ultragenyx Pharmaceutical, Inc.*,1 |
|
|
6,838 |
|
|
|
434,213 |
|
uniQure, N.V. (Netherlands)* |
|
|
10,971 |
|
|
|
857,384 |
|
US Physical Therapy, Inc. |
|
|
589 |
|
|
|
72,194 |
|
Vanda Pharmaceuticals, Inc.* |
|
|
19,392 |
|
|
|
273,233 |
|
Veracyte, Inc.* |
|
|
1,510 |
|
|
|
43,050 |
|
Voyager Therapeutics, Inc.*,1 |
|
|
11,551 |
|
|
|
314,418 |
|
Wright Medical Group, N.V.
(Netherlands)* |
|
|
18,558 |
|
|
|
553,400 |
|
ZIOPHARM Oncology, Inc.*,1 |
|
|
11,956 |
|
|
|
69,703 |
|
Total Health Care |
|
|
|
|
|
|
60,507,172 |
|
Industrials - 12.7% |
|
|
|
|
|
Aerojet Rocketdyne Holdings, Inc.* |
|
|
989 |
|
|
|
44,277 |
|
AeroVironment, Inc.*,1 |
|
|
1,262 |
|
|
|
71,644 |
|
Allegiant Travel Co. |
|
|
683 |
|
|
|
98,010 |
|
ArcBest Corp.1 |
|
|
10,400 |
|
|
|
292,344 |
|
ASGN, Inc.* |
|
|
4,641 |
|
|
|
281,245 |
|
Astronics Corp.* |
|
|
1,823 |
|
|
|
73,321 |
|
Atkore International Group, Inc.* |
|
|
21,900 |
|
|
|
566,553 |
|
Axon Enterprise, Inc.* |
|
|
46,234 |
|
|
|
2,968,685 |
|
Barrett Business Services, Inc. |
|
|
6,100 |
|
|
|
503,860 |
|
Beacon Roofing Supply, Inc.* |
|
|
775 |
|
|
|
28,458 |
|
BMC Stock Holdings, Inc.* |
|
|
18,800 |
|
|
|
398,560 |
|
The Brinks Co. |
|
|
1,172 |
|
|
|
95,143 |
|
Builders FirstSource, Inc.* |
|
|
867 |
|
|
|
14,618 |
|
Chart Industries, Inc.* |
|
|
9,610 |
|
|
|
738,817 |
|
Columbus McKinnon Corp. |
|
|
1,074 |
|
|
|
45,076 |
|
Comfort Systems USA, Inc. |
|
|
22,034 |
|
|
|
1,123,514 |
|
Continental Building Products, Inc.* |
|
|
579 |
|
|
|
15,384 |
|
Covanta Holding Corp. |
|
|
5,714 |
|
|
|
102,338 |
|
Cubic Corp. |
|
|
3,391 |
|
|
|
218,652 |
|
The accompanying notes are an integral part of these financial statements.
22
AMG Managers Special Equity Fund
Schedule of Portfolio Investments (continued)
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Value |
|
Industrials - 12.7% (continued) |
|
|
|
|
|
|
|
|
Curtiss-Wright Corp. |
|
|
2,100 |
|
|
$ |
266,973 |
|
Deluxe Corp. |
|
|
18,013 |
|
|
|
732,408 |
|
DXP Enterprises, Inc. * |
|
|
7,212 |
|
|
|
273,263 |
|
EMCOR Group, Inc. |
|
|
9,721 |
|
|
|
856,420 |
|
Generac Holdings, Inc.* |
|
|
19,017 |
|
|
|
1,319,970 |
|
Harsco Corp.* |
|
|
16,898 |
|
|
|
463,681 |
|
Heidrick & Struggles International, Inc. |
|
|
11,800 |
|
|
|
353,646 |
|
Hillenbrand, Inc. |
|
|
3,694 |
|
|
|
146,172 |
|
Hub Group Inc., Class A* |
|
|
2,900 |
|
|
|
121,742 |
|
Insperity, Inc. |
|
|
20,165 |
|
|
|
2,462,953 |
|
John Bean Technologies Corp. |
|
|
1,121 |
|
|
|
135,787 |
|
Kennametal, Inc. |
|
|
3,681 |
|
|
|
136,160 |
|
Knoll, Inc. |
|
|
18,221 |
|
|
|
418,718 |
|
Korn Ferry |
|
|
25,154 |
|
|
|
1,007,921 |
|
Kratos Defense & Security Solutions, Inc.*
|
|
|
53,630 |
|
|
|
1,227,591 |
|
Marten Transport, Ltd. |
|
|
45,740 |
|
|
|
830,181 |
|
MasTec, Inc.*,1 |
|
|
9,279 |
|
|
|
478,147 |
|
Mercury Systems, Inc.* |
|
|
18,313 |
|
|
|
1,288,319 |
|
Meritor, Inc.* |
|
|
6,031 |
|
|
|
146,252 |
|
MSA Safety, Inc. |
|
|
268 |
|
|
|
28,244 |
|
NV5 Global, Inc.*,1 |
|
|
5,836 |
|
|
|
475,050 |
|
Quad/Graphics, Inc.1 |
|
|
14,318 |
|
|
|
113,255 |
|
RBC Bearings, Inc.* |
|
|
3,516 |
|
|
|
586,504 |
|
Rush Enterprises, Inc., Class A |
|
|
29,277 |
|
|
|
1,069,196 |
|
Saia, Inc.* |
|
|
19,950 |
|
|
|
1,290,166 |
|
SiteOne Landscape Supply, Inc.*,1 |
|
|
30,947 |
|
|
|
2,144,627 |
|
Tetra Tech, Inc. |
|
|
3,869 |
|
|
|
303,910 |
|
Trex Co., Inc.*,1 |
|
|
4,388 |
|
|
|
314,620 |
|
TriNet Group, Inc.* |
|
|
1,936 |
|
|
|
131,261 |
|
UniFirst Corp. |
|
|
1,600 |
|
|
|
301,712 |
|
Universal Forest Products, Inc. |
|
|
410 |
|
|
|
15,605 |
|
Wabash National Corp. |
|
|
27,500 |
|
|
|
447,425 |
|
WageWorks, Inc.* |
|
|
2,271 |
|
|
|
115,344 |
|
Woodward, Inc. |
|
|
7,480 |
|
|
|
846,437 |
|
Total Industrials |
|
|
|
|
|
|
28,530,159 |
|
Information Technology - 27.3% |
|
|
|
|
|
|
|
|
Acacia Communications, Inc.* |
|
|
17,052 |
|
|
|
804,172 |
|
Alarm.com Holdings, Inc.*,1 |
|
|
4,602 |
|
|
|
246,207 |
|
Alteryx, Inc., Class A*,1 |
|
|
11,377 |
|
|
|
1,241,458 |
|
Anaplan, Inc.* |
|
|
10,308 |
|
|
|
520,245 |
|
Appfolio, Inc., Class A* |
|
|
12,600 |
|
|
|
1,288,602 |
|
Appian Corp.*,1 |
|
|
14,387 |
|
|
|
518,939 |
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Value |
|
Avalara, Inc.* |
|
|
9,941 |
|
|
$ |
717,740 |
|
Blackline, Inc.* |
|
|
1,053 |
|
|
|
56,346 |
|
Box, Inc., Class A*,1 |
|
|
94,144 |
|
|
|
1,657,876 |
|
Cabot Microelectronics Corp. |
|
|
8,720 |
|
|
|
959,898 |
|
Cardtronics PLC, Class A (United Kingdom)*
|
|
|
21,643 |
|
|
|
591,287 |
|
CommVault Systems, Inc.* |
|
|
1,033 |
|
|
|
51,257 |
|
Cornerstone OnDemand, Inc.* |
|
|
9,304 |
|
|
|
538,981 |
|
Coupa Software, Inc.*,1 |
|
|
14,519 |
|
|
|
1,838,251 |
|
CSG Systems International, Inc. |
|
|
3,550 |
|
|
|
173,346 |
|
Diodes, Inc.* |
|
|
14,300 |
|
|
|
520,091 |
|
Elastic, N.V.* |
|
|
4,955 |
|
|
|
369,940 |
|
Endava PLC, ADR (United Kingdom)* |
|
|
7,693 |
|
|
|
309,566 |
|
Everbridge, Inc.* |
|
|
17,170 |
|
|
|
1,535,341 |
|
Everi Holdings, Inc.* |
|
|
35,844 |
|
|
|
427,619 |
|
EVERTEC, Inc. (Puerto Rico) |
|
|
19,100 |
|
|
|
624,570 |
|
Evo Payments, Inc., Class A* |
|
|
83,990 |
|
|
|
2,648,205 |
|
Five9, Inc.*,1 |
|
|
24,126 |
|
|
|
1,237,422 |
|
Globant SA (Argentina)* |
|
|
7,239 |
|
|
|
731,501 |
|
HubSpot, Inc.* |
|
|
8,296 |
|
|
|
1,414,634 |
|
Inphi Corp.*,1 |
|
|
18,141 |
|
|
|
908,864 |
|
Insight Enterprises, Inc.* |
|
|
9,800 |
|
|
|
570,360 |
|
j2 Global, Inc.1 |
|
|
16,566 |
|
|
|
1,472,552 |
|
Lattice Semiconductor Corp.* |
|
|
10,784 |
|
|
|
157,339 |
|
MAXIMUS, Inc. |
|
|
45,797 |
|
|
|
3,322,114 |
|
Mesa Laboratories, Inc. 1 |
|
|
9,369 |
|
|
|
2,289,221 |
|
Mimecast, Ltd.* |
|
|
69,529 |
|
|
|
3,247,700 |
|
Monolithic Power Systems, Inc. |
|
|
2,752 |
|
|
|
373,667 |
|
Napco Security Technologies, Inc.*,1 |
|
|
1,238 |
|
|
|
36,744 |
|
New Relic, Inc.*,1 |
|
|
4,137 |
|
|
|
357,892 |
|
NIC, Inc. |
|
|
1,695 |
|
|
|
27,188 |
|
Novanta, Inc.* |
|
|
3,423 |
|
|
|
322,789 |
|
Okta, Inc.* |
|
|
5,815 |
|
|
|
718,211 |
|
OSI Systems, Inc.*,1 |
|
|
4,791 |
|
|
|
539,610 |
|
PagerDuty, Inc.* |
|
|
3,323 |
|
|
|
156,347 |
|
Paycom Software, Inc.* |
|
|
2,038 |
|
|
|
462,055 |
|
Paylocity Holding Corp.* |
|
|
16,594 |
|
|
|
1,556,849 |
|
Pegasystems, Inc. |
|
|
54,175 |
|
|
|
3,857,802 |
|
Perficient, Inc.* |
|
|
8,201 |
|
|
|
281,458 |
|
Progress Software Corp. |
|
|
15,688 |
|
|
|
684,311 |
|
PROS Holdings, Inc.*,1 |
|
|
8,429 |
|
|
|
533,219 |
|
Qualys, Inc.*,1 |
|
|
36,977 |
|
|
|
3,219,957 |
|
Rapid7, Inc.*,1 |
|
|
1,673 |
|
|
|
96,766 |
|
RingCentral, Inc., Class A* |
|
|
4,193 |
|
|
|
481,860 |
|
The accompanying notes are an integral part of these financial statements.
23
AMG Managers Special Equity Fund
Schedule of Portfolio Investments (continued)
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Value |
|
Information Technology - 27.3% (continued) |
|
|
|
|
|
Science Applications International Corp. |
|
|
6,343 |
|
|
$ |
549,050 |
|
Semtech Corp.* |
|
|
10,842 |
|
|
|
520,958 |
|
Silicon Laboratories, Inc.* |
|
|
15,770 |
|
|
|
1,630,618 |
|
SPS Commerce, Inc.* |
|
|
11,202 |
|
|
|
1,144,956 |
|
SVMK, Inc.* |
|
|
20,843 |
|
|
|
344,118 |
|
The Trade Desk, Inc., Class A*,1
|
|
|
4,630 |
|
|
|
1,054,621 |
|
Twilio, Inc., Class A*,1 |
|
|
5,255 |
|
|
|
716,519 |
|
Upland Software, Inc.*,1 |
|
|
7,354 |
|
|
|
334,828 |
|
Verra Mobility Corp.*,1 |
|
|
45,095 |
|
|
|
590,294 |
|
Wix.com, Ltd. (Israel)* |
|
|
5,038 |
|
|
|
715,900 |
|
WNS Holdings, Ltd., ADR (India)* |
|
|
64,024 |
|
|
|
3,790,221 |
|
Workiva, Inc.* |
|
|
30,068 |
|
|
|
1,746,650 |
|
Yext, Inc.*,1 |
|
|
13,280 |
|
|
|
266,795 |
|
Zscaler, Inc.*,1 |
|
|
15,973 |
|
|
|
1,224,171 |
|
Total Information Technology |
|
|
|
|
|
|
61,328,068 |
|
Materials - 1.4% |
|
|
|
|
|
|
|
|
Boise Cascade Co. |
|
|
595 |
|
|
|
16,726 |
|
Compass Minerals International, Inc. |
|
|
2,086 |
|
|
|
114,626 |
|
Greif, Inc., Class A |
|
|
10,900 |
|
|
|
354,795 |
|
HB Fuller Co. |
|
|
4,698 |
|
|
|
217,987 |
|
Livent Corp.* |
|
|
9,174 |
|
|
|
63,484 |
|
Myers Industries, Inc. |
|
|
1,530 |
|
|
|
29,483 |
|
Quaker Chemical Corp.1 |
|
|
8,073 |
|
|
|
1,637,850 |
|
Stepan Co. |
|
|
800 |
|
|
|
73,528 |
|
Summit Materials, Inc., Class A*,1
|
|
|
1,981 |
|
|
|
38,134 |
|
Trinseo, S.A. |
|
|
15,001 |
|
|
|
635,143 |
|
Total Materials |
|
|
|
|
|
|
3,181,756 |
|
Total Common Stocks (Cost $193,268,347) |
|
|
|
|
|
|
217,168,679 |
|
|
|
Principal Amount |
|
|
|
|
Short-Term Investments - 7.4% |
|
|
|
|
|
|
|
|
Joint Repurchase Agreements - 3.6%4
|
|
|
|
|
|
|
|
|
Bank of America Securities, Inc., dated 06/28/19, due 07/01/19, 2.500% total to be received
$1,893,174 (collateralized by various U.S. Government Agency Obligations, 3.298% - 4.500%, 06/01/46 - 07/01/49, totaling $1,930,636) |
|
$ |
1,892,780 |
|
|
|
1,892,780 |
|
* |
Non-income producing security. |
1 |
Some of these securities, amounting to $66,000,009 or 29.4% of net assets, were out on loan to various borrowers
and are collateralized by cash and various U.S. Treasury Obligations. See Note 4 of Notes to Financial Statements. |
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Value |
|
Cantor Fitzgerald Securities, Inc., dated 06/28/19, due 07/01/19, 2.530% total to be received
$1,893,179 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 10.000%, 06/30/19 - 05/20/69, totaling $1,930,636) |
|
$ |
1,892,780 |
|
|
$ |
1,892,780 |
|
Citigroup Global Markets, Inc., dated 06/28/19, due 07/01/19, 2.500% total to be received
$1,893,174 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 9.500%, 07/02/19 - 01/20/63, totaling $1,930,636) |
|
|
1,892,780 |
|
|
|
1,892,780 |
|
Jefferies LLC, dated 06/28/19, due 07/01/19, 2.520% total to be received $1,893,177 (collateralized
by various U.S. Government Agency Obligations, 0.000% - 2.650%, 07/05/19 - 08/16/23, totaling $1,930,645) |
|
|
1,892,780 |
|
|
|
1,892,780 |
|
TD Securities (USA) LLC, dated 06/28/19, due 07/01/19, 2.490% total to be received $398,031
(collateralized by various U.S. Treasuries, 2.000% - 2.125%, 10/31/22 - 05/31/26, totaling $405,907) |
|
|
397,948 |
|
|
|
397,948 |
|
Total Joint Repurchase Agreements |
|
|
|
|
|
|
7,969,068 |
|
|
|
Shares |
|
|
|
|
Other Investment Companies - 3.8% |
|
|
|
|
|
|
|
|
Dreyfus Government Cash Management Fund, Institutional Shares, 2.25%5 |
|
|
8,272,534 |
|
|
|
8,272,534 |
|
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 2.35%5 |
|
|
136,003 |
|
|
|
136,003 |
|
JPMorgan U.S. Government Money Market Fund, IM Shares, 2.32%5 |
|
|
140,125 |
|
|
|
140,125 |
|
Total Other Investment Companies |
|
|
|
|
|
|
8,548,662 |
|
Total Short-Term Investments (Cost $16,517,730) |
|
|
|
|
|
|
16,517,730 |
|
Total Investments - 104.1% (Cost $209,786,077) |
|
|
|
|
|
|
233,686,409 |
|
Other Assets, less Liabilities - (4.1)% |
|
|
|
|
|
|
(9,128,126 |
) |
Net Assets - 100.0% |
|
|
|
|
|
$ |
224,558,283 |
|
2 Escrow shares.
3 Securitys value was determined by using significant unobservable inputs.
The accompanying notes are an integral part of these financial statements.
24
AMG Managers Special Equity Fund
Schedule of Portfolio Investments (continued)
4 |
Cash collateral received for securities lending activity was invested in these joint repurchase agreements.
|
5 |
Yield shown represents the June 30, 2019, seven day average yield, which refers to the sum of the previous
seven days dividends paid, expressed as an annual percentage.
|
ADR American Depositary Receipt
The following table summarizes the inputs
used to value the Funds investments by the fair value hierarchy levels as of June 30, 2019:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology |
|
$ |
61,328,068 |
|
|
|
|
|
|
|
|
|
|
$ |
61,328,068 |
|
Health Care |
|
|
60,507,172 |
|
|
|
|
|
|
$ |
0 |
|
|
|
60,507,172 |
|
Consumer Discretionary |
|
|
29,659,922 |
|
|
|
|
|
|
|
|
|
|
|
29,659,922 |
|
Industrials |
|
|
28,530,159 |
|
|
|
|
|
|
|
|
|
|
|
28,530,159 |
|
Financials |
|
|
14,422,327 |
|
|
|
|
|
|
|
|
|
|
|
14,422,327 |
|
Consumer Staples |
|
|
10,381,267 |
|
|
|
|
|
|
|
|
|
|
|
10,381,267 |
|
Communication Services |
|
|
5,131,049 |
|
|
|
|
|
|
|
|
|
|
|
5,131,049 |
|
Energy |
|
|
4,026,959 |
|
|
|
|
|
|
|
|
|
|
|
4,026,959 |
|
Materials |
|
|
3,181,756 |
|
|
|
|
|
|
|
|
|
|
|
3,181,756 |
|
Short-Term Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Joint Repurchase Agreements |
|
|
|
|
|
$ |
7,969,068 |
|
|
|
|
|
|
|
7,969,068 |
|
Other Investment Companies |
|
|
8,548,662 |
|
|
|
|
|
|
|
|
|
|
|
8,548,662 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities |
|
$ |
225,717,341 |
|
|
$ |
7,969,068 |
|
|
$ |
0 |
|
|
$ |
233,686,409 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At June 30, 2019, the Level 3 common stock was received as a result of a corporate action. The securitys value
was determined by using significant unobservable inputs.
For the six months ended June 30, 2019, there were no transfers in or out of Level 3.
The accompanying notes are an integral part of these financial statements.
25
Statement of Assets and Liabilities (unaudited)
June 30, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMG Managers Loomis Sayles Bond Fund |
|
|
AMG Managers Global Income Opportunity Fund |
|
|
AMG Managers Special Equity Fund |
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
Investments at value1 (including securities
on loan valued at $300,127,728, $38,189, and $66,000,009, respectively) |
|
$ |
1,250,225,865 |
|
|
$ |
9,761,338 |
|
|
$ |
233,686,409 |
|
Cash |
|
|
|
|
|
|
1,375 |
|
|
|
23,417 |
|
Foreign currency2 |
|
|
|
|
|
|
73,500 |
|
|
|
|
|
Receivable for investments sold |
|
|
|
|
|
|
|
|
|
|
817,009 |
|
Dividend, interest and other receivables |
|
|
9,977,278 |
|
|
|
118,139 |
|
|
|
87,585 |
|
Receivable for Fund shares sold |
|
|
657,087 |
|
|
|
678 |
|
|
|
25,177 |
|
Receivable from affiliate |
|
|
13,769 |
|
|
|
7,690 |
|
|
|
9,277 |
|
Unrealized appreciation on foreign currency contracts |
|
|
|
|
|
|
26,422 |
|
|
|
|
|
Receivable for variation margin |
|
|
|
|
|
|
125 |
|
|
|
|
|
Prepaid expenses and other assets |
|
|
52,128 |
|
|
|
9,991 |
|
|
|
26,151 |
|
Total assets |
|
|
1,260,926,127 |
|
|
|
9,999,258 |
|
|
|
234,675,025 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
Payable upon return of securities loaned |
|
|
16,888,421 |
|
|
|
40,455 |
|
|
|
7,969,068 |
|
Payable for investments purchased |
|
|
9,950,677 |
|
|
|
200,000 |
|
|
|
1,761,064 |
|
Payable for Fund shares repurchased |
|
|
957,219 |
|
|
|
4,691 |
|
|
|
89,004 |
|
Unrealized depreciation on foreign currency contracts |
|
|
|
|
|
|
23,200 |
|
|
|
|
|
Due to custodian |
|
|
34,293 |
|
|
|
|
|
|
|
|
|
Accrued expenses: |
|
|
|
|
|
|
|
|
|
|
|
|
Investment advisory and management fees |
|
|
261,805 |
|
|
|
4,352 |
|
|
|
162,033 |
|
Administrative fees |
|
|
151,042 |
|
|
|
1,187 |
|
|
|
27,006 |
|
Shareholder service fees |
|
|
168,801 |
|
|
|
|
|
|
|
37,008 |
|
Other |
|
|
293,761 |
|
|
|
40,709 |
|
|
|
71,559 |
|
Total liabilities |
|
|
28,706,019 |
|
|
|
314,594 |
|
|
|
10,116,742 |
|
Net Assets |
|
$ |
1,232,220,108 |
|
|
$ |
9,684,664 |
|
|
$ |
224,558,283 |
|
1 Investments at cost |
|
$ |
1,188,568,424 |
|
|
$ |
9,714,151 |
|
|
$ |
209,786,077 |
|
2 Foreign currency at cost |
|
|
|
|
|
$ |
73,676 |
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
26
Statement of Assets and Liabilities (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMG Managers Loomis Sayles Bond Fund |
|
|
AMG Managers Global Income Opportunity Fund |
|
|
AMG Managers Special Equity Fund |
|
Net Assets Represent: |
|
|
|
|
|
|
|
|
|
|
|
|
Paid-in capital |
|
$ |
1,159,477,237 |
|
|
$ |
10,177,571 |
|
|
$ |
154,582,081 |
|
Total distributable earnings (loss) |
|
|
72,742,871 |
|
|
|
(492,907 |
) |
|
|
69,976,202 |
|
Net Assets |
|
$ |
1,232,220,108 |
|
|
$ |
9,684,664 |
|
|
$ |
224,558,283 |
|
Class N: |
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets |
|
$ |
724,388,291 |
|
|
$ |
9,684,664 |
|
|
$ |
184,973,772 |
|
Shares outstanding |
|
|
26,980,031 |
|
|
|
453,227 |
|
|
|
1,300,326 |
|
Net asset value, offering and redemption price per share |
|
$ |
26.85 |
|
|
$ |
21.37 |
|
|
$ |
142.25 |
|
Class I: |
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets |
|
$ |
507,831,817 |
|
|
|
|
|
|
$ |
39,584,511 |
|
Shares outstanding |
|
|
18,911,453 |
|
|
|
|
|
|
|
269,439 |
|
Net asset value, offering and redemption price per share |
|
$ |
26.85 |
|
|
|
|
|
|
$ |
146.91 |
|
The accompanying notes are an integral part of these financial statements.
27
Statement of Operations (unaudited)
For the six months ended June 30, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMG Managers Loomis Sayles Bond Fund |
|
|
AMG Managers Global Income Opportunity Fund |
|
|
AMG Managers Special Equity Fund |
|
Investment Income: |
|
|
|
|
|
|
|
|
|
|
|
|
Dividend income |
|
$ |
1,317,330 |
|
|
$ |
1,644 |
|
|
$ |
463,926 |
|
Interest income |
|
|
30,373,487 |
|
|
|
179,965 |
|
|
|
|
|
Securities lending income |
|
|
173,867 |
|
|
|
300 |
|
|
|
113,962 |
|
Foreign withholding tax |
|
|
|
|
|
|
(990 |
) |
|
|
|
|
Total investment income |
|
|
31,864,684 |
|
|
|
180,919 |
|
|
|
577,888 |
|
Expenses: |
|
|
|
|
|
|
|
|
|
|
|
|
Investment advisory and management fees |
|
|
1,914,724 |
|
|
|
26,569 |
|
|
|
971,625 |
|
Administrative fees |
|
|
1,104,649 |
|
|
|
7,246 |
|
|
|
161,937 |
|
Shareholder servicing fees - Class N |
|
|
904,065 |
|
|
|
|
|
|
|
223,809 |
|
Shareholder servicing fees - Class I |
|
|
189,441 |
|
|
|
|
|
|
|
|
|
Reports to shareholders |
|
|
95,093 |
|
|
|
1,851 |
|
|
|
8,072 |
|
Custodian fees |
|
|
81,820 |
|
|
|
18,340 |
|
|
|
36,505 |
|
Trustee fees and expenses |
|
|
72,740 |
|
|
|
437 |
|
|
|
9,659 |
|
Professional fees |
|
|
71,684 |
|
|
|
21,041 |
|
|
|
20,302 |
|
Transfer agent fees |
|
|
39,204 |
|
|
|
612 |
|
|
|
13,008 |
|
Registration fees |
|
|
35,684 |
|
|
|
12,310 |
|
|
|
24,368 |
|
Miscellaneous |
|
|
24,736 |
|
|
|
521 |
|
|
|
5,452 |
|
Total expenses before offsets |
|
|
4,533,840 |
|
|
|
88,927 |
|
|
|
1,474,737 |
|
Expense reimbursements |
|
|
(52,744 |
) |
|
|
(45,933 |
) |
|
|
(50,709 |
) |
Expense reductions |
|
|
|
|
|
|
|
|
|
|
(4,215 |
) |
Net expenses |
|
|
4,481,096 |
|
|
|
42,994 |
|
|
|
1,419,813 |
|
Net investment income (loss) |
|
|
27,383,588 |
|
|
|
137,925 |
|
|
|
(841,925 |
) |
Net Realized and Unrealized Gain: |
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain (loss) on investments |
|
|
26,636,839 |
|
|
|
(25,260 |
) |
|
|
12,174,991 |
|
Net realized loss on forward contracts |
|
|
|
|
|
|
(6,217 |
) |
|
|
|
|
Net realized gain on futures contracts |
|
|
|
|
|
|
9,355 |
|
|
|
|
|
Net realized loss on foreign currency transactions |
|
|
(15,810,883 |
) |
|
|
(206,009 |
) |
|
|
|
|
Net change in unrealized appreciation/depreciation on investments |
|
|
68,491,169 |
|
|
|
763,966 |
|
|
|
33,807,135 |
|
Net change in unrealized appreciation/depreciation on forward contracts |
|
|
|
|
|
|
(63,812 |
) |
|
|
|
|
Net change in unrealized appreciation/depreciation on futures contracts |
|
|
|
|
|
|
8,992 |
|
|
|
|
|
Net change in unrealized appreciation/depreciation on foreign currency translations |
|
|
1,213 |
|
|
|
1,121 |
|
|
|
|
|
Net realized and unrealized gain |
|
|
79,318,338 |
|
|
|
482,136 |
|
|
|
45,982,126 |
|
Net increase in net assets resulting from operations |
|
$ |
106,701,926 |
|
|
$ |
620,061 |
|
|
$ |
45,140,201 |
|
The accompanying notes are an integral part of these financial statements.
28
|
Statements of Changes in Net Assets |
For the six months ended June 30, 2019 (unaudited) and the fiscal year ended December 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMG Managers Loomis Sayles Bond Fund |
|
|
AMG Managers Global Income Opportunity Fund |
|
|
AMG Managers Special Equity Fund |
|
|
|
June 30, 2019 |
|
|
December 31, 2018 |
|
|
June 30, 2019 |
|
|
December 31, 2018 |
|
|
June 30, 2019 |
|
|
December 31, 2018 |
|
Increase (Decrease) in Net Assets Resulting From Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss) |
|
$ |
27,383,588 |
|
|
$ |
62,742,254 |
|
|
$ |
137,925 |
|
|
$ |
428,790 |
|
|
$ |
(841,925 |
) |
|
$ |
(1,475,110 |
) |
Net realized gain (loss) on investments |
|
|
10,825,956 |
|
|
|
2,920,546 |
|
|
|
(228,131 |
) |
|
|
(367,723 |
) |
|
|
12,174,991 |
|
|
|
37,113,545 |
|
Net change in unrealized appreciation/depreciation on investments |
|
|
68,492,382 |
|
|
|
(100,845,545 |
) |
|
|
710,267 |
|
|
|
(628,907 |
) |
|
|
33,807,135 |
|
|
|
(49,499,109 |
) |
Net increase (decrease) in net assets resulting from operations |
|
|
106,701,926 |
|
|
|
(35,182,745 |
) |
|
|
620,061 |
|
|
|
(567,840 |
) |
|
|
45,140,201 |
|
|
|
(13,860,674 |
) |
Distributions to Shareholders: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class N |
|
|
(14,253,417 |
) |
|
|
(29,374,441 |
) |
|
|
|
|
|
|
(76,366 |
) |
|
|
|
|
|
|
|
|
Class I |
|
|
(14,019,816 |
) |
|
|
(44,150,295 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total distributions to shareholders |
|
|
(28,273,233 |
) |
|
|
(73,524,736 |
) |
|
|
|
|
|
|
(76,366 |
) |
|
|
|
|
|
|
|
|
Capital Share Transactions:1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) from capital share transactions |
|
|
(656,496,956 |
) |
|
|
(79,839,855 |
) |
|
|
(1,300,879 |
) |
|
|
(3,064,783 |
) |
|
|
(22,579,059 |
) |
|
|
15,385,576 |
|
Total increase (decrease) in net assets |
|
|
(578,068,263 |
) |
|
|
(188,547,336 |
) |
|
|
(680,818 |
) |
|
|
(3,708,989 |
) |
|
|
22,561,142 |
|
|
|
1,524,902 |
|
Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beginning of period |
|
|
1,810,288,371 |
|
|
|
1,998,835,707 |
|
|
|
10,365,482 |
|
|
|
14,074,471 |
|
|
|
201,997,141 |
|
|
|
200,472,239 |
|
End of period |
|
$ |
1,232,220,108 |
|
|
$ |
1,810,288,371 |
|
|
$ |
9,684,664 |
|
|
$ |
10,365,482 |
|
|
$ |
224,558,283 |
|
|
$ |
201,997,141 |
|
1 |
See Note 1(g) of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
29
|
AMG Managers Loomis Sayles Bond Fund |
Financial Highlights |
For a share outstanding throughout each fiscal period |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the six months ended
June 30, 2019 |
|
|
For the fiscal years ended December 31, |
|
Class N |
|
(unaudited) |
|
|
2018 |
|
|
20171 |
|
|
20162 |
|
|
2015 |
|
|
2014 |
|
Net Asset Value, Beginning of Period |
|
$ |
25.49 |
|
|
$ |
26.97 |
|
|
$ |
26.24 |
|
|
$ |
26.19 |
|
|
$ |
27.88 |
|
|
$ |
27.33 |
|
Income (loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income3,4 |
|
|
0.47 |
|
|
|
0.84 |
|
|
|
0.91 |
|
|
|
0.95 |
|
|
|
0.74 |
|
|
|
0.80 |
|
Net realized and unrealized gain (loss) on investments |
|
|
1.41 |
|
|
|
(1.33 |
) |
|
|
0.85 |
|
|
|
0.40 |
|
|
|
(1.34 |
) |
|
|
0.78 |
|
Total income (loss) from investment operations |
|
|
1.88 |
|
|
|
(0.49 |
) |
|
|
1.76 |
|
|
|
1.35 |
|
|
|
(0.60 |
) |
|
|
1.58 |
|
Less Distributions to Shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(0.52 |
) |
|
|
(0.80 |
) |
|
|
(0.87 |
) |
|
|
(0.96 |
) |
|
|
(0.71 |
) |
|
|
(0.85 |
) |
Net realized gain on investments |
|
|
|
|
|
|
(0.19 |
) |
|
|
(0.16 |
) |
|
|
(0.34 |
) |
|
|
(0.38 |
) |
|
|
(0.18 |
) |
Total distributions to shareholders |
|
|
(0.52 |
) |
|
|
(0.99 |
) |
|
|
(1.03 |
) |
|
|
(1.30 |
) |
|
|
(1.09 |
) |
|
|
(1.03 |
) |
Net Asset Value, End of Period |
|
$ |
26.85 |
|
|
$ |
25.49 |
|
|
$ |
26.97 |
|
|
$ |
26.24 |
|
|
$ |
26.19 |
|
|
$ |
27.88 |
|
Total Return4 |
|
|
7.44 |
%5,6 |
|
|
(1.82 |
)%6 |
|
|
6.77 |
%6 |
|
|
5.19 |
% |
|
|
(2.19 |
)% |
|
|
5.81 |
%6 |
Ratio of net expenses to average net assets |
|
|
0.71 |
%7 |
|
|
0.98 |
% |
|
|
0.99 |
% |
|
|
1.00 |
% |
|
|
0.99 |
% |
|
|
0.99 |
% |
Ratio of gross expenses to average net assets8
|
|
|
0.72 |
%7 |
|
|
0.98 |
%9 |
|
|
0.99 |
%9 |
|
|
1.02 |
% |
|
|
1.02 |
% |
|
|
1.02 |
% |
Ratio of net investment income to average net
assets4 |
|
|
3.61 |
%7 |
|
|
3.19 |
% |
|
|
3.38 |
% |
|
|
3.52 |
% |
|
|
2.69 |
% |
|
|
2.85 |
% |
Portfolio turnover |
|
|
1 |
%5 |
|
|
9 |
% |
|
|
4 |
% |
|
|
27 |
% |
|
|
10 |
% |
|
|
26 |
% |
Net assets end of period (000s) omitted |
|
$ |
724,388 |
|
|
$ |
715,468 |
|
|
$ |
971,359 |
|
|
$ |
1,234,229 |
|
|
$ |
1,575,246 |
|
|
$ |
1,947,536 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30
|
AMG Managers Loomis Sayles Bond Fund |
Financial Highlights |
For a share outstanding throughout each fiscal period
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the six months ended June 30, 2019 |
|
|
For the fiscal years ended December 31, |
|
Class I |
|
(unaudited) |
|
|
2018 |
|
|
2017 |
|
|
20162 |
|
|
2015 |
|
|
2014 |
|
Net Asset Value, Beginning of Period |
|
$ |
25.49 |
|
|
$ |
26.97 |
|
|
$ |
26.24 |
|
|
$ |
26.19 |
|
|
$ |
27.87 |
|
|
$ |
27.33 |
|
Income (loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income3,4 |
|
|
0.49 |
|
|
|
0.86 |
|
|
|
0.94 |
|
|
|
0.97 |
|
|
|
0.77 |
|
|
|
0.83 |
|
Net realized and unrealized gain (loss) on investments |
|
|
1.41 |
|
|
|
(1.32 |
) |
|
|
0.85 |
|
|
|
0.40 |
|
|
|
(1.33 |
) |
|
|
0.77 |
|
Total income (loss) from investment operations |
|
|
1.90 |
|
|
|
(0.46 |
) |
|
|
1.79 |
|
|
|
1.37 |
|
|
|
(0.56 |
) |
|
|
1.60 |
|
Less Distributions to Shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(0.54 |
) |
|
|
(0.83 |
) |
|
|
(0.90 |
) |
|
|
(0.98 |
) |
|
|
(0.74 |
) |
|
|
(0.88 |
) |
Net realized gain on investments |
|
|
|
|
|
|
(0.19 |
) |
|
|
(0.16 |
) |
|
|
(0.34 |
) |
|
|
(0.38 |
) |
|
|
(0.18 |
) |
Total distributions to shareholders |
|
|
(0.54 |
) |
|
|
(1.02 |
) |
|
|
(1.06 |
) |
|
|
(1.32 |
) |
|
|
(1.12 |
) |
|
|
(1.06 |
) |
Net Asset Value, End of Period |
|
$ |
26.85 |
|
|
$ |
25.49 |
|
|
$ |
26.97 |
|
|
$ |
26.24 |
|
|
$ |
26.19 |
|
|
$ |
27.87 |
|
Total Return4,6 |
|
|
7.54 |
%5 |
|
|
(1.72 |
)% |
|
|
6.87 |
% |
|
|
5.29 |
% |
|
|
(2.05 |
)% |
|
|
5.88 |
% |
Ratio of net expenses to average net assets |
|
|
0.51 |
%7 |
|
|
0.88 |
% |
|
|
0.89 |
% |
|
|
0.90 |
% |
|
|
0.89 |
% |
|
|
0.89 |
% |
Ratio of gross expenses to average net assets8
|
|
|
0.52 |
%7 |
|
|
0.88 |
%9 |
|
|
0.89 |
%9 |
|
|
0.93 |
% |
|
|
0.92 |
% |
|
|
0.92 |
% |
Ratio of net investment income to average net
assets4 |
|
|
3.82 |
%7 |
|
|
3.29 |
% |
|
|
3.48 |
% |
|
|
3.61 |
% |
|
|
2.79 |
% |
|
|
2.93 |
% |
Portfolio turnover |
|
|
1 |
%5 |
|
|
9 |
% |
|
|
4 |
% |
|
|
27 |
% |
|
|
10 |
% |
|
|
26 |
% |
Net assets end of period (000s) omitted |
|
$ |
507,832 |
|
|
$ |
1,094,820 |
|
|
$ |
1,027,477 |
|
|
$ |
771,782 |
|
|
$ |
897,526 |
|
|
$ |
1,061,280 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
Effective February 27, 2017, Class S shares were renamed Class N shares. |
2 |
Effective October 1, 2016, the Service Class and Institutional Class were renamed Class S
and Class I, respectively. |
3 |
Per share numbers have been calculated using average shares. |
4 |
Total returns and net investment income (loss) would have been lower had certain expenses not been offset.
|
6 |
The total return is calculated using the published Net Asset Value as of period end. |
8 |
Excludes the impact of expense reimbursement or fee waivers and expense reductions such as brokerage credits,
but includes expense repayments and non-reimbursable expenses, if any, such as interest, taxes, and extraordinary expenses. (See Note 1(c) and 2 in the Notes to Financial Statements.) |
9 |
Ratio includes recapture of reimbursed fees from prior years amounting to 0.04% and 0.07% for the fiscal year
ended December 31, 2018 and December 31, 2017, respectively. |
31
AMG Managers Global Income Opportunity Fund
Financial Highlights
For a share outstanding throughout each
fiscal period
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the six |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
months ended |
|
|
For the fiscal years ended December 31, |
|
|
|
June 30, 2019 |
|
Class N |
|
(unaudited) |
|
|
2018 |
|
|
20171 |
|
|
20162 |
|
|
2015 |
|
|
2014 |
|
Net Asset Value, Beginning of Period |
|
$ |
20.04 |
|
|
$ |
21.06 |
|
|
$ |
19.05 |
|
|
$ |
18.18 |
|
|
$ |
19.68 |
|
|
$ |
19.69 |
|
Income (loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income3,4 |
|
|
0.29 |
|
|
|
0.69 |
|
|
|
0.75 |
|
|
|
0.72 |
|
|
|
0.65 |
|
|
|
0.57 |
|
Net realized and unrealized gain (loss) on investments |
|
|
1.04 |
|
|
|
(1.57 |
) |
|
|
1.26 |
|
|
|
0.15 |
|
|
|
(1.87 |
) |
|
|
(0.21 |
) |
Total income (loss) from investment operations |
|
|
1.33 |
|
|
|
(0.88 |
) |
|
|
2.01 |
|
|
|
0.87 |
|
|
|
(1.22 |
) |
|
|
0.36 |
|
Less Distributions to Shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
|
|
|
|
(0.14 |
) |
|
|
|
|
|
|
|
|
|
|
(0.28 |
) |
|
|
(0.37 |
) |
Net Asset Value, End of Period |
|
$ |
21.37 |
|
|
$ |
20.04 |
|
|
$ |
21.06 |
|
|
$ |
19.05 |
|
|
$ |
18.18 |
|
|
$ |
19.68 |
|
Total Return4,5 |
|
|
6.64 |
%6 |
|
|
(4.18 |
)% |
|
|
10.55 |
% |
|
|
4.79 |
% |
|
|
(6.22 |
)% |
|
|
1.84 |
% |
Ratio of net expenses to average net assets |
|
|
0.89 |
%7 |
|
|
0.89 |
% |
|
|
0.89 |
% |
|
|
0.89 |
% |
|
|
0.89 |
% |
|
|
0.89 |
% |
Ratio of gross expenses to average net assets8
|
|
|
1.84 |
%7 |
|
|
1.52 |
% |
|
|
1.39 |
% |
|
|
1.46 |
% |
|
|
1.29 |
% |
|
|
1.26 |
% |
Ratio of net investment income to average net
assets4 |
|
|
2.86 |
%7 |
|
|
3.34 |
% |
|
|
3.71 |
% |
|
|
3.75 |
% |
|
|
3.36 |
% |
|
|
2.78 |
% |
Portfolio turnover |
|
|
31 |
%6 |
|
|
60 |
% |
|
|
55 |
% |
|
|
34 |
% |
|
|
53 |
% |
|
|
56 |
% |
Net assets end of period (000s) omitted |
|
$ |
9,685 |
|
|
$ |
10,365 |
|
|
$ |
14,074 |
|
|
$ |
15,434 |
|
|
$ |
32,141 |
|
|
$ |
50,213 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
Effective February 27, 2017, Class S was renamed Class N. |
2 |
Effective October 1, 2016, the shares were reclassified and redesignated as Class S shares.
|
3 |
Per share numbers have been calculated using average shares. |
4 |
Total returns and net investment income would have been lower had certain expenses not been offset.
|
5 |
The total return is calculated using the published Net Asset Value as of period end. |
8 |
Excludes the impact of expense reimbursement or fee waivers and expense reductions such as brokerage credits,
but includes expense repayments and non-reimbursable expenses, if any, such as interest, taxes, and extraordinary expenses. (See Note 1(c) and 2 in the Notes to Financial Statements.) |
32
AMG Managers Special Equity Fund
Financial Highlights
For a share outstanding throughout each
fiscal period
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the six |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
months ended |
|
|
For the fiscal years ended December 31, |
|
|
|
June 30, 2019 |
|
Class N |
|
(unaudited) |
|
|
2018 |
|
|
20171 |
|
|
20162 |
|
|
2015 |
|
|
2014 |
|
Net Asset Value, Beginning of Period |
|
$ |
114.95 |
|
|
$ |
119.45 |
|
|
$ |
99.33 |
|
|
$ |
87.84 |
|
|
$ |
88.30 |
|
|
$ |
87.24 |
|
Income (loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss3,4 |
|
|
(0.54 |
) |
|
|
(0.91 |
) |
|
|
(0.79 |
)5 |
|
|
(0.43 |
)6 |
|
|
(0.47 |
)7 |
|
|
(0.72 |
) |
Net realized and unrealized gain (loss) on investments |
|
|
27.84 |
|
|
|
(3.59 |
) |
|
|
20.91 |
|
|
|
11.92 |
|
|
|
0.01 |
|
|
|
1.78 |
|
Total income (loss) from investment operations |
|
|
27.30 |
|
|
|
(4.50 |
) |
|
|
20.12 |
|
|
|
11.49 |
|
|
|
(0.46 |
) |
|
|
1.06 |
|
Net Asset Value, End of Period |
|
$ |
142.25 |
|
|
$ |
114.95 |
|
|
$ |
119.45 |
|
|
$ |
99.33 |
|
|
$ |
87.84 |
|
|
$ |
88.30 |
|
Total Return4 |
|
|
23.74 |
%8,9 |
|
|
(3.76 |
)%9 |
|
|
20.25 |
%9 |
|
|
13.08 |
% |
|
|
(0.52 |
)% |
|
|
1.22 |
%9 |
Ratio of net expenses to average net assets10
|
|
|
1.36 |
%11 |
|
|
1.36 |
% |
|
|
1.36 |
% |
|
|
1.36 |
% |
|
|
1.35 |
% |
|
|
1.35 |
% |
Ratio of gross expenses to average net assets12
|
|
|
1.41 |
%11 |
|
|
1.38 |
% |
|
|
1.41 |
% |
|
|
1.50 |
% |
|
|
1.51 |
% |
|
|
1.51 |
% |
Ratio of net investment loss to average net assets4
|
|
|
(0.82 |
)%11 |
|
|
(0.69 |
)% |
|
|
(0.73 |
)% |
|
|
(0.49 |
)% |
|
|
(0.51 |
)% |
|
|
(0.83 |
)% |
Portfolio turnover |
|
|
45 |
%8 |
|
|
113 |
% |
|
|
81 |
% |
|
|
120 |
% |
|
|
116 |
% |
|
|
121 |
% |
Net assets end of period (000s) omitted |
|
$ |
184,974 |
|
|
$ |
170,744 |
|
|
$ |
173,607 |
|
|
$ |
180,008 |
|
|
$ |
181,862 |
|
|
$ |
205,362 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33
AMG Managers Special Equity Fund
Financial Highlights
For a share outstanding throughout each
fiscal period
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the six |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
months ended |
|
|
For the fiscal years ended December 31, |
|
|
|
June 30, 2019 |
|
Class I |
|
(unaudited) |
|
|
2018 |
|
|
2017 |
|
|
20162 |
|
|
2015 |
|
|
2014 |
|
Net Asset Value, Beginning of Period |
|
$ |
118.57 |
|
|
$ |
122.90 |
|
|
$ |
101.95 |
|
|
$ |
89.92 |
|
|
$ |
90.18 |
|
|
$ |
88.87 |
|
Income (loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss3,4 |
|
|
(0.39 |
) |
|
|
(0.60 |
) |
|
|
(0.54 |
)5 |
|
|
(0.22 |
)6 |
|
|
(0.26 |
)7 |
|
|
(0.51 |
) |
Net realized and unrealized gain (loss) on investments |
|
|
28.73 |
|
|
|
(3.73 |
) |
|
|
21.49 |
|
|
|
12.25 |
|
|
|
0.00 |
13 |
|
|
1.82 |
|
Total income (loss) from investment operations |
|
|
28.34 |
|
|
|
(4.33 |
) |
|
|
20.95 |
|
|
|
12.03 |
|
|
|
(0.26 |
) |
|
|
1.31 |
|
Net Asset Value, End of Period |
|
$ |
146.91 |
|
|
$ |
118.57 |
|
|
$ |
122.90 |
|
|
$ |
101.95 |
|
|
$ |
89.92 |
|
|
$ |
90.18 |
|
Total Return4 |
|
|
23.90 |
%8,9 |
|
|
(3.52 |
)%9 |
|
|
20.55 |
%9 |
|
|
13.38 |
% |
|
|
(0.29 |
)% |
|
|
1.47 |
%9 |
Ratio of net expenses to average net assets10
|
|
|
1.11 |
%11 |
|
|
1.11 |
% |
|
|
1.11 |
% |
|
|
1.11 |
% |
|
|
1.10 |
% |
|
|
1.10 |
% |
Ratio of gross expenses to average net assets12
|
|
|
1.16 |
%11 |
|
|
1.13 |
% |
|
|
1.16 |
% |
|
|
1.25 |
% |
|
|
1.26 |
% |
|
|
1.26 |
% |
Ratio of net investment loss to average net assets4
|
|
|
(0.57 |
)%11 |
|
|
(0.44 |
)% |
|
|
(0.48 |
)% |
|
|
(0.24 |
)% |
|
|
(0.27 |
)% |
|
|
(0.58 |
)% |
Portfolio turnover |
|
|
45 |
%8 |
|
|
113 |
% |
|
|
81 |
% |
|
|
120 |
% |
|
|
116 |
% |
|
|
121 |
% |
Net assets end of period (000s) omitted |
|
$ |
39,585 |
|
|
$ |
31,253 |
|
|
$ |
26,865 |
|
|
$ |
19,647 |
|
|
$ |
18,536 |
|
|
$ |
18,917 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
Effective February 27, 2017, Class S shares were renamed Class N shares. |
2 |
Effective October 1, 2016, the Service Class and Institutional Class were renamed Class S
and Class I, respectively. |
3 |
Per share numbers have been calculated using average shares. |
4 |
Total returns and net investment income (loss) would have been lower had certain expenses not been offset.
|
5 |
Includes non-recurring dividends. Without these dividends, net
investment loss per share would have been $(0.84) and $(0.59) for Class N and Class I respectively. |
6 |
Includes non-recurring dividends. Without these dividends, net
investment loss per share would have been $(0.49) and $(0.28) for Class N and Class I respectively. |
7 |
Includes non-recurring dividends. Without these dividends, net
investment loss per share would have been $(0.69) and $(0.48) for Class N and Class I, respectively. |
9 |
The total return is calculated using the published Net Asset Value as of period end. |
10 |
Includes reduction from broker recapture amounting to less than 0.01% for the six months ended June 30,
2019, and years ended 2018, 2017, 2016, 2015 and 2014, respectively. |
12 |
Excludes the impact of expense reimbursement or fee waivers and expense reductions such as brokerage credits,
but includes expense repayments and non-reimbursable expenses, if any, such as interest, taxes, and extraordinary expenses. (See Note 1(c) and 2 in the Notes to Financial Statements.) |
34
|
Notes to Financial Statements (unaudited) |
June 30, 2019
|
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
AMG Funds III (the Trust) is an open-end management investment company, organized as a Massachusetts
business trust, and registered under the Investment Company Act of 1940, as amended (the 1940 Act). Currently, the Trust consists of a number of different funds, each having distinct investment management objectives, strategies, risks,
and policies. Included in this report are AMG Managers Loomis Sayles Bond Fund (Bond), AMG Managers Global Income Opportunity Fund (Global Income Opportunity) and AMG Managers Special Equity Fund (Special Equity),
each a Fund and collectively, the Funds.
Each Fund offers different classes of shares. Both Bond and Special Equity offer
Class N and Class I shares. Global Income Opportunity offers Class N shares. Each class represents an interest in the same assets of the respective Fund. Although all share classes generally have identical voting rights, each share
class votes separately when required by law. Different share classes may have different net asset values per share to the extent the share classes pay different distribution amounts and/or the expenses of such share classes differ. Each share class
has its own expense structure. Please refer to a current prospectus for additional information on each share class.
The Funds financial statements
are prepared in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP), including accounting and reporting guidance pursuant to Accounting Standards Codification Topic 946 applicable to
investment companies. U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material. The following is a summary of significant accounting policies followed by the Funds in the
preparation of their financial statements:
a. VALUATION OF INVESTMENTS
Equity securities traded on a national securities exchange or reported on the NASDAQ national market system (NMS) are valued at the last quoted
sales price on the primary exchange or, if applicable, the NASDAQ official closing price or the official closing price of the relevant exchange or, lacking any sales, at the last quoted bid price or the mean between the last quoted bid and ask
prices (the exchange mean price). Equity securities traded in the over-the-counter market (other than NMS securities) are valued at the exchange mean price.
Foreign equity securities (securities principally traded in markets other than U.S. markets) are valued at the official closing price on the primary exchange or, for markets that either do not offer an official closing price or where the official
closing price may not be representative of the overall market, the last quoted sale price.
Fixed income securities purchased with a remaining maturity
exceeding 60 days are valued at the evaluated mean price provided by an authorized pricing service or, if an evaluated price is not available, by reference to other securities which are considered comparable in credit rating, interest rate, due date
and other features (generally referred to as matrix pricing) or other similar pricing methodologies. Investments in certain mortgage-backed and stripped mortgage-backed securities, preferred stocks, convertible securities, derivatives
and other debt securities not traded on an organized securities market are valued on the basis of valuations provided by dealers or by a pricing service which uses information with respect to transactions in such securities and various relationships
between such securities and yield to maturity in determining value.
Fixed income securities purchased with a remaining maturity of 60 days or less are valued at amortized cost,
provided that the amortized cost value is approximately the same as the fair value of the security valued without the use of amortized cost. Investments in other open-end registered investment companies are
valued at their end of day net asset value per share.
Futures contracts for which market quotations are readily available are valued at the settlement
price as of the close of the futures exchange.
The Funds portfolio investments are generally valued based on independent market quotations or
prices or, if none, evaluative or other market based valuations provided by third party pricing services approved by the Board of Trustees of the Trust (the Board). Under certain circumstances, the value of certain Fund
portfolio investments (including derivatives) may be based on an evaluation of fair value, pursuant to procedures established by and under the general supervision of the Board. The Valuation Committee, which is comprised of the Independent Trustees
of the Board, and the Pricing Committee, which is comprised of representatives from AMG Funds LLC (the Investment Manager) are the committees appointed by the Board to make fair value determinations. Each Fund may use the fair value of a
portfolio investment to calculate its net asset value (NAV) in the event that the market quotation, price or market based valuation for the portfolio investment is not readily available or otherwise not determinable pursuant to the
Boards valuation procedures, if the Investment Manager or the Pricing Committee believes the quotation, price or market based valuation to be unreliable, or in certain other circumstances. When determining the fair value of an investment, the
Pricing Committee and, if required under the Trusts securities valuation procedures, the Valuation Committee, seeks to determine the price that the Fund might reasonably expect to receive from current sale of that portfolio investment in an
arms-length transaction. Fair value determinations shall be based upon consideration of all available facts and information, including, but not limited to (i) attributes specific to the investment; (ii) fundamental and analytical data
relating to the investment; and (iii) the value of other comparable securities or relevant financial instruments, including derivative securities, traded on other markets or among dealers.
The values assigned to fair value portfolio investments are based on available information and do not necessarily represent amounts that might ultimately be
realized in the future, since such amounts depend on future developments inherent in long-term investments. Because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used
had a ready market for the investments existed, and the differences could be material. The Board will be presented with a quarterly report showing as of the most recent quarter end, all outstanding securities fair valued by the Funds, including a
comparison with the prior quarter end and the percentage of the Funds that the security represents at each quarter end.
With respect to foreign equity
securities and certain foreign fixed income securities, the Board has adopted a policy that securities held in the Funds that can be fair valued by the applicable fair value pricing service are fair valued on each business day provided that each
individual price exceeds a pre-established confidence level.
U.S. GAAP defines fair value as the price that a
fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP also establishes a framework for measuring fair value, and a three level hierarchy for fair
value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market
35
|
Notes to Financial Statements (continued)
|
participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market
participants would use in pricing the asset or liability based on market data obtained from sources independent of the Funds. Unobservable inputs reflect the Funds own assumptions about the assumptions that market participants would use in
pricing the asset or liability developed based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation.
The three-tier hierarchy of inputs is summarized below:
Level 1 inputs are quoted prices in active markets for identical investments (e.g., equity securities,
open-end investment companies, futures contracts)
Level 2 other observable inputs (including, but not
limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets
or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs) (e.g., debt securities, government securities, foreign currency exchange
contracts, swaps, foreign securities utilizing international fair value pricing, fair valued securities with observable inputs)
Level 3
inputs are significant unobservable inputs (including the Funds own assumptions used to determine the fair value of investments) (e.g., fair valued securities with unobservable inputs)
Changes in inputs or methodologies used for valuing investments may result in a transfer in or out of levels within the fair value hierarchy. The inputs or
methodologies used for valuing investments may not necessarily be an indication of the risk associated with investing in those investments.
b.
SECURITY TRANSACTIONS
Security transactions are accounted for as of trade date. Realized gains and losses on securities sold are determined on the
basis of identified cost.
c. INVESTMENT INCOME AND EXPENSES
Dividend income is recorded on the ex-dividend date. Dividends from foreign securities are recorded on the ex-dividend date, and if after the fact, as soon as the Funds become aware of the ex-dividend date. Interest income, which includes amortization of premium and accretion of
discount on debt securities, is accrued as earned. Dividend and interest income on foreign securities is recorded gross of any withholding tax. Non-cash dividends included in dividend income, if any, are
reported at the fair market value of the securities received. Other income and expenses are recorded on an accrual basis. Expenses that cannot be directly attributed to a Fund are apportioned among the funds in the Trusts and other trusts or funds
within the AMG Funds family of mutual funds (collectively the AMG Funds Family) based upon their relative average net assets or number of shareholders. Investment income, realized and unrealized capital gains and losses, the common
expenses of each Fund, and certain fund level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of each Fund.
Special Equity had certain portfolio trades directed to various brokers under a brokerage recapture program. Credits received from the brokerage
recapture program are earned and paid on a monthly basis, and are recorded as expense offsets, which serve to reduce the Funds overall expense ratio. For the six months
ended June 30, 2019, the impact on the expenses and expense ratios was $4,215 or less than 0.01% of average
net assets, respectively.
d. DIVIDENDS AND DISTRIBUTIONS
Fund distributions resulting from either net investment income or realized net capital gains, if any, will normally be declared and paid at least annually in
December. Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined in accordance with federal income tax regulations, which may differ from net investment income and net
realized capital gains for financial statement purposes (U.S. GAAP). Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Permanent book
and tax basis differences, if any, relating to shareholder distributions will result in reclassifications to paid-in capital. Temporary differences arise when certain items of income, expense and gain or loss
are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Permanent differences are due to currency gains/losses, capital loss carryforwards expired and current year write-off of a net operating loss. Temporary differences are due to straddles, IRS Section 1256 market to market of foreign currency contracts and wash sales.
At June 30, 2019, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The approximate cost of
investments and the aggregate gross unrealized appreciation and depreciation for federal income tax purposes were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund |
|
Cost |
|
|
Appreciation |
|
|
Depreciation |
|
|
Net |
|
Bond |
|
$ |
1,188,568,424 |
|
|
$ |
92,094,477 |
|
|
$ |
(30,437,036 |
) |
|
$ |
61,657,441 |
|
Global Income Opportunity |
|
|
9,714,151 |
|
|
|
389,537 |
|
|
|
(339,136 |
) |
|
|
50,401 |
|
Special Equity |
|
|
209,786,077 |
|
|
|
35,517,626 |
|
|
|
(11,617,294 |
) |
|
|
23,900,332 |
|
e. FEDERAL TAXES
Each
Fund currently qualifies as an investment company and intends to comply with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, and to distribute substantially all of its taxable income and gains to its
shareholders and to meet certain diversification and income requirements with respect to investment companies. Therefore, no provision for federal income or excise tax is included in the accompanying financial statements.
Additionally, based on each Funds understanding of the tax rules and rates related to income, gains and transactions for the foreign jurisdictions in
which it invests, each Fund will provide for foreign taxes, and where appropriate, deferred foreign taxes.
Management has analyzed the Funds tax
positions taken on federal income tax returns as of December 31, 2018, and for all open tax years (generally, the three prior taxable years), and has concluded that no provision for federal income tax is required in the Funds financial
statements. Additionally, Management is not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.
f. CAPITAL LOSS CARRYOVERS AND DEFERRALS
As of
December 31, 2018, the following Fund had capital loss carryovers for federal income tax purposes as shown in the following chart. These amounts may be used
36
Notes to Financial Statements (continued)
to offset future realized capital gains indefinitely, and retain their character as short-term and/or long-term.
|
|
|
|
|
|
|
|
|
Capital Loss Carryover Amounts |
|
Fund |
|
Short-Term |
|
|
Long-Term |
|
Global Income Opportunity |
|
$ |
358,632 |
|
|
|
|
|
As of December 31, 2018, the Bond and Special Equity Funds had no capital loss carryovers for federal
income tax purposes. Should the Bond or Special Equity Funds incur net capital losses for the fiscal year ended December 31, 2019, such amounts may be used to offset future realized capital gains indefinitely, and retain their character as
short-term and/or long-term.
g. CAPITAL STOCK
The Trusts Declaration of Trust authorizes for each Fund the issuance of an unlimited number of shares of beneficial interest, without par value. Each
Fund records sales and repurchases of its capital stock on the trade date. Prior to March 1, 2019, Global Income Opportunity deducted a 2.00% redemption fee from the proceeds of any redemption of shares (including a redemption by exchange) if
the redemption occurred within 60 days of the purchase of those shares. As of February 28, 2019, Global Income Opportunity had no redemption fees. For the fiscal year ended December 31, 2018, Global Income Opportunity had redemption fees
amounting to $1,349. These amounts are netted against the cost of shares repurchased in the Statements of Changes in Net Assets.
For the six months ended
June 30, 2019 (unaudited) and the fiscal year ended December 31, 2018, the capital stock transactions by class for the Funds were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bond |
|
|
|
|
|
|
|
|
Special Equity |
|
|
|
|
|
|
June 30, 2019 |
|
|
December 31, 2018 |
|
|
June 30, 2019 |
|
|
December 31, 2018 |
|
|
|
Shares |
|
|
Amount |
|
|
Shares |
|
|
Amount |
|
|
Shares |
|
|
Amount |
|
|
Shares |
|
|
Amount |
|
Class N: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Proceeds from sale of shares |
|
|
1,953,940 |
|
|
$ |
51,119,662 |
|
|
|
4,780,688 |
|
|
$ |
126,127,019 |
|
|
|
34,870 |
|
|
$ |
4,624,987 |
|
|
|
329,518 |
|
|
$ |
46,939,577 |
|
Reinvestment of distributions |
|
|
522,855 |
|
|
|
13,730,648 |
|
|
|
1,081,213 |
|
|
|
28,139,782 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cost of shares repurchased |
|
|
(3,564,971 |
) |
|
|
(93,347,819 |
) |
|
|
(13,810,521 |
) |
|
|
(364,150,946 |
) |
|
|
(219,879 |
) |
|
|
(27,993,507 |
) |
|
|
(297,568 |
) |
|
|
(38,178,984 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) |
|
|
(1,088,176 |
) |
|
$ |
(28,497,509 |
) |
|
|
(7,948,620 |
) |
|
$ |
(209,884,145 |
) |
|
|
(185,009 |
) |
|
$ |
(23,368,520 |
) |
|
|
31,950 |
|
|
$ |
8,760,593 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class I: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Proceeds from sale of shares |
|
|
3,258,418 |
|
|
$ |
85,049,093 |
|
|
|
14,478,048 |
|
|
$ |
382,352,852 |
|
|
|
34,644 |
|
|
$ |
4,770,268 |
|
|
|
88,902 |
|
|
$ |
12,497,553 |
|
Reinvestment of distributions |
|
|
517,227 |
|
|
|
13,529,320 |
|
|
|
1,652,948 |
|
|
|
42,974,754 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cost of shares repurchased |
|
|
(27,816,986 |
) |
|
|
(726,577,860 |
) |
|
|
(11,278,671 |
) |
|
|
(295,283,316 |
) |
|
|
(28,777 |
) |
|
|
(3,980,807 |
) |
|
|
(43,918 |
) |
|
|
(5,872,570 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) |
|
|
(24,041,341 |
) |
|
$ |
(627,999,447 |
) |
|
|
4,852,325 |
|
|
$ |
130,044,290 |
|
|
|
5,867 |
|
|
$ |
789,461 |
|
|
|
44,984 |
|
|
$ |
6,624,983 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Global Income Opportunity |
|
|
|
June 30, 2019 |
|
|
December 31, 2018 |
|
|
|
Shares |
|
|
Amount |
|
|
Shares |
|
|
Amount |
|
Class N: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Proceeds from sale of shares |
|
|
22,244 |
|
|
$ |
457,422 |
|
|
|
124,370 |
|
|
$ |
2,598,624 |
|
Reinvestment of distributions |
|
|
|
|
|
|
|
|
|
|
3,383 |
|
|
|
67,386 |
|
Cost of shares repurchased |
|
|
(86,224 |
) |
|
|
(1,758,301 |
) |
|
|
(278,715 |
) |
|
|
(5,730,793 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net decrease |
|
|
(63,980 |
) |
|
$ |
(1,300,879 |
) |
|
|
(150,962 |
) |
|
$ |
(3,064,783 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
h. REPURCHASE AGREEMENTS AND JOINT REPURCHASE AGREEMENTS
The Funds may enter into third-party repurchase agreements for temporary cash management purposes and third-party or bilateral joint repurchase agreements for
reinvestment of cash collateral on securities lending transactions under the securities lending program offered by The Bank of New York Mellon (BNYM) (the Program) (collectively, Repurchase Agreements). The value
of the underlying collateral, including accrued interest, must equal or exceed the value of the Repurchase Agreements during the term of the agreement. For joint repurchase
agreements, the Funds participate on a pro rata basis with other clients of BNYM in its share of the underlying
collateral under such joint repurchase agreements and in its share of proceeds from any repurchase or other disposition of the underlying collateral. The underlying collateral for all Repurchase Agreements is held in safekeeping by the Funds
custodian or at the Federal Reserve Bank. If the seller defaults and the value of the collateral declines, or if bankruptcy proceedings commence with respect to the seller of the security, realization of the collateral by the Funds may be delayed or
limited. Pursuant to the Program, the Funds are indemnified for such losses by BNYM on joint repurchase agreements.
37
Notes to Financial Statements (continued)
At June 30, 2019, the market value of Repurchase Agreements outstanding for Bond, Global Income Opportunity
and Special Equity was $16,888,421, $40,455 and $7,969,068, respectively.
i. FOREIGN CURRENCY TRANSLATION
The books and records of the Funds are maintained in U.S. dollars. The value of investments, assets and liabilities denominated in currencies other than U.S.
dollars are translated into U.S. dollars based upon current foreign exchange rates. Purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based on currency exchange rates prevailing on the respective dates
of such transactions. Net realized and unrealized gain (loss) on foreign currency transactions represent: (1) foreign exchange gains and losses from the sale and holdings of foreign currencies; (2) gains and losses between trade date and
settlement date on investment securities transactions and foreign currency exchange contracts; and (3) gains and losses from the difference between amounts of interest and dividends recorded and the amounts actually received.
The Funds do not isolate the net realized and unrealized gain or loss resulting from changes in exchange rates from the fluctuations in market prices of
securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
2. AGREEMENTS AND TRANSACTIONS WITH
AFFILIATES
For each of the Funds, the Trust has entered into an investment advisory agreement under which the Investment Manager, a subsidiary and the
U.S. retail distribution arm of Affiliated Managers Group, Inc. (AMG), serves as investment manager to the Funds and is responsible for the Funds overall administration and operations. The Investment Manager selects one or more
subadvisers for the Funds (subject to Board approval) and monitors each subadvisers investment performance, security holdings and investment strategies. Each Funds investment portfolio is managed by one or more portfolio managers who
serve pursuant to a subadvisory agreement with the Investment Manager. Bond and Global Income Opportunity are managed by Loomis, Sayles & Company, L.P. and Special Equity is managed by Ranger Investment Management, L.P., Lord,
Abbett & Co. LLC, Smith Asset Management Group, L.P. and Federated MDTA LLC.
Investment management fees are paid directly by the Funds to the
Investment Manager based on average daily net assets. For the six months ended June 30, 2019, the Funds investment management fees were paid at the following annual rate of each Funds respective average daily net assets:
|
|
|
|
|
Bond1 |
|
|
0.26 |
% |
Global Income Opportunity |
|
|
0.55 |
% |
Special Equity |
|
|
0.90 |
% |
1 |
Prior to January 1, 2019, the annual rate for Bonds investment management fee was 0.625% of the
Funds average daily net assets. |
The Investment Manager has contractually agreed, through at least May 1, 2020, to waive
management fees and/or pay or reimburse fund expenses in order to limit total annual Fund operating expenses after fee waiver and expense reimbursements (exclusive of taxes, interest (including interest incurred in connection with bank and custody
overdrafts, and in connection with securities sold short), shareholder servicing fees, distribution and service (12b-1) fees, brokerage commissions and other transaction costs, dividends payable with
respect to securities sold short, acquired fund fees and expenses and extraordinary expenses) of Bond, Global
Income Opportunity and Special Equity to the annual rate of 0.46%, 0.89% and 1.11%, respectively, of each Funds average daily net assets (this annual rate or such other annual rate that may be in effect from time to time, the Expense
Cap), subject to later reimbursement by the Funds in certain circumstances. Prior to January 1, 2019, Bond expense limitation was 0.89%.
The
contractual expense limitation may only be terminated in the event the Investment Manager or a successor ceases to be the investment manager of a Fund or a successor fund, by mutual agreement between the Investment Manager and the Board, or in the
event of a Funds liquidation unless the Fund is reorganized or is a party to a merger in which the surviving entity is successor to the accounting and performance information of a Fund.
In general, for a period of up to 36 months, the Investment Manager may recover from each Fund fees waived and expenses paid pursuant to this contractual
agreement, provided that such repayment would not cause a Funds total annual operating expenses after fee waiver and expense reimbursements (exclusive of the items noted in the parenthetical above) to exceed the contractual expense limitation
amount.
At June 30, 2019, the Funds expiration of reimbursements subject to recoupment is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Expiration Period |
|
Bond |
|
|
Global Income Opportunity |
|
|
Special Equity |
|
Less than 1 year |
|
|
|
|
|
$ |
84,212 |
|
|
$ |
152,907 |
|
1-2 years |
|
|
|
|
|
|
65,880 |
|
|
|
77,374 |
|
2-3 years |
|
$ |
52,744 |
|
|
|
90,878 |
|
|
|
74,940 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
52,744 |
|
|
$ |
240,970 |
|
|
$ |
305,221 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Trust, on behalf of the Funds, has entered into an amended and restated Administration Agreement under which the
Investment Manager serves as the Funds administrator (the Administrator) and is responsible for all non-portfolio management aspects of managing the Funds operations, including
administration and shareholder services to each Fund. Each Fund pays a fee to the Administrator at the rate of 0.15% per annum of the Funds average daily net assets for this service.
The Funds are distributed by AMG Distributors, Inc. (the Distributor), a wholly-owned subsidiary of the Investment Manager. The Distributor serves
as the distributor and underwriter for each Fund and is a registered broker-dealer and member of the Financial Industry Regulatory Authority, Inc. (FINRA). Shares of each Fund will be continuously offered and will be sold directly to
prospective purchasers and through brokers, dealers or other financial intermediaries who have executed selling agreements with the Distributor. Generally the Distributor bears all or a portion of the expenses of providing services pursuant to the
distribution agreement, including the payment of the expenses relating to the distribution of prospectuses for sales purposes and any advertising or sales literature.
For Class N shares of Bond and Special Equity and for Class I shares of Bond, the Board has approved reimbursement payments to the Investment
Manager for shareholder servicing expenses (shareholder servicing fees) incurred. Shareholder servicing fees include payments to financial intermediaries, such as broker-dealers (including fund supermarket platforms), banks, and trust
38
Notes to Financial Statements (continued)
companies who provide shareholder recordkeeping, account servicing and other services. Class N shares of
Bond and Special Equity and Class I shares of Bond may reimburse the Investment Manager for the actual amount incurred up to a maximum annual rate of each Classs average daily net assets as shown in the table below.
The impact on the annualized expense ratios for the six months ended June 30, 2019, were as follows:
|
|
|
|
|
|
|
|
|
Fund |
|
Maximum Annual Amount Approved |
|
|
Actual Amount Incurred |
|
Bond |
|
|
|
|
|
|
|
|
Class N* |
|
|
0.25 |
% |
|
|
0.25 |
% |
Class I |
|
|
0.05 |
% |
|
|
0.05 |
% |
Special Equity |
|
|
|
|
|
|
|
|
Class N |
|
|
0.25 |
% |
|
|
0.25 |
% |
* |
Prior to January 1, 2019, the maximum annual amount approved was 0.15%. |
The Board provides supervision of the affairs of the Trust and other trusts within the AMG Funds family. The Trustees of the Trust who are not affiliated with
the Investment Manager receive an annual retainer and per meeting fees for regular, special and telephonic meetings, and they are reimbursed for out-of-pocket expenses
incurred while carrying out their duties as Board members. The Chairman of the Board and the Audit Committee Chair receive additional annual retainers. Certain Trustees and Officers of the Funds are Officers and/or Directors of the Investment
Manager, AMG and/or the Distributor.
The Securities and Exchange Commission (the SEC) granted an exemptive order that permits the Funds to
lend and borrow money for certain temporary purposes directly to and from other eligible funds in the AMG Funds family. Participation in this interfund lending program is voluntary for both the borrowing and lending funds, and an interfund loan is
only made if it benefits each participating fund. The Administrator manages the program according to procedures approved by the Board, and the Board monitors the operation of the program. An interfund loan must comply with certain conditions set out
in the exemptive order, which are designed to assure fairness and protect all participating funds. For the six months ended June 30, 2019, Special Equity borrowed a maximum of $3,644,504, for seven days paying interest of $1,880. The interest
expense amount is included in the Statement of Operations as miscellaneous expense. Bond and Global Income Opportunity neither borrowed from nor lent to other funds in the AMG Funds family. At June 30, 2019, the Funds had no interfund loans
outstanding.
For the six months ended June 30, 2019, Special Equity executed security transactions with other funds affiliated with Lord,
Abbett & Co., LLC. Each of the transactions were executed at the closing price of the security transacted and with no commissions under Rule 17a-7 procedures approved by the Board. The amounts
purchased and sold during the six months ended June 30, 2019, are reflected in the following chart:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of Transactions |
|
|
Total Quantity |
|
|
Cost/Proceeds |
|
Purchases |
|
|
2 |
|
|
|
1,868 |
|
|
$ |
81,331 |
|
Sales1 |
|
|
2 |
|
|
|
9,026 |
|
|
|
304,172 |
|
1 |
Realized gain was $160,940.
|
3. PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities (excluding short-term securities and U.S. Government Obligations) for the six months ended June 30, 2019, were as
follows:
|
|
|
|
|
|
|
|
|
|
|
Long Term Securities |
|
Fund |
|
Purchases |
|
|
Sales |
|
Bond |
|
$ |
5,742,562 |
|
|
$ |
458,764,443 |
|
Global Income Opportunity |
|
|
1,103,434 |
|
|
|
3,813,986 |
|
Special Equity |
|
|
94,766,224 |
|
|
|
122,545,696 |
|
Purchases and sales of U.S. Government Obligations for the six months ended June 30, 2019 were as follows:
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Obligations |
|
Fund |
|
Purchases |
|
|
Sales |
|
Bond |
|
|
|
|
|
$ |
10,682,794 |
|
Global Income Opportunity |
|
$ |
1,781,624 |
|
|
|
958,671 |
|
Special Equity |
|
|
|
|
|
|
|
|
4. PORTFOLIO SECURITIES LOANED
The Funds participate in the Program providing for the lending of securities to qualified borrowers. Securities lending income includes earnings of such
temporary cash investments, plus or minus any rebate to a borrower. These earnings (after any rebate) are then divided between BNYM, as a fee for its services under the Program, and the Funds, according to agreed-upon rates. Collateral on all
securities loaned is accepted in cash or U.S. Government and Agency Obligations. Collateral is maintained at a minimum level of 102% (105% in the case of certain foreign securities) of the market value, plus interest, if applicable, of investments
on loan. It is the Funds policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral
held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Funds if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the
collateral accordingly, and the borrower fails to return the securities. Under the terms of the Program, the Funds are indemnified for such losses by BNYM. Cash collateral is held in separate omnibus accounts managed by BNYM, who is authorized to
exclusively enter into joint repurchase agreements for that cash collateral. Securities collateral is held in separate omnibus accounts managed by BNYM that cannot be sold or pledged. BNYM bears the risk of any deficiency in the amount of the cash
collateral available for return to the borrower due to any loss on the collateral invested.
The value of securities loaned on positions held, cash and
securities collateral received at June 30, 2019, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund |
|
Securities Loaned |
|
|
Cash Collateral Received |
|
|
Securities Collateral Received |
|
|
Total Collateral Received |
|
Bond |
|
$ |
300,127,728 |
|
|
$ |
16,888,421 |
|
|
$ |
290,146,229 |
|
|
$ |
307,034,650 |
|
Global Income Opportunity |
|
|
38,189 |
|
|
|
40,455 |
|
|
|
|
|
|
|
40,455 |
|
39
Notes to Financial Statements (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund |
|
Securities Loaned |
|
|
Cash Collateral Received |
|
|
Securities Collateral Received |
|
|
Total Collateral Received |
|
Special Equity |
|
|
66,000,009 |
|
|
$ |
7,969,068 |
|
|
$ |
58,461,764 |
|
|
$ |
66,430,832 |
|
Additionally, Special Equity sold a security for $24,377, which was still out on loan as of June 30, 2019. The proceeds
are reflected in the Statement of Assets & Liabilities under Receivable for investments sold.
The following table summarizes the securities
received as collateral for securities lending at June 30, 2019:
|
|
|
|
|
|
|
|
|
Fund |
|
Collateral Type |
|
Coupon Range |
|
Maturity Date Range |
|
Bond |
|
U.S. Government Agency Obligations |
|
0.000%-6.750% |
|
|
07/11/19-07/01/49 |
|
|
|
U.S. Treasury Obligations |
|
1.000%-8.750% |
|
|
07/31/19-02/15/44 |
|
Special Equity |
|
U.S. Treasury Obligations |
|
0.000%-8.750% |
|
|
07/05/19-02/15/49 |
|
5. FOREIGN SECURITIES
Bond and Global Income Opportunity invest in securities of foreign entities and in instruments denominated in foreign currencies which involve risks not
typically associated with investments in domestic securities. Non-domestic securities carry special risks, such as exposure to currency fluctuations, less developed or less efficient trading markets, political
instability, a lack of company information, differing auditing and legal standards, and, potentially, less liquidity. Realized gains in certain countries may be subject to foreign taxes at the Fund level and the Fund would pay such foreign taxes at
the appropriate rate for each jurisdiction.
6. COMMITMENTS AND CONTINGENCIES
Under the Trusts organizational documents, its trustees and officers are indemnified against certain liabilities arising out of the performance of their
duties to the Trusts. In addition, in the normal course of business, the Funds may enter into contracts and agreements that contain a variety of representations and warranties, which provide general indemnifications. The maximum exposure to the
Funds under these arrangements is unknown, as this would involve future claims that may be made against a Fund that have not yet occurred. However, based on experience, the Funds had no prior claims or losses and expect the risks of loss to be
remote.
7. RISKS ASSOCIATED WITH HIGH YIELD SECURITIES
Investing in high yield securities involves greater risks and considerations not typically associated with U.S. Government and other high quality/investment
grade securities. High yield securities are generally below investment grade securities and do not have an established retail secondary market. Economic downturns may disrupt the high yield market and impair the issuers ability to repay
principal and interest. Also, an increase in interest rates would likely have an adverse impact on the value of such obligations and could cause the securities to become less liquid.
8. FORWARD COMMITMENTS
Certain transactions, such as
futures and forward transactions, dollar roll agreements, or purchases of when-issued or delayed delivery securities may have
a similar effect on a Funds net asset value as if a Fund had created a degree of leverage in its
portfolio. However, if a Fund enters into such a transaction, a Fund will establish a segregated account with its custodian in which it will maintain cash, U.S. government securities or other liquid securities equal in value to its obligations in
respect to such transaction. Securities and other assets held in the segregated account may not be sold while the transaction is outstanding, unless other suitable assets are substituted.
9. DERIVATIVE INSTRUMENTS
The following disclosures
contain information on how and why certain Funds use derivative instruments, the credit risk and how derivative instruments affect the Funds financial position, and results of operations. The location and fair value amounts of these
instruments on the Statement of Assets and Liabilities, and the realized gains and losses and changes in unrealized gains and losses on the Statement of Operations, each categorized by type of derivative contract, are included in a table at the end
of the applicable Funds Schedule of Portfolio Investments. For the six months ended June 30, 2019, the average quarterly balances of derivative financial instruments outstanding were as follows:
|
|
|
|
|
|
|
Global Income Opportunity |
|
Foreign Currency Exchange Contracts: |
|
|
|
|
Average U.S. Dollar amount purchased/sold |
|
$ |
4,642,547 |
|
Financial Futures Contracts |
|
|
|
|
Average number of contracts purchased |
|
|
1 |
|
Average notional value of contracts purchased |
|
$ |
170,625 |
|
10. FORWARD FOREIGN CURRENCY CONTRACTS
During the six months ended June 30, 2019, Global Income Opportunity invested in forward foreign currency contracts to facilitate transactions in foreign
securities and to hedge against foreign currency exchange rate risk on its non- U.S. dollar denominated investment securities.
A forward foreign currency contract is an agreement between a fund and another party to buy or sell a currency at a set price at a future date. The market
value of the contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market daily, and the change in market value is recorded as an
unrealized gain or loss. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S.
dollar.
11. FUTURES CONTRACTS
Global Income
Opportunities purchased futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital shares transactions. There are certain risks associated with futures contracts. Prices may not
move as expected or the Fund may not be able to close out the contract when it desires to do so, resulting in losses.
On entering into a futures
contract, either cash or securities in an amount equal to a certain percentage of the contract value (initial margin) must be deposited with the futures broker. Subsequent variation margin payments are made or received by the Fund depending on the
fluctuations in the value of the futures contracts and the value of cash or securities on deposit with the futures broker. The Fund must have total value at the futures broker consisting of either net unrealized
40
Notes to Financial Statements (continued)
gains, cash or securities collateral to meet the initial margin requirement, and any value over the initial
margin requirement may be transferred to the Funds.
Variation margin on future contracts is recorded as unrealized appreciation or depreciation until the
futures contract is closed or expired. The Funds recognize a realized gain or loss when the contract is closed or expires equal to the difference
between the value of the contract at the time it was opened and the value at the time it was closed.
Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are
recorded as realized gains (losses) on futures contracts.
12. MASTER NETTING AGREEMENTS
The Funds may enter into master netting agreements with their counterparties for the securities lending program, Repurchase Agreements and derivative
instruments, which provide the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or
request additional collateral. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting agreements in the Statement of Assets and Liabilities. For securities lending
transactions, see Note 4.
The following table is a summary of the Funds open Repurchase Agreements and derivatives that are subject to a master
netting agreement as of June 30, 2019:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross Amount Not Offset in the Statement of Assets and Liabilities |
|
|
|
|
|
|
|
Fund |
|
Gross Amounts of Assets Presented in the Statement of Assets and Liabilities |
|
|
Offset Amount |
|
|
Net Asset Balance |
|
|
Collateral Received |
|
|
Net Amount |
|
Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bank of America Securities, Inc. |
|
$ |
4,011,250 |
|
|
|
|
|
|
$ |
4,011,250 |
|
|
$ |
4,011,250 |
|
|
|
|
|
Cantor Fitzgerald Securities, Inc. |
|
|
4,011,250 |
|
|
|
|
|
|
|
4,011,250 |
|
|
|
4,011,250 |
|
|
|
|
|
Citigroup Global Markets, Inc. |
|
|
4,011,250 |
|
|
|
|
|
|
|
4,011,250 |
|
|
|
4,011,250 |
|
|
|
|
|
Jefferies LLC |
|
|
4,011,250 |
|
|
|
|
|
|
|
4,011,250 |
|
|
|
4,011,250 |
|
|
|
|
|
TD Securities (USA) LLC |
|
|
843,421 |
|
|
|
|
|
|
|
843,421 |
|
|
|
843,421 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
16,888,421 |
|
|
|
|
|
|
$ |
16,888,421 |
|
|
$ |
16,888,421 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Global Income Opportunity |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RBC Dominion Securities, Inc. |
|
$ |
40,455 |
|
|
|
|
|
|
$ |
40,455 |
|
|
$ |
40,455 |
|
|
|
|
|
Credit Suisse |
|
|
3,422 |
|
|
$ |
(3,422 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
JPMorganChase |
|
|
661 |
|
|
|
|
|
|
|
661 |
|
|
|
|
|
|
$ |
661 |
|
Morgan Stanley |
|
|
10,591 |
|
|
|
|
|
|
|
10,591 |
|
|
|
|
|
|
|
10,591 |
|
UBS Securities LLC |
|
|
11,748 |
|
|
|
(9,516 |
) |
|
|
2,232 |
|
|
|
|
|
|
|
2,232 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
66,877 |
|
|
$ |
(12,938 |
) |
|
$ |
53,939 |
|
|
$ |
40,455 |
|
|
$ |
13,484 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Special Equity |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bank of America Securities, Inc. |
|
$ |
1,892,780 |
|
|
|
|
|
|
$ |
1,892,780 |
|
|
$ |
1,892,780 |
|
|
|
|
|
Cantor Fitzgerald Securities, Inc. |
|
|
1,892,780 |
|
|
|
|
|
|
|
1,892,780 |
|
|
|
1,892,780 |
|
|
|
|
|
Citigroup Global Markets, Inc. |
|
|
1,892,780 |
|
|
|
|
|
|
|
1,892,780 |
|
|
|
1,892,780 |
|
|
|
|
|
Jefferies LLC |
|
|
1,892,780 |
|
|
|
|
|
|
|
1,892,780 |
|
|
|
1,892,780 |
|
|
|
|
|
TD Securities (USA) LLC |
|
|
397,948 |
|
|
|
|
|
|
|
397,948 |
|
|
|
397,948 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
7,969,068 |
|
|
|
|
|
|
$ |
7,969,068 |
|
|
$ |
7,969,068 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41
Notes to Financial Statements (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross Amount Not Offset in the Statement of Assets and Liabilities |
|
|
|
|
|
|
|
Fund |
|
Gross Amounts of Assets Presented in the Statement of Assets and Liabilities |
|
|
Offset Amount |
|
|
Net Asset Balance |
|
|
Collateral Received |
|
|
Net Amount |
|
Global Income Opportunity Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse |
|
$ |
(9,905 |
) |
|
$ |
3,422 |
|
|
$ |
(6,483 |
) |
|
|
|
|
|
$ |
(6,483 |
) |
Merrill Lynch |
|
|
(3,779 |
) |
|
|
|
|
|
|
(3,779 |
) |
|
|
|
|
|
|
(3,779 |
) |
UBS Securities LLC |
|
|
(9,516 |
) |
|
|
9,516 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
(23,200 |
) |
|
$ |
12,938 |
|
|
$ |
(10,262 |
) |
|
|
|
|
|
$ |
(10,262 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13. SUBSEQUENT EVENTS
The Funds have determined that no material events or transactions occurred through the issuance date of the Funds financial statements, which require an
additional disclosure in or adjustment of the Funds financial statements.
42
Annual Renewal of Investment Management and Subadvisory Agreements
At an in-person meeting held on June 27, 2019, the Board of
Trustees (the Board or the Trustees), and separately a majority of the Trustees who are not interested persons of AMG Funds III (the Trust) (the Independent Trustees), approved (i) the
Investment Management Agreement, as amended pursuant to letter agreements at any time prior to the date of the meeting, with AMG Funds LLC (the Investment Manager) for each of AMG Managers Special Equity Fund, AMG Managers Global Income
Opportunity Fund and AMG Managers Loomis Sayles Bond Fund (each, a Fund, and collectively, the Funds) and separately each of Amendment No. 1 thereto dated July 1, 2015, and Amendment No. 2 thereto dated
October 1, 2016 (collectively, the Investment Management Agreement) and (ii) the Subadvisory Agreement, as amended at any time prior to the date of the meeting, with the applicable Subadviser for each Fund (collectively, the
Subadvisory Agreements). The Independent Trustees were separately represented by independent legal counsel in connection with their consideration of the approval of these agreements. In considering the Investment Management Agreement and
the Subadvisory Agreements, the Trustees reviewed a variety of materials relating to each Fund, the Investment Manager and each Subadviser, including comparative performance, fee and expense information for an appropriate peer group of similar
mutual funds for each Fund (each, a Peer Group), performance information for the relevant benchmark index for each Fund (each, a Fund Benchmark) and, with respect to each applicable Subadviser, comparative performance
information for an appropriate peer group of managed accounts, and other information provided to them on a periodic basis throughout the year, as well as information provided in connection with their meeting held on June 27, 2019, regarding the
nature, extent and quality of services provided by the Investment Manager and the Subadvisers under their respective agreements and other relevant matters. Prior to voting, the Independent Trustees: (a) reviewed the foregoing information with
their independent legal counsel; (b) received materials from their independent legal counsel discussing the legal standards applicable to their consideration of the Investment Management Agreement and the Subadvisory Agreements; and
(c) met with their independent legal counsel in private sessions at which no representatives of management were present.
NATURE, EXTENT AND
QUALITY OF SERVICES.
In considering the nature, extent and quality of the services provided by the Investment Manager, the Trustees reviewed
information relating to the
Investment Managers operations and personnel. Among other things, the Investment Manager provided
financial information, information about its supervisory and professional staff and descriptions of its organizational and management structure. The Trustees also took into account information provided periodically throughout the previous year by
the Investment Manager in Board meetings relating to the performance of its duties with respect to the Funds and the Trustees knowledge of the Investment Managers management and the quality of the performance of the Investment
Managers duties under the Investment Management Agreement and Administration Agreement. In the course of their deliberations regarding the Investment Manager, the Trustees evaluated, among other things: (a) the extent and quality of the
Investment Managers oversight of the operation and management of the Funds; (b) the quality of the search, selection and monitoring services performed by the Investment Manager in overseeing the portfolio management responsibilities of
the Subadvisers; (c) the Investment Managers ability to supervise the Funds other service providers; and (d) the Investment Managers compliance program. The Trustees also took into account that, in performing its
functions under the Investment Management Agreement and supervising each Subadviser, the Investment Manager: performs periodic detailed analyses and reviews of the performance by each Subadviser of its obligations to a Fund, including without
limitation, analysis and review of portfolio and other compliance matters and review of each Subadvisers investment performance with respect to a Fund; prepares and presents periodic reports to the Board regarding the investment performance of
each Subadviser and other information regarding each Subadviser, at such times and in such forms as the Board may reasonably request; reviews and considers any changes in the personnel of each Subadviser responsible for performing the
Subadvisers obligations and makes appropriate reports to the Board; reviews and considers any changes in the ownership or senior management of each Subadviser and makes appropriate reports to the Board; performs periodic in-person or telephonic diligence meetings, including with respect to compliance matters, with representatives of each Subadviser; assists the Board and management of the Trust in developing and reviewing
information with respect to the initial approval of each Subadvisory Agreement and annual consideration of each Subadvisory Agreement thereafter; prepares
recommendations with respect to the continued retention of any Subadviser or the replacement of any Subadviser,
including at the request of the Board; identifies potential successors to, or replacements of, any Subadviser or potential additional subadvisers, including performing appropriate due diligence, and developing and presenting to the Board a
recommendation as to any such successor, replacement, or additional subadviser, including at the request of the Board; designates and compensates from its own resources such personnel as the Investment Manager may consider necessary or appropriate
to the performance of its services; and performs such other review and reporting functions as the Board shall reasonably request consistent with the Investment Management Agreement and applicable law. The Trustees also took into account the
financial condition of the Investment Manager with respect to its ability to provide the services required under the Investment Management Agreement and the Investment Managers undertaking to maintain contractual expense limitations for the
Funds. The Trustees also considered the Investment Managers risk management processes.
The Trustees also reviewed information relating to each
Subadvisers operations and personnel and the investment philosophy, strategies and techniques (for each Subadviser, its Investment Strategy) used in managing a Fund or the portion of a Fund for which the Subadviser has portfolio
management responsibility. Among other things, the Trustees reviewed information on portfolio management and other professional staff, information regarding each Subadvisers organizational and management structure and each Subadvisers
brokerage policies and practices. The Trustees considered specific information provided regarding the experience of the individuals at each Subadviser with portfolio management responsibility for a Fund or the portion of a Fund managed by the
Subadviser, including the information set forth in the Funds prospectus and statement of additional information. With respect to AMG Managers Special Equity Fund, which is managed by multiple Subadvisers, the Trustees also noted the manner in
which each Subadvisers Investment Strategy complements those utilized by the Funds other Subadvisers. In the course of their deliberations, the Trustees evaluated, among other things: (a) the services rendered by each Subadviser in
the past; (b) the qualifications and experience of the Subadvisers personnel; and (c) the Subadvisers compliance program. The Trustees also took into
43
Annual Renewal of Investment Management and Subadvisory Agreements (continued)
account the financial condition of each Subadviser with respect to its ability to provide the services required
under its Subadvisory Agreement. The Trustees also considered each Subadvisers risk management processes.
PERFORMANCE.
The Board considered each Funds net performance during relevant time periods as compared to each Funds Peer Group and Fund Benchmark and considered
each applicable Subadvisers performance as compared to an appropriate peer group of managed accounts and also considered the gross performance of the Fund or the portion of the Fund managed by each Subadviser as compared to the
Subadvisers relevant performance composite that utilizes the same investment strategy and approach and noted that the Board reviews on a quarterly basis detailed information about both the Funds performance results and portfolio
composition, as well as the Subadvisers Investment Strategy, including, with respect to AMG Managers Special Equity Fund, the portion of the Fund managed by each Subadviser. The Board noted the Investment Managers expertise and resources
in monitoring the performance, investment style and risk-adjusted performance of each Subadviser. The Board also noted each Subadvisers performance record with respect to AMG Managers Special Equity Fund. The Board was mindful of the
Investment Managers attention to monitoring each Subadvisers performance with respect to the Funds and its discussions with management regarding the factors that contributed to the performance of the Funds.
ADVISORY AND SUBADVISORY FEES AND PROFITABILITY.
In considering the reasonableness of the advisory fee charged by the Investment Manager for managing each Fund, the Trustees noted that the Investment Manager,
and not the Fund, is responsible for paying the fees charged by the Funds Subadviser(s) and, therefore, that the fees paid to the Investment Manager cover the cost of providing portfolio management services as well as the cost of providing
search, selection and monitoring services in operating a manager-of-managers complex of mutual funds. The Trustees also considered the amount of the advisory
fee retained by the Investment Manager after payment of the subadvisory fee with respect to each Fund. The Trustees concluded that, in light of the high quality supervisory services provided by the Investment Manager and the fact that the
subadvisory fees are paid out of the advisory fee, the
advisory fee payable by each Fund to the Investment Manager can reasonably be expected to exceed the median advisory fee for the Peer Group, which consists of many funds that do not operate with
a manager-of-managers structure. In this regard, the Trustees also noted that the Investment Manager has undertaken to maintain contractual expense limitations for the
Funds.
In addition, in considering the reasonableness of the advisory fee payable to the Investment Manager, the Trustees also reviewed information
provided by the Investment Manager setting forth all revenues and other benefits, both direct and indirect (including any so-called fallout benefits such as reputational value derived from the
Investment Manager serving as Investment Manager to a Fund), received by the Investment Manager and its affiliates attributable to managing each Fund and all the mutual funds in the AMG Funds Family of Funds; the cost of providing such services; the
significant risks undertaken as Investment Manager and sponsor of the Funds, including investment, operational, enterprise, entrepreneurial, litigation, regulatory and compliance risks; and the resulting profitability to the Investment Manager and
its affiliates from these relationships. The Trustees also considered the changes in management and shareholder servicing fee rates that were implemented during the past year for AMG Managers Loomis Sayles Bond Fund. The Trustees also noted the
current asset levels of each Fund and the willingness of the Investment Manager to waive fees and pay expenses for all of the Funds from time to time as a means of limiting total expenses. The Trustees also considered managements discussion of
the current asset levels of the Funds, and the impact on profitability of both the current asset levels and any future growth of assets of the Funds. The Board took into account managements discussion of the advisory fee structure and the
services the Investment Manager provides in performing its functions under the Investment Management Agreement and supervising each Subadviser. In this regard, the Trustees noted that, unlike a mutual fund that is managed by a single investment
adviser, the Funds operate in a manager-of-managers structure. Based on the foregoing, the Trustees concluded that the profitability to the Investment Manager is
reasonable and that the Investment Manager is not realizing material benefits from economies of scale that would warrant adjustments to the advisory fees for any Fund at this time. With respect to economies of scale, the Trustees also noted that as
a Funds assets increase over time, the Fund may realize other
economies of scale to the extent that the increase in assets is proportionally greater than the increase in certain other expenses.
In considering the reasonableness of the subadvisory fee payable by the Investment Manager to each Subadviser, the Trustees relied on the ability of the
Investment Manager to negotiate the terms of the Subadvisory Agreement at arms length as part of the manager-of-managers structure, noting that the Investment
Manager is not affiliated with any of the Subadvisers. In addition, the Trustees considered other potential benefits of the subadvisory relationship to a Subadviser, including, among others, the indirect benefits that the Subadviser may receive from
the Subadvisers relationship with a Fund, including any so-called fallout benefits to the Subadviser, such as reputational value derived from the Subadviser serving as Subadviser to a Fund.
In addition, the Trustees noted that the subadvisory fees are paid by the Investment Manager out of its advisory fee. As a consequence of all of the foregoing, the cost of services to be provided by each Subadviser and the profitability to each
Subadviser of its relationship with a Fund were not material factors in the Trustees deliberations. For similar reasons, the Trustees did not consider potential economies of scale in the management of a Fund or the portion of a Fund managed by
the Subadvisers to be a material factor in their deliberations at this time.
In addition to the foregoing, the Trustees considered the specific factors
and related conclusions set forth below with respect to each Fund, the Investment Manager and each Subadviser.
AMG Managers Special Equity Fund
FUND PERFORMANCE.
Among other
information relating to the Funds performance, the Trustees noted that the Funds performance for Class N shares (which share class has the earliest inception date and the largest amount of assets of all the share classes of the
Fund) for the 1-year, 3-year, 5-year and 10-year periods ended March 31, 2019 was
above the median performance of the Peer Group and above the performance of the Fund Benchmark, the Russell 2000® Growth Index. The Trustees took into account managements discussion of
the Funds performance, including the fact that the Fund outperformed the Fund Benchmark and its Peer Group for all relevant time periods. The Trustees concluded that the Funds overall performance has been satisfactory.
44
Annual Renewal of Investment Management and Subadvisory Agreements (continued)
ADVISORY AND SUBADVISORY FEES.
The Trustees noted that the Funds management fees (which include both the advisory and administration fees) and total expenses (weighted average, all
classes combined) (net of applicable expense waivers/reimbursements) as of March 31, 2019 were both higher than the average for the Funds Peer Group. The Trustees took into account the fact that the Investment Manager has contractually
agreed, through May 1, 2020, to limit the Funds net annual operating expenses (subject to certain excluded expenses) to 1.11%. The Trustees took into account managements discussion of the Funds expenses and competitiveness
with comparably sized funds. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadvisers, the foregoing expense limitation and the considerations noted above with
respect to the Investment Manager and the Subadvisers, the Funds advisory and subadvisory fees are reasonable.
AMG Managers Global Income
Opportunity Fund
FUND PERFORMANCE.
Among other
information relating to the Funds performance, the Trustees noted that the Funds performance for Class N shares (the Funds sole share class) for the 1-year, 3-year, 5-year and 10-year periods ended March 31, 2019 was below, above, above and above, respectively, the median performance of
the Peer Group and below, above, above and above, respectively, the performance of the Fund Benchmark, the Bloomberg Barclays Global Aggregate Bond Index. The Trustees took into account managements discussion of the Funds performance,
including its more recent underperformance relative to the Peer Group and Fund Benchmark. The Trustees concluded that the Funds overall performance has been satisfactory.
ADVISORY AND SUBADVISORY FEES.
The Trustees noted that
the Funds management fees (which include both the advisory and administration fees) and total expenses (net of applicable expense
waivers/reimbursements) as of March 31, 2019 were both higher than the average for the Peer Group. The Trustees took into account the fact that the Investment Manager has contractually
agreed, through May 1, 2020, to limit the Funds net annual operating expenses (subject to certain excluded expenses) to 0.89%. The Board took into account managements discussion of the Funds expenses and the current size of
the Fund. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadviser, the foregoing expense limitation and the considerations noted above with respect to the
Investment Manager and the Subadviser, the Funds advisory and subadvisory fees are reasonable.
AMG Managers Loomis Sayles Bond Fund
FUND PERFORMANCE.
Among other information relating to the
Funds performance, the Trustees noted that the Funds performance for Class N shares (which share class has the earliest inception date and the largest amount of assets of all the share classes of the Fund) for the 1-year, 3-year, 5-year and 10-year periods ended March 31, 2019 was below, above, above
and above, respectively, the median performance of the Peer Group and below, above, above and above, respectively, the performance of the Fund Benchmark, the Bloomberg Barclays U.S. Government/Credit Bond Index. The Trustees took into account
managements discussion of the Funds performance, including the reasons for the Funds more recent underperformance relative to the Peer Group and Fund Benchmark. The Trustees also took into account the fact that Class N shares
of the Fund ranked in the top decile relative to its Peer Group for the 3-year and 10-year periods. The Trustees concluded that the Funds overall performance has
been satisfactory.
ADVISORY AND SUBADVISORY FEES.
The Trustees noted that the Funds management fees (which include both the advisory and administration fees) and total expenses (weighted average, all
classes combined) (net of applicable expense
waivers/reimbursements) as of March 31, 2019 were lower and higher, respectively, than the average for the Peer Group. The Trustees took into account the fact that, effective January 1,
2019, the Investment Manager has contractually agreed, through May 1, 2020, to lower the Funds contractual expense limitation from 0.89% to 0.46% of the Funds net annual operating expenses (subject to certain excluded expenses). The
Trustees also noted that, effective January 1, 2019, the Funds management fee rate was reduced. The Trustees also took into account managements discussion of the Funds expenses and competitiveness with comparably sized funds.
The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the Subadviser, the foregoing expense limitation and the considerations noted above with respect to the Investment Manager
and the Subadviser, the Funds advisory and subadvisory fees are reasonable.
* * * * *
After consideration of the foregoing, the Trustees also reached the following conclusions (in addition to the conclusions discussed above) regarding the
Investment Management Agreement and each Subadvisory Agreement: (a) the Investment Manager and each Subadviser have demonstrated that they possess the capability and resources to perform the duties required of them under the Investment
Management Agreement and the applicable Subadvisory Agreements and (b) the Investment Manager and each Subadviser maintain appropriate compliance programs.
Based on all of the above-mentioned factors and their related conclusions, with no single factor or conclusion being determinative and with each Trustee not
necessarily attributing the same weight to each factor, the Trustees concluded that approval of the Investment Management Agreement and each Subadvisory Agreement would be in the best interests of the applicable Fund and its shareholders.
Accordingly, on June 27, 2019, the Trustees, and separately a majority of the Independent Trustees, voted to approve the Investment Management and the Subadvisory Agreements for each Fund.
45
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INVESTMENT MANAGER AND ADMINISTRATOR
AMG Funds LLC
600 Steamboat Road, Suite 300
Greenwich, CT 06830
800.835.3879
DISTRIBUTOR
AMG Distributors, Inc.
600 Steamboat Road, Suite 300
Greenwich, CT 06830
800.835.3879
CUSTODIAN
The Bank of New York Mellon
111 Sanders Creek Parkway
East Syracuse, NY 13057
LEGAL COUNSEL
Ropes & Gray LLP
Prudential Tower, 800 Boylston Street
Boston, MA 02199-3600
TRANSFER AGENT
BNY Mellon Investment Servicing (US) Inc.
Attn: AMG Funds
P.O. Box 9769
Providence, RI 02940
800.548.4539
TRUSTEES
Bruce B. Bingham
Christine C. Carsman
Edward J. Kaier
Kurt A. Keilhacker
Steven J. Paggioli
Richard F. Powers III
Eric Rakowski
Victoria L. Sassine
Thomas R. Schneeweis
This report is prepared for the Funds shareholders. It is authorized for distribution to prospective
investors only when preceded or accompanied by an effective prospectus. To receive a free copy of the prospectus or Statement of Additional Information, which includes additional information about Fund Trustees, please contact us by calling
800.548.4539. Distributed by AMG Distributors, Inc., member FINRA/SIPC.
Current net asset values per share for each Fund are available on the Funds
website at amgfunds.com.
A description of the policies and procedures each Fund uses to vote its proxies is available: (i) without charge, upon
request, by calling 800.548.4539, or (ii) on the Securities and Exchange Commissions (SEC) website at sec.gov. For information regarding each Funds proxy voting record for the 12-month period
ended June 30, call 800.548.4539 or visit the SEC website at sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for
the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT, which has replaced Form NQ. The Funds portfolio holdings on Form
N-PORT are available on the SECs website at sec.gov. To review a complete list of the Funds portfolio holdings, or to view the semiannual report, or annual report, please visit amgfunds.com.
AFFILIATE SUBADVISED FUNDS
BALANCED FUNDS
AMG Chicago Equity Partners Balanced
Chicago Equity Partners, LLC
AMG FQ Global Risk-Balanced
First Quadrant, L.P.
EQUITY FUNDS
AMG FQ Tax-Managed U.S. Equity
AMG FQ Long-Short Equity
First Quadrant, L.P.
AMG Frontier Small Cap Growth
Frontier Capital Management Co.,
LLC
AMG GW&K Small Cap Core
AMG GW&K Small/Mid Cap
AMG GW&K Trilogy Emerging Markets Equity
AMG GW&K
Trilogy Emerging Wealth Equity
AMG GW&K U.S. Small Cap Growth
GW&K Investment Management, LLC
AMG Renaissance Large Cap
Growth
The Renaissance Group LLC
AMG River Road Dividend
All Cap Value
AMG River Road Dividend All Cap Value II
AMG
River Road Focused Absolute Value
AMG River Road Long-Short
AMG River Road Small-Mid Cap Value
AMG River Road Small Cap
Value
River Road Asset Management, LLC
AMG SouthernSun
Small Cap
AMG SouthernSun U.S. Equity
SouthernSun Asset
Management, LLC
AMG TimesSquare Emerging Markets Small Cap
AMG TimesSquare Global Small Cap
AMG TimesSquare International
Small Cap
AMG TimesSquare Mid Cap Growth
AMG TimesSquare
Small Cap Growth
TimesSquare Capital Management, LLC
AMG
Yacktman
AMG Yacktman Focused
AMG Yacktman Focused Fund -
Security Selection Only
AMG Yacktman Special Opportunities
Yacktman Asset Management LP
FIXED INCOME FUNDS
AMG GW&K Core Bond ESG
AMG GW&K Enhanced Core Bond ESG
AMG GW&K Municipal Bond
AMG GW&K Municipal Enhanced Yield
GW&K Investment
Management, LLC
OPEN-ARCHITECTURE FUNDS
EQUITY FUNDS
AMG Managers Brandywine
AMG Managers Brandywine Advisors Mid Cap Growth
AMG Managers
Brandywine Blue
Friess Associates, LLC
AMG Managers Cadence
Emerging Companies
AMG Managers Cadence Mid Cap
Cadence
Capital Management LLC
AMG Managers CenterSquare Real Estate
CenterSquare Investment Management LLC
AMG Managers Emerging
Opportunities
WEDGE Capital Management L.L.P.
Next Century
Growth Investors LLC
RBC Global Asset Management (U.S.) Inc.
AMG Managers Essex Small/Micro Cap Growth
Essex Investment Management Company, LLC
AMG Managers Fairpointe
ESG Equity
AMG Managers Fairpointe Mid Cap
Fairpointe
Capital LLC
AMG Managers LMCG Small Cap Growth
LMCG
Investments, LLC
AMG Managers Montag & Caldwell Growth
Montag & Caldwell, LLC
AMG Managers Pictet International
Pictet Asset Management Limited
AMG Managers Silvercrest
Small Cap
Silvercrest Asset Management Group LLC
AMG
Managers Skyline Special Equities
Skyline Asset Management, L.P.
AMG Managers Special Equity
Ranger Investment Management, L.P.
Lord, Abbett & Co. LLC
Smith Asset Management Group,
L.P.
Federated MDTA LLC
FIXED INCOME FUNDS
AMG Managers Amundi Intermediate Government
AMG Managers Amundi Short Duration Government
Amundi Pioneer
Institutional Asset Management, Inc.
AMG Managers Doubleline Core Plus Bond
DoubleLine Capital LP
AMG Managers Global Income Opportunity
AMG Managers Loomis Sayles Bond
Loomis, Sayles &
Company, L.P.
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amgfunds.com | |
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063019 SAR078 |
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 |
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(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. |
DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES |
Not applicable.
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(a)(1) |
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Not applicable. |
|
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(a)(2) |
|
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 - Filed herewith. |
|
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(a)(3) |
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Not applicable. |
|
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(b) |
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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.
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AMG FUNDS III |
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By: |
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/s/ Keitha L. Kinne |
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Keitha L. Kinne, Principal Executive Officer |
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Date: |
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September 3, 2019 |
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.
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By: |
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/s/ Keitha L. Kinne |
|
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Keitha L. Kinne, Principal Executive Officer |
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Date: |
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September 3, 2019 |
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By: |
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/s/ Thomas Disbrow |
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Thomas Disbrow, Principal Financial Officer |
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Date: |
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September 3, 2019 |