0001752724-21-206392.txt : 20210924 0001752724-21-206392.hdr.sgml : 20210924 20210924120115 ACCESSION NUMBER: 0001752724-21-206392 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20210730 FILED AS OF DATE: 20210924 PERIOD START: 20211031 FILER: COMPANY DATA: COMPANY CONFORMED NAME: AMG Funds I CENTRAL INDEX KEY: 0000882443 IRS NUMBER: 561773580 STATE OF INCORPORATION: MA FISCAL YEAR END: 0331 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-06520 FILM NUMBER: 211275788 BUSINESS ADDRESS: STREET 1: ONE STAMFORD PLAZA STREET 2: 263 TRESSER BLVD, SUITE 949 CITY: STAMFORD STATE: CT ZIP: 06901 BUSINESS PHONE: 2032993500 MAIL ADDRESS: STREET 1: ONE STAMFORD PLAZA STREET 2: 263 TRESSER BLVD, SUITE 949 CITY: STAMFORD STATE: CT ZIP: 06901 FORMER COMPANY: FORMER CONFORMED NAME: MANAGERS TRUST I DATE OF NAME CHANGE: 20000801 FORMER COMPANY: FORMER CONFORMED NAME: SMITH BREEDEN TRUST DATE OF NAME CHANGE: 19920929 0000882443 S000009907 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AMG FQ Global Risk-Balanced Fund
Schedule of Portfolio Investments (unaudited)
July 31, 2021
  Shares Value
Exchange Traded Funds - 51.7%    
iShares Global Infrastructure ETF 12,613 $578,685
iShares iBoxx High Yield Corporate Bond ETF1,2 80,438 7,065,674
iShares TIPS Bond ETF2 52,521 6,858,192
Materials Select Sector SPDR Fund 7,054 592,677
SPDR FTSE International Government Inflation-Protected Bond ETF 24,923 1,422,605
VanEck Vectors Gold Miners ETF 17,135 598,354
VanEck Vectors Natural Resource ETF 12,766 583,594
Vanguard Global ex-U.S. Real Estate ETF 3,311 193,362
Vanguard Real Estate ETF2 16,654 1,770,154
     
Total Exchange Traded Funds
(Cost $18,289,503) 		  19,663,297
    
  Notes  
Exchange Traded Notes - 10.3%    
Barclays PLC, iPath Bloomberg Commodity Index Total Return ETN, 06/12/36* 54,908 1,528,639
Deutsche Bank AG, DB Gold Double Long ETN, 02/15/38* 19,814 775,486
Swedish Export Credit Corp., ELEMENTS Linked to the Rogers International Commodity Index Total Return, 10/24/22* 252,876 1,625,993
     
Total Exchange Traded Notes
(Cost $2,912,551) 		  3,930,118
    
     
Purchased Options - 0.6%    
     
(See Open Exchange Traded Purchased Options schedule)
(Cost $386,601) 		205,116
    
  Principal
Amount 		 
Short-Term Investments - 44.3%    
Joint Repurchase Agreements - 5.7%3    
Daiwa Capital Markets America, dated 07/30/21, due 08/02/21, 0.050% total to be received $1,000,004 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.000% - 6.500%, 09/16/21 - 08/01/51, totaling $1,020,000) $1,000,000 1,000,000
  Principal
Amount 		Value
     
Morgan, Stanley & Co. LLC, dated 07/30/21, due 08/02/21, 0.050% total to be received $145,005 (collateralized by various U.S. Government Agency Obligations, 1.500% - 8.000%, 07/01/24 - 08/01/51, totaling $147,904) $145,004 $145,004
RBC Dominion Securities, Inc., dated 07/30/21, due 08/02/21, 0.050% total to be received $1,000,004 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.250% - 7.500%, 04/15/24 - 04/01/53, totaling $1,020,000) 1,000,000 1,000,000
     
Total Joint Repurchase Agreements   2,145,004
U.S. Government Obligations - 21.0%    
U.S. Treasury Bills, 0.001%, 09/16/214,5 2,500,000 2,499,891
U.S. Treasury Bills, 0.010%, 08/12/215 2,500,000 2,499,978
U.S. Treasury Bills, 0.043%, 11/18/211,4,5 3,000,000 2,999,572
     
Total U.S. Government Obligations   7,999,441
    
  Shares  
Other Investment Companies - 17.6%    
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%6 2,213,672 2,213,672
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 0.01%6 2,213,672 2,213,672
JPMorgan U.S. Government Money Market Fund, IM Shares, 0.03%6 2,280,753 2,280,753
     
Total Other Investment Companies   6,708,097
     
Total Short-Term Investments
(Cost $16,852,704) 		  16,852,542
Total Investments - 106.9%
(Cost $38,441,359) 		   40,651,073
Derivatives - (0.8)%7    (296,536)
Other Assets, less Liabilities - (6.1)%    (2,310,401)
Net Assets - 100.0%   $38,044,136
* Non-income producing security.
1 Some or all of these securities were held as collateral for written options as of July 31, 2021, amounting to $5,945,250 or 15.6% of net assets.
2 Some of these securities, amounting to $8,056,104 or 21.2% of net assets, were out on loan to various borrowers and are collateralized by cash and various U.S. Treasury Obligations. See below for more information.
3 Cash collateral received for securities lending activity was invested in these joint repurchase agreements.
4 Some or all of this security is held as collateral for futures contracts. The market value of collateral at July 31, 2021, amounted to $2,799,779, or 7.4% of net assets.
5 Represents yield to maturity at July 31, 2021.
6 Yield shown represents the July 31, 2021, seven day average yield, which refers to the sum of the previous seven days' dividends paid, expressed as an annual percentage.
7 Includes Exchange Traded Written Options and Futures Contracts. Please refer to the Open Exchange Traded Written Options and Open Futures Contracts tables for the details.
    
ETF Exchange Traded Fund
1
AMG FQ Global Risk-Balanced Fund
Schedule of Portfolio Investments (continued)
ETN Exchange Traded Notes
SPDR Standard & Poor's Depositary Receipt
TIPS Treasury Inflation-Protected Securities
Open Exchange Traded Purchased Options
Description Strike Price Expiration Date Number of
Contracts 		Notional
Amount 		Cost   Value
EURO STOXX 50 (Put) 3,750 10/15/21 42 $1,575,000 $29,118   $25,509
EURO STOXX 50 (Put) 3,775 10/15/21 13 490,750 9,990   8,405
EURO STOXX 50 (Put) 3,800 09/17/21 34 1,292,000 22,739   14,600
EURO STOXX 50 (Put) 3,825 09/17/21 19 726,750 11,956   8,790
EURO STOXX 50 (Put) 3,875 08/20/21 4 155,000 1,935   892
S&P 500 Index (Put) 3,875 09/17/21 15 5,812,500 101,784   26,550
S&P 500 Index (Put) 3,890 10/15/21 8 3,112,000 57,509   30,608
S&P 500 Index (Put) 3,930 09/17/21 9 3,537,000 52,052   19,053
S&P 500 Index (Put) 3,990 08/20/21 4 1,596,000 17,766   2,680
S&P 500 Index (Put) 4,050 10/15/21 13 5,265,000 81,752   68,029
        Total $386,601   $205,116
Open Exchange Traded Written Options
Description Strike Price Expiration Date Number of
Contracts 		Notional
Amount 		Premium   Value
EURO STOXX 50 (Call) 4,300 10/15/21 42 $1,806,000 $10,163   $(12,505)
EURO STOXX 50 (Call) 4,375 08/20/21 4 175,000 547   (24)
EURO STOXX 50 (Call) 4,400 09/17/21 34 1,496,000 6,768   (1,089)
EURO STOXX 50 (Call) 4,425 09/17/21 19 840,750 3,684   (451)
EURO STOXX 50 (Call) 4,475 10/15/21 13 581,750 2,897   (663)
EURO STOXX 50 (Put) 3,575 10/15/21 42 1,501,500 18,694   (16,890)
EURO STOXX 50 (Put) 3,625 10/15/21 13 471,250 7,120   (5,860)
EURO STOXX 50 (Put) 3,650 09/17/21 34 1,241,000 15,637   (9,559)
EURO STOXX 50 (Put) 3,675 09/17/21 19 698,250 8,081   (5,725)
EURO STOXX 50 (Put) 3,775 08/20/21 4 151,000 1,396   (574)
S&P 500 Index (Call) 4,460 09/17/21 15 6,690,000 25,846   (76,575)
S&P 500 Index (Call) 4,490 08/20/21 4 1,796,000 3,886   (3,940)
S&P 500 Index (Call) 4,540 09/17/21 9 4,086,000 12,802   (18,855)
S&P 500 Index (Call) 4,575 10/15/21 8 3,660,000 16,243   (27,120)
S&P 500 Index (Call) 4,660 10/15/21 13 6,058,000 19,206   (20,280)
S&P 500 Index (Put) 3,725 10/15/21 8 2,980,000 41,227   (20,080)
S&P 500 Index (Put) 3,750 09/17/21 15 5,625,000 75,906   (19,290)
S&P 500 Index (Put) 3,810 09/17/21 9 3,429,000 39,478   (13,230)
S&P 500 Index (Put) 3,900 08/20/21 4 1,560,000 13,722   (1,760)
S&P 500 Index (Put) 3,930 10/15/21 13 5,109,000 62,483   (51,935)
        Total $385,786   $(306,405)
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AMG FQ Global Risk-Balanced 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)
ASX SPI 200 Index AUD 12 Long 09/16/21 $1,607,132 $10,040
Australia 10-Year Bond AUD 46 Long 09/15/21 4,908,202 87,375
Canadian 10-Year Bond CAD 42 Long 09/21/21 4,982,703 59,497
EURO STOXX 50 EUR 87 Long 09/17/21 4,218,969 (45,703)
FTSE 100 Index GBP 11 Long 09/17/21 1,065,178 (20,024)
MINI HSI Index HKD 21 Long 08/30/21 699,815 (23,702)
MINI TPX Index JPY 64 Long 09/09/21 1,111,344 (35,382)
MSCI Emerging Markets Index USD 51 Long 09/17/21 3,258,135 (231,054)
Russell 2000® Mini Index USD 36 Long 09/17/21 3,998,880 (174,699)
S&P 500 E-Mini Index USD 62 Long 09/17/21 1,360,745 50,911
S&P/TSX 60 Index CAD 7 Long 09/16/21 1,360,500 14,870
U.K. 10-Year Gilt GBP 37 Long 09/28/21 6,675,100 75,950
US LONG BOND(CBT) USD 53 Long 09/21/21 8,730,094 241,790
          Total $9,869
    
CURRENCY ABBREVIATIONS:
AUD Australian Dollar
CAD Canadian Dollar
EUR Euro Dollar
GBP British Pound
HKD Hong Kong Dollar
JPY Japanese Yen
USD US Dollar
3
AMG FQ Global Risk-Balanced Fund
Schedule of Portfolio Investments (continued)
The following table summarizes the inputs used to value the Fund's investments by the fair value hierarchy levels as of July 31, 2021:
  Level 1   Level 2   Level 3   Total
Investments in Securities
Exchange Traded Funds†  $19,663,297    —    —    $19,663,297
Exchange Traded Notes†  3,930,118    —    —    3,930,118
Purchased Options              
Equity Contracts  205,116    —    —    205,116
Short-Term Investments
Joint Repurchase Agreements  —    $2,145,004    —    2,145,004
U.S. Government Obligations  —    7,999,441    —    7,999,441
Other Investment Companies  6,708,097    —    —    6,708,097
Total Investments in Securities $30,506,628   $10,144,445   —   $40,651,073
Financial Derivative Instruments - Assets
Equity Futures Contracts  $75,821    —    —    $75,821
Interest Rate Futures Contracts  464,612    —    —    464,612
Financial Derivative Instruments - Liabilities
Equity Futures Contracts  (530,564)    —    —    (530,564)
Equity Written Options  (306,405)    —    —    (306,405)
Total Financial Derivative Instruments $(296,536)   —   —   $(296,536)
    
   
† All exchange traded funds and exchange traded notes held in the Fund are level 1 securities. For a detailed listing of these securities, please refer to the Fund’s Schedule of Portfolio Investments.
For the period ended July 31, 2021, there were no transfers in or out of Level 3.
The Fund participates in the securities lending program offered by The Bank of New York Mellon providing for the lending of securities to qualified brokers. The value of securities loaned on positions held, cash collateral and securities collateral received at July 31, 2021, were as follows:
  Securities
Loaned 		Cash
Collateral
Received 		Securities
Collateral
Received 		Total
Collateral
Received
   $8,056,104  $2,145,004  $6,074,719  $8,219,723
The following table summarizes the securities received as collateral for securities lending at July 31, 2021:
  Collateral
Type 		Coupon
Range 		Maturity
Date Range
  U.S. Treasury Obligations 0.000%-8.000% 08/15/21-02/15/50
For additional information about significant accounting policies, including valuation of investments, refer to the Fund’s most recent semi or annual report.
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