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: 811-06520
AMG Funds I
(Exact name of registrant as specified in charter)
680 Washington Boulevard, Suite 500, Stamford, Connecticut 06901
(Address of principal executive offices) (Zip code)
680 Washington Boulevard, Suite 500, Stamford, Connecticut 06901
(Name and address of agent for service)
Registrant’s telephone number, including area code: (203) 299-3500
Date of fiscal year end: September 30
Date of reporting period: OCTOBER 1, 2023 – MARCH 31, 2024
(Semi-Annual Shareholder Report)
| Item 1. | Reports to Shareholders |
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 | | SEMI-ANNUAL REPORT |
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| | | AMG Funds |
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| | | March 31, 2024 | | | | |
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| | | AMG Boston Common Global Impact Fund |
| | | Class I: BRWIX | | | | |
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| wealth.amg.com | | 033124 | | | SAR074 | |
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| | AMG Funds Semi-Annual Report — March 31, 2024 (unaudited) |
Nothing contained herein is to be considered an offer, sale or solicitation of an offer to buy shares of any series of the AMG Funds Family of Funds. Such offering is made only by prospectus, which includes details as to offering price and other material information.
| | |
| | About Your Fund’s Expenses (unaudited) |
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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 section of the following table provides information about the actual account values and | | actual expenses. You may use the information in this section, 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 section under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second section of the following table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s | | 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 section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. |
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Six Months Ended March 31, 2024 | | Expense
Ratio for
the Period | | Beginning
Account
Value
10/01/23 | | Ending
Account
Value
03/31/24 | | Expenses
Paid
During
the Period* |
|
AMG Boston Common Global Impact Fund |
|
Based on Actual Fund Return |
Class I | | 0.93% | | $1,000 | | $1,173 | | $5.05 |
Based on Hypothetical 5% Annual Return |
Class I | | 0.93% | | $1,000 | | $1,020 | | $4.70 |
| * | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), then divided by 366. |
2
| | |
| | Fund Performance (unaudited) Periods ended March 31, 2024 |
The table below shows the average annual total returns for the periods indicated for the Fund, as well as the Fund’s relative index for the same time periods ended March 31, 2024.
| | | | | | | | | | | | | | | | |
| Average Annual Total Returns1 | | Six
Months* | | | One
Year | | | Five
Years | | | Ten
Years | |
|
AMG Boston Common Global Impact Fund2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16 | |
| | | | |
Class I | | | 17.25% | | | | 8.12% | | | | 7.37% | | | | 8.87% | |
| | | | |
MSCI ACWI Index17 | | | 20.14% | | | | 23.22% | | | | 10.92% | | | | 8.66% | |
The performance data shown represents past performance. Past performance is not a guarantee of future results. Current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Investors should carefully consider the Fund’s investment objectives, risks, charges and expenses before investing. For performance information through the most recent month end, current net asset values per share for the Fund and other information, please call 800.548.4539 or visit our website at wealth.amg.com for a free prospectus. Read it carefully before investing or sending money.
Distributed by AMG Distributors, Inc., member FINRA/SIPC.
* Not annualized.
| 1 | Total return equals income yield plus share price change and assumes reinvestment of all dividends and capital gain distributions. Returns are net of fees and may reflect offsets of Fund expenses as described in the prospectus. No adjustment has been made for taxes payable by shareholders on their reinvested dividends and capital gain distributions. Returns for periods greater than one year are annualized. The listed returns on the Fund are net of expenses and based on the published NAV as of March 31, 2024. All returns are in U.S. Dollars ($). |
| 2 | As of March 19, 2021, the Fund’s Subadviser was changed to Boston Common Asset Management, LLC. Prior to March 19, 2021, the Fund was known as the AMG Managers Brandywine Fund, and had different principal investment strategies and corresponding risks. Performance shown for periods prior to March 19, 2021, reflects the performance and investment strategies of the Fund’s previous Subadvisers, Friess Associates, LLC and Friess Associates of Delaware, LLC. The Fund’s past performance would have been different if the Fund were managed by the current Subadviser and strategy, and the Fund’s prior performance record might be less pertinent for investors considering whether to purchase shares of the Fund. |
| 3 | Market prices of investments held by the Fund may fall rapidly or unpredictably due to a variety of factors, including economic, political, or market conditions, or other factors including terrorism, war, natural disasters and the spread of infectious illness or other public health issues, including epidemics or pandemics, or in response to events that affect particular industries or companies. |
| 4 | Because the Fund is an actively managed investment portfolio, security selection or focus on securities in a particular style, market sector or group of companies may cause the Fund to incur losses or underperform relative to its benchmarks or other funds with a similar investment objective. There can be no guarantee that the Subadviser’s investment techniques and risk analysis will produce the desired result. |
| 5 | Investments in foreign issuers involve additional risks (such as risks arising from less frequent trading, changes in political or social conditions, and less publicly available information about non-U.S. issuers) that differ from those associated with investments in U.S. issuers and may result in greater price volatility. |
| 6 | Investments in emerging markets are subject to the general risks of foreign investments, as well as additional risks which can result in greater price volatility. Such additional risks include the risk that markets in emerging market countries are typically less developed and less liquid than markets in developed countries and such markets are subjected to increased economic, political, or regulatory uncertainties. |
| 7 | Changes in the general political and social environment of a country can have substantial effects on the value of investments exposed to that country. |
| 8 | Fluctuations in exchange rates may affect the total loss or gain on a non-U.S. Dollar investment when converted back to U.S. Dollars and exposure to non-U.S. currencies may subject the Fund to the risk that those currencies will decline in value relative to the U.S. Dollar. |
|
9 Because applying the Fund’s ESG investment criteria may result in the selection or exclusion of securities of certain issuers for reasons other than financial performance, the Fund’s investment returns may underperform funds that do not incorporate ESG factors into their investment process. The incorporation of ESG criteria into the investment process may affect the Fund’s investment exposure to certain companies, sectors, regions, countries or types of investments, which could negatively impact the Fund’s performance depending on whether such investments are in or out of favor. Applying ESG criteria to investment decisions is qualitative and subjective by nature, and there is no guarantee that the criteria utilized by the Subadviser or any judgment exercised by the Subadviser will improve the financial performance of the Fund or reflect the beliefs or values of any particular investor. ESG standards differ by region and industry, and a company’s ESG practices or the Subadviser’s assessment of a company’s ESG practices may change over time. |
10 The prices of equity securities of companies that are expected to experience relatively rapid earnings growth, or “growth stocks,” may be more sensitive to market movements because the prices tend to reflect future investor expectations rather than just current profits. 11 Value stocks may perform differently from the market as a whole and may be undervalued by the market for a long period of time. |
12 The stocks of large-capitalization companies are generally more mature and may not be able to reach the same levels of growth as the stocks of small- or mid-capitalization companies. |
13 Although the Fund may invest in securities in any capitalization range, securities of mid-capitalization companies may pose additional risks. The stocks of mid-capitalization companies often have greater price volatility, lower trading volume, and less liquidity than the stocks of larger, more established companies. |
14 Although the Fund may invest in securities in any capitalization range, securities of small-capitalization companies may pose additional risks. The stocks of small-capitalization companies often have greater price volatility, lower trading volume, and less liquidity than the stocks of larger, more established companies. |
15 Issuers and companies that are in similar industry sectors may be similarly affected by particular economic or market events; to the extent the Fund has substantial holdings within a particular sector, the risks associated with that sector increase. |
16 The Fund may not be able to dispose of particular investments, such as illiquid securities, readily at favorable times or prices or the Fund may have to sell them at a loss. 17 The MSCI ACWI Index is a free float-adjusted market capitalization weighted index that is designed to |
3
| | |
| | Fund Performance Periods ended March 31, 2024 (continued) |
| | | | |
measure the equity market performance of developed and emerging markets. Please go to msci.com for most current list of countries represented by the index. Unlike the Fund, the MSCI ACWI Index is unmanaged, is not available for investment and does not incur expenses. | | All MSCI data is provided “as is”. The products described herein are not sponsored or endorsed and have not been reviewed or passed on by MSCI. In no event shall MSCI, its affiliates or any MSCI data provider have any liability of any kind in connection with the MSCI data or the products described herein. | | Copying or redistributing the MSCI data is strictly prohibited. Not FDIC insured, nor bank guaranteed. May lose value. |
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4
| | |
| | AMG Boston Common Global Impact Fund Fund Snapshots (unaudited) March 31, 2024 |
PORTFOLIO BREAKDOWN
| | |
| Sector | | % of
Net Assets |
| | |
Industrials | | 26.5 |
| | |
Information Technology | | 16.3 |
| | |
Financials | | 16.0 |
| | |
Health Care | | 14.1 |
| | |
Consumer Discretionary | | 8.4 |
| | |
Materials | | 6.0 |
| | |
Consumer Staples | | 4.3 |
| | |
Utilities | | 3.3 |
| | |
Real Estate | | 2.1 |
| | |
Communication Services | | 1.0 |
| | |
Short-Term Investments | | 0.8 |
| | |
Other Assets, less Liabilities | | 1.2 |
TOP TEN HOLDINGS
| | |
| Security Name | | % of
Net Assets |
| | |
Intuit, Inc. (United States) | | 2.9 |
| | |
ORIX Corp. (Japan) | | 2.7 |
| | |
Bank Rakyat Indonesia Persero Tbk PT, ADR (Indonesia) | | 2.7 |
| | |
salesforce.com, Inc. (United States) | | 2.7 |
| | |
Sprouts Farmers Market, Inc. (United States) | | 2.5 |
| | |
Westinghouse Air Brake Technologies Corp. (United States) | | 2.4 |
| | |
Applied Materials, Inc. (United States) | | 2.4 |
| | |
Schneider Electric SE (France) | | 2.3 |
| | |
Xylem, Inc. (United States) | | 2.3 |
| | |
American Water Works Co., Inc. (United States) | | 2.3 |
| | |
| | | |
| | |
Top Ten as a Group | | 25.2 |
| | | |
| | | |
Because a fund’s 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 Fund’s 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 Fund’s portfolio of investments by the time you receive this report.
5
| | |
| | AMG Boston Common Global Impact Fund Schedule of Portfolio Investments (unaudited) March 31, 2024 |
| | | | | | | | |
| | | Shares | | | Value | |
| | |
Common Stocks - 98.0% | | | | | | | | |
| |
Communication Services - 1.0% | | | | | |
| | |
Telkom Indonesia Persero Tbk PT (Indonesia) | | | 26,553,197 | | | | $5,840,257 | |
| |
Consumer Discretionary - 8.4% | | | | | |
| | |
BYD Co., Ltd., Class H (China) | | | 421,590 | | | | 10,794,836 | |
| | |
KB Home (United States) | | | 136,522 | | | | 9,676,679 | |
| | |
LKQ Corp. (United States) | | | 197,811 | | | | 10,565,086 | |
| | |
Shimano, Inc. (Japan) | | | 38,000 | | | | 5,653,016 | |
| | |
TopBuild Corp. (United States)* | | | 28,606 | | | | 12,607,522 | |
| | |
Total Consumer Discretionary | | | | | | | 49,297,139 | |
| |
Consumer Staples - 4.3% | | | | | |
| | |
McCormick & Co., Inc., Non-Voting Shares (United States) | | | 138,325 | | | | 10,624,743 | |
| | |
Sprouts Farmers Market, Inc.
(United States)* | | | 229,531 | | | | 14,800,159 | |
| | |
Total Consumer Staples | | | | | | | 25,424,902 | |
| |
Financials - 16.0% | | | | | |
| | |
Bank Rakyat Indonesia Persero Tbk PT, ADR (Indonesia) | | | 821,767 | | | | 15,753,273 | |
| | |
The Charles Schwab Corp.
(United States) | | | 159,244 | | | | 11,519,711 | |
| | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc., REIT (United States)1 | | | 333,457 | | | | 9,470,179 | |
| | |
Hannover Rueck SE (Germany) | | | 35,468 | | | | 9,712,076 | |
| | |
HDFC Bank, Ltd., ADR (India) | | | 160,149 | | | | 8,963,539 | |
| | |
Macquarie Group, Ltd. (Australia) | | | 82,987 | | | | 10,794,748 | |
| | |
ORIX Corp. (Japan) | | | 738,650 | | | | 16,155,569 | |
| | |
PayPal Holdings, Inc. (United States)* | | | 107,420 | | | | 7,196,066 | |
| | |
Ping An Insurance Group Co. of China, Ltd., Class H (China) | | | 1,019,000 | | | | 4,326,349 | |
| | |
Total Financials | | | | | | | 93,891,510 | |
| |
Health Care - 14.1% | | | | | |
| | |
Agilent Technologies, Inc.
(United States) | | | 79,229 | | | | 11,528,612 | |
| | |
Biogen, Inc. (United States)* | | | 37,362 | | | | 8,056,368 | |
| | |
CSL, Ltd. (Australia) | | | 60,331 | | | | 11,319,757 | |
| | |
Danaher Corp. (United States) | | | 35,452 | | | | 8,853,073 | |
| | |
Edwards Lifesciences Corp.
(United States)* | | | 107,698 | | | | 10,291,621 | |
| | |
Gilead Sciences, Inc. (United States) | | | 151,488 | | | | 11,096,496 | |
| | |
Hologic, Inc. (United States)* | | | 140,888 | | | | 10,983,628 | |
| | |
Regeneron Pharmaceuticals, Inc. (United States)* | | | 10,950 | | | | 10,539,266 | |
| | |
Total Health Care | | | | | | | 82,668,821 | |
| |
Industrials - 26.5% | | | | | |
| | |
Ashtead Group PLC (United Kingdom) | | | 131,912 | | | | 9,395,988 | |
| | |
The AZEK Co., Inc. (United States)* | | | 200,286 | | | | 10,058,363 | |
| | |
Carrier Global Corp. (United States) | | | 152,931 | | | | 8,889,879 | |
| | |
Daikin Industries, Ltd. (Japan) | | | 46,413 | | | | 6,337,265 | |
| | | | | | | | |
| | | Shares | | | Value | |
| | |
Industrie De Nora S.P.A. (Italy)1 | | | 511,566 | | | | $7,234,164 | |
| | |
Kurita Water Industries, Ltd. (Japan) | | | 233,100 | | | | 9,664,327 | |
| | |
Prysmian SpA (Italy) | | | 212,306 | | | | 11,072,597 | |
| | |
RELX PLC (United Kingdom) | | | 257,500 | | | | 11,104,802 | |
| | |
Rexel, S.A. (France) | | | 406,635 | | | | 10,984,366 | |
| | |
Schneider Electric SE (France) | | | 60,975 | | | | 13,785,010 | |
| | |
Sociedad Quimica y Minera de Chile, S.A., Sponsored ADR (Chile)1 | | | 206,679 | | | | 10,160,340 | |
| | |
TOMRA Systems A.S.A. (Norway) | | | 409,410 | | | | 6,408,469 | |
| | |
Vertiv Holdings Co., Class A (United States) | | | 75,376 | | | | 6,155,958 | |
| | |
Vestas Wind Systems A/S (Denmark)* | | | 247,026 | | | | 6,890,446 | |
| | |
Westinghouse Air Brake Technologies Corp. (United States) | | | 96,672 | | | | 14,083,177 | |
| | |
Xylem, Inc. (United States) | | | 106,457 | | | | 13,758,503 | |
| | |
Total Industrials | | | | | | | 155,983,654 | |
| |
Information Technology - 16.3% | | | | | |
| | |
Adobe, Inc. (United States)* | | | 20,544 | | | | 10,366,503 | |
| | |
Akamai Technologies, Inc. (United States)* | | | 105,675 | | | | 11,493,213 | |
| | |
Applied Materials, Inc. (United States) | | | 67,506 | | | | 13,921,762 | |
| | |
Enphase Energy, Inc. (United States)* | | | 36,776 | | | | 4,449,161 | |
| | |
First Solar, Inc. (United States)* | | | 32,043 | | | | 5,408,858 | |
| | |
Infineon Technologies AG (Germany) | | | 155,067 | | | | 5,273,137 | |
| | |
Intuit, Inc. (United States) | | | 26,162 | | | | 17,005,300 | |
| | |
Keyence Corp. (Japan) | | | 13,600 | | | | 6,313,949 | |
| | |
salesforce.com, Inc. (United States) | | | 51,802 | | | | 15,601,726 | |
| | |
Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR (Taiwan) | | | 43,182 | | | | 5,874,911 | |
| | |
Total Information Technology | | | | | | | 95,708,520 | |
| |
Materials - 6.0% | | | | | |
| | |
Borregaard A.S.A. (Norway) | | | 587,359 | | | | 10,236,109 | |
| | |
DSM-Firmenich AG (Switzerland) | | | 58,552 | | | | 6,659,239 | |
| | |
Ecolab, Inc. (United States) | | | 47,834 | | | | 11,044,871 | |
| | |
Westrock Co. (United States) | | | 154,931 | | | | 7,661,338 | |
| | |
Total Materials | | | | | | | 35,601,557 | |
| |
Real Estate - 2.1% | | | | | |
| | |
Weyerhaeuser Co., REIT (United States) | | | 346,983 | | | | 12,460,159 | |
| |
Utilities - 3.3% | | | | | |
| | |
American Water Works Co., Inc.
(United States) | | | 108,770 | | | | 13,292,782 | |
| | |
Veolia Environnement SA (France) | | | 183,852 | | | | 5,981,045 | |
| | |
Total Utilities | | | | | | | 19,273,827 | |
| | |
Total Common Stocks | | | | | | | | |
(Cost $531,190,468) | | | | | | | 576,150,346 | |
The accompanying notes are an integral part of these financial statements.
6
| | |
| | AMG Boston Common Global Impact Fund Schedule of Portfolio Investments (continued) |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
| | |
Short-Term Investments - 0.8% | | | | | | | | |
| |
Joint Repurchase Agreements - 0.5%2 | | | | | |
| | |
Daiwa Capital Markets America, dated 03/28/24, due 04/01/24, 5.360% total to be received $987,727 (collateralized by various U.S. Government Agency Obligations and U.S. Treasuries, 0.375% - 7.000%, 05/31/24 - 04/01/54, totaling $1,006,882) | | | $987,139 | | | | $987,139 | |
| | |
Deutsche Bank Securities, Inc., dated 03/28/24, due 04/01/24, 5.330% total to be received $1,000,592 (collateralized by various U.S. Government Agency Obligations, 1.500% - 7.500%, 06/01/36 - 04/01/54, totaling $1,020,000) | | | 1,000,000 | | | | 1,000,000 | |
| | |
MUFG Securities America, Inc., dated 03/28/24, due 04/01/24, 5.340% total to be received $1,000,593 (collateralized by various U.S. Government Agency Obligations, 3.000% - 5.500%, 01/01/39 - 11/01/52, totaling $1,020,000) | | | 1,000,000 | | | | 1,000,000 | |
| | |
Total Joint Repurchase Agreements | | | | | | | 2,987,139 | |
| | | | | | | | |
| | | | | | | | |
| | | Shares | | | Value | |
| |
Other Investment Companies - 0.3% | | | | | |
| | |
Dreyfus Government Cash Management Fund, Institutional Shares, 5.20%3 | | | 653,374 | | | | $653,374 | |
| | |
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 5.27%3 | | | 980,060 | | | | 980,060 | |
| | |
Total Other Investment Companies | | | | | | | 1,633,434 | |
| | |
Total Short-Term Investments | | | | | | | | |
(Cost $4,620,573) | | | | | | | 4,620,573 | |
| | |
Total Investments - 98.8% | | | | | | | | |
(Cost $535,811,041) | | | | | | | 580,770,919 | |
| |
Other Assets, less Liabilities - 1.2% | | | | 7,075,025 | |
| | |
Net Assets - 100.0% | | | | | | | $587,845,944 | |
| | | | | | | | |
| | * | Non-income producing security. |
| | 1 | Some of these securities, amounting to $9,546,385 or 1.6% of net assets, were out on loan to various borrowers and are collateralized by cash and various U.S. Treasury Obligations. See Note 4 of Notes to Financial Statements. |
| | 2 | Cash collateral received for securities lending activity was invested in these joint repurchase agreements. |
| | 3 | Yield shown represents the March 31, 2024, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
ADR American Depositary Receipt
REIT Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements.
7
| | |
| | AMG Boston Common Global Impact 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 March 31, 2024:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 21 | | | Level 3 | | | Total | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Common Stocks | | | | | | | | | | | | | | | | |
| | | | |
Industrials | | | $63,106,220 | | | | $92,877,434 | | | | — | | | | $155,983,654 | |
| | | | |
Information Technology | | | 84,121,434 | | | | 11,587,086 | | | | — | | | | 95,708,520 | |
| | | | |
Financials | | | 52,902,768 | | | | 40,988,742 | | | | — | | | | 93,891,510 | |
| | | | |
Health Care | | | 71,349,064 | | | | 11,319,757 | | | | — | | | | 82,668,821 | |
| | | | |
Consumer Discretionary | | | 32,849,287 | | | | 16,447,852 | | | | — | | | | 49,297,139 | |
| | | | |
Materials | | | 28,942,318 | | | | 6,659,239 | | | | — | | | | 35,601,557 | |
| | | | |
Consumer Staples | | | 25,424,902 | | | | — | | | | — | | | | 25,424,902 | |
| | | | |
Utilities | | | 13,292,782 | | | | 5,981,045 | | | | — | | | | 19,273,827 | |
| | | | |
Real Estate | | | 12,460,159 | | | | — | | | | — | | | | 12,460,159 | |
| | | | |
Communication Services | | | — | | | | 5,840,257 | | | | — | | | | 5,840,257 | |
| | | | |
Short-Term Investments | | | | | | | | | | | | | | | | |
| | | | |
Joint Repurchase Agreements | | | — | | | | 2,987,139 | | | | — | | | | 2,987,139 | |
| | | | |
Other Investment Companies | | | 1,633,434 | | | | — | | | | — | | | | 1,633,434 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Investments in Securities | | | $386,082,368 | | | | $194,688,551 | | | | — | | | | $580,770,919 | |
| | | | | | | | | | | | | | | | |
| | 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 March 31, 2024, there were no transfers in or out of Level 3.
The country allocation in the Schedule of Portfolio Investments at March 31, 2024, was as follows:
| | |
| Country | | % of Long-Term
Investments |
| |
Australia | | 3.8 |
| |
Chile | | 1.8 |
| |
China | | 2.6 |
| |
Denmark | | 1.2 |
| |
France | | 5.3 |
| |
Germany | | 2.6 |
| |
India | | 1.5 |
| |
Indonesia | | 3.7 |
| |
Italy | | 3.2 |
| | |
| Country | | % of Long-Term
Investments |
| |
Japan | | 7.7 |
| |
Norway | | 2.9 |
| |
Switzerland | | 1.2 |
| |
Taiwan | | 1.0 |
| |
United Kingdom | | 3.6 |
| |
United States | | 57.9 |
| | |
| |
| | 100.0 |
| | |
The accompanying notes are an integral part of these financial statements.
8
| | |
| | Statement of Assets and Liabilities (unaudited) March 31, 2024 |
| | | | |
| | | AMG
Boston Common
Global Impact
Fund | |
| |
Assets: | | | | |
| |
Investments at value1 (including securities on loan valued at $9,546,385) | | | $580,770,919 | |
| |
Cash | | | 1,214,650 | |
| |
Foreign currency2 | | | 126,346 | |
| |
Receivable for investments sold | | | 15,660,020 | |
| |
Dividend and interest receivables | | | 1,333,682 | |
| |
Securities lending income receivable | | | 4,076 | |
| |
Receivable for Fund shares sold | | | 7,761 | |
| |
Receivable from affiliate | | | 8,136 | |
| |
Prepaid expenses and other assets | | | 20,330 | |
| |
Total assets | | | 599,145,920 | |
| |
Liabilities: | | | | |
| |
Payable upon return of securities loaned | | | 2,987,139 | |
| |
Payable for investments purchased | | | 7,599,648 | |
| |
Payable for Fund shares repurchased | | | 161,596 | |
| |
Accrued expenses: | | | | |
| |
Investment advisory and management fees | | | 362,526 | |
| |
Administrative fees | | | 74,492 | |
| |
Other | | | 114,575 | |
| |
Total liabilities | | | 11,299,976 | |
|
Commitments and Contingencies (Notes 2 & 6) | |
| |
Net Assets | | | $587,845,944 | |
| |
1 Investments at cost | | | $535,811,041 | |
| |
2 Foreign currency at cost | | | $127,865 | |
| |
Net Assets Represent: | | | | |
| |
Paid-in capital | | | $637,699,878 | |
| |
Total distributable loss | | | (49,853,934 | ) |
| |
Net Assets | | | $587,845,944 | |
| |
Class I: | | | | |
| |
Net Assets | | | $587,845,944 | |
| |
Shares outstanding | | | 14,997,563 | |
| |
Net asset value, offering and redemption price per share | | | $39.20 | |
The accompanying notes are an integral part of these financial statements.
9
| | |
| | Statement of Operations (unaudited) For the six months ended March 31, 2024 |
| | | | |
| | | AMG
Boston Common
Global Impact
Fund |
| |
Investment Income: | | | | |
| |
Dividend income | | | $3,259,641 | |
| |
Securities lending income | | | 25,726 | |
| |
Foreign withholding tax | | | (263,579 | ) |
| |
Total investment income | | | 3,021,788 | |
| |
Expenses: | | | | |
| |
Investment advisory and management fees | | | 2,033,464 | |
| |
Administrative fees | | | 417,835 | |
| |
Custodian fees | | | 52,165 | |
| |
Professional fees | | | 37,292 | |
| |
Transfer agent fees | | | 37,119 | |
| |
Trustee fees and expenses | | | 21,812 | |
| |
Registration fees | | | 18,958 | |
| |
Reports to shareholders | | | 14,302 | |
| |
Interest expense | | | 1,573 | |
| |
Miscellaneous | | | 14,996 | |
| |
Total expenses before offsets | | | 2,649,516 | |
| |
Expense reimbursements | | | (57,365 | ) |
| |
Total expenses | | | 2,592,151 | |
| | | | |
| |
Net investment income | | | 429,637 | |
| |
Net Realized and Unrealized Gain: | | | | |
| |
Net realized loss on investments | | | (25,842,768 | ) |
| |
Net realized gain on foreign currency transactions | | | 61,126 | |
| |
Net change in unrealized appreciation/depreciation on investments | | | 114,737,645 | |
| |
Net change in unrealized appreciation/depreciation on foreign currency translations | | | 38,793 | |
| |
Net realized and unrealized gain | | | 88,994,796 | |
| | | | |
| |
Net increase in net assets resulting from operations | | | $89,424,433 | |
The accompanying notes are an integral part of these financial statements.
10
| | |
| | Statements of Changes in Net Assets For the six months ended March 31, 2024 (unaudited) and the fiscal year ended September 30, 2023 |
| | | | | | | | |
| | | AMG
Boston Common
Global Impact
Fund |
| | |
| | | March 31, 2024 | | September 30, 2023 |
| | |
Increase in Net Assets Resulting From Operations: | | | | | | | | |
| | |
Net investment income | | | $429,637 | | | | $2,819,754 | |
| | |
Net realized loss on investments | | | (25,781,642 | ) | | | (59,612,729 | ) |
| | |
Net change in unrealized appreciation/depreciation on investments | | | 114,776,438 | | | | 122,194,762 | |
| | |
Net increase in net assets resulting from operations | | | 89,424,433 | | | | 65,401,787 | |
| | |
Distributions to Shareholders: | | | | | | | | |
| | |
Class I | | | (3,726,011 | ) | | | (2,788,916 | ) |
| | |
Capital Share Transactions:1 | | | | | | | | |
| | |
Net decrease from capital share transactions | | | (36,843,839 | ) | | | (65,944,835 | ) |
| | | | | | | | |
| | |
Total increase (decrease) in net assets | | | 48,854,583 | | | | (3,331,964 | ) |
| | |
Net Assets: | | | | | | | | |
| | |
Beginning of period | | | 538,991,361 | | | | 542,323,325 | |
| | |
End of period | | | $587,845,944 | | | | $538,991,361 | |
1 See Note 1(g) of the Notes to Financial Statements.
The accompanying notes are an integral part of these financial statements.
11
| | |
| | AMG Boston Common Global Impact Fund Financial Highlights For a share outstanding throughout each fiscal period |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | For the six | | | | | | | | | | | | | | | | |
| | | months ended | | | | For the fiscal years ended September 30, | |
| Class I | | March 31, 2024
(unaudited) | | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 |
| | | | | | | |
Net Asset Value, Beginning of Period | | | $33.65 | | | | | | $30.31 | | | | $43.52 | | | | $56.96 | | | | $52.89 | | | | $56.01 | |
| | | | | | | |
Income (loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net investment income (loss)1 | | | 0.03 | 2 | | | | | 0.17 | 2 | | | 0.28 | 2,3 | | | 0.02 | 2 | | | (0.27 | ) | | | (0.13 | ) |
| | | | | | | |
Net realized and unrealized gain (loss) on investments | | | 5.76 | | | | | | 3.33 | | | | (13.19 | ) | | | 15.47 | | | | 9.70 | | | | (2.99 | ) |
| | | | | | | |
Total income (loss) from investment operations | | | 5.79 | | | | | | 3.50 | | | | (12.91 | ) | | | 15.49 | | | | 9.43 | | | | (3.12 | ) |
| | | | | | | |
Less Distributions to Shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net investment income | | | (0.24 | ) | | | | | (0.16 | ) | | | (0.10 | ) | | | — | | | | — | | | | — | |
| | | | | | | |
Net realized gain on investments | | | — | | | | | | — | | | | (0.20 | ) | | | (28.93 | ) | | | (5.36 | ) | | | — | |
| | | | | | | |
Total distributions to shareholders | | | (0.24 | ) | | | | | (0.16 | ) | | | (0.30 | ) | | | (28.93 | ) | | | (5.36 | ) | | | — | |
| | | | | | | |
Net Asset Value, End of Period | | | $39.20 | | | | | | $33.65 | | | | $30.31 | | | | $43.52 | | | | $56.96 | | | | $52.89 | |
| | | | | | | |
Total Return4 | | | 17.25 | %2,5 | | | | | 11.54 | %2 | | | (29.90 | )%2 | | | 31.75 | %2 | | | 18.95 | % | | | (5.57 | )% |
| | | | | | | |
Ratio of net expenses to average net assets | | | 0.93 | %6 | | | | | 0.93 | % | | | 0.93 | % | | | 1.03 | % | | | 1.11 | % | | | 1.10 | % |
| | | | | | | |
Ratio of gross expenses to average net assets | | | 0.95 | %6,7 | | | | | 0.95 | %7 | | | 0.95 | %7 | | | 1.03 | %7 | | | 1.11 | % | | | 1.10 | % |
| | | | | | | |
Ratio of net investment income (loss) to average net assets | | | 0.15 | %2,6 | | | | | 0.47 | %2 | | | 0.72 | %2 | | | 0.04 | %2 | | | (0.51 | )% | | | (0.26 | )% |
| | | | | | | |
Portfolio turnover | | | 19 | %5 | | | | | 25 | % | | | 25 | % | | | 202 | % | | | 221 | % | | | 145 | % |
| | | | | | | |
Net assets end of period (000’s) omitted | | | $587,846 | | | | | | $538,991 | | | | $542,323 | | | | $904,295 | | | | $835,057 | | | | $786,149 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | Per share numbers have been calculated using average shares. |
| 2 | Total returns and net investment income (loss) would have been lower had certain expenses not been offset. |
| 3 | Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.16. |
| 4 | The total return is calculated using the published Net Asset Value as of period end. |
| 7 | 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.) |
12
| | |
| | Notes to Financial Statements (unaudited) March 31, 2024 |
1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
AMG Funds I (the “Trust”) is an open-end management investment company, organized as a Massachusetts business trust, and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Currently, the Trust consists of a number of different funds, each having distinct investment management objectives, strategies, risks, and policies. Included in this report is AMG Boston Common Global Impact Fund (the “Fund”).
Market prices of investments held by the Fund may fall rapidly or unpredictably due to a variety of economic or political factors, market conditions, disasters or public health issues, or in response to events that affect particular industries or companies.
The Fund’s financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), including accounting and reporting guidance pursuant to Accounting Standards Codification Topic 946 applicable to investment companies. U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material. The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements:
a. VALUATION OF INVESTMENTS
Equity securities traded on a national securities exchange or reported on the NASDAQ national market system (“NMS”) are valued at the last quoted sales price on the primary exchange or, if applicable, the NASDAQ official closing price or the official closing price of the relevant exchange or, lacking any sales, at the last quoted bid price. Equity securities held by the Fund that are traded in the over-the-counter market (other than NMS securities) are valued at the bid price. Foreign equity securities (securities principally traded in markets other than U.S. markets) held by the Fund are valued at the official closing price on the primary exchange or, for markets that either do not offer an official closing price or where the official closing price may not be representative of the overall market, the last quoted sale price.
Fixed income securities purchased with a remaining maturity of 60 days or less are valued at amortized cost, provided that the amortized cost value is approximately the same as the fair value of the security valued without the use of amortized cost. Investments in other open-end registered investment companies are valued at their end of day net asset value per share.
The Fund’s portfolio investments are generally valued based on independent market quotations or prices or, if none, “evaluative” or other market based valuations provided by third party pricing services. Pursuant to Rule 2a-5 under the 1940 Act, the Fund’s Board of Trustees (the “Board”) designated AMG Funds LLC (the “Investment Manager”) as the Fund’s Valuation Designee to perform the Fund’s fair value determinations. Such determinations are subject to Board oversight and certain reporting and other requirements intended to ensure that the Board receives the information it needs to oversee the Investment Manager’s fair value determinations.
Under certain circumstances, the value of certain Fund portfolio investments may be based on an evaluation of fair value, pursuant to procedures established by the
Investment Manager and under the general supervision of the Board. The Fund may use the fair value of a portfolio investment to calculate its net asset value (“NAV”) in the event that the market quotation, price or market based valuation for the portfolio investment is not readily available or otherwise not determinable pursuant to the Fund’s valuation procedures, if the Investment Manager believes the quotation, price or market based valuation to be unreliable, or in certain other circumstances. When determining the fair value of an investment, the Investment Manager seeks to determine the price that the Fund might reasonably expect to receive from current sale of that portfolio investment in an arms-length transaction. Fair value determinations shall be based upon consideration of all available facts and information, including, but not limited to (i) attributes specific to the investment; (ii) fundamental and analytical data relating to the investment; and (iii) the value of other comparable securities or relevant financial instruments, including derivative securities, traded on other markets or among dealers.
The values assigned to fair value portfolio investments are based on available information and do not necessarily represent amounts that might ultimately be realized in the future, since such amounts depend on future developments inherent in long-term investments. Because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. The Board will be presented with quarterly reports, as of the most recent quarter end, summarizing all fair value activity, material fair value matters that occurred during the quarter, and all outstanding securities fair valued by the Fund. Additionally, the Board will be presented with an annual report that assesses the adequacy and effectiveness of the Investment Manager’s process for determining the fair value of the Fund’s investments.
With respect to foreign equity securities and certain foreign fixed income securities, securities held in the Fund that can be fair valued by the applicable fair value pricing service are fair valued on each business day provided that each individual price exceeds a pre-established confidence level.
U.S. GAAP defines fair value as the price that a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP also establishes a framework for measuring fair value, and a three level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation.
The three-tier hierarchy of inputs is summarized below:
Level 1 – inputs are quoted prices in active markets for identical investments (e.g., equity securities, open-end investment companies)
Level 2 – other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs) (e.g., debt securities, government
13
| | |
| | Notes to Financial Statements (continued) |
securities, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, fair valued securities with observable inputs)
Level 3 – inputs are significant unobservable inputs (including the Fund’s own assumptions used to determine the fair value of investments) (e.g., fair valued securities with unobservable inputs)
Changes in inputs or methodologies used for valuing investments may result in a transfer in or out of levels within the fair value hierarchy. The inputs or methodologies used for valuing investments may not necessarily be an indication of the risk associated with investing in those investments.
b. SECURITY TRANSACTIONS
Security transactions are accounted for as of trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
c. INVESTMENT INCOME AND EXPENSES
Dividend income is recorded on the ex-dividend date. Dividends from foreign securities are recorded on the ex-dividend date, and if after the fact, as soon as the Fund becomes aware of the ex-dividend date. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Dividend and interest income on foreign securities is recorded gross of any withholding tax. Non-cash dividends included in dividend income, if any, are reported at the fair market value of the securities received. Other income and expenses are recorded on an accrual basis. Expenses that cannot be directly attributed to the Fund are apportioned among the funds in the Trust and other trusts or funds within the AMG Funds Family of Funds (collectively, the “AMG Funds Family”) based upon their relative average net assets or number of shareholders.
d. DIVIDENDS AND DISTRIBUTIONS
Fund distributions resulting from either net investment income or realized net capital gains, if any, will normally be declared and paid at least annually in December. Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined in accordance with federal income tax regulations, which may differ from net investment income and net realized capital gains for financial statement purposes (U.S. GAAP). Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Permanent book and tax basis differences, if any, relating to shareholder distributions will result in reclassifications to paid-in capital. Temporary differences arise when certain items of income, expense and gain or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. There were no permanent differences. Temporary differences are primarily due to wash sale loss deferrals and marked to market on passive foreign investment companies (PFIC).
At March 31, 2024, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The approximate cost of investments and the aggregate gross unrealized appreciation and depreciation for federal income tax purposes were as follows:
| | | | | | | | | | | | |
| | | |
| Cost | | Appreciation | | | Depreciation | | | Net Appreciation | |
| | | |
| $535,811,041 | | | $99,435,400 | | | | $(54,475,522 | ) | | | $44,959,878 | |
e. FEDERAL TAXES
The Fund currently qualifies as an investment company and intends to comply with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), and to distribute substantially all of its taxable income and gains to its shareholders and to meet certain diversification and income requirements with respect to investment companies. The Investment Manager has analyzed the Fund’s tax positions taken on federal income tax returns for all open tax years (generally, the three prior taxable years), and has concluded that no provision for federal income tax is required in the Fund’s financial statements. Additionally, the Investment Manager is not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefit/detriment will change materially in the next twelve months.
Furthermore, based on the Fund’s understanding of the tax rules and rates related to income, gains and transactions for the foreign jurisdictions in which it invests, the Fund will provide for foreign taxes, and where appropriate, deferred foreign taxes.
f. CAPITAL LOSS CARRYOVERS AND DEFERRALS
As of September 30, 2023, the Fund had capital loss carryovers for federal income tax purposes as shown in the following chart. These amounts may be used to offset future realized capital gains indefinitely, and retain their character as short-term and/or long-term.
| | | | |
| Short-Term | | Long-Term | | Total |
| | |
— | | $68,260,198 | | $68,260,198 |
g. CAPITAL STOCK
The Trust’s Amended and Restated Agreement and Declaration of Trust authorizes for the Fund the issuance of an unlimited number of shares of beneficial interest, without par value. The Fund records sales and repurchases of its capital stock on the trade date.
14
| | |
| | Notes to Financial Statements (continued) |
For the six months ended March 31, 2024 (unaudited) and the fiscal year ended September 30, 2023, the capital stock transactions by class for the Fund were as follows:
| | | | | | | | | | | | | | | | |
| | |
| | | March 31, 2024 | | September 30, 2023 |
| | | | |
| | | Shares | | | | Amount | | | | Shares | | | | Amount | |
| | | | |
Class I: | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 23,409 | | | | $852,163 | | | | 27,371 | | | | $946,414 | |
| | | | |
Shares issued in reinvestment of distributions | | | 92,716 | | | | 3,429,571 | | | | 74,740 | | | | 2,566,572 | |
| | | | |
Shares redeemed | | | (1,133,929 | ) | | | (41,125,573 | ) | | | (1,980,409 | ) | | | (69,457,821 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Net decrease | | | (1,017,804 | ) | | | $(36,843,839 | ) | | | (1,878,298 | ) | | | $(65,944,835 | ) |
| | | | | | | | | | | | | | | | |
h. REPURCHASE AGREEMENTS AND JOINT REPURCHASE AGREEMENTS
The Fund may enter into third-party and bilateral repurchase agreements for temporary cash management purposes and for reinvestment of cash collateral on securities lending transactions under the securities lending program offered by The Bank of New York Mellon (“BNYM”) (the “Securities Lending Program”) (collectively, “Repurchase Agreements”). The value of the underlying collateral, including accrued interest, must equal or exceed the value of the Repurchase Agreements during the term of the agreement. For joint repurchase agreements, the Fund participates on a pro rata basis with other clients of BNYM in its share of the underlying collateral under such joint repurchase agreements and in its share of proceeds from any repurchase or other disposition of the underlying collateral. The underlying collateral for all Repurchase Agreements is held by the Fund’s custodian or at the Federal Reserve Bank. If the seller defaults and the value of the collateral declines, or if bankruptcy proceedings commence with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited. Pursuant to the Securities Lending Program, the Fund is indemnified for such losses by BNYM on joint repurchase agreements.
At March 31, 2024, the market value of Repurchase Agreements outstanding was $2,987,139.
i. FOREIGN CURRENCY TRANSLATION
The books and records of the Fund are maintained in U.S. Dollars. The value of investments, assets and liabilities denominated in currencies other than U.S. Dollars are translated into U.S. Dollars based upon current foreign exchange rates. Purchases and sales of foreign investments, income and expenses are converted into U.S. Dollars based on currency exchange rates prevailing on the respective dates of such transactions. Net realized and unrealized gain (loss) on foreign currency transactions represent: (1) foreign exchange gains and losses from the sale and holdings of foreign currencies; (2) gains and losses between trade date and settlement date on investment securities transactions and foreign currency exchange contracts; and (3) gains and losses from the difference between amounts of interest and dividends recorded and the amounts actually received.
The Fund does not isolate the net realized and unrealized gain or loss resulting from changes in exchange rates from the fluctuations in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
2. AGREEMENTS AND TRANSACTIONS WITH AFFILIATES
The Trust has entered into an investment advisory agreement under which the Investment Manager, a subsidiary and the U.S. wealth platform of Affiliated Managers Group, Inc. (“AMG”), serves as investment manager to the Fund and is responsible for the Fund’s overall administration and operations. The Investment Manager selects and recommends, subject to the approval of the Board and, in certain circumstances, shareholders, the subadviser for the Fund and monitors the subadviser’s investment performance, security holdings and investment strategies. The Fund’s investment portfolio is managed by Boston Common Asset Management, LLC (“Boston Common”) who serves as subadviser pursuant to a subadvisory agreement with the Investment Manager. AMG owns a minority equity interest in Boston Common.
Investment management fees are paid directly by the Fund to the Investment Manager based on average daily net assets. For the six months ended March 31, 2024, the Fund paid an investment management fee at the annual rate of 0.73% of the average daily net assets of the Fund. The fee paid to Boston Common for its services as subadviser is paid out of the fee the Investment Manager receives from the Fund and does not increase the expenses of the Fund.
The Investment Manager has contractually agreed, through at least February 1, 2025, to waive management fees and/or pay or reimburse fund expenses in order to limit total annual Fund operating expenses after fee waiver and expense reimbursements (exclusive of taxes, interest (including interest incurred in connection with bank and custody overdrafts, and in connection with securities sold short), shareholder servicing fees, distribution and service (12b-1) fees, brokerage commissions and other transaction costs, dividends payable with respect to securities sold short, acquired fund fees and expenses and extraordinary expenses) of the Fund to the annual rate of 0.93% of the Fund’s average daily net assets (this annual rate or such other annual rate that may be in effect from time to time, the “Expense Cap”), subject to later reimbursement by the Fund in certain circumstances.
In general, for a period of up to 36 months after the date any amounts are paid, waived or reimbursed by the Investment Manager, the Investment Manager may recover such amounts from the Fund, provided that such repayment would not cause the Fund’s total annual operating expenses after fee waiver and expense reimbursements (exclusive of the items noted in the parenthetical above) to exceed either (i) the Expense Cap in effect at the time such amounts were paid, waived or reimbursed, or (ii) the Expense Cap in effect at the time of such repayment by the Fund.
15
| | |
| | Notes to Financial Statements (continued) |
The contractual expense limitation may only be terminated in the event the Investment Manager or a successor ceases to be the investment manager of the Fund or a successor fund, by mutual agreement between the Investment Manager and the Board, or in the event of the Fund’s liquidation unless the Fund is reorganized or is a party to a merger in which the surviving entity is successor to the accounting and performance information of the Fund.
For the six months ended March 31, 2024, the Investment Manager reimbursed the Fund $57,365, and did not recoup any previously reimbursed expenses. At March 31, 2024, the Fund’s expiration of reimbursements subject to recoupment is as follows:
| | | | |
| |
Expiration Period | | | |
| |
Less than 1 year | | | $18,531 | |
| |
1-2 years | | | 160,254 | |
| |
2-3 years | | | 101,418 | |
| | | | |
| |
Total | | $ | 280,203 | |
| | | | |
The Trust, on behalf of the Fund, has entered into an amended and restated Administration Agreement under which the Investment Manager serves as the Fund’s administrator (the “Administrator”) and is responsible for certain aspects of managing the Fund’s operations, including administration and shareholder services to the Fund. The Fund pays a fee to the Administrator at the rate of 0.15% per annum of the Fund’s average daily net assets for this service.
The Fund is distributed by AMG Distributors, Inc. (the “Distributor”), a wholly-owned subsidiary of the Investment Manager. The Distributor serves as the distributor and underwriter for the Fund and is a registered broker-dealer and member of the Financial Industry Regulatory Authority, Inc. (“FINRA”). Shares of the Fund will be continuously offered and will be sold directly to prospective purchasers and through brokers, dealers or other financial intermediaries who have executed selling agreements with the Distributor. Generally, the Distributor bears all or a portion of the expenses of providing services pursuant to the distribution agreement, including the payment of the expenses relating to the distribution of prospectuses for sales purposes and any advertising or sales literature.
The Board provides supervision of the affairs of the Trust and other trusts within the AMG Funds Family. The Trustees of the Trust who are not affiliated with the Investment Manager receive an annual retainer and per meeting fees for regular, special and telephonic meetings, and they are reimbursed for out-of-pocket expenses incurred while carrying out their duties as Board members. The Chairman of the Board and the Audit Committee Chair receive additional annual retainers. On October 10, 2023, the shareholders of the Trust elected Trustees, including two new Trustees who are not “interested persons” of the Funds within the meaning of the 1940 Act. Certain Trustees and Officers of the Fund are Officers and/or Directors of the Investment Manager, AMG and/or the Distributor.
The Securities and Exchange Commission (the “SEC”) granted an exemptive order that permits certain eligible funds in the AMG Funds Family to lend and borrow money for certain temporary purposes directly to and from other eligible funds in the AMG Funds Family. Participation in this interfund lending program is voluntary for both the borrowing and lending funds, and an interfund loan is only made if it benefits each participating fund. The Administrator manages the program according to procedures approved by the Board, and the Board monitors the operation of the program. An interfund loan must comply with certain conditions
set out in the exemptive order, which are designed to assure fairness and protect all participating funds. The interest earned and interest paid on interfund loans are included on the Statement of Operations as interest income and interest expense, respectively. At March 31, 2024, the Fund had no interfund loans outstanding. The Fund did not lend during the six months ended March 31, 2024.
The Fund utilized the interfund loan program during the six months ended March 31, 2024 as follows:
| | | | | | | | | | | | | | | | | | |
| | Average
Borrowed | |
| Number
of Days |
| |
| Interest
Paid |
| |
| Average
Interest Rate |
| | | | |
| | | | | |
| | $3,074,678 | | | 3 | | | | $1,573 | | | | 6.226% | | | | | |
3. PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities (excluding short-term securities and U.S. Government Obligations) for the six months ended March 31, 2024, were $103,788,836 and $152,129,852, respectively.
The Fund had no purchases or sales of U.S. Government Obligations during the six months ended March 31, 2024.
4. PORTFOLIO SECURITIES LOANED
The Fund participates in the Securities Lending Program providing for the lending of securities to qualified borrowers. Securities lending income includes earnings of such temporary cash investments, plus or minus any rebate to a borrower. These earnings (after any rebate) are then divided between BNYM, as a fee for its services under the Securities Lending Program, and the Fund, according to agreed-upon rates. Collateral on all securities loaned is accepted in cash, U.S. Treasury Obligations or U.S. Government Agency Obligations. Collateral is maintained at a minimum level of 102% (105% in the case of certain foreign securities) of the market value, plus interest, if applicable, of investments on loan. It is the Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Fund if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Under the terms of the Securities Lending Program, the Fund is indemnified for such losses by BNYM. Cash collateral is held in separate omnibus accounts managed by BNYM, who is authorized to exclusively enter into joint repurchase agreements for that cash collateral. Securities collateral is held in separate omnibus accounts managed by BNYM and cannot be sold or pledged. BNYM bears the risk of any deficiency in the amount of the cash collateral available for return to the borrower due to any loss on the collateral invested. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities as soon as practical, which is normally within three business days.
The value of securities loaned on positions held, cash collateral and securities collateral received at March 31, 2024, was as follows:
| | | | | | |
Securities
Loaned | | Cash
Collateral
Received | | Securities
Collateral
Received | | Total
Collateral
Received |
| | | |
| $9,546,385 | | $2,987,139 | | $6,849,751 | | $9,836,890 |
16
| | |
| | Notes to Financial Statements (continued) |
The following table summarizes the securities received as collateral for securities lending at March 31, 2024:
| | | | |
Collateral Type | | Coupon
Range | | Maturity
Date Range |
| | |
U.S. Treasury Obligations | | 0.125%-4.750% | | 04/15/24-08/15/53 |
5. FOREIGN SECURITIES
The Fund invests in securities of foreign entities and in instruments denominated in foreign currencies which involve risks not typically associated with investments in domestic securities, such as exposure to currency fluctuations, less developed or less efficient trading markets, political instability, a lack of company information, differing auditing and legal standards, and, potentially, less liquidity. The Fund’s investments in emerging market countries are exposed to additional risks. The Fund’s performance will be influenced by political, social and economic factors affecting companies in emerging market countries. Emerging market countries
generally have economic structures that are less diverse and mature, and political systems that are less stable, than those of developed countries. Realized gains in certain countries may be subject to foreign taxes at the Fund level and the Fund would pay such foreign taxes at the appropriate rate for each jurisdiction.
6. COMMITMENTS AND CONTINGENCIES
Under the Trust’s organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, in the normal course of business, the Fund may enter into contracts and agreements that contain a variety of representations and warranties, which provide general indemnifications. The maximum exposure to the Fund under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund had no prior claims or losses and expects the risks of loss to be remote.
7. MASTER NETTING AGREEMENTS
The Fund may enter into master netting agreements with its counterparties for the Securities Lending Program and Repurchase Agreements, 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 Fund does 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 Fund’s open Repurchase Agreements that are subject to a master netting agreement as of March 31, 2024:
| | | | | | | | | | | | | | | | | | | | |
| | | | | | Gross Amount Not Offset in the
Statement of Assets and Liabilities | | | | | | | |
| |
| Gross Amounts of
Assets Presented in
the Statement of
Assets and Liabilities |
| |
| Offset
Amount |
| |
| Net Asset
Balance |
| |
| Collateral
Received |
| |
| Net
Amount |
|
| | | | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Daiwa Capital Markets America | | | $987,139 | | | | — | | | | $987,139 | | | | $987,139 | | | | — | |
| | | | | |
Deutsche Bank Securities, Inc. | | | 1,000,000 | | | | — | | | | 1,000,000 | | | | 1,000,000 | | | | — | |
| | | | | |
MUFG Securities America, Inc. | | | 1,000,000 | | | | — | | | | 1,000,000 | | | | 1,000,000 | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total | | | $2,987,139 | | | | — | | | | $2,987,139 | | | | $2,987,139 | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
8. SUBSEQUENT EVENTS
The Fund has determined that no material events or transactions occurred through the issuance date of the Fund’s financial statements which require an additional disclosure in or adjustment of the Fund’s financial statements.
17
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| | Other Information (unaudited) |
PROXY VOTE
A special meeting of the shareholders of AMG Funds I (the “Trust”) was held on October 10, 2023, to vote on a proposal to elect trustees to the Board of Trustees of the Trust. The proposal and results of the vote are described below. Jill R. Cuniff, Kurt A. Keilhacker, Peter W. MacEwen, Steven J. Paggioli, Eric Rakowski, Victoria L. Sassine and Garret W. Weston were elected by shareholders at the special meeting on October 10, 2023. Bruce B. Bingham, an incumbent Trustee, continued to serve as a Trustee of the Trust until his retirement on December 31, 2023.
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| |
| AMG Funds I | | All Funds in Trust* | |
| | | |
| Election of Trustees 1 | | For | | | | | | Withheld | |
| | | |
Jill R. Cuniff | | | 20,441,009 | | | | | | | | 1,294,070 | |
| | | |
Kurt A. Keilhacker | | | 20,299,049 | | | | | | | | 1,436,030 | |
| | | |
Peter W. MacEwen | | | 20,123,172 | | | | | | | | 1,611,908 | |
| | | |
Steven J. Paggioli | | | 20,290,868 | | | | | | | | 1,444,211 | |
| | | |
Eric Rakowski | | | 20,424,987 | | | | | | | | 1,310,092 | |
| | | |
Victoria L. Sassine | | | 20,650,180 | | | | | | | | 1,084,900 | |
| | | |
Garret W. Weston | | | 20,348,384 | | | | | | | | 1,386,695 | |
1 Ms. Cuniff and Mr. MacEwen were newly elected to the Board of Trustees on October 10, 2023; Messrs. Keilhacker, Paggioli, Rakowski, and Weston and Ms. Sassine are incumbent Trustees.
*Rounded to the nearest share.
18
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| | Funds Liquidity Risk Management Program |
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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 Fund’s liquidity risk, taking into consideration the Fund’s 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 (“AMG”) as the Program administrator. AMG formed a Liquidity Risk Management Committee (“LRMC”), which includes members of various departments across AMG, | | | | including Legal, Compliance, Product Services, Affiliate Product Strategy & Development and, as needed, other representatives of AMG 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 Program’s administration and oversight and for reporting to the Board on at least an annual basis regarding the Program’s operation and effectiveness. At a meeting of the Board held on March 20, 2024, the Board received a report from the LRMC regarding the design and operational effectiveness of the Program for the period January 1, 2023 through December 31, 2023 (the “Program Reporting Period”). The Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing a Fund’s liquidity risk, as follows: A. The Fund’s 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 Fund’s 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 Fund’s 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 Fund’s 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 Fund’s shareholder ownership concentration, a Fund’s distribution channels, and the degree of certainty associated with a Fund’s 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 AMG considers reasonable, AMG 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 Fund’s prospectus or statement of additional information for more information regarding a Fund’s exposure to liquidity risk and other principal risks to which an investment in a Fund may be subject. |
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INVESTMENT MANAGER AND ADMINISTRATOR AMG Funds LLC 680 Washington Blvd., Suite 500 Stamford, CT 06901 800.548.4539 DISTRIBUTOR AMG Distributors, Inc. 680 Washington Blvd., Suite 500 Stamford, CT 06901 800.548.4539 SUBADVISER Boston Common Asset Management, LLC 200 State Street 7th Floor Boston, MA 02109 CUSTODIAN The Bank of New York Mellon Mutual Funds Custody 240 Greenwich Street New York, NY 10286 | | LEGAL COUNSEL Ropes & Gray LLP Prudential Tower, 800 Boylston Street Boston, MA 02199-3600 TRANSFER AGENT BNY Mellon Investment Servicing (US) Inc. AMG Funds Attn: 534426 AIM 154-0520 500 Ross Street Pittsburgh, PA 15262 800.548.4539 TRUSTEES Jill R. Cuniff Kurt A. Keilhacker Peter W. MacEwen Steven J. Paggioli Eric Rakowski Victoria L. Sassine Garret W. Weston | | This report is prepared for the Fund’s 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 the Fund are available on the Fund’s website at wealth.amg.com. A description of the policies and procedures the 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 Commission’s (SEC) website at sec.gov. For information regarding the Fund’s proxy voting record for the 12-month period ended June 30, call 800.548.4539 or visit the SEC website at sec.gov. The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s portfolio holdings on Form N-PORT are available on the SEC’s website at sec.gov and the Fund’s website at wealth.amg.com. To review a complete list of the Fund’s portfolio holdings, or to view the most recent semi-annual report or annual report, please visit wealth.amg.com. |
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EQUITY FUNDS AMG Beutel Goodman International Equity Beutel, Goodman & Company Ltd. AMG Boston Common Global Impact Boston Common Asset Management, LLC AMG Frontier Small Cap Growth Frontier Capital Management Co., LLC AMG GW&K Small Cap Core AMG GW&K Small Cap Value AMG GW&K Small/Mid Cap Core AMG GW&K Small/Mid Cap Growth AMG GW&K International Small Cap GW&K Investment Management, LLC AMG Montrusco Bolton Large Cap Growth Montrusco Bolton Investments, Inc. 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 Large Cap Value Select AMG River Road Mid Cap Value 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 Veritas Asia Pacific AMG Veritas China AMG Veritas Global Focus AMG Veritas Global Real Return Veritas Asset Management LLP AMG Yacktman AMG Yacktman Focused AMG Yacktman Global AMG Yacktman Special Opportunities Yacktman Asset Management LP | | FIXED INCOME FUNDS AMG Beutel Goodman Core Plus Bond Beutel, Goodman & Company Ltd. AMG GW&K Core Bond ESG AMG GW&K Enhanced Core Bond ESG AMG GW&K ESG Bond AMG GW&K High Income AMG GW&K Municipal Bond AMG GW&K Municipal Enhanced Yield GW&K Investment Management, LLC | | |
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| wealth.amg.com | | 033124 | | | SAR074 | |
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| | SEMI-ANNUAL REPORT |
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| | | AMG Funds |
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| | | March 31, 2024 | | | | |
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| | | AMG Veritas Global Real Return Fund |
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| | | Class I: BLUEX |
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| wealth.amg.com | | 033124 | | | SAR073 | |
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| | AMG Funds Semi-Annual Report — March 31, 2024 (unaudited) |
Nothing contained herein is to be considered an offer, sale or solicitation of an offer to buy shares of any series of the AMG Funds Family of Funds. Such offering is made only by prospectus, which includes details as to offering price and other material information.
| | |
| | About Your Fund’s Expenses (unaudited) |
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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 section of the following table provides information about the actual account values and | | actual expenses. You may use the information in this section, 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 section under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second section of the following table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s | | 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 section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. |
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Six Months Ended March 31, 2024 | | Expense Ratio for the Period | | | Beginning Account Value 10/01/23 | | | Ending Account Value 03/31/24 | | | Expenses Paid During the Period* | |
|
AMG Veritas Global Real Return Fund | |
|
Based on Actual Fund Return | |
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Class I | | | 1.15% | | | | $1,000 | | | | $1,112 | | | | $6.07 | |
|
Based on Hypothetical 5% Annual Return | |
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Class I | | | 1.15% | | | | $1,000 | | | | $1,019 | | | | $5.81 | |
| * | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), then divided by 366. |
2
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| | Fund Performance (unaudited) Periods ended March 31, 2024 |
The table below shows the average annual total returns for the periods indicated for the Fund, as well as the Fund’s relative index for the same time periods ended March 31, 2024.
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| Average Annual Total Returns1 | | Six
Months* | | One
Year | | Five
Years | | Ten
Years |
AMG Veritas Global Real Return Fund2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21 |
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Class I | | 11.21% | | 11.18% | | 10.50% | | 10.64% |
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Bloomberg U.S. Treasury Inflation-Linked Bond Index22 | | 4.62% | | 0.45% | | 2.49% | | 2.21% |
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The performance data shown represents past performance. Past performance is not a guarantee of future results. Current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. |
Investors should carefully consider the Fund’s investment objectives, risks, charges and expenses before investing. For performance information through the most recent month end, current net asset values per share for the Fund and other information, please call 800.548.4539 or visit our website at wealth.amg.com for a free prospectus. Read it carefully before investing or sending money. Distributed by AMG Distributors, Inc., member FINRA/SIPC. |
* Not annualized. 1 Total return equals income yield plus share price change and assumes reinvestment of all dividends and capital gain distributions. Returns are net of fees and may reflect offsets of Fund expenses as described in the prospectus. No adjustment has been made for taxes payable by shareholders on their reinvested dividends and capital gain distributions. Returns for periods greater than one year are annualized. The listed returns on the Fund are net of expenses and based on the published NAV as of March 31, 2024. All returns are in U.S. Dollars ($). 2 As of March 19, 2021, the Fund’s subadviser was changed to Veritas Asset Management LLP. Prior to March 19, 2021, the Fund was known as AMG Managers Brandywine Blue Fund, and had different principal investment strategies and corresponding risks. Performance shown for periods prior to March 19, 2021, reflects the performance and investment strategies of the Fund’s previous subadvisers, Friess Associates, LLC and Friess Associates of Delaware, LLC. The Fund’s past performance would have been different if the Fund were managed by the current subadviser and strategy, and the Fund’s prior performance record might be less pertinent for investors considering whether to purchase shares of the Fund. 3 The Fund is non-diversified and therefore a greater percentage of holdings may be focused in a small number of issuers or a single issuer, which can place the Fund at greater risk. Notwithstanding the Fund’s status as a “non-diversified” investment company under the Investment Company Act of 1940 (the “1940 Act”), the Fund intends to qualify as a regulated investment company accorded favorable tax treatment under the Internal Revenue Code of 1986, as amended, which imposes its own diversification requirements that are less restrictive than the requirements applicable to “diversified” investment companies under the 1940 Act. The Fund’s intention to qualify as a regulated investment company may limit its pursuit of its investment strategy and its investment strategy could limit its ability to so qualify. 4 A significant portion of the Fund’s holdings may be focused in a relatively small number of securities, which may make the Fund more volatile and subject to greater risk than a more diversified fund. 5 Issuers and companies that are in similar industry sectors may be similarly affected by particular economic or market events; to the extent the Fund has substantial holdings within a particular sector, the risks associated with that sector increase. 6 Market prices of investments held by the Fund may fall rapidly or unpredictably due to a variety of factors, including economic, political, or market conditions, or other factors including terrorism, war, natural disasters and the spread of infectious illness or other public health issues, including epidemics or pandemics, or in response to events that affect particular industries or companies. 7 Because the Fund is an actively managed investment portfolio, security selection or focus on securities in a particular style, market sector or group of companies may cause the Fund to incur losses or underperform relative to its benchmarks or other funds with a similar investment objective. There can be no guarantee that the Subadviser’s investment techniques and risk analysis will produce the desired result. |
| 8 | Investments in foreign issuers involve additional risks (such as risks arising from less frequent trading, changes in political or social conditions, and less publicly available information about non-U.S. issuers) that differ from those associated with investments in U.S. issuers and may result in greater price volatility. |
| 9 | Investments in emerging markets are subject to the general risks of foreign investments, as well as additional risks which can result in greater price volatility. Such additional risks include the risk that markets in emerging market countries are typically less developed and less liquid than markets in developed countries and such markets are subjected to increased economic, political, or regulatory uncertainties. |
| 10 | Changes in the general political and social environment of a country can have substantial effects on the value of investments exposed to that country. |
| 11 | Fluctuations in exchange rates may affect the total loss or gain on a non-U.S. Dollar investment when converted back to U.S. Dollars and exposure to non-U.S. currencies may subject the Fund to the risk that those currencies will decline in value relative to the U.S. Dollar. |
| 12 | Borrowing and some derivative investments such as futures, forward commitment transactions and swaps may increase volatility and magnify smaller adverse market movements into relatively larger losses. |
| 13 | The use of derivatives involves costs, the risk that the value of derivatives may not correlate perfectly with their underlying assets, rates or indices, liquidity risk, and the risk of mispricing or improper valuation. The use of derivatives may not succeed for various reasons, and the complexity and rapidly changing structure of derivatives markets may increase the possibility of market losses. |
| 14 | The issuer of bonds or other debt securities or a counterparty to a derivatives contract (including over-the-counter counterparties as well as brokers and clearinghouses in respect of exchange-traded and/or cleared products) may be unable or unwilling, or may be perceived as unable or unwilling, to make timely interest, principal or settlement payments or otherwise honor its obligations. |
| 15 | The Fund may not be able to dispose of particular investments, such as illiquid securities, readily at favorable times or prices or the Fund may have to sell them at a loss. |
| 16 | Because exchange-traded funds (ETFs) incur their own costs, investing in them could result in a higher cost to the investor. |
| 17 | When the Fund has a significant cash balance for a sustained period, the benefit to the Fund of any market upswing may likely be reduced, and the Fund’s performance may be adversely affected. |
| 18 | The stocks of large-capitalization companies are |
3
| | |
| | Fund Performance Periods ended March 31, 2024 (continued) |
| | | | |
generally more mature and may not be able to reach the same levels of growth as the stocks of small- or mid-capitalization companies. 19 The stocks of mid-capitalization companies often have greater price volatility, lower trading volume, and less liquidity than the stocks of larger, more established companies. 20 Although the Fund may invest in securities in any capitalization range, securities of small-capitalization companies may pose additional risks. The stocks of small-capitalization companies often have greater price volatility, lower trading volume, and less liquidity than the stocks of larger, more established companies. | | 21 Value stocks may perform differently from the market as a whole and may be undervalued by the market for a long period of time. 22 The Bloomberg U.S. Treasury Inflation-Linked Bond Index measures the performance of the U.S. Treasury Inflation Protected Securities (TIPS) market. Unlike the Fund, the Bloomberg U.S. Treasury Inflation-Linked Bond Index is unmanaged, is not available for investment and does not incur expenses. “Bloomberg®” and Bloomberg U.S. Treasury Inflation-Linked Bond Index are service marks of Bloomberg Finance L.P. and its affiliates, including | | Bloomberg Index Services Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”) and have been licensed for use for certain purposes by AMG Funds LLC. Bloomberg is not affiliated with AMG Funds LLC, and Bloomberg does not approve, endorse, review, or recommend AMG Veritas Global Real Return Fund. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to the AMG Veritas Global Real Return Fund Not FDIC insured, nor bank guaranteed. May lose value. |
4
| | |
| | AMG Veritas Global Real Return Fund Fund Snapshots (unaudited) March 31, 2024 |
PORTFOLIO BREAKDOWN
| | |
| Sector | | % of
Net Assets |
| | |
Industrials | | 26.1 |
| | |
Health Care | | 22.6 |
| | |
Financials | | 16.0 |
| | |
Consumer Staples | | 10.1 |
| | |
Communication Services | | 9.6 |
| | |
Consumer Discretionary | | 8.0 |
| | |
Information Technology | | 2.6 |
| | |
Materials | | 2.1 |
| | |
Short-Term Investments | | 0.1 |
| | |
Derivatives | | (0.7) |
| | |
Other Assets, less Liabilities | | 3.5 |
TOP TEN HOLDINGS
| | |
| Security Name | | % of
Net Assets |
| | |
Alphabet, Inc., Class A (United States) | | 6.6 |
| | |
Amazon.com, Inc. (United States) | | 6.1 |
| | |
Unilever PLC (United Kingdom) | | 5.1 |
| | |
Diageo PLC (United Kingdom) | | 5.0 |
| | |
Fiserv, Inc. (United States) | | 4.9 |
| | |
Canadian Pacific Kansas City, Ltd. (Canada) | | 4.9 |
| | |
Vinci, S.A. (France) | | 4.6 |
| | |
Intercontinental Exchange, Inc. (United States) | | 4.5 |
| | |
Thermo Fisher Scientific, Inc. (United States) | | 4.4 |
| | |
Airbus SE (France) | | 4.2 |
| | |
| | | |
| | |
Top Ten as a Group | | 50.3 |
| | | |
| | | |
Because a fund’s 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 Fund’s 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 Fund’s portfolio of investments by the time you receive this report.
5
| | |
| | AMG Veritas Global Real Return Fund Schedule of Portfolio Investments (unaudited) March 31, 2024 |
| | | | | | | | |
| | | Shares | | | Value | |
| | |
Common Stocks - 97.1% | | | | | | | | |
| |
Communication Services - 9.6% | | | | | |
| | |
Alphabet, Inc., Class A (United States)* | | | 50,941 | | | | $7,688,525 | |
| | |
Charter Communications, Inc., Class A (United States)*,1 | | | 12,036 | | | | 3,498,023 | |
| | |
Total Communication Services | | | | | | | 11,186,548 | |
| |
Consumer Discretionary - 8.0% | | | | | |
| | |
Amazon.com, Inc. (United States)* | | | 39,075 | | | | 7,048,349 | |
| | |
Cie Financiere Richemont SA (Switzerland) | | | 14,400 | | | | 2,192,262 | |
| | |
Total Consumer Discretionary | | | | | | | 9,240,611 | |
| |
Consumer Staples - 10.1% | | | | | |
| | |
Diageo PLC (United Kingdom) | | | 156,407 | | | | 5,787,406 | |
| | |
Unilever PLC (United Kingdom) | | | 117,344 | | | | 5,892,695 | |
| | |
Total Consumer Staples | | | | | | | 11,680,101 | |
| |
Financials - 16.0% | | | | | |
| | |
Aon PLC, Class A (United States) | | | 1,941 | | | | 647,751 | |
| | |
Fiserv, Inc. (United States)* | | | 35,874 | | | | 5,733,383 | |
| | |
Intercontinental Exchange, Inc.
(United States) | | | 37,903 | | | | 5,209,009 | |
| | |
Mastercard, Inc., Class A (United States) | | | 9,627 | | | | 4,636,074 | |
| | |
Moody’s Corp. (United States) | | | 6,074 | | | | 2,387,264 | |
| | |
Total Financials | | | | | | | 18,613,481 | |
| |
Health Care - 22.6% | | | | | |
| | |
Becton Dickinson & Co. (United States) | | | 13,920 | | | | 3,444,504 | |
| | |
Bio-Rad Laboratories, Inc., Class A
(United States)* | | | 7,452 | | | | 2,577,423 | |
| | |
Catalent, Inc. (United States)* | | | 39,360 | | | | 2,221,872 | |
| | |
The Cooper Cos., Inc. (United States) | | | 22,691 | | | | 2,302,229 | |
| | |
Elevance Health, Inc. (United States) | | | 7,646 | | | | 3,964,757 | |
| | |
Sonic Healthcare, Ltd. (Australia) | | | 101,589 | | | | 1,946,729 | |
| | |
Thermo Fisher Scientific, Inc. (United States) | | | 8,874 | | | | 5,157,657 | |
| | | | | | | | |
| | * | Non-income producing security. |
| | 1 | Some of this security, amounting to $3,462,856 or 3.0% of net assets, was out on loan to various borrowers and is collateralized by various U.S. Treasury Obligations. See Note 4 of Notes to Financial Statements. |
| | 2 | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2024, the value of this security amounted to $4,615,804 or 4.0% of net assets. |
| | | | | | | | |
| | | Shares | | | Value | |
| | |
UnitedHealth Group, Inc. (United States) | | | 9,418 | | | | $4,659,085 | |
| | |
Total Health Care | | | | | | | 26,274,256 | |
| |
Industrials - 26.1% | | | | | |
| | |
Aena SME SA (Spain)2 | | | 23,436 | | | | 4,615,804 | |
| | |
Airbus SE (France) | | | 26,311 | | | | 4,847,244 | |
| | |
Automatic Data Processing, Inc.
(United States) | | | 9,153 | | | | 2,285,870 | |
| | |
BAE Systems PLC (United Kingdom) | | | 164,663 | | | | 2,806,751 | |
| | |
Canadian Pacific Kansas City, Ltd. (Canada) | | | 64,454 | | | | 5,682,909 | |
| | |
Safran SA (France) | | | 20,612 | | | | 4,668,035 | |
| | |
Vinci, S.A. (France) | | | 41,953 | | | | 5,383,773 | |
| | |
Total Industrials | | | | | | | 30,290,386 | |
| |
Information Technology - 2.6% | | | | | |
| | |
Microsoft Corp. (United States) | | | 7,324 | | | | 3,081,353 | |
| |
Materials - 2.1% | | | | | |
| | |
Franco-Nevada Corp. (Canada) | | | 20,269 | | | | 2,415,254 | |
| | |
Total Common Stocks | | | | | | | | |
(Cost $98,706,389) | | | | | | | 112,781,990 | |
| | |
Short-Term Investments - 0.1% | | | | | | | | |
| |
Other Investment Companies - 0.1% | | | | | |
| | |
Dreyfus Government Cash Management Fund, Institutional Shares, 5.20%3 | | | 44,939 | | | | 44,939 | |
| | |
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 5.27%3 | | | 67,408 | | | | 67,408 | |
| | |
Total Short-Term Investments | | | | | | | | |
(Cost $112,347) | | | | | | | 112,347 | |
| | |
Total Investments - 97.2% | | | | | | | | |
(Cost $98,818,736) | | | | | | | 112,894,337 | |
| | |
Derivatives - (0.7)%4 | | | | | | | (816,432 | ) |
| |
Other Assets, less Liabilities - 3.5% | | | | 4,014,372 | |
| | |
Net Assets - 100.0% | | | | | | | $116,092,277 | |
| | | | | | | | |
| | 3 | Yield shown represents the March 31, 2024, seven day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage. |
| | 4 | Includes Futures Contracts. Please refer to the Open Futures Contracts table for the details. |
The accompanying notes are an integral part of these financial statements.
6
| | |
| | AMG Veritas Global Real Return 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) | |
| | | | | | |
EURO STOXX 50 | | | EUR | | | | 289 | | | | Short | | | | 06/21/24 | | | | $(15,729,687 | ) | | | $(355,292 | ) |
| | | | | | |
S&P 500 E-Mini Index | | | USD | | | | 108 | | | | Short | | | | 06/21/24 | | | | (28,665,900 | ) | | | (461,140 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | Total | | | | $(816,432 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
CURRENCY ABBREVIATIONS:
EUR Euro Dollar
USD U.S. Dollar
The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of March 31, 2024:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 21 | | | Level 3 | | | Total | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Common Stocks | | | | | | | | | | | | | | | | |
| | | | |
Industrials | | | $7,968,779 | | | | $22,321,607 | | | | — | | | | $30,290,386 | |
| | | | |
Health Care | | | 24,327,527 | | | | 1,946,729 | | | | — | | | | 26,274,256 | |
| | | | |
Financials | | | 18,613,481 | | | | — | | | | — | | | | 18,613,481 | |
| | | | |
Consumer Staples | | | — | | | | 11,680,101 | | | | — | | | | 11,680,101 | |
| | | | |
Communication Services | | | 11,186,548 | | | | — | | | | — | | | | 11,186,548 | |
| | | | |
Consumer Discretionary | | | 7,048,349 | | | | 2,192,262 | | | | — | | | | 9,240,611 | |
| | | | |
Information Technology | | | 3,081,353 | | | | — | | | | — | | | | 3,081,353 | |
| | | | |
Materials | | | 2,415,254 | | | | — | | | | — | | | | 2,415,254 | |
| | | | |
Short-Term Investments | | | | | | | | | | | | | | | | |
| | | | |
Other Investment Companies | | | 112,347 | | | | — | | | | — | | | | 112,347 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Investments in Securities | | | $74,753,638 | | | | $38,140,699 | | | | — | | | | $112,894,337 | |
| | | | | | | | | | | | | | | | |
| | | | |
Financial Derivative Instruments - Liabilities | | | | | | | | | | | | | | | | |
| | | | |
Equity Futures Contracts | | | $(816,432 | ) | | | — | | | | — | | | | $(816,432 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Total Financial Derivative Instruments | | | $(816,432 | ) | | | — | | | | — | | | | $(816,432 | ) |
| | | | | | | | | | | | | | | | |
| | 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 March 31, 2024, there were no transfers in or out of Level 3.
The accompanying notes are an integral part of these financial statements.
7
| | |
| | AMG Veritas Global Real Return Fund Schedule of Portfolio Investments (continued) |
The following schedule shows the value of derivative instruments at March 31, 2024:
| | | | | | | | |
| | | 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 |
Equity contracts | | — | | — | | Unrealized depreciation on futures contracts1 | | $816,432 |
|
| For the six months ended March 31, 2024, the effect of derivative instruments on the Statement of Operations for the Fund and the amount of realized gain/loss and unrealized appreciation/depreciation on derivatives recognized in income were 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 |
Equity contracts | | Net realized loss on futures contracts | | $(4,152,834) | | Net change in unrealized appreciation/ depreciation on futures contracts | | $(1,804,011) |
1 The Fund had cash deposits with the futures broker of $3,129,431.
The country allocation in the Schedule of Portfolio Investments at March 31, 2024, was as follows:
| | |
| Country | | % of Long-Term
Investments |
| |
Australia | | 1.7 |
| |
Canada | | 7.2 |
| |
France | | 13.2 |
| |
Spain | | 4.1 |
| |
Switzerland | | 1.9 |
| |
United Kingdom | | 12.9 |
| |
United States | | 59.0 |
| | |
| |
| | 100.0 |
| | |
The accompanying notes are an integral part of these financial statements.
8
| | |
| | Statement of Assets and Liabilities (unaudited) March 31, 2024 |
| | | | |
| | | AMG
Veritas Global
Real Return
Fund | |
| |
Assets: | | | | |
| |
Investments at value1 (including securities on loan valued at $3,462,856) | | | $112,894,337 | |
| |
Cash | | | 28,954 | |
| |
Cash deposits for futures contracts | | | 3,129,431 | |
| |
Receivable for investments sold | | | 1,281,941 | |
| |
Dividend and interest receivables | | | 121,028 | |
| |
Securities lending income receivable | | | 52 | |
| |
Receivable for Fund shares sold | | | 941 | |
| |
Receivable from affiliate | | | 6,701 | |
| |
Prepaid expenses and other assets | | | 15,887 | |
| |
Total assets | | | 117,479,272 | |
| |
Liabilities: | | | | |
| |
Payable for investments purchased | | | 256,382 | |
| |
Payable for Fund shares repurchased | | | 143,296 | |
| |
Unrealized depreciation on futures contracts | | | 816,432 | |
| |
Due to custodian | | | 11,343 | |
| |
Accrued expenses: | | | | |
| |
Investment advisory and management fees | | | 86,370 | |
| |
Administrative fees | | | 14,722 | |
| |
Shareholder service fees | | | 4,220 | |
| |
Other | | | 54,230 | |
| |
Total liabilities | | | 1,386,995 | |
|
Commitments and Contingencies (Notes 2 & 6) | |
| |
Net Assets | | | $116,092,277 | |
| |
1 Investments at cost | | | $98,818,736 | |
| |
Net Assets Represent: | | | | |
| |
Paid-in capital | | | $118,523,772 | |
| |
Total distributable loss | | | (2,431,495 | ) |
| |
Net Assets | | | $116,092,277 | |
| |
Class I: | | | | |
| |
Net Assets | | | $116,092,277 | |
| |
Shares outstanding | | | 3,072,007 | |
| |
Net asset value, offering and redemption price per share | | | $37.79 | |
The accompanying notes are an integral part of these financial statements.
9
| | |
| | Statement of Operations (unaudited) For the six months ended March 31, 2024 |
| | | | |
| | | AMG
Veritas Global
Real Return
Fund | |
| |
Investment Income: | | | | |
| |
Dividend income | | | $560,139 | |
| |
Securities lending income | | | 52 | |
| |
Foreign withholding tax | | | (14,174 | ) |
| |
Total investment income | | | 546,017 | |
| |
Expenses: | | | | |
| |
Investment advisory and management fees | | | 494,989 | |
| |
Administrative fees | | | 84,373 | |
| |
Shareholder servicing fees - Class I | | | 24,187 | |
| |
Custodian fees | | | 22,836 | |
| |
Professional fees | | | 21,435 | |
| |
Registration fees | | | 17,262 | |
| |
Reports to shareholders | | | 10,748 | |
| |
Transfer agent fees | | | 4,829 | |
| |
Trustee fees and expenses | | | 4,340 | |
| |
Interest expense | | | 711 | |
| |
Miscellaneous | | | 3,096 | |
| |
Total expenses before offsets | | | 688,806 | |
| |
Expense reimbursements | | | (39,547 | ) |
| |
Total expenses | | | 649,259 | |
| | | | |
| |
Net investment loss | | | (103,242 | ) |
| |
Net Realized and Unrealized Gain: | | | | |
| |
Net realized gain on investments | | | 1,917,802 | |
| |
Net realized loss on futures contracts | | | (4,152,834 | ) |
| |
Net realized loss on foreign currency transactions | | | (6,026 | ) |
| |
Net change in unrealized appreciation/depreciation on investments | | | 16,113,439 | |
| |
Net change in unrealized appreciation/depreciation on futures contracts | | | (1,804,011 | ) |
| |
Net change in unrealized appreciation/depreciation on foreign currency translations | | | 7,119 | |
| |
Net realized and unrealized gain | | | 12,075,489 | |
| | | | |
| |
Net increase in net assets resulting from operations | | | $11,972,247 | |
The accompanying notes are an integral part of these financial statements.
10
| | |
| | Statements of Changes in Net Assets For the six months ended March 31, 2024 (unaudited) and the fiscal year ended September 30, 2023 |
| | | | | | | | | | |
| | | AMG
Veritas Global
Real Return
Fund |
| | |
| | | March 31, 2024 | | September 30, 2023 |
| | |
Increase in Net Assets Resulting From Operations: | | | | | | | | | | |
| | |
Net investment income (loss) | | | | $(103,242 | ) | | | | $100,365 | |
| | |
Net realized loss on investments | | | | (2,241,058 | ) | | | | (8,432,213 | ) |
| | |
Net change in unrealized appreciation/depreciation on investments | | | | 14,316,547 | | | | | 19,970,380 | |
| | |
Net increase in net assets resulting from operations | | | | 11,972,247 | | | | | 11,638,532 | |
| | |
Distributions to Shareholders: | | | | | | | | | | |
| | |
Class I | | | | (33,698 | ) | | | | (11,517,886 | ) |
| | |
Capital Share Transactions:1 | | | | | | | | | | |
| | |
Net decrease from capital share transactions | | | | (5,448,615 | ) | | | | (2,194,912 | ) |
| | |
| | | | | | | | | | |
| | |
Total increase (decrease) in net assets | | | | 6,489,934 | | | | | (2,074,266 | ) |
| | |
Net Assets: | | | | | | | | | | |
| | |
Beginning of period | | | | 109,602,343 | | | | | 111,676,609 | |
| | |
End of period | | | | $116,092,277 | | | | | $109,602,343 | |
| | 1 | See Note 1(g) of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
11
| | |
| | AMG Veritas Global Real Return Fund Financial Highlights For a share outstanding throughout each fiscal period |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | For the six | | | | | | | | | | | | | | | | |
| | | months ended | | | For the fiscal years ended September 30, | |
| | | March 31, 2024 | | | | | | | | | | | | | | | | |
| Class I | | (unaudited) | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | | |
Net Asset Value, Beginning of Period | | | $33.99 | | | | $34.19 | | | | $41.54 | | | | $55.88 | | | | $49.78 | | | | $56.64 | |
| | | | | | |
Income (loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net investment income (loss)1 | | | (0.03 | )2 | | | 0.03 | 2 | | | (0.07 | )2 | | | (0.20 | )2 | | | (0.22 | ) | | | (0.10 | ) |
| | | | | | |
Net realized and unrealized gain (loss) on investments | | | 3.84 | | | | 3.51 | | | | (7.28 | ) | | | 9.99 | | | | 12.84 | | | | (1.40 | ) |
| | | | | | |
Total income (loss) from investment operations | | | 3.81 | | | | 3.54 | | | | (7.35 | ) | | | 9.79 | | | | 12.62 | | | | (1.50 | ) |
| | | | | | |
Less Distributions to Shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net investment income | | | (0.01 | ) | | | (0.60 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | |
Net realized gain on investments | | | — | | | | (3.14 | ) | | | — | | | | (24.01 | ) | | | (6.52 | ) | | | (5.36 | ) |
| | | | | | |
Paid in capital | | | — | | | | — | | | | — | | | | (0.12 | ) | | | — | | | | — | |
| | | | | | |
Total distributions to shareholders | | | (0.01 | ) | | | (3.74 | ) | | | — | | | | (24.13 | ) | | | (6.52 | ) | | | (5.36 | ) |
| | | | | | |
Net Asset Value, End of Period | | | $37.79 | | | | $33.99 | | | | $34.19 | | | | $41.54 | | | | $55.88 | | | | $49.78 | |
| | | | | | |
Total Return3 | | | 11.21 | %2,4 | | | 11.19 | %2 | | | (17.69 | )%2 | | | 19.79 | %2,5 | | | 27.84 | % | | | (0.17 | )% |
| | | | | | |
Ratio of expenses to average net assets | | | 1.15 | %6 | | | 1.16 | %7 | | | 1.15 | % | | | 1.15 | % | | | 1.17 | % | | | 1.15 | % |
| | | | | | |
Ratio of gross expenses to average net assets | | | 1.22 | %6 | | | 1.22 | %8 | | | 1.18 | %8 | | | 1.16 | %8 | | | 1.17 | % | | | 1.15 | % |
| | | | | | |
Ratio of net investment income (loss) to average net assets | | | (0.18 | )%2,6 | | | 0.09 | %2 | | | (0.17 | )%2 | | | (0.42 | )%2 | | | (0.46 | )% | | | (0.20 | )% |
| | | | | | |
Portfolio turnover | | | 12 | %4 | | | 34 | % | | | 22 | % | | | 235 | % | | | 215 | % | | | 135 | % |
| | | | | | |
Net assets end of period (000’s) omitted | | | $116,092 | | | | $109,602 | | | | $111,677 | | | | $164,206 | | | | $194,647 | | | | $182,244 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | Per share numbers have been calculated using average shares. |
| 2 | Total returns and net investment income (loss) would have been lower had certain expenses not been offset. |
| 3 | The total return is calculated using the published Net Asset Value as of period end. |
| 5 | Includes a non-recurring securities litigation gain. Had the Fund not received the payment total return would have been 19.18%. |
| 7 | Includes interest expense totaling 0.01% related to participation in the interfund lending program. |
| 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.) |
12
| | |
| | Notes to Financial Statements (unaudited) March 31, 2024 |
1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
AMG Funds I (the “Trust”) is an open-end management investment company, organized as a Massachusetts business trust, and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Currently, the Trust consists of a number of different funds, each having distinct investment management objectives, strategies, risks, and policies. Included in this report is AMG Veritas Global Real Return Fund (the “Fund”).
A significant portion of the Fund’s holdings may be focused in a relatively small number of securities, which may make the Fund more volatile and subject to greater risk than a more diversified fund.
Market prices of investments held by the Fund may fall rapidly or unpredictably due to a variety of economic or political factors, market conditions, disasters or public health issues, or in response to events that affect particular industries or companies.
The Fund’s financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), including accounting and reporting guidance pursuant to Accounting Standards Codification Topic 946 applicable to investment companies. U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material. The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements:
a. VALUATION OF INVESTMENTS
Equity securities traded on a national securities exchange or reported on the NASDAQ national market system (“NMS”) are valued at the last quoted sales price on the primary exchange or, if applicable, the NASDAQ official closing price or the official closing price of the relevant exchange or, lacking any sales, at the last quoted bid price. Equity securities held by the Fund that are traded in the over-the-counter market (other than NMS securities) are valued at the bid price. Foreign equity securities (securities principally traded in markets other than U.S. markets) held by the Fund are valued at the official closing price on the primary exchange or, for markets that either do not offer an official closing price or where the official closing price may not be representative of the overall market, the last quoted sale price.
Fixed income securities purchased with a remaining maturity of 60 days or less are valued at amortized cost, provided that the amortized cost value is approximately the same as the fair value of the security valued without the use of amortized cost. Investments in other open-end registered investment companies are valued at their end of day net asset value per share.
Futures contracts for which market quotations are readily available are valued at the settlement price as of the close of the futures exchange.
The Fund’s portfolio investments are generally valued based on independent market quotations or prices or, if none, “evaluative” or other market based valuations provided by third party pricing services. Pursuant to Rule 2a-5 under the 1940 Act, the Fund’s Board of Trustees (the “Board”) designated AMG Funds LLC (the “Investment Manager”) as the Fund’s Valuation Designee to perform the
Fund’s fair value determinations. Such determinations are subject to Board oversight and certain reporting and other requirements intended to ensure that the Board receives the information it needs to oversee the Investment Manager’s fair value determinations.
Under certain circumstances, the value of certain Fund portfolio investments may be based on an evaluation of fair value, pursuant to procedures established by the Investment Manager and under the general supervision of the Board. The Fund may use the fair value of a portfolio investment to calculate its net asset value (“NAV”) in the event that the market quotation, price or market based valuation for the portfolio investment is not readily available or otherwise not determinable pursuant to the Fund’s valuation procedures, if the Investment Manager believes the quotation, price or market based valuation to be unreliable, or in certain other circumstances. When determining the fair value of an investment, the Investment Manager seeks to determine the price that the Fund might reasonably expect to receive from current sale of that portfolio investment in an arms-length transaction. Fair value determinations shall be based upon consideration of all available facts and information, including, but not limited to (i) attributes specific to the investment; (ii) fundamental and analytical data relating to the investment; and (iii) the value of other comparable securities or relevant financial instruments, including derivative securities, traded on other markets or among dealers.
The values assigned to fair value portfolio investments are based on available information and do not necessarily represent amounts that might ultimately be realized in the future, since such amounts depend on future developments inherent in long-term investments. Because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. The Board will be presented with quarterly reports, as of the most recent quarter end, summarizing all fair value activity, material fair value matters that occurred during the quarter, and all outstanding securities fair valued by the Fund. Additionally, the Board will be presented with an annual report that assesses the adequacy and effectiveness of the Investment Manager’s process for determining the fair value of the Fund’s investments.
With respect to foreign equity securities and certain foreign fixed income securities, securities held in the Fund that can be fair valued by the applicable fair value pricing service are fair valued on each business day provided that each individual price exceeds a pre-established confidence level.
U.S. GAAP defines fair value as the price that a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP also establishes a framework for measuring fair value, and a three level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation.
The three-tier hierarchy of inputs is summarized below:
Level 1 – inputs are quoted prices in active markets for identical investments (e.g., equity securities, futures contracts, open-end investment companies)
13
| | |
| | Notes to Financial Statements (continued) |
Level 2 – other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs) (e.g., debt securities, government securities, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, fair valued securities with observable inputs)
Level 3 – inputs are significant unobservable inputs (including the Fund’s own assumptions used to determine the fair value of investments) (e.g., fair valued securities with unobservable inputs)
Changes in inputs or methodologies used for valuing investments may result in a transfer in or out of levels within the fair value hierarchy. The inputs or methodologies used for valuing investments may not necessarily be an indication of the risk associated with investing in those investments.
b. SECURITY TRANSACTIONS
Security transactions are accounted for as of trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
c. INVESTMENT INCOME AND EXPENSES
Dividend income is recorded on the ex-dividend date. Dividends from foreign securities are recorded on the ex-dividend date, and if after the fact, as soon as the Fund becomes aware of the ex-dividend date. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Dividend and interest income on foreign securities is recorded gross of any withholding tax. Non-cash dividends included in dividend income, if any, are reported at the fair market value of the securities received. Other income and expenses are recorded on an accrual basis. Expenses that cannot be directly attributed to the Fund are apportioned among the funds in the Trust and other trusts or funds within the AMG Funds Family of Funds (collectively, the “AMG Funds Family”) based upon their relative average net assets or number of shareholders.
d. DIVIDENDS AND DISTRIBUTIONS
Fund distributions resulting from either net investment income or realized net capital gains, if any, will normally be declared and paid at least annually in December. Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined in accordance with federal income tax regulations, which may differ from net investment income and net realized capital gains for financial statement purposes (U.S. GAAP). Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the
financial statements to reflect their tax character. Permanent book and tax basis differences, if any, relating to shareholder distributions will result in reclassifications to paid-in capital. Temporary differences arise when certain items of income, expense and gain or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Permanent differences are primarily due to distributions in excess of earnings to meet excise tax requirements. Temporary differences are primarily due to wash sale loss deferrals and mark to market of open futures contracts.
At March 31, 2024, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The approximate cost of investments and the aggregate gross unrealized appreciation and depreciation for federal income tax purposes were as follows:
| | | | | | | | | | | | |
| Cost | | Appreciation | | | Depreciation | | | Net Appreciation | |
| | | |
| $98,818,736 | | | $21,565,896 | | | | $(7,490,295 | ) | | | $14,075,601 | |
e. FEDERAL TAXES
The Fund currently qualifies as an investment company and intends to comply with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), and to distribute substantially all of its taxable income and gains to its shareholders and to meet certain diversification and income requirements with respect to investment companies. The Investment Manager has analyzed the Fund’s tax positions taken on federal income tax returns for all open tax years (generally, the three prior taxable years), and has concluded that no provision for federal income tax is required in the Fund’s financial statements. Additionally, the Investment Manager is not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefit/detriment will change materially in the next twelve months.
Furthermore, based on the Fund’s understanding of the tax rules and rates related to income, gains and transactions for the foreign jurisdictions in which it invests, the Fund will provide for foreign taxes, and where appropriate, deferred foreign taxes.
f. CAPITAL LOSS CARRYOVERS AND DEFERRALS
As of September 30, 2023, the Fund had capital loss carryovers for federal income tax purposes as shown in the following chart. These amounts may be used to offset future realized capital gains indefinitely, and retain their character as short-term and/or long-term.
| | | | | | | | | | |
| Short-Term | | | Long-Term | | | Total | |
| | |
| | $4,773,116 | | | | $7,337,865 | | | | $12,110,981 | |
14
| | |
| | Notes to Financial Statements (continued) |
g. CAPITAL STOCK
The Trust’s Amended and Restated Agreement and Declaration of Trust authorizes for the Fund the issuance of an unlimited number of shares of beneficial interest, without par value. The Fund records sales and repurchases of its capital stock on the trade date.
For the six months ended March 31, 2024 (unaudited) and the fiscal year ended September 30, 2023, the capital stock transactions by class for the Fund were as follows:
| | | | | | | | | | | | | | | | |
| | |
| | | March 31, 2024 | | | September 30, 2023 | |
| | | | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
| | | | |
Class I: | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 89,582 | | | | $3,155,389 | | | | 421,591 | | | | $14,592,747 | |
| | | | |
Shares issued in reinvestment of distributions | | | 903 | | | | 32,114 | | | | 319,544 | | | | 10,065,650 | |
| | | | |
Shares redeemed | | | (242,600) | | | | (8,636,118) | | | | (783,762) | | | | (26,853,309) | |
| | | | | | | | | | | | | | | | |
| | | | |
Net decrease | | | (152,115) | | | | $(5,448,615) | | | | (42,627) | | | | $(2,194,912) | |
| | | | | | | | | | | | | | | | |
h. REPURCHASE AGREEMENTS AND JOINT REPURCHASE AGREEMENTS
The Fund may enter into third-party and bilateral repurchase agreements for temporary cash management purposes and for reinvestment of cash collateral on securities lending transactions under the securities lending program offered by The Bank of New York Mellon (“BNYM”) (the “Securities Lending Program”) (collectively, “Repurchase Agreements”). The value of the underlying collateral, including accrued interest, must equal or exceed the value of the Repurchase Agreements during the term of the agreement. For joint repurchase agreements, the Fund participates on a pro rata basis with other clients of BNYM in its share of the underlying collateral under such joint repurchase agreements and in its share of proceeds from any repurchase or other disposition of the underlying collateral. The underlying collateral for all Repurchase Agreements is held by the Fund’s custodian or at the Federal Reserve Bank. If the seller defaults and the value of the collateral declines, or if bankruptcy proceedings commence with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited. Pursuant to the Securities Lending Program, the Fund is indemnified for such losses by BNYM on joint repurchase agreements.
At March 31, 2024, the Fund had no Repurchase Agreements outstanding.
i. FOREIGN CURRENCY TRANSLATION
The books and records of the Fund are maintained in U.S. Dollars. The value of investments, assets and liabilities denominated in currencies other than U.S. Dollars are translated into U.S. Dollars based upon current foreign exchange rates. Purchases and sales of foreign investments, income and expenses are converted into U.S. Dollars based on currency exchange rates prevailing on the respective dates of such transactions. Net realized and unrealized gain (loss) on foreign currency transactions represent: (1) foreign exchange gains and losses from the sale and holdings of foreign currencies; (2) gains and losses between trade date and settlement date on investment securities transactions and foreign currency exchange contracts; and (3) gains and losses from the difference between amounts of interest and dividends recorded and the amounts actually received.
The Fund does not isolate the net realized and unrealized gain or loss resulting from changes in exchange rates from the fluctuations in market prices of
securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
2. AGREEMENTS AND TRANSACTIONS WITH AFFILIATES
The Trust has entered into an investment advisory agreement under which the Investment Manager, a subsidiary and the U.S. wealth platform of Affiliated Managers Group, Inc. (“AMG”), serves as investment manager to the Fund and is responsible for the Fund’s overall administration and operations. The Investment Manager selects and recommends, subject to the approval of the Board and, in certain circumstances, shareholders, the subadviser for the Fund and monitors the subadviser’s investment performance, security holdings and investment strategies. The Fund’s investment portfolio is managed by Veritas Asset Management LLP (“Veritas”) who serves as subadviser pursuant to a subadvisory agreement with the Investment Manager. AMG indirectly owns a majority interest in Veritas.
Investment management fees are paid directly by the Fund to the Investment Manager based on average daily net assets. For the six months ended March 31, 2024, the Fund paid an investment management fee at the annual rate of 0.88% of the average daily net assets of the Fund. The fee paid to Veritas for its services as subadviser is paid out of the fee the Investment Manager receives from the Fund and does not increase the expenses of the Fund.
The Investment Manager has contractually agreed, through at least February 1, 2025, to waive management fees and/or pay or reimburse fund expenses in order to limit total annual Fund operating expenses after fee waiver and expense reimbursements (exclusive of taxes, interest (including interest incurred in connection with bank and custody overdrafts, and in connection with securities sold short), shareholder servicing fees, distribution and service (12b-1) fees, brokerage commissions and other transaction costs, dividends payable with respect to securities sold short, acquired fund fees and expenses and extraordinary expenses) of the Fund to the annual rate of 1.11% of the Fund’s average daily net assets (this annual rate or such other annual rate that may be in effect from time to time, the “Expense Cap”), subject to later reimbursement by the Fund in certain circumstances.
In general, for a period of up to 36 months after the date any amounts are paid, waived or reimbursed by the Investment Manager, the Investment Manager may
15
| | |
| | Notes to Financial Statements (continued) |
recover such amounts from the Fund, provided that such repayment would not cause the Fund’s total annual operating expenses after fee waiver and expense reimbursements (exclusive of the items noted in the parenthetical above) to exceed either (i) the Expense Cap in effect at the time such amounts were paid, waived or reimbursed, or (ii) the Expense Cap in effect at the time of such repayment by the Fund.
The contractual expense limitation may only be terminated in the event the Investment Manager or a successor ceases to be the investment manager of the Fund or a successor fund, by mutual agreement between the Investment Manager and the Board, or in the event of the Fund’s liquidation unless the Fund is reorganized or is a party to a merger in which the surviving entity is successor to the accounting and performance information of the Fund.
For the six months ended March 31, 2024, the Investment Manager reimbursed the Fund $39,547, and did not recoup any previously reimbursed expenses. At March 31, 2024, the Fund’s expiration of reimbursements subject to recoupment is as follows:
| | | | |
Expiration Period | | | |
| |
Less than 1 year | | | $36,126 | |
| |
1-2 years | | | 57,579 | |
| |
2-3 years | | | 78,809 | |
| | | | |
| |
Total | | | $172,514 | |
| | | | |
The Trust, on behalf of the Fund, has entered into an amended and restated Administration Agreement under which the Investment Manager serves as the Fund’s administrator (the “Administrator”) and is responsible for certain aspects of managing the Fund’s operations, including administration and shareholder services to the Fund. The Fund pays a fee to the Administrator at the rate of 0.15% per annum of the Fund’s average daily net assets for this service.
The Fund is distributed by AMG Distributors, Inc. (the “Distributor”), a wholly-owned subsidiary of the Investment Manager. The Distributor serves as the distributor and underwriter for the Fund and is a registered broker-dealer and member of the Financial Industry Regulatory Authority, Inc. (“FINRA”). Shares of the Fund will be continuously offered and will be sold directly to prospective purchasers and through brokers, dealers or other financial intermediaries who have executed selling agreements with the Distributor. Generally, the Distributor bears all or a portion of the expenses of providing services pursuant to the distribution agreement, including the payment of the expenses relating to the distribution of prospectuses for sales purposes and any advertising or sales literature.
For Class I shares, the Board has approved reimbursement payments to the Investment Manager for shareholder servicing expenses (“shareholder servicing fees”) incurred. Shareholder servicing fees include payments to financial intermediaries, such as broker-dealers (including fund supermarket platforms), banks, and trust companies who provide shareholder recordkeeping, account servicing and other services. The Class I shares may reimburse the Investment Manager for the actual amount incurred up to a maximum annual rate of the Class’s average daily net assets as shown in the table below.
The impact on the annualized expense ratios for the six months ended March 31, 2024, was as follows:
| | | | | | | | | | |
| | | Maximum Annual Amount Approved | | Actual Amount Incurred |
| | |
Class I | | | | 0.15% | | | | | 0.04% | |
The Board provides supervision of the affairs of the Trust and other trusts within the AMG Funds Family. The Trustees of the Trust who are not affiliated with the Investment Manager receive an annual retainer and per meeting fees for regular, special and telephonic meetings, and they are reimbursed for out-of-pocket expenses incurred while carrying out their duties as Board members. The Chairman of the Board and the Audit Committee Chair receive additional annual retainers. On October 10, 2023, the shareholders of the Trust elected Trustees, including two new Trustees who are not “interested persons” of the Fund within the meaning of the 1940 Act. Certain Trustees and Officers of the Fund are Officers and/or Directors of the Investment Manager, AMG and/or the Distributor.
The Securities and Exchange Commission (the “SEC”) granted an exemptive order that permits certain eligible funds in the AMG Funds Family to lend and borrow money for certain temporary purposes directly to and from other eligible funds in the AMG Funds Family. Participation in this interfund lending program is voluntary for both the borrowing and lending funds, and an interfund loan is only made if it benefits each participating fund. The Administrator manages the program according to procedures approved by the Board, and the Board monitors the operation of the program. An interfund loan must comply with certain conditions set out in the exemptive order, which are designed to assure fairness and protect all participating funds. The interest earned and interest paid on interfund loans are included on the Statement of Operations as interest income and interest expense, respectively. At March 31, 2024, the Fund had no interfund loans outstanding. The Fund did not lend during the six months ended March 31, 2024.
The Fund utilized the interfund loan program during the six months ended March 31, 2024 as follows:
| | | | | | | | | | | | |
Average Borrowed | |
| Number
of Days |
| |
| Interest
Paid |
| |
| Average
Interest Rate |
|
$1,041,707 | | | 4 | | | | $711 | | | | 6.225% | |
3. PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities (excluding short-term securities and U.S. Government Obligations) for the six months ended March 31, 2024, were $13,213,832 and $20,103,930, respectively.
The Fund had no purchases or sales of U.S. Government Obligations during the six months ended March 31, 2024.
4. PORTFOLIO SECURITIES LOANED
The Fund participates in the Securities Lending Program providing for the lending of securities to qualified borrowers. Securities lending income includes earnings of such temporary cash investments, plus or minus any rebate to a borrower. These earnings (after any rebate) are then divided between BNYM, as a fee for its services under the Securities Lending Program, and the Fund, according to agreed-upon rates. Collateral on all securities loaned is accepted in cash, U.S. Treasury Obligations or U.S. Government Agency Obligations. Collateral is maintained at a minimum level of 102% (105% in the case of certain foreign securities) of the market value, plus interest, if applicable, of investments on loan. It is the Fund’s policy to obtain additional collateral from or return excess collateral
16
| | |
| | Notes to Financial Statements (continued) |
to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Fund if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Under the terms of the Securities Lending Program, the Fund is indemnified for such losses by BNYM. Cash collateral is held in separate omnibus accounts managed by BNYM, who is authorized to exclusively enter into joint repurchase agreements for that cash collateral. Securities collateral is held in separate omnibus accounts managed by BNYM and cannot be sold or pledged. BNYM bears the risk of any deficiency in the amount of the cash collateral available for return to the borrower due to any loss on the collateral invested. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities as soon as practical, which is normally within three business days.
The value of securities loaned on positions held, cash collateral and securities collateral received at March 31, 2024, was as follows:
| | | | | | | | |
Securities Loaned | | Cash Collateral Received | | | Securities Collateral Received | | Total Collateral Received |
| $3,462,856 | | | — | | | $3,567,317 | | $3,567,317 |
The following table summarizes the securities received as collateral for securities lending at March 31, 2024:
| | | | | | |
Collateral Type | | Coupon Range | | Maturity Date Range | |
| | |
| U.S. Treasury Obligations | | 0.000%-7.500% | | | 04/11/24-11/15/53 | |
5. FOREIGN SECURITIES
The Fund invests in securities of foreign entities and in instruments denominated in foreign currencies which involve risks not typically associated with investments in domestic securities, such as exposure to currency fluctuations, less developed or less efficient trading markets, political instability, a lack of company information, differing auditing and legal standards, and, potentially, less liquidity. Realized gains in certain countries may be subject to foreign taxes at the Fund level and the Fund would pay such foreign taxes at the appropriate rate for each jurisdiction.
6. COMMITMENTS AND CONTINGENCIES
Under the Trust’s organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, in the normal course of business, the Fund may enter into contracts and agreements that contain a variety of representations and warranties, which provide general indemnifications. The maximum exposure to the Fund under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund had no prior claims or losses and expects the risks of loss to be remote.
7. FORWARD COMMITMENTS
Certain transactions, such as futures contracts and forward transactions create leverage in the Fund’s portfolio. However, if the Fund enters into such a transaction, the Fund will establish a segregated account with its custodian
and/or counterparty in which it will maintain cash, U.S. government securities or other liquid securities equal in value to its obligations in respect to such transaction. Securities and other assets held in the segregated account may not be sold while the transaction is outstanding, unless other suitable assets are substituted.
8. DERIVATIVE INSTRUMENTS
The following disclosures contain information on how and why the Fund uses derivative instruments, the credit risk and how derivative instruments affect the Fund’s financial position, and results of operations. The location and fair value amounts of these instruments on the Statement of Assets and Liabilities, and the realized gains and losses and changes in unrealized appreciation and depreciation on the Statement of Operations, each categorized by type of derivative contract, are included in a table at the end of the Fund’s Schedule of Portfolio Investments.
For the six months ended March 31, 2024, the average monthly balances of derivative financial instruments outstanding were as follows:
| | | | |
Financial Futures Contracts | | | | |
| |
Average number of contracts | | | 324 | |
| |
Average notional value of contracts | | | $32,579,886 | |
9. FUTURES CONTRACTS
The Fund generally expects to take short positions in index futures as an alternative to purchasing individual stocks in order to adjust the Fund’s exposure to a particular market and seek to preserve capital. There are certain risks associated with futures contracts; prices may not move as expected or the Fund may not be able to close out the contract when it desires to do so, resulting in losses.
On entering into a futures contract, either cash or securities in an amount equal to a certain percentage of the contract value (initial margin) must be deposited with the futures broker. Subsequent variation margin payments are made or received by the Fund depending on the fluctuations in the value of the futures contracts and the value of cash or securities on deposit with the futures broker. The Fund must have total value at the futures broker consisting of either net unrealized gains, cash or securities collateral to meet the initial margin requirement, and any value over the initial margin requirement may be transferred to the Fund. The Fund pays or receives variation margin periodically. As of March 31, 2024, the Fund had total equity in the futures account of $2,312,999 which consists of cash deposited with the futures broker of $3,129,431 and unrealized depreciation on open futures contracts of $816,432.
Variation margin on futures contracts is recorded as unrealized appreciation or depreciation until the futures contract is closed or expired. The Fund recognizes a realized gain or loss when the contract is closed or expires equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) on futures contracts until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
17
| | |
| | Notes to Financial Statements (continued) |
10. MASTER NETTING AGREEMENTS
The Fund may enter into master netting agreements with its counterparties for the Securities Lending Program, Repurchase Agreements and derivatives, 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 Fund does 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 and for futures transactions, see Note 9. At March 31, 2024, the Fund had no Repurchase Agreements outstanding.
11. SUBSEQUENT EVENTS
The Fund has determined that no material events or transactions occurred through the issuance date of the Fund’s financial statements which require an additional disclosure in or adjustment of the Fund’s financial statements.
18
| | |
| | Other Information (unaudited) |
PROXY VOTE
A special meeting of the shareholders of AMG Funds I (the “Trust”) was held on October 10, 2023, to vote on a proposal to elect trustees to the Board of Trustees of the Trust. The proposal and results of the vote are described below. Jill R. Cuniff, Kurt A. Keilhacker, Peter W. MacEwen, Steven J. Paggioli, Eric Rakowski, Victoria L. Sassine and Garret W. Weston were elected by shareholders at the special meeting on October 10, 2023. Bruce B. Bingham, an incumbent Trustee, continued to serve as a Trustee of the Trust until his retirement on December 31, 2023.
| | | | | | | | | | | | |
| AMG Funds I | | All Funds in Trust* | |
| | | |
| Election of Trustees 1 | | For | | | | | | Withheld | |
Jill R. Cuniff | | | 20,441,009 | | | | | | | | 1,294,070 | |
| | | |
Kurt A. Keilhacker | | | 20,299,049 | | | | | | | | 1,436,030 | |
| | | |
Peter W. MacEwen | | | 20,123,172 | | | | | | | | 1,611,908 | |
| | | |
Steven J. Paggioli | | | 20,290,868 | | | | | | | | 1,444,211 | |
| | | |
Eric Rakowski | | | 20,424,987 | | | | | | | | 1,310,092 | |
| | | |
Victoria L. Sassine | | | 20,650,180 | | | | | | | | 1,084,900 | |
| | | |
Garret W. Weston | | | 20,348,384 | | | | | | | | 1,386,695 | |
1 Ms. Cuniff and Mr. MacEwen were newly elected to the Board of Trustees on October 10, 2023; Messrs. Keilhacker, Paggioli, Rakowski, and Weston and Ms. Sassine are incumbent Trustees.
*Rounded to the nearest share.
19
| | |
| | Funds Liquidity Risk Management Program |
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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 Fund’s liquidity risk, taking into consideration the Fund’s 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 (“AMG”) as the Program administrator. AMG formed a Liquidity Risk Management Committee (“LRMC”), which includes members of various departments across AMG, | | including Legal, Compliance, Product Services, Affiliate Product Strategy & Development and, as needed, other representatives of AMG 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 Program’s administration and oversight and for reporting to the Board on at least an annual basis regarding the Program’s operation and effectiveness. At a meeting of the Board held on March 20, 2024, the Board received a report from the LRMC regarding the design and operational effectiveness of the Program for the period January 1, 2023 through December 31, 2023 (the “Program Reporting Period”). The Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing a Fund’s liquidity risk, as follows: A. The Fund’s 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 Fund’s 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 Fund’s 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 Fund’s 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 Fund’s shareholder ownership concentration, a Fund’s distribution channels, and the degree of certainty associated with a Fund’s 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 AMG considers reasonable, AMG 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 Fund’s prospectus or statement of additional information for more information regarding a Fund’s exposure to liquidity risk and other principal risks to which an investment in a Fund may be subject. |
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INVESTMENT MANAGER AND ADMINISTRATOR AMG Funds LLC 680 Washington Blvd., Suite 500 Stamford, CT 06901 800.548.4539 DISTRIBUTOR AMG Distributors, Inc. 680 Washington Blvd., Suite 500 Stamford, CT 06901 800.548.4539 SUBADVISER Veritas Asset Management LLP 1 Smart’s Place London, WC2B 5LW CUSTODIAN The Bank of New York Mellon Mutual Funds Custody 240 Greenwich Street New York, NY 10286 | | LEGAL COUNSEL Ropes & Gray LLP Prudential Tower, 800 Boylston Street Boston, MA 02199-3600 TRANSFER AGENT BNY Mellon Investment Servicing (US) Inc. AMG Funds Attn: 534426 AIM 154-0520 500 Ross Street Pittsburgh, PA 15262 800.548.4539 TRUSTEES Jill R. Cuniff Kurt A. Keilhacker Peter W. MacEwen Steven J. Paggioli Eric Rakowski Victoria L. Sassine Garret W. Weston | | This report is prepared for the Fund’s 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 the Fund are available on the Fund’s website at wealth.amg.com. A description of the policies and procedures the 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 Commission’s (SEC) website at sec.gov. For information regarding the Fund’s proxy voting record for the 12-month period ended June 30, call 800.548.4539 or visit the SEC website at sec.gov. The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s portfolio holdings on Form N-PORT are available on the SEC’s website at sec.gov and the Fund’s website at wealth.amg.com. To review a complete list of the Fund’s portfolio holdings, or to view the most recent semi-annual report or annual report, please visit wealth.amg.com. |
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EQUITY FUNDS AMG Beutel Goodman International Equity Beutel, Goodman & Company Ltd. AMG Boston Common Global Impact Boston Common Asset Management, LLC AMG Frontier Small Cap Growth Frontier Capital Management Co., LLC AMG GW&K Small Cap Core AMG GW&K Small Cap Value AMG GW&K Small/Mid Cap Core AMG GW&K Small/Mid Cap Growth AMG GW&K International Small Cap GW&K Investment Management, LLC AMG Montrusco Bolton Large Cap Growth Montrusco Bolton Investments, Inc. 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 Large Cap Value Select AMG River Road Mid Cap Value 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 Veritas Asia Pacific AMG Veritas China AMG Veritas Global Focus AMG Veritas Global Real Return Veritas Asset Management LLP AMG Yacktman AMG Yacktman Focused AMG Yacktman Global AMG Yacktman Special Opportunities Yacktman Asset Management LP | | | | FIXED INCOME FUNDS AMG Beutel Goodman Core Plus Bond Beutel, Goodman & Company Ltd. AMG GW&K Core Bond ESG AMG GW&K Enhanced Core Bond ESG AMG GW&K ESG Bond AMG GW&K High Income AMG GW&K Municipal Bond AMG GW&K Municipal Enhanced Yield GW&K Investment Management, LLC | | |
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| wealth.amg.com | | 033124 | | | SAR073 | |
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 registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the registrant’s 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 registrant’s 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 registrant’s 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.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
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| AMG FUNDS I |
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| By: | | /s/ Keitha L. Kinne |
| | Keitha L. Kinne, Principal Executive Officer |
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| Date: | | June 4, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
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| By: | | /s/ Keitha L. Kinne |
| | Keitha L. Kinne, Principal Executive Officer |
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| Date: | | June 4, 2024 |
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| By: | | /s/ Thomas Disbrow |
| | Thomas Disbrow, Principal Financial Officer |
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| Date: | | June 4, 2024 |
