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, 2020 JUNE 30, 2020
(Semi-Annual Shareholder Report)
Item 1. | Reports to Shareholders |
SEMI-ANNUAL REPORT |
AMG Funds | ||||||||
June 30, 2020 | ||||||||
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 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.
amgfunds.com
|
063020 | SAR078 |
AMG Funds Semi-Annual Report June 30, 2020 (unaudited) |
|
PAGE
|
|||||
ABOUT YOUR FUNDS EXPENSES | 2 | |||||
FUND PERFORMANCE | 3 | |||||
FUND SNAPSHOTS AND SCHEDULES OF PORTFOLIO INVESTMENTS | ||||||
5 | ||||||
12 | ||||||
19 | ||||||
FINANCIAL STATEMENTS | ||||||
26 | ||||||
Balance sheets, net asset value (NAV) per share computations and cumulative distributable earnings (loss) |
||||||
28 | ||||||
Detail of sources of income, expenses, and realized and unrealized gains (losses) during the fiscal period |
||||||
29 | ||||||
Detail of changes in assets for the past two fiscal periods |
||||||
30 | ||||||
Historical net asset values per share, distributions, total returns, income and expense ratios, turnover ratios and net assets |
||||||
35 | ||||||
Accounting and distribution policies, details of agreements and transactions with Fund management and affiliates, and descriptions of certain investment risks |
||||||
ANNUAL RENEWAL OF INVESTMENT MANAGEMENT AND SUBADVISORY AGREEMENTS | 43 | |||||
FUNDS LIQUIDITY RISK MANAGEMENT PROGRAM
|
|
46
|
|
Nothing contained herein is to be considered an offer, sale or solicitation of an offer to buy shares of any series of the AMG Funds Family of Funds. Such offering is made only by prospectus, which includes details as to offering price and other material information.
|
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. |
2
Periods ended June 30, 2020 |
3
Fund Performance Periods ended June 30, 2020 (continued) |
agency and corporate securities, and USD investment-grade 144A securities. Unlike the Fund, the Bloomberg Barclays Global Aggregate Bond Index is unmanaged, is not available for investment and does not incur expenses.
17 The Russell 2000® Growth Index measures the performance of the Russell 2000® companies with higher price-to-book ratios and higher forecasted growth values. Unlike the Fund, the Russell 2000® Growth Index is unmanaged, is not available for investment and does not incur expenses. |
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 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, 2020 |
Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poors (S&P), Moodys Investors Service, Inc. (Moodys) or Fitch. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by any of the rating agencies. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.
Because a 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
AMG Managers Loomis Sayles Bond Fund Schedule of Portfolio Investments (unaudited) June 30, 2020 |
The accompanying notes are an integral part of these financial statements.
6
AMG Managers Loomis Sayles Bond Fund Schedule of Portfolio Investments (continued) |
The accompanying notes are an integral part of these financial statements.
7
AMG Managers Loomis Sayles Bond Fund Schedule of Portfolio Investments (continued) |
The accompanying notes are an integral part of these financial statements.
8
AMG Managers Loomis Sayles Bond Fund Schedule of Portfolio Investments (continued) |
The accompanying notes are an integral part of these financial statements.
9
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, 2020:
Level 1 | Level 21 | Level 3 | Total | |||||||||||||
Investments in Securities |
||||||||||||||||
Corporate Bonds and Notes |
| $744,241,990 | | $744,241,990 | ||||||||||||
Asset-Backed Security |
| 6,290,510 | | 6,290,510 | ||||||||||||
Mortgage-Backed Securities |
| 292,868 | | 292,868 | ||||||||||||
Municipal Bonds |
| 13,869,500 | | 13,869,500 | ||||||||||||
U.S. Government and Agency Obligations |
| 258,989,423 | | 258,989,423 | ||||||||||||
Foreign Government Obligations |
| 51,079,813 | | 51,079,813 | ||||||||||||
Common Stocks |
$22,599,927 | | | 22,599,927 | ||||||||||||
Preferred Stocks |
11,669,938 | | | 11,669,938 | ||||||||||||
Short-Term Investments |
||||||||||||||||
Joint Repurchase Agreements |
| 3,276,061 | | 3,276,061 | ||||||||||||
Other Investment Companies |
2,429,832 | | | 2,429,832 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$36,699,697 | $1,078,040,165 | | $1,114,739,862 | ||||||||||||
|
|
|
|
|
|
|
|
| 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. |
1 | An external pricing service is used to reflect any impact on security value due to market movements between the time the Fund valued such foreign securities and the earlier closing of foreign markets. |
For the six months ended June 30, 2020, there were no transfers in or out of Level 3. The Fund did not have any purchases and sales of Level 3 securities for the same period.
The accompanying notes are an integral part of these financial statements.
10
AMG Managers Loomis Sayles Bond Fund Schedule of Portfolio Investments (continued) |
The country allocation in the Schedule of Portfolio Investments at June 30, 2020, was as follows:
The accompanying notes are an integral part of these financial statements.
11
AMG Managers Global Income Opportunity Fund Fund Snapshots (unaudited) June 30, 2020 |
Credit quality ratings shown above reflect the highest rating assigned by either Standard & Poors (S&P), Moodys Investors Service, Inc. (Moodys) or Fitch. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by any of the rating agencies. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.
Because a 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.
12
AMG Managers Global Income Opportunity Fund Schedule of Portfolio Investments (unaudited) June 30, 2020 |
The accompanying notes are an integral part of these financial statements.
13
AMG Managers Global Income Opportunity Fund Schedule of Portfolio Investments (continued) |
The accompanying notes are an integral part of these financial statements.
14
AMG Managers Global Income Opportunity Fund Schedule of Portfolio Investments (continued) |
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
|
09/21/20
|
|
$556,688
|
|
|
$805
|
|
The accompanying notes are an integral part of these financial statements.
15
AMG Managers Global Income Opportunity Fund Schedule of Portfolio Investments (continued) |
CURRENCY ABBREVIATIONS:
USD US Dollar
Open Forward Foreign Currency Contracts
Currency Purchased |
Amount | Currency Sold |
Amount | Expiration | Counterparty | Unrealized Appreciation/ (Depreciation) |
||||||||||||||||
Brazilian Real |
470,000 | U.S. Dollar | 89,609 | 09/02/20 | Merrill Lynch | $(3,430 | ) | |||||||||||||||
Canadian Dollar |
396,000 | U.S. Dollar | 294,999 | 09/16/20 | UBS Securities | (3,263 | ) | |||||||||||||||
Chinese Offshore Yuan |
410,000 | U.S. Dollar | 57,351 | 09/16/20 | JPMorgan | 389 | ||||||||||||||||
Euro |
38,905 | Norwegian Krone | 414,000 | 09/16/20 | Morgan Stanley | 761 | ||||||||||||||||
Euro |
790,000 | U.S. Dollar | 895,252 | 09/16/20 | Morgan Stanley | (6,163 | ) | |||||||||||||||
British Pound |
80,000 | U.S. Dollar | 100,855 | 09/16/20 | Morgan Stanley | (1,681 | ) | |||||||||||||||
Japanese Yen |
126,600,000 | U.S. Dollar | 1,169,612 | 09/16/20 | Credit Suisse | 4,105 | ||||||||||||||||
Korean Won |
113,000,000 | U.S. Dollar | 94,285 | 09/16/20 | Merrill Lynch | (287 | ) | |||||||||||||||
Sweden Krona |
580,000 | U.S. Dollar | 62,471 | 09/16/20 | UBS Securities | (168 | ) | |||||||||||||||
U.S. Dollar |
60,900 | Australian Dollar | 87,000 | 09/16/20 | Credit Suisse | 845 | ||||||||||||||||
U.S. Dollar |
21,671 | Brazilian Real | 125,000 | 09/02/20 | Merrill Lynch | (1,249 | ) | |||||||||||||||
U.S. Dollar |
59,813 | Brazilian Real | 345,000 | 09/02/20 | Merrill Lynch | (3,446 | ) | |||||||||||||||
U.S. Dollar |
152,054 | Colombia Peso | 557,710,000 | 09/16/20 | Credit Suisse | 4,600 | ||||||||||||||||
U.S. Dollar |
42,385 | Indonesia Rupiah | 608,000,000 | 09/16/20 | UBS Securities | 188 | ||||||||||||||||
U.S. Dollar |
198,733 | Mexico Peso | 4,405,000 | 09/17/20 | UBS Securities | 9,058 | ||||||||||||||||
U.S. Dollar |
152,661 | Thailand Baht | 4,825,000 | 09/16/20 | UBS Securities | (3,428 | ) | |||||||||||||||
U.S. Dollar |
80,236 | South Africa Rand | 1,370,000 | 09/16/20 | Citigroup | 1,915 | ||||||||||||||||
Net Unrealized Appreciation/(Depreciationon) on Forward Foreign Currency Contracts |
$(1,254 | ) | ||||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
16
AMG Managers Global Income Opportunity 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, 2020:
Level 1
|
Level 21
|
Level 3
|
Total
|
|||||||||||||
Investments in Securities |
||||||||||||||||
Corporate Bonds and Notes |
| $4,709,232 | | $4,709,232 | ||||||||||||
U.S. Government and Agency Obligations |
| 377,139 | | 377,139 | ||||||||||||
Foreign Government Obligations |
| 3,339,905 | | 3,339,905 | ||||||||||||
Short-Term Investments |
||||||||||||||||
Joint Repurchase Agreements |
| 236,586 | | 236,586 | ||||||||||||
Other Investment Companies |
$226,872 | | | 226,872 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$226,872 | $8,662,862 | | $8,889,734 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||
Foreign Currency Exchange Contracts |
| $21,861 | | $21,861 | ||||||||||||
Interest Rate Futures Contracts |
$805 | | | 805 | ||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||
Foreign Currency Exchange Contracts |
| (23,115) | | (23,115) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financial Derivative Instruments |
$805 | $(1,254) | | $(449) | ||||||||||||
|
|
|
|
|
|
|
|
| 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. |
1 | An external pricing service is used to reflect any impact on security value due to market movements between the time the Fund valued such foreign securities and the earlier closing of foreign markets. |
For the six months ended June 30, 2020, there were no transfers in or out of Level 3. The Fund did not have any purchases and sales of Level 3 securities for the same period.
The following schedule shows the value of derivative instruments at June 30, 2020.
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 | $21,861 | Unrealized depreciation on foreign currency contracts | $23,115 | ||||||||
Interest rate contracts |
Receivable for variation margin | | Payable for variation margin1 | 625 | ||||||||
|
|
|
|
|||||||||
Totals | $21,861 | $23,740 | ||||||||||
|
|
|
|
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, 2020, 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 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 gain on forward contracts | $65,604 | Net change in unrealized appreciation/ depreciation on forward contracts | $9,299 | ||||||||
Interest rate contracts |
Net realized gain on futures contracts | 39,156 | Net change in unrealized appreciation/ depreciation on futures contracts | 5,346 | ||||||||
|
|
|
|
|||||||||
Totals | $104,760 | $14,645 | ||||||||||
|
|
|
|
1Only 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 $805.
The country allocation in the Schedule of Portfolio Investments at June 30, 2020, was as follows:
The accompanying notes are an integral part of these financial statements.
18
AMG Managers Special Equity Fund Fund Snapshots (unaudited) June 30, 2020 |
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, 2020 |
The accompanying notes are an integral part of these financial statements.
20
AMG Managers Special Equity Fund Schedule of Portfolio Investments (continued) |
The accompanying notes are an integral part of these financial statements.
21
AMG Managers Special Equity Fund Schedule of Portfolio Investments (continued) |
The accompanying notes are an integral part of these financial statements.
22
AMG Managers Special Equity Fund Schedule of Portfolio Investments (continued) |
The accompanying notes are an integral part of these financial statements.
23
AMG Managers Special Equity Fund Schedule of Portfolio Investments (continued) |
The accompanying notes are an integral part of these financial statements.
24
AMG Managers Special Equity Fund Schedule of Portfolio Investments (continued) |
The following table summarizes the inputs used to value the Funds investments by the fair value hierarchy levels as of June 30, 2020:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in Securities |
||||||||||||||||
Common Stocks |
||||||||||||||||
Health Care |
$58,107,091 | | $0 | $58,107,091 | ||||||||||||
Information Technology |
51,987,142 | | | 51,987,142 | ||||||||||||
Consumer Discretionary |
24,801,159 | | | 24,801,159 | ||||||||||||
Industrials |
23,646,789 | | | 23,646,789 | ||||||||||||
Consumer Staples |
8,574,765 | | | 8,574,765 | ||||||||||||
Financials |
8,067,031 | | | 8,067,031 | ||||||||||||
Communication Services |
3,263,843 | | | 3,263,843 | ||||||||||||
Materials |
3,048,800 | | | 3,048,800 | ||||||||||||
Real Estate |
3,022,739 | | | 3,022,739 | ||||||||||||
Energy |
992,498 | | | 992,498 | ||||||||||||
Utilities |
333,228 | | | 333,228 | ||||||||||||
Short-Term Investments |
||||||||||||||||
Joint Repurchase Agreements |
| $9,583,929 | | 9,583,929 | ||||||||||||
Other Investment Companies |
7,656,818 | | | 7,656,818 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$193,501,903 | $9,583,929 | $0 | $203,085,832 | ||||||||||||
|
|
|
|
|
|
|
|
At June 30, 2020, 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, 2020, there were no transfers in or out of Level 3. The Fund did not have any purchases and sales of Level 3 securities for the same period.
The accompanying notes are an integral part of these financial statements.
25
Statement of Assets and Liabilities (unaudited) June 30, 2020 |
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 $106,741,847, $228,569, and $29,543,689, respectively) |
$1,114,739,862 | $8,889,734 | $203,085,832 | |||||||||
Cash |
394,365 | | | |||||||||
Foreign currency2 |
| 41,059 | | |||||||||
Receivable for investments sold |
| | 1,688,988 | |||||||||
Dividend and interest receivables |
9,885,014 | 93,886 | 42,399 | |||||||||
Securities lending income receivable |
9,927 | 29 | 6,706 | |||||||||
Receivable for Fund shares sold |
905,438 | 21 | 5,480 | |||||||||
Receivable from affiliate |
10,458 | 5,486 | 10,037 | |||||||||
Unrealized appreciation on foreign currency contracts |
| 21,861 | | |||||||||
Prepaid expenses and other assets |
55,201 | 9,063 | 20,794 | |||||||||
Total assets |
1,126,000,265 | 9,061,139 | 204,860,236 | |||||||||
Liabilities: |
||||||||||||
Payable upon return of securities loaned |
3,276,061 | 236,586 | 9,583,929 | |||||||||
Payable for investments purchased |
1,975,000 | | 2,076,123 | |||||||||
Payable for Fund shares repurchased |
1,887,657 | 123 | 241,865 | |||||||||
Payable for variation margin |
| 625 | | |||||||||
Unrealized depreciation on foreign currency contracts |
| 23,115 | | |||||||||
Accrued expenses: |
||||||||||||
Investment advisory and management fees |
237,790 | 3,943 | 139,719 | |||||||||
Administrative fees |
137,187 | 1,075 | 23,286 | |||||||||
Shareholder service fees |
131,566 | | 32,362 | |||||||||
Other |
202,166 | 25,800 | 43,720 | |||||||||
Total liabilities |
7,847,427 | 291,267 | 12,141,004 | |||||||||
Net Assets |
$1,118,152,838 | $8,769,872 | $192,719,232 | |||||||||
1 Investments at cost |
$1,053,973,702 | $8,666,892 | $172,323,163 | |||||||||
2 Foreign currency at cost |
| $41,527 | |
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 |
$1,055,332,996 | $8,708,677 | $166,323,968 | |||||||||
Total distributable earnings |
62,819,842 | 61,195 | 26,395,264 | |||||||||
Net Assets |
$1,118,152,838 | $8,769,872 | $192,719,232 | |||||||||
Class N: |
||||||||||||
Net Assets |
$549,568,798 | $8,769,872 | $160,580,189 | |||||||||
Shares outstanding |
20,462,641 | 391,210 | 1,422,644 | |||||||||
Net asset value, offering and redemption price per share |
$26.86 | $22.42 | $112.87 | |||||||||
Class I: |
||||||||||||
Net Assets |
$568,584,040 | | $32,139,043 | |||||||||
Shares outstanding |
21,167,702 | | 272,320 | |||||||||
Net asset value, offering and redemption price per share |
$26.86 | | $118.02 |
The accompanying notes are an integral part of these financial statements.
27
Statement of Operations (unaudited) For the six months ended June 30, 2020 |
AMG Managers Loomis Sayles Bond Fund |
AMG Managers Global Income Opportunity Fund |
AMG Managers Special Equity Fund | ||||||||||
Investment Income: |
||||||||||||
Dividend income |
$919,973 | $657 | $364,856 | |||||||||
Interest income |
22,499,944 | 145,503 | | |||||||||
Securities lending income |
77,417 | 106 | 40,136 | |||||||||
Foreign withholding tax |
| (902 | ) | (654 | ) | |||||||
Total investment income |
23,497,334 | 145,364 | 404,338 | |||||||||
Expenses: |
||||||||||||
Investment advisory and management fees |
1,506,575 | 24,278 | 825,656 | |||||||||
Administrative fees |
869,178 | 6,621 | 137,609 | |||||||||
Shareholder servicing fees - Class N |
726,039 | | 190,499 | |||||||||
Shareholder servicing fees - Class I |
135,226 | | | |||||||||
Professional fees |
70,261 | 21,431 | 20,543 | |||||||||
Reports to shareholders |
64,966 | 1,469 | 10,155 | |||||||||
Trustee fees and expenses |
57,861 | 429 | 8,792 | |||||||||
Custodian fees |
47,800 | 10,429 | 43,717 | |||||||||
Registration fees |
35,659 | 10,612 | 18,661 | |||||||||
Transfer agent fees |
30,540 | 527 | 11,636 | |||||||||
Miscellaneous |
19,312 | 529 | 3,715 | |||||||||
Total expenses before offsets |
3,563,417 | 76,325 | 1,270,983 | |||||||||
Expense reimbursements |
(36,473 | ) | (37,031 | ) | (59,115 | ) | ||||||
Expense reductions |
| | (3,142 | ) | ||||||||
Net expenses |
3,526,944 | 39,294 | 1,208,726 | |||||||||
Net investment income (loss) |
19,970,390 | 106,070 | (804,388 | ) | ||||||||
Net Realized and Unrealized Gain (Loss): |
||||||||||||
Net realized gain (loss) on investments |
2,387,925 | 120,713 | (1,350,430 | ) | ||||||||
Net realized gain on forward contracts |
| 65,604 | | |||||||||
Net realized gain on futures contracts |
| 39,156 | | |||||||||
Net realized loss on foreign currency transactions |
(127,649 | ) | (58,186 | ) | | |||||||
Net change in unrealized appreciation/depreciation on investments |
(20,561,185 | ) | 50,446 | 3,251,649 | ||||||||
Net change in unrealized appreciation/depreciation on forward contracts |
| 9,299 | | |||||||||
Net change in unrealized appreciation/depreciation on futures contracts |
| 5,346 | | |||||||||
Net change in unrealized appreciation/depreciation on foreign currency translations |
(16,389 | ) | (1,640 | ) | | |||||||
Net realized and unrealized gain (loss) |
(18,317,298 | ) | 230,738 | 1,901,219 | ||||||||
Net increase in net assets resulting from operations |
$1,653,092 | $336,808 | $1,096,831 |
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, 2020 (unaudited) and the fiscal year ended December 31, 2019 |
AMG Managers Loomis Sayles Bond Fund |
AMG Managers Global Income Opportunity Fund |
AMG Managers Special Equity Fund | ||||||||||||||||||||||
June 30, 2020 | December 31, 2019 | June 30, 2020 | December 31, 2019 | June 30, 2020 | December 31, 2019 | |||||||||||||||||||
Increase in Net Assets Resulting From Operations: |
|
|||||||||||||||||||||||
Net investment income (loss) |
$19,970,390 | $49,128,595 | $106,070 | $261,207 | $(804,388 | ) | $(1,554,626 | ) | ||||||||||||||||
Net realized gain (loss) on investments |
2,260,276 | 11,340,481 | 167,287 | (352,820 | ) | (1,350,430 | ) | 12,387,467 | ||||||||||||||||
Net change in unrealized appreciation/depreciation on investments |
(20,577,574 | ) | 88,163,713 | 63,451 | 809,506 | 3,251,649 | 37,417,823 | |||||||||||||||||
Net increase in net assets resulting from operations |
1,653,092 | 148,632,789 | 336,808 | 717,893 | 1,096,831 | 48,250,664 | ||||||||||||||||||
Distributions to Shareholders: |
|
|||||||||||||||||||||||
Class N |
(9,563,524 | ) | (28,980,193 | ) | | (29,806 | ) | | (40,634,625 | ) | ||||||||||||||
Class I |
(10,138,423 | ) | (27,807,755 | ) | | | | (8,707,900 | ) | |||||||||||||||
Total distributions to shareholders |
(19,701,947 | ) | (56,787,948 | ) | | (29,806 | ) | | (49,342,525 | ) | ||||||||||||||
Capital Share Transactions:1 |
|
|||||||||||||||||||||||
Net increase (decrease) from capital share transactions |
(87,531,569 | ) | (678,399,950 | ) | (1,204,777 | ) | (1,415,728 | ) | (18,271,741 | ) | 8,988,862 | |||||||||||||
Total increase (decrease) in net assets |
(105,580,424 | ) | (586,555,109 | ) | (867,969 | ) | (727,641 | ) | (17,174,910 | ) | 7,897,001 | |||||||||||||
Net Assets: |
|
|||||||||||||||||||||||
Beginning of period |
1,223,733,262 | 1,810,288,371 | 9,637,841 | 10,365,482 | 209,894,142 | 201,997,141 | ||||||||||||||||||
End of period |
$1,118,152,838 | $1,223,733,262 | $8,769,872 | $9,637,841 | $192,719,232 | $209,894,142 |
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 For a share outstanding throughout each fiscal period |
Class N | For the
six (unaudited)
|
|||||||||||||||||||||||
For the fiscal years ended December 31, | ||||||||||||||||||||||||
|
2019
|
|
|
2018
|
|
|
20171
|
|
|
20162
|
|
|
2015
|
| ||||||||||
Net Asset Value, Beginning of Period |
$27.14 | $25.49 | $26.97 | $26.24 | $26.19 | $27.88 | ||||||||||||||||||
Income (loss) from Investment Operations: |
||||||||||||||||||||||||
Net investment income3,4 |
0.44 | 0.94 | 0.84 | 0.91 | 0.95 | 0.74 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
(0.28 | ) | 1.85 | (1.33 | ) | 0.85 | 0.40 | (1.34 | ) | |||||||||||||||
Total income (loss) from investment operations |
0.16 | 2.79 | (0.49 | ) | 1.76 | 1.35 | (0.60 | ) | ||||||||||||||||
Less Distributions to Shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.44 | ) | (0.98 | ) | (0.80 | ) | (0.87 | ) | (0.96 | ) | (0.71 | ) | ||||||||||||
Net realized gain on investments |
| (0.16 | ) | (0.19 | ) | (0.16 | ) | (0.34 | ) | (0.38 | ) | |||||||||||||
Total distributions to shareholders |
(0.44 | ) | (1.14 | ) | (0.99 | ) | (1.03 | ) | (1.30 | ) | (1.09 | ) | ||||||||||||
Net Asset Value, End of Period |
$26.86 | $27.14 | $25.49 | $26.97 | $26.24 | $26.19 | ||||||||||||||||||
Total Return4 |
0.62 | %5,6 | 11.10 | %6 | (1.82 | )%6 | 6.77 | %6 | 5.19 | % | (2.19 | )% | ||||||||||||
Ratio of net expenses to average net assets |
0.71 | %7 | 0.72 | %8 | 0.98 | % | 0.99 | % | 1.00 | % | 0.99 | % | ||||||||||||
Ratio of gross expenses to average net assets9 |
0.71 | %7 | 0.73 | %8 | 0.98 | %10 | 0.99 | %10 | 1.02 | % | 1.02 | % | ||||||||||||
Ratio of net investment income to average net assets4 |
3.35 | %7 | 3.53 | % | 3.19 | % | 3.38 | % | 3.52 | % | 2.69 | % | ||||||||||||
Portfolio turnover |
13 | %5 | 20 | % | 9 | % | 4 | % | 27 | % | 10 | % | ||||||||||||
Net assets end of period (000s) omitted |
$549,569 | $618,381 | $715,468 | $971,359 | $1,234,229 | $1,575,246 | ||||||||||||||||||
30
AMG Managers Loomis Sayles Bond Fund Financial Highlights For a share outstanding throughout each fiscal period |
Class I | For the six months ended (unaudited)
|
For the fiscal years ended December 31, | ||||||||||||||||||||||||||||
|
2019
|
|
|
2018
|
|
|
2017
|
|
|
20162
|
|
|
2015
|
| ||||||||||||||||
Net Asset Value, Beginning of Period |
$27.14 | $25.49 | $26.97 | $26.24 | $26.19 | $27.87 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: |
||||||||||||||||||||||||||||||
Net investment income3,4 |
0.47 | 0.99 | 0.86 | 0.94 | 0.97 | 0.77 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
(0.28 | ) | 1.85 | (1.32 | ) | 0.85 | 0.40 | (1.33 | ) | |||||||||||||||||||||
Total income (loss) from investment operations |
0.19 | 2.84 | (0.46 | ) | 1.79 | 1.37 | (0.56 | ) | ||||||||||||||||||||||
Less Distributions to Shareholders from: |
||||||||||||||||||||||||||||||
Net investment income |
(0.47 | ) | (1.03 | ) | (0.83 | ) | (0.90 | ) | (0.98 | ) | (0.74 | ) | ||||||||||||||||||
Net realized gain on investments |
| (0.16 | ) | (0.19 | ) | (0.16 | ) | (0.34 | ) | (0.38 | ) | |||||||||||||||||||
Total distributions to shareholders |
(0.47 | ) | (1.19 | ) | (1.02 | ) | (1.06 | ) | (1.32 | ) | (1.12 | ) | ||||||||||||||||||
Net Asset Value, End of Period |
$26.86 | $27.14 | $25.49 | $26.97 | $26.24 | $26.19 | ||||||||||||||||||||||||
Total Return4,6 |
0.73 | %5 | 11.32 | % | (1.72 | )% | 6.87 | % | 5.29 | % | (2.05 | )% | ||||||||||||||||||
Ratio of net expenses to average net assets |
0.51 | %7 | 0.52 | %8 | 0.88 | % | 0.89 | % | 0.90 | % | 0.89 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets9 |
0.51 | %7 | 0.53 | %8 | 0.88 | %10 | 0.89 | %10 | 0.93 | % | 0.92 | % | ||||||||||||||||||
Ratio of net investment income to average net assets4 |
3.55 | %7 | 3.73 | % | 3.29 | % | 3.48 | % | 3.61 | % | 2.79 | % | ||||||||||||||||||
Portfolio turnover |
13 | %5 | 20 | % | 9 | % | 4 | % | 27 | % | 10 | % | ||||||||||||||||||
Net assets end of period (000s) omitted |
$568,584 | $605,353 | $1,094,820 | $1,027,477 | $771,782 | $897,526 | ||||||||||||||||||||||||
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 would have been lower had certain expenses not been offset. |
5 | Not annualized. |
6 | The total return is calculated using the published Net Asset Value as of period end. |
7 | Annualized. |
8 | Includes 0.01% of extraordinary expense related to legal expense in support of an investment held in the portfolio. |
9 | Excludes the impact of expense reimbursement or fee waivers and expense reductions such as brokerage credits, but includes expense repayments and non-reimbursable expenses, if any, such as interest, taxes, and extraordinary expenses. (See Note 1(c) and 2 in the Notes to Financial Statements.) |
10 | 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 |
Class N | For the six months ended June 30, 2020 (unaudited) |
For the fiscal years ended December 31, | ||||||||||||||||||||||||||||
2019 | 2018 | 20171 | 20162 | 2015 | ||||||||||||||||||||||||||
Net Asset Value, Beginning of Period |
$21.52 | $20.04 | $21.06 | $19.05 | $18.18 | $19.68 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: |
||||||||||||||||||||||||||||||
Net investment income3,4 |
0.26 | 0.57 | 0.69 | 0.75 | 0.72 | 0.65 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments
|
0.64 | 0.98 | (1.57 | ) | 1.26 | 0.15 | (1.87 | ) | ||||||||||||||||||||||
Total income (loss) from investment operations |
0.90 | 1.55 | (0.88 | ) | 2.01 | 0.87 | (1.22 | ) | ||||||||||||||||||||||
Less Distributions to Shareholders from:
|
||||||||||||||||||||||||||||||
Net investment income |
| (0.07 | ) | (0.14 | ) | | | (0.28 | ) | |||||||||||||||||||||
Net Asset Value, End of Period
|
$22.42 | $21.52 | $20.04 | $21.06 | $19.05 | $18.18 | ||||||||||||||||||||||||
Total Return4,5 |
4.23 | %6 | 7.67 | % | (4.18 | )% | 10.55 | % | 4.79 | % | (6.22 | )% | ||||||||||||||||||
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 |
1.73 | %7 | 1.87 | % | 1.52 | % | 1.39 | % | 1.46 | % | 1.29 | % | ||||||||||||||||||
Ratio of net investment income to average net assets4 |
2.40 | %7 | 2.70 | % | 3.34 | % | 3.71 | % | 3.75 | % | 3.36 | % | ||||||||||||||||||
Portfolio turnover |
27 | %6 | 52 | % | 60 | % | 55 | % | 34 | % | 53 | % | ||||||||||||||||||
Net assets end of period (000s) omitted |
$8,770 | $9,638 | $10,365 | $14,074 | $15,434 | $32,141 | ||||||||||||||||||||||||
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. |
6 | Not annualized. |
7 | Annualized. |
8 | Excludes the impact of expense reimbursement or fee waivers and expense reductions such as brokerage credits, but includes expense repayments and non-reimbursable expenses, if any, such as interest, taxes, and extraordinary expenses. (See Note 1(c) and 2 in the Notes to Financial Statements.) |
32
AMG Managers Special Equity Fund Financial Highlights For a share outstanding throughout each fiscal period |
Class N | For the six months ended June 30, 2020 (unaudited) |
For the fiscal years ended December 31, | ||||||||||||||||||||||||||||
2019 | 2018 | 20171 | 20162 | 2015 | ||||||||||||||||||||||||||
Net Asset Value, Beginning of Period
|
$111.15 | $114.95 | $119.45 | $99.33 | $87.84 | $88.30 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: |
||||||||||||||||||||||||||||||
Net investment loss3,4
|
(0.47 | ) | (1.03 | ) | (0.91 | ) | (0.79 | )5 | (0.43 | )6 | (0.47 | )7 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments
|
2.19 | 30.19 | (3.59 | ) | 20.91 | 11.92 | 0.01 | |||||||||||||||||||||||
Total income (loss) from investment operations |
1.72 | 29.16 | (4.50 | ) | 20.12 | 11.49 | (0.46 | ) | ||||||||||||||||||||||
Less Distributions to Shareholders from:
|
||||||||||||||||||||||||||||||
Net realized gain on investments
|
| (32.96 | ) | | | | | |||||||||||||||||||||||
Net Asset Value, End of Period
|
$112.87 | $111.15 | $114.95 | $119.45 | $99.33 | $87.84 | ||||||||||||||||||||||||
Total Return4
|
1.55 | %8,9 | 25.69 | %9 | (3.76 | )%9 | 20.25 | %9 | 13.08 | % | (0.52 | )% | ||||||||||||||||||
Ratio of net expenses to average net assets10 |
1.36 | %11 | 1.36 | % | 1.36 | % | 1.36 | % | 1.36 | % | 1.35 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets12 |
1.43 | %11 | 1.42 | % | 1.38 | % | 1.41 | % | 1.50 | % | 1.51 | % | ||||||||||||||||||
Ratio of net investment loss to average net assets4 |
(0.92 | )%11 | (0.76 | )% | (0.69 | )% | (0.73 | )% | (0.49 | )% | (0.51 | )% | ||||||||||||||||||
Portfolio turnover |
58 | %8 | 96 | % | 113 | % | 81 | % | 120 | % | 116 | % | ||||||||||||||||||
Net assets end of period (000s) omitted |
$160,580 | $171,801 | $170,744 | $173,607 | $180,008 | $181,862 | ||||||||||||||||||||||||
33
AMG Managers Special Equity Fund Financial Highlights For a share outstanding throughout each fiscal period |
Class I | For the six months ended June 30, 2020 (unaudited) |
For the fiscal years ended December 31, | ||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 20162 | 2015 | ||||||||||||||||||||||||||
Net Asset Value, Beginning of Period |
$116.08 | $118.57 | $122.90 | $101.95 | $89.92 | $90.18 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: |
||||||||||||||||||||||||||||||
Net investment loss3,4 |
(0.36 | ) | (0.72 | ) | (0.60 | ) | (0.54 | )5 | (0.22 | )6 | (0.26 | )7 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments
|
2.30 | 31.19 | (3.73 | ) | 21.49 | 12.25 | 0.00 | 13 | ||||||||||||||||||||||
Total income (loss) from investment operations
|
1.94 | 30.47 | (4.33 | ) | 20.95 | 12.03 | (0.26 | ) | ||||||||||||||||||||||
Less Distributions to Shareholders from:
|
||||||||||||||||||||||||||||||
Net realized gain on investments |
| (32.96 | ) | | | | | |||||||||||||||||||||||
Net Asset Value, End of Period
|
$118.02 | $116.08 | $118.57 | $122.90 | $101.95 | $89.92 | ||||||||||||||||||||||||
Total Return4
|
1.67 | %8,9 | 26.02 | %9 | (3.52 | )%9 | 20.55 | %9 | 13.38 | % | (0.29 | )% | ||||||||||||||||||
Ratio of net expenses to average net assets10 |
1.11 | %11 | 1.11 | % | 1.11 | % | 1.11 | % | 1.11 | % | 1.10 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets12 |
1.18 | %11 | 1.17 | % | 1.13 | % | 1.16 | % | 1.25 | % | 1.26 | % | ||||||||||||||||||
Ratio of net investment loss to average net assets4 |
(0.67 | )%11 | (0.51 | )% | (0.44 | )% | (0.48 | )% | (0.24 | )% | (0.27 | )% | ||||||||||||||||||
Portfolio turnover |
58 | %8 | 96 | % | 113 | % | 81 | % | 120 | % | 116 | % | ||||||||||||||||||
Net assets end of period (000s) omitted |
$32,139 | $38,093 | $31,253 | $26,865 | $19,647 | $18,536 | ||||||||||||||||||||||||
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 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. |
8 | Not annualized. |
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, 2020, and for the years ended 2019, 2018, 2017, 2016 and 2015, respectively. |
11 | Annualized. |
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.) |
13 | Less than 0.005%. |
34
Notes to Financial Statements (unaudited) June 30, 2020 |
35
Notes to Financial Statements (continued) |
36
Notes to Financial Statements (continued) |
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.
For the six months ended June 30, 2020 (unaudited) and the fiscal year ended December 31, 2019, the capital stock transactions by class for the Funds were as follows:
Bond | Special Equity | |||||||||||||||||||||||||||||||
June 30, 2020 | December 31, 2019 | June 30, 2020 | December 31, 2019 | |||||||||||||||||||||||||||||
Shares
|
Amount
|
Shares
|
Amount
|
Shares
|
Amount
|
Shares
|
Amount
|
|||||||||||||||||||||||||
Class N: |
||||||||||||||||||||||||||||||||
Proceeds from sale of shares |
1,711,776 | $ | 46,093,094 | 3,416,998 | $ | 90,763,873 | 14,075 | $ | 1,427,420 | 65,788 | $ | 8,856,577 | ||||||||||||||||||||
Reinvestment of distributions |
350,306 | 9,294,216 | 1,051,262 | 28,038,056 | | | 354,078 | 38,909,669 | ||||||||||||||||||||||||
Cost of shares repurchased |
(4,384,780) | (115,201,100) | (9,751,128) | (261,380,964) | (137,051) | (13,456,301) | (359,581) | (46,144,528) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) |
(2,322,698) | $ | (59,813,790) | (5,282,868) | $ | (142,579,035) | (122,976) | $ | (12,028,881) | 60,285 | $ | 1,621,718 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Class I: |
||||||||||||||||||||||||||||||||
Proceeds from sale of shares |
3,459,590 | $ | 92,294,912 | 8,666,428 | $ | 231,939,268 | 19,407 | $ | 2,061,494 | 53,673 | $ | 7,476,323 | ||||||||||||||||||||
Reinvestment of distributions |
367,226 | 9,745,160 | 1,007,830 | 26,817,303 | | | 75,043 | 8,611,172 | ||||||||||||||||||||||||
Cost of shares repurchased |
(4,961,427) | (129,757,851) | (30,324,739) | (794,577,486) | (75,258) | (8,304,354) | (64,117) | (8,720,351) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) |
(1,134,611) | $ | (27,717,779) | (20,650,481) | $ | (535,820,915) | (55,851) | $ | (6,242,860) | 64,599 | $ | 7,367,144 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
37
Notes to Financial Statements (continued) |
Global Income Opportunity | ||||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||||||||||
Shares
|
Amount
|
Shares
|
Amount
|
|||||||||||||
Class N: |
||||||||||||||||
Proceeds from sale of shares |
45,300 | $971,964 | 47,899 | $1,005,926 | ||||||||||||
Reinvestment of distributions |
| | 1,347 | 28,845 | ||||||||||||
Cost of shares repurchased |
(101,958) | (2,176,741) | (118,585) | (2,450,499) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net decrease |
(56,658) | $(1,204,777) | (69,339) | $(1,415,728) | ||||||||||||
|
|
|
|
|
|
|
|
38
Notes to Financial Statements (continued) |
39
Notes to Financial Statements (continued) |
40
Notes to Financial Statements (continued) |
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, 2020:
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 | |||||||||||||||||||||||
Bond |
||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. |
$1,000,000 | | $1,000,000 | $1,000,000 | | |||||||||||||||||||||||
JP Morgan Securities LLC |
276,061 | | 276,061 | 276,061 | | |||||||||||||||||||||||
MUFG Securities America, Inc. |
1,000,000 | | 1,000,000 | 1,000,000 | | |||||||||||||||||||||||
RBC Dominion Securities, Inc. |
1,000,000 | | 1,000,000 | 1,000,000 | | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||
Total |
$3,276,061 | | $3,276,061 | $3,276,061 | | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||
Global Income Opportunity |
||||||||||||||||||||||||||||
Citibank N.A. |
$236,586 | | $236,586 | $236,586 | | |||||||||||||||||||||||
Citigroup |
1,915 | | 1,915 | | $1,915 | |||||||||||||||||||||||
Credit Suisse |
9,550 | | 9,550 | | 9,550 | |||||||||||||||||||||||
JPMorgan |
389 | | 389 | | 389 | |||||||||||||||||||||||
Morgan Stanley |
761 | $(761 | ) | | | | ||||||||||||||||||||||
UBS Securities |
9,246 | (6,859 | ) | 2,387 | | 2,387 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||
Total |
$258,447 | $(7,620 | ) | $250,827 | $236,586 | $14,241 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||
Special Equity |
||||||||||||||||||||||||||||
Cantor Fitzgerald Securities, Inc. |
$2,173,079 | | $2,173,079 | $2,173,079 | | |||||||||||||||||||||||
Citadel Securities LLC |
1,240,917 | | 1,240,917 | 1,240,917 | | |||||||||||||||||||||||
Citigroup Global Markets, Inc. |
2,276,189 | | 2,276,189 | 2,276,189 | | |||||||||||||||||||||||
RBC Dominion Securities, Inc. |
1,821,144 | | 1,821,144 | 1,821,144 | | |||||||||||||||||||||||
State of Wisconsin Investment Board |
2,072,600 | | 2,072,600 | 2,072,600 | | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||
Total |
$9,583,929 | | $9,583,929 | $9,583,929 | | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||
Fund | Gross Amounts of Liabilities Presented in the Statement of Assets and Liabilities |
Offset Amount |
Net Asset Balance |
Collateral Received |
Net Amount | |||||||||||||||||||||||
Global Income Opportunity Fund |
||||||||||||||||||||||||||||
Merrill Lynch |
$(8,412 | ) | | $(8,412 | ) | | $(8,412 | ) | ||||||||||||||||||||
Morgan Stanley |
(7,844 | ) | $761 | (7,083 | ) | | (7,083 | ) | ||||||||||||||||||||
UBS Securities |
(6,859 | ) | 6,859 | | | | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||
Total |
$(23,115 | ) | $7,620 | $(15,495 | ) | | $(15,495 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42
Annual Renewal of Investment Management and Subadvisory Agreements |
At a meeting held via telephone and video conference on June 25, 20201, 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 the nature, extent and quality of services, comparative performance, fee and expense information for an appropriate peer group of similar mutual funds for each Fund (each, a Peer Group), performance information for the relevant benchmark index for each Fund (each, a Fund Benchmark) and, with respect to each applicable Subadviser, comparative performance information for an appropriate peer group of managed accounts, other relevant matters, and other information provided to them on a periodic basis throughout the year. Prior to voting, the Independent Trustees: (a) reviewed the foregoing information with their independent legal counsel; (b) received materials from their independent legal counsel discussing the legal standards applicable to their consideration of the Investment Management 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 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. |
43
| ||
Annual Renewal of Investment Management and Subadvisory Agreements (continued) |
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 was mindful of the Investment Managers expertise, resources and attention to monitoring each Subadvisers performance, investment style and risk-adjusted performance with respect to the Funds and its discussions with the Subadvisers management regarding the factors that contributed to the performance of the Funds. The Board also noted each Subadvisers performance record with respect to AMG Managers Special Equity Fund.
ADVISORY AND SUBADVISORY FEES; PROFITABILTY; AND ECONOMIES OF SCALE
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. With respect to AMG Managers Loomis Sayles Bond Fund, the Trustees also noted payments made or to be made from Loomis, Sayles & Company, L.P. (Loomis) to the Investment Manager, and other payments made or to be made from the Investment Manager to Loomis. 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 change in shareholder servicing fee rates that was implemented during the past year for Class I shares of 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 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 by a Subadviser, or the portion of a Fund managed by a Subadviser, 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, 2020 was below, below, above, and above, respectively, 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 for all relevant time periods and outperformed the median of the | ||||||||||
economies of scale, the Trustees also noted that as a Funds assets increase over time, the Fund may realize other |
44
| ||
Annual Renewal of Investment Management and Subadvisory Agreements (continued) |
Peer Group for the 5-year and 10-year periods. The Trustees concluded that the Funds overall performance has been satisfactory.
ADVISORY AND SUBADVISORY FEES AND FUND EXPENSES.
The Trustees noted that the management fees (which include both the advisory and administration fees) and total expenses (net of applicable expense waivers/reimbursements) of Class I shares (the class of shares which is the primary focus of the Funds distribution) of the Fund as of March 31, 2020 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, 2021, 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 and select competitors. The Trustees concluded that, in light of the nature, extent and quality of the services provided by the Investment Manager and the 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, 2020 was above the median performance of the Peer Group and below, below, below, 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 the fact that the Fund outperformed its Peer Group for all relevant time periods. The Trustees also took into account the fact that Class N shares of the Fund ranked in the top quintile relative to its Peer Group for the 5-year and 10-year periods. The Trustees concluded that the Funds overall performance has been satisfactory.
ADVISORY AND SUBADVISORY FEES AND FUND EXPENSES.
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, 2020 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, 2021, 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, as well as its 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.
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, 2020 was below, below, below, and above, respectively, the median performance of the Peer Group and below, below, below, and above, respectively, the performance of the Fund Benchmark, 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 quintile relative to its Peer Group for the 10-year period. The Trustees concluded that the Funds overall performance has been satisfactory in light of the Funds investment objective, strategies and policies.
ADVISORY AND SUBADVISORY FEES AND FUND EXPENSES.
The Trustees noted that the management fees (which include both the advisory and administration fees) and total expenses (net of applicable expense waivers/reimbursements) of Class I shares (the class of shares which is the primary focus of the Funds distribution) of the Fund as of March 31, 2020 were both lower than the average for the Peer Group. The Trustees took into account the fact that the Investment Manager has contractually agreed, through May 1, 2021, to limit the Funds net annual |
operating expenses (subject to certain excluded expenses) to 0.46%. 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 Agreement(s) 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 25, 2020, the Trustees, and separately a majority of the Independent Trustees, voted to approve the Investment Management and the Subadvisory Agreements for each Fund.
1 The Trustees determined that the conditions surrounding COVID-19 constituted unforeseen or emergency circumstances and that reliance on the Securities and Exchange Commissions (SEC) exemptive order, which provides relief from the in-person voting requirements of the Investment Company Act of 1940, as amended (the 1940 Act), in certain circumstances (the In-Person Relief), was necessary or appropriate due to the circumstances related to current or potential effects of COVID-19. The Trustees unanimously wished to rely on the In-Person Relief with respect to the approval of those matters on the agenda for the June 25, 2020 meeting that would otherwise require in-person votes under the 1940 Act. The Trustees, including a majority of the Trustees who are not interested persons of AMG Funds III, undertook to ratify the actions taken pursuant to the In-Person Relief at the Boards next in-person meeting, consistent with the requirements of the In-Person Relief. See Investment Company Release No. 33897 (June 19, 2020). This exemptive order supersedes, in part, a similar, earlier exemptive order issued by the SEC (Investment Company Release No. 33824 (March 25, 2020)). |
45
Funds Liquidity Risk Management Program |
The Securities and Exchange Commission (the SEC) adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the Liquidity Rule), to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that a fund will be unable to meet its redemption obligations and mitigating dilution of the interests of fund shareholders.
The AMG Funds Family of Funds (each a Fund, and collectively, the Funds) have adopted and implemented a Liquidity Risk Management Program (the Program) as required by the Liquidity Rule. The Program is reasonably designed to assess and manage each Funds liquidity risk, taking into consideration the Funds investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short and long-term cash flow projections, and its holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources, including access to the Funds credit facility. Under the Liquidity Rule, each liquidity classification category (highly liquid, moderately liquid, less liquid and illiquid) is defined with respect to the time it is reasonably expected to take to convert the investment to cash (or sell or dispose of the investment) in current market conditions without significantly changing the market value of the investment.
The Funds Board of Trustees (the Board) appointed AMG Funds LLC (AMGF) as the Program administrator. AMGF formed a Liquidity Risk Management Committee (LRMC), which includes |
members of various departments across AMGF, including Legal, Compliance, Mutual Fund Services, Investment Research and Product Analysis & Operations and, as needed, other representatives of AMGF and/or representatives of the subadvisers to the Funds. The LRMC meets on a periodic basis, no less frequently than monthly. The LRMC is responsible for the Programs administration and oversight and for reporting to the Board on at least an annual basis regarding the Programs operation and effectiveness.
At a meeting of the Board held on March 19, 2020, the Board received a report from the LRMC regarding the design and operational effectiveness of the Program for the period December 1, 2018 through December 31, 2019 (the Program Reporting Period).
The Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing a Funds liquidity risk, as follows:
A.The Funds investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions:
During the Program Reporting Period, the LRMC reviewed whether each Funds investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions is appropriate for an open-end fund structure. The LRMC also factored a Funds concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. |
B.Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions:
During the Program Reporting Period, the LRMC reviewed historical net redemption activity and used this information as a component to establish each Funds reasonably anticipated trading size. The Funds maintain an in-kind redemption policy, which may be utilized to meet larger redemption requests, when appropriate. The LRMC may also take into consideration a Funds shareholder ownership concentration, a Funds distribution channels, and the degree of certainty associated with a Funds short-term and long-term cash flow projections.
C.Holdings of cash and cash equivalents, as well as borrowing arrangements:
The LRMC considered the terms of the credit facilities available to the Funds.
The report concluded that, based upon the review of the Program, using resources and methodologies that AMGF considers reasonable, AMGF believes that the Program and Funds Liquidity Risk Management Policies and Procedures are adequate, effective, and reasonably designed to effectively manage the Funds liquidity risk.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to each Funds prospectus or statement of additional information for more information regarding a Funds exposure to liquidity risk and other principal risks to which an investment in a Fund may be subject. |
46
THIS PAGE INTENTIONALLY LEFT BLANK
THIS PAGE INTENTIONALLY LEFT BLANK
INVESTMENT MANAGER AND ADMINISTRATOR
AMG Funds LLC 600 Steamboat Road, Suite 300 Greenwich, CT 06830 800.548.4539
DISTRIBUTOR
AMG Distributors, Inc. 600 Steamboat Road, Suite 300 Greenwich, CT 06830 800.548.4539
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 4400 Computer Drive Westborough, MA 01581 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. 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 most recent semiannual report or annual report, please visit amgfunds.com.
| ||
|
||||
amgfunds.com
|
AFFILIATE SUBADVISED FUNDS
BALANCED FUNDS
AMG GW&K Global Allocation GW&K Investment Management, 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 Emerging Markets Equity AMG GW&K Emerging Wealth Equity GW&K Investment Management, LLC
AMG Renaissance Large Cap Growth The Renaissance Group LLC
AMG River Road Dividend All Cap Value AMG River Road Focused Absolute Value AMG River Road Long-Short AMG River Road Small-Mid Cap Value AMG River Road Small Cap Value River Road Asset Management, LLC |
AMG TimesSquare Emerging Markets Small Cap AMG TimesSquare Global Small Cap AMG TimesSquare International Small Cap AMG TimesSquare Mid Cap Growth AMG TimesSquare Small Cap Growth TimesSquare Capital Management, LLC
AMG 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 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 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
AMG SouthernSun Small Cap AMG SouthernSun U.S. Equity SouthernSun Asset Management, LLC
FIXED INCOME FUNDS AMG Managers Doubleline Core Plus Bond DoubleLine Capital LP
AMG Managers Global Income Opportunity AMG Managers Loomis Sayles Bond Loomis, Sayles & Company, L.P.
|
amgfunds.com
|
063020 | SAR078 |
Item 2. CODE OF ETHICS
Not applicable for the semi-annual shareholder report.
Item 3. AUDIT COMMITTEE FINANCIAL EXPERT
Not applicable for the semi-annual shareholder report.
Item 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
Not applicable for the semi-annual shareholder report.
Item 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable.
Item 6. SCHEDULE OF INVESTMENTS
The schedule of investments in unaffiliated issuers as of the close of the reporting period is included as part of the shareholder report contained in Item 1 hereof.
Item 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
Item 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
Item 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANIES AND AFFILIATED PURCHASERS
Not applicable.
Item 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS |
Not applicable.
Item 11. CONTROLS AND PROCEDURES
(a) | The registrants principal executive and principal financial officers have concluded, based on their evaluation of the registrants disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the registrants disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the registrants management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure. |
(b) | There were no changes in the registrants internal control over financial reporting during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the internal control over financial reporting. |
Item 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
Item 13. EXHIBITS
(a)(1) | Not applicable. | |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 - Filed herewith. | |
(a)(3) | Not applicable. | |
(b) | Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 - Filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
AMG FUNDS III
By: | /s/ Keitha L. Kinne | |
Keitha L. Kinne, Principal Executive Officer | ||
Date: | September 3, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Keitha L. Kinne | |
Keitha L. Kinne, Principal Executive Officer | ||
Date: | September 3, 2020 | |
By: | /s/ Thomas Disbrow | |
Thomas Disbrow, Principal Financial Officer | ||
Date: | September 3, 2020 |
CERTIFICATION FILED AS EXHIBIT 13(a)(2) TO FORM N-CSR
I, Keitha L. Kinne, certify that:
1. I have reviewed this report on Form N-CSR of AMG Funds III;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
Date: September 3, 2020
/s/ Keitha L. Kinne |
Keitha L. Kinne |
Principal Executive Officer |
CERTIFICATION FILED AS EXHIBIT 13(a)(2) TO FORM N-CSR
I, Thomas Disbrow, certify that:
1. I have reviewed this report on Form N-CSR of AMG Funds III;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
Date: September 3, 2020
/s/ Thomas Disbrow |
Thomas Disbrow |
Principal Financial Officer |
CERTIFICATION FILED AS EXHIBIT 13(B) TO FORM N-CSR
Name of Issuer: | AMG FUNDS III AMG MANAGERS SPECIAL EQUITY FUND, AMG MANAGERS LOOMIS SAYLES BOND FUND, AND AMG MANAGERS GLOBAL INCOME OPPORTUNITY FUND |
In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that:
1. | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer. |
Dated: September 3, 2020 | /s/ Keitha L. Kinne | |||
Keitha L. Kinne | ||||
Principal Executive Officer |
CERTIFICATION FILED AS EXHIBIT 13(B) TO FORM N-CSR
Name of Issuer: | AMG FUNDS III AMG MANAGERS SPECIAL EQUITY FUND, AMG MANAGERS LOOMIS SAYLES BOND FUND, AND AMG MANAGERS GLOBAL INCOME OPPORTUNITY FUND |
In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that:
1. | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer. |
Dated: September 3, 2020 | /s/ Thomas Disbrow | |||
Thomas Disbrow Principal Financial Officer |