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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)
One Stamford Plaza, 263 Tresser Boulevard,
Suite 949, Stamford, Connecticut 06901
(Address of principal executive offices) (Zip code)
One Stamford Plaza,
263 Tresser Boulevard,
Suite 949, 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, 2020 – MARCH 31, 2021
(Semi-Annual Shareholder Report)
Table of Contents
Item 1. | Reports to Shareholders |
Table of Contents
SEMI-ANNUAL REPORT |
AMG Funds
March 31, 2021 | ||
AMG Boston Common Global Impact Fund | ||
(formerly AMG Managers Brandywine Fund) | ||
Class I: BRWIX | ||
AMG Veritas Global Real Return Fund | ||
(formerly AMG Managers Brandywine Blue Fund) | ||
Class I: BLUEX | ||
amgfunds.com | 033121 SAR073 |
Table of Contents
Table of Contents
AMG Funds Semi-Annual Report — March 31, 2021 (unaudited) |
TABLE OF CONTENTS | PAGE | |||||
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2 | ||||||
FUND PERFORMANCE | 3 | |||||
FUND SNAPSHOTS AND SCHEDULES OF PORTFOLIO INVESTMENTS | ||||||
5 | ||||||
11 | ||||||
FINANCIAL STATEMENTS | ||||||
14 | ||||||
Balance sheets, net asset value (NAV) per share computations and cumulative distributable earnings (loss) | ||||||
15 | ||||||
Detail of sources of income, expenses, and realized and unrealized gains (losses) during the fiscal period | ||||||
16 | ||||||
Detail of changes in assets for the past two fiscal periods | ||||||
17 | ||||||
Historical net asset values per share, distributions, total returns, income and expense ratios, turnover ratios and net assets | ||||||
19 | ||||||
Accounting and distribution policies, details of agreements and transactions with Fund management and affiliates, and descriptions of certain investment risks | ||||||
APPROVAL OF SUBADVISORY AGREEMENTS | 25 | |||||
FUNDS LIQUIDITY RISK MANAGEMENT PROGRAM | 29 | |||||
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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. |
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Table of Contents
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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 line of the following table provides information about the actual account values and | actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the following table provides information about hypothetical account values and hypothetical expenses based on the 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 line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. | ||||||
Six Months Ended March 31, 2021 | Expense Ratio for the Period | Beginning Account Value 10/01/20 | Ending Account Value 03/31/21 | Expenses Paid During the Period* | ||||
AMG Boston Common Global Impact Fund | ||||||||
Based on Actual Fund Return | ||||||||
Class I | 1.10% | $1,000 | $1,248 | $6.16 | ||||
Based on Hypothetical 5% Annual Return | ||||||||
Class I | 1.10% | $1,000 | $1,019 | $5.54 | ||||
AMG Veritas Global Real Return Fund | ||||||||
Based on Actual Fund Return | ||||||||
Class I | 1.14% | $1,000 | $1,141 | $6.09 | ||||
Based on Hypothetical 5% Annual Return | ||||||||
Class I | 1.14% | $1,000 | $1,019 | $5.74 |
* | 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 (182), then divided by 365. |
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Periods ended March 31, 2021 |
The table below shows the average annual total returns for the periods indicated for each Fund, as well as each Fund’s relative index for the same time periods ended March 31, 2021.
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, 19, 22 |
| |||||||||||||||
Class I | 24.79 | % | 68.56 | % | 18.07 | % | 10.47 | % | ||||||||
MSCI All Country World Index23 | 19.93 | % | 54.60 | % | 13.21 | % | 9.14 | % | ||||||||
Russell 3000® Growth Index24 | 13.75 | % | 64.31 | % | 20.87 | % | 16.35 | % | ||||||||
AMG Veritas Global Real Return Fund2, 4, 5, 6, 7, 8, 9, 10, 11, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22 |
| |||||||||||||||
Class I | 14.14 | % | 58.15 | % | 18.87 | % | 11.91 | % | ||||||||
Bloomberg Barclays US Treasury Inflation-Linked Bond Index25 | 0.12 | % | 7.54 | % | 3.86 | % | 3.44 | % | ||||||||
Russell 1000® Growth Index26 | 12.44 | % | 62.74 | % | 21.05 | % | 16.63 | % |
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 Funds and other information, please call 800.548.4539 or visit our website at amgfunds.com for a free prospectus. Read it carefully before investing or sending money.
Distributed by AMG Distributors, Inc., member FINRA/SIPC.
* 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 Funds are net of expenses and based on the published NAV as of March 31, 2021. All returns are in U.S. dollars ($). |
2 | Performance shown for periods prior to March 19, 2021, reflects the performance and investment strategies of the Funds’ previous subadviser, Friess Associates, LLC and Friess Associates of Delaware, LLC. |
3 | The Fund invests in growth stocks, which may be more sensitive to market movements because their prices tend to reflect future investor expectations rather than just current profits. Growth stocks may underperform value stocks during given periods. |
4 | Active and frequent trading of a fund may result in higher transaction costs and increased tax liability. |
5 | Investments in international securities are subject to certain risks of overseas investing including currency fluctuations and changes in political and economic conditions, which could result in significant market fluctuations. These risks are magnified in emerging markets. |
6 | 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. |
7 | The Fund is subject to risks associated with investments in small-capitalization companies, such as erratic earnings patterns, competitive conditions, limited earnings history and a reliance on one or a limited number of products. |
8 | The Fund is subject to currency risk resulting from fluctuations in exchange rates that may affect the total loss or gain on a non-U.S. Dollar investment when converted back to U.S. Dollars. |
9 | 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. |
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 The Fund is subject to the risks associated with investments in emerging markets, such as erratic earnings patterns, economic and political instability, changing exchange controls, limitations on repatriation of foreign capital and changes in local governmental attitudes toward private investment, possibly leading to nationalization or confiscation of investor assets.
12 Applying the Fund’s ESG investment criteria may result in the selection or exclusion of securities of certain issuers for reasons other than performance, and the Fund may underperform funds that do not utilize an ESG investment strategy. The application of this strategy may affect the Fund’s 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 reflect the beliefs or values of any particular investor.
13 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.
14 The Fund is subject to risks associated with investments in mid-capitalization companies such as greater price volatility, lower trading volume, and less liquidity than the stocks of larger, more established companies.
15 The Fund invests in value stocks, which may perform differently from the market as a whole and may be undervalued by the market for a long period of time.
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16 A greater percentage of the Fund’s holdings may be focused in a smaller number of securities which may place the Fund at greater risk than a more diversified fund.
17 The issuers of bonds or other debt securities or a counterparty to a derivatives contract may be unable or unwilling to make interest, principal or settlement payments.
18 If 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 performance may be adversely affected.
19 The Fund may invest in derivatives such as options and futures; the complexity and rapidly changing structure of derivatives markets may increase the possibility of market losses.
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Fund Performance Periods ended March 31, 2021 (continued) |
20 The Fund may not be able to value its investments in a manner that accurately reflects their market values, and the Fund may not be able to sell an investment at a price equal to the valuation ascribed to that investment by the Fund.
21 Because exchange-traded funds (ETFs) incur their own costs, investing in them could result in a higher cost to the investor. Additionally, the Fund will be indirectly exposed to all the risks of securities held by the ETFs.
22 The use of leverage in a Fund’s strategy, such as futures and forward commitment transactions, can magnify relatively small market movements into relatively larger losses for the Fund. Boston Common utilized futures and forwards during the transition.
23 On March 19, 2021, the primary benchmark changed from the Russell 3000® Growth Index to the MSCI All Country World Index (ACWI). The MSCI All Country World Index (ACWI) is a free float-adjusted market capitalization weighted index that is designed to 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 All Country World Index (ACWI) is unmanaged, is not available for investment and does not incur expenses. | 24 The Russell 3000® Growth Index measures the performance of those Russell 3000® Index companies with higher price-to-book ratios and higher forecasted growth values. Unlike the Fund, the Russell 3000® Growth Index is unmanaged, is not available for investment and does not incur expenses.
25 On March 19, 2021, the primary benchmark changed from the Russell 1000® Growth Index to Bloomberg Barclays US Treasury Inflation-Linked Bond Index. The Bloomberg Barclays US Treasury Inflation-Linked Bond Index measures the performance of the US Treasury Inflation Protected Securities (TIPS) market. Unlike the Fund, the Bloomberg Barclays US Treasury Inflation-Linked Bond Index is unmanaged, is not available for investment and does not incur expenses.
26 The Russell 1000® Growth Index is a market capitalization weighted index that measures the performance of those Russell 1000® companies with higher price-to-book ratios and higher forecasted growth values. Unlike the Fund, the Russell 1000® Growth Index is unmanaged, is not available for investment and does not incur expenses.
The Russell Indices are trademarks of the London Stock Exchange Group companies.
Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark of Bloomberg Finance | L.P. and its affiliates (collectively “Bloomberg”). BARCLAYS® is a trademark and service mark of Barclays Bank PLC (collectively with is affiliates, “Barclays”), used under license. Bloomberg or Bloomberg’s licensors, including Barclays, own all proprietary rights in the Bloomberg Barclays Indices. Neither Bloomberg nor Barclays approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express of implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
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.
Not FDIC insured, nor bank guaranteed. May lose value. | ||||||
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AMG Boston Common Global Impact Fund Fund Snapshots (unaudited) March 31, 2021 |
PORTFOLIO BREAKDOWN
Sector | % of Net Assets | |
Industrials | 18.5 | |
Information Technology | 16.7 | |
Consumer Discretionary | 14.1 | |
Materials | 12.6 | |
Health Care | 11.9 | |
Financials | 8.2 | |
Consumer Staples | 5.4 | |
Utilities | 4.0 | |
Real Estate | 1.3 | |
Other Assets Less Liabilities1 | 7.3 |
1 | Includes collateral and net unrealized appreciation on futures contracts. |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |
Carrier Global Corp. | 2.7 | |
Vestas Wind Systems A/S (Denmark) | 2.5 | |
Shimano, Inc. (Japan) | 2.3 | |
Borregaard A.S.A. (Norway) | 2.2 | |
Kerry Group PLC, Class A (Ireland) | 2.2 | |
VMware, Inc., Class A | 2.1 | |
Orsted A.S. (Denmark) | 2.1 | |
Barratt Developments PLC (United Kingdom) | 2.0 | |
Mohawk Industries, Inc. | 2.0 | |
DS Smith PLC (United Kingdom) | 2.0 | |
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Top Ten as a Group | 22.1 | |
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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.
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AMG Boston Common Global Impact Fund Schedule of Portfolio Investments (unaudited) March 31, 2021 |
Shares | Value | |||||||||||
Common Stocks - 92.7% | ||||||||||||
Consumer Discretionary - 14.1% |
| |||||||||||
Barratt Developments PLC (United Kingdom)* | 1,897,994 | $19,522,799 | ||||||||||
BYD Co., Ltd., Class H (China) | 535,000 | 11,575,669 | ||||||||||
KB Home (United States) | 339,836 | 15,812,569 | ||||||||||
Mohawk Industries, Inc. (United States)* | 101,005 | 19,424,272 | ||||||||||
Quotient Technology, Inc. (United States)* | 481,395 | 7,865,994 | ||||||||||
Shimano, Inc. (Japan) | 92,600 | 22,116,614 | ||||||||||
TopBuild Corp. (United States)* | 55,274 | 11,576,034 | ||||||||||
Wolverine World Wide, Inc. (United States) | 196,563 | 7,532,294 | ||||||||||
Yamaha Corp. (Japan) | 346,900 | 18,903,672 | ||||||||||
Total Consumer Discretionary | 134,329,917 | |||||||||||
Consumer Staples - 5.4% |
| |||||||||||
Essity AB, Class B (Sweden) | 440,819 | 13,932,154 | ||||||||||
Kerry Group PLC, Class A (Ireland) | 164,973 | 20,603,325 | ||||||||||
Sprouts Farmers Market, Inc. (United States)* | 618,429 | 16,462,580 | ||||||||||
Total Consumer Staples | 50,998,059 | |||||||||||
Financials - 8.2% |
| |||||||||||
Bank Rakyat Indonesia Persero Tbk PT, ADR (Indonesia)* | 1,243,665 | 19,052,948 | ||||||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc., REIT (United States) | 233,020 | 13,072,422 | ||||||||||
HDFC Bank, Ltd., ADR (India)* | 147,355 | 11,448,010 | ||||||||||
ORIX Corp. (Japan) | 922,700 | 15,605,427 | ||||||||||
Ping An Insurance Group Co. of China, Ltd., Class H (China) | 1,570,000 | 18,779,329 | ||||||||||
Total Financials | 77,958,136 | |||||||||||
Health Care - 11.9% |
| |||||||||||
Cerner Corp. (United States) | 245,850 | 17,671,698 | ||||||||||
China Traditional Chinese Medicine Holdings Co., Ltd. (Hong Kong) | 19,068,000 | 11,921,200 | ||||||||||
CSL, Ltd. (Australia) | 53,016 | 10,714,739 | ||||||||||
Gilead Sciences, Inc. (United States) | 275,240 | 17,788,761 | ||||||||||
Grifols SA, ADR (Spain) | 513,724 | 8,882,288 | ||||||||||
Hoya Corp. (Japan) | 106,100 | 12,487,634 | ||||||||||
Sonova Holding AG (Switzerland)* | 63,148 | 16,738,965 | ||||||||||
Waters Corp. (United States)* | 60,660 | 17,237,752 | ||||||||||
Total Health Care | 113,443,037 | |||||||||||
Industrials - 18.5% |
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Carrier Global Corp. (United States) | 602,250 | 25,426,995 | ||||||||||
Chart Industries, Inc. (United States)* | 3,516 | 500,503 | ||||||||||
Cummins, Inc. (United States) | 55,885 | 14,480,362 | ||||||||||
Daikin Industries, Ltd. (Japan) | 70,200 | 14,191,548 |
Shares | Value | |||||||||||
Gates Industrial Corp PLC (United States)* | 517,875 | $8,280,821 | ||||||||||
Schneider Electric SE (France) | 115,866 | 17,650,467 | ||||||||||
Spirax-Sarco Engineering PLC (United Kingdom) | 78,781 | 12,377,928 | ||||||||||
TOMRA Systems A.S.A. (Norway) | 428,387 | 18,595,294 | ||||||||||
Vestas Wind Systems A/S (Denmark) | 115,241 | 23,772,702 | ||||||||||
WESCO International, Inc. (United States)* | 26,402 | 2,284,565 | ||||||||||
Westinghouse Air Brake Technologies Corp. (United States) | 243,098 | 19,243,638 | ||||||||||
Westport Fuel Systems, Inc. (Canada)* | 162,994 | 1,171,927 | ||||||||||
Xylem, Inc. (United States) | 177,778 | 18,698,690 | ||||||||||
Total Industrials | 176,675,440 | |||||||||||
Information Technology - 16.7% |
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Adobe, Inc. (United States)* | 30,119 | 14,317,669 | ||||||||||
Allegro MicroSystems, Inc. (United States)* | 127,478 | 3,231,567 | ||||||||||
Applied Materials, Inc. (United States) | 108,033 | 14,433,209 | ||||||||||
Calix, Inc. (United States)* | 246,528 | 8,544,660 | ||||||||||
Ciena Corp. (United States)* | 242,307 | 13,259,039 | ||||||||||
CommVault Systems, Inc. (United States)* | 155,795 | 10,048,778 | ||||||||||
First Solar, Inc. (United States)* | 204,530 | 17,855,469 | ||||||||||
Intuit, Inc. (United States) | 42,447 | 16,259,748 | ||||||||||
Pagseguro Digital, Ltd., Class A (Brazil)* | 299,699 | 13,876,064 | ||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | ||||||||||||
ADR (Taiwan) | 69,317 | 8,198,815 | ||||||||||
VMware, Inc., Class A (United States)* | 132,052 | 19,867,223 | ||||||||||
Xinyi Solar Holdings, Ltd. (China) | 11,540,000 | 19,128,125 | ||||||||||
Total Information Technology | 159,020,366 | |||||||||||
Materials - 12.6% |
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Air Liquide, S.A. (France) | 43,278 | 7,066,257 | ||||||||||
Borregaard A.S.A. (Norway) | 977,831 | 21,287,143 | ||||||||||
Croda International PLC (United Kingdom) | 151,914 | 13,291,914 | ||||||||||
DS Smith PLC (United Kingdom)* | 3,429,674 | 19,272,312 | ||||||||||
Ecolab, Inc. (United States) | 71,542 | 15,314,996 | ||||||||||
Koninklijke DSM NV (Netherlands) | 57,245 | 9,677,742 | ||||||||||
Novozymes A/S, Class B (Denmark) | 239,885 | 15,349,452 | ||||||||||
Umicore, S.A. (Belgium) | 360,318 | 19,116,469 | ||||||||||
Total Materials | 120,376,285 | |||||||||||
Real Estate - 1.3% |
| |||||||||||
Vonovia SE (Germany) | 189,064 | 12,355,195 | ||||||||||
Utilities - 4.0% |
| |||||||||||
American Water Works Co., Inc. (United States) | 120,543 | 18,071,806 | ||||||||||
Orsted A.S. (Denmark)1 | 122,019 | 19,701,843 | ||||||||||
Total Utilities | 37,773,649 | |||||||||||
Total Common Stocks | ||||||||||||
(Cost $860,471,341) | 882,930,084 |
The accompanying notes are an integral part of these financial statements.
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AMG Boston Common Global Impact Fund Schedule of Portfolio Investments (continued) |
Value | ||||||||||||
Total Investments - 92.7% | ||||||||||||
(Cost $860,471,341) | $ | 882,930,084 | ||||||||||
Other Assets, less Liabilities - 7.3% | 69,998,947 | |||||||||||
Net Assets - 100.0% | $ | 952,929,031 |
* | Non-income producing security. |
1 | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2021, the value of these securities amounted to $19,701,843 or 2.1% of net assets. |
ADR American Depositary Receipt
REIT Real Estate Investment Trust
Open Futures Contracts | ||||||||||||||||||||||||||||
Description | Currency | Number of Contracts | Position | Expiration Date | Current Notional Amount | Value and Unrealized Gain/ (Loss) | ||||||||||||||||||||||
Hang Seng Index | HKD | 41 | Long | 04/29/21 | $7,466,819 | $89,351 | ||||||||||||||||||||||
MSCI EAFE Index | USD | 238 | Long | 06/18/21 | 26,084,800 | (61,706 | ) | |||||||||||||||||||||
S&P 500 E-Mini FUT Index | USD | 110 | Long | 06/18/21 | 21,820,700 | 250,203 | ||||||||||||||||||||||
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Total | $277,848 | |||||||||||||||||||||||||||
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CURRENCY ABBREVIATIONS:
HKD Hong Kong Dollar
USD US Dollar
Open Forward Foreign Currency Contracts | ||||||||||||||||||||
Currency Purchased | Amount | Currency Sold | Amount | Expiration | Counterparty | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
Australian Dollar | 1,255,345 | U.S. Dollar | 956,924 | 04/07/21 | Merrill Lynch | $(3,389 | ) | |||||||||||||
Australian Dollar | 14,661,048 | U.S. Dollar | 11,263,167 | 04/07/21 | Merrill Lynch | (126,923 | ) | |||||||||||||
Swiss Franc | 684,502 | U.S. Dollar | 732,136 | 04/07/21 | Merrill Lynch | (7,773 | ) | |||||||||||||
Swiss Franc | 1,346,037 | U.S. Dollar | 1,433,069 | 04/07/21 | Merrill Lynch | (8,647 | ) | |||||||||||||
Swiss Franc | 16,683,480 | U.S. Dollar | 17,890,518 | 04/07/21 | Merrill Lynch | (235,487 | ) | |||||||||||||
Danish Krone | 384,727,834 | U.S. Dollar | 60,899,518 | 04/07/21 | Merrill Lynch | (240,801 | ) | |||||||||||||
Danish Krone | 4,170,052 | U.S. Dollar | 661,069 | 04/07/21 | Merrill Lynch | (3,592 | ) | |||||||||||||
Euro | 3,052,755 | U.S. Dollar | 3,609,850 | 04/07/21 | Merrill Lynch | (29,365 | ) | |||||||||||||
Euro | 3,994,225 | U.S. Dollar | 4,709,363 | 04/07/21 | Merrill Lynch | (24,656 | ) | |||||||||||||
Euro | 77,313,055 | U.S. Dollar | 91,819,613 | 04/07/21 | Merrill Lynch | (1,141,430 | ) | |||||||||||||
British Pound | 886,102 | U.S. Dollar | 1,213,305 | 04/07/21 | Merrill Lynch | 8,304 | ||||||||||||||
British Pound | 2,089,984 | U.S. Dollar | 2,882,833 | 04/07/21 | Merrill Lynch | (1,514 | ) | |||||||||||||
British Pound | 2,445,090 | U.S. Dollar | 3,368,369 | 04/07/21 | Merrill Lynch | 2,512 | ||||||||||||||
British Pound | 50,584,570 | U.S. Dollar | 69,775,298 | 04/07/21 | Merrill Lynch | (37,758 | ) | |||||||||||||
Hong Kong Dollar | 3,050,544 | U.S. Dollar | 392,712 | 04/07/21 | Merrill Lynch | (306 | ) | |||||||||||||
Hong Kong Dollar | 24,224,796 | U.S. Dollar | 3,118,144 | 04/07/21 | Merrill Lynch | (1,990 | ) | |||||||||||||
Hong Kong Dollar | 595,820,270 | U.S. Dollar | 76,715,547 | 04/07/21 | Merrill Lynch | (72,279 | ) | |||||||||||||
Japanese Yen | 815,823,789 | U.S. Dollar | 7,439,462 | 04/07/21 | Merrill Lynch | (70,885 | ) |
The accompanying notes are an integral part of these financial statements.
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AMG Boston Common Global Impact Fund Schedule of Portfolio Investments (continued) |
Currency Purchased | Amount | Currency Sold | Amount | Expiration | Counterparty | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Japanese Yen | 172,411,146 | U.S. Dollar | 1,571,051 | 04/07/21 | Merrill Lynch | $(13,822 | ) | |||||||||||||||
Japanese Yen | 10,223,758,286 | U.S. Dollar | 94,137,780 | 04/07/21 | Merrill Lynch | (1,796,087 | ) | |||||||||||||||
Norwegian Krone | 36,676,640 | U.S. Dollar | 4,288,748 | 04/06/21 | Merrill Lynch | (645 | ) | |||||||||||||||
Norwegian Krone | 372,625,011 | U.S. Dollar | 43,133,137 | 04/07/21 | Merrill Lynch | 432,888 | ||||||||||||||||
Sweden Krona | 133,170,863 | U.S. Dollar | 15,396,081 | 04/07/21 | Merrill Lynch | (146,726 | ) | |||||||||||||||
U.S. Dollar | 957,410 | Australian Dollar | 1,255,345 | 04/07/21 | Merrill Lynch | 3,875 | ||||||||||||||||
U.S. Dollar | 11,486,681 | Australian Dollar | 15,067,442 | 04/07/21 | Merrill Lynch | 41,748 | ||||||||||||||||
U.S. Dollar | 9,010,883 | Swiss Franc | 8,424,824 | 04/07/21 | Merrill Lynch | 95,445 | ||||||||||||||||
U.S. Dollar | 1,393,363 | Swiss Franc | 1,308,939 | 04/07/21 | Merrill Lynch | 8,199 | ||||||||||||||||
U.S. Dollar | 1,502,825 | Swiss Franc | 1,412,192 | 04/07/21 | Merrill Lynch | 8,396 | ||||||||||||||||
U.S. Dollar | 8,105,779 | Swiss Franc | 7,568,064 | 04/07/21 | Merrill Lynch | 96,994 | ||||||||||||||||
U.S. Dollar | 29,810,171 | Danish Krone | 188,344,863 | 04/07/21 | Merrill Lynch | 114,483 | ||||||||||||||||
U.S. Dollar | 24,125,465 | Danish Krone | 152,184,402 | 04/07/21 | Merrill Lynch | 131,073 | ||||||||||||||||
U.S. Dollar | 6,039,009 | Danish Krone | 38,063,451 | 04/07/21 | Merrill Lynch | 37,675 | ||||||||||||||||
U.S. Dollar | 1,631,621 | Danish Krone | 10,305,170 | 04/07/21 | Merrill Lynch | 6,840 | ||||||||||||||||
U.S. Dollar | 1,683,574 | Euro | 1,436,644 | 04/07/21 | Merrill Lynch | (1,423 | ) | |||||||||||||||
U.S. Dollar | 17,967,820 | Euro | 15,195,046 | 04/07/21 | Merrill Lynch | 146,002 | ||||||||||||||||
U.S. Dollar | 1,830,474 | Euro | 1,555,005 | 04/07/21 | Merrill Lynch | 6,655 | ||||||||||||||||
U.S. Dollar | 8,428,662 | Euro | 7,143,453 | 04/07/21 | Merrill Lynch | 50,319 | ||||||||||||||||
U.S. Dollar | 1,521,110 | Euro | 1,291,747 | 04/07/21 | Merrill Lynch | 6,059 | ||||||||||||||||
U.S. Dollar | 15,582,822 | Euro | 13,141,359 | 04/07/21 | Merrill Lynch | 169,713 | ||||||||||||||||
U.S. Dollar | 69,295,067 | Euro | 58,467,268 | 04/07/21 | Merrill Lynch | 720,548 | ||||||||||||||||
U.S. Dollar | 29,589,292 | British Pound | 21,610,195 | 04/07/21 | Merrill Lynch | (203,228 | ) | |||||||||||||||
U.S. Dollar | 1,682,060 | British Pound | 1,224,394 | 04/07/21 | Merrill Lynch | (5,929 | ) | |||||||||||||||
U.S. Dollar | 5,711,465 | British Pound | 4,141,118 | 04/07/21 | Merrill Lynch | 2,384 | ||||||||||||||||
U.S. Dollar | 3,416,085 | British Pound | 2,482,728 | 04/07/21 | Merrill Lynch | (6,685 | ) | |||||||||||||||
U.S. Dollar | 36,497,874 | British Pound | 26,547,310 | 04/07/21 | Merrill Lynch | (101,115 | ) | |||||||||||||||
U.S. Dollar | 1,755,991 | Hong Kong Dollar | 13,653,813 | 04/07/21 | Merrill Lynch | (366 | ) | |||||||||||||||
U.S. Dollar | 1,140,100 | Hong Kong Dollar | 8,856,358 | 04/07/21 | Merrill Lynch | 863 | ||||||||||||||||
U.S. Dollar | 844,927 | Hong Kong Dollar | 6,563,696 | 04/07/21 | Merrill Lynch | 607 | ||||||||||||||||
U.S. Dollar | 6,005,890 | Hong Kong Dollar | 46,658,364 | 04/07/21 | Merrill Lynch | 3,997 | ||||||||||||||||
U.S. Dollar | 2,208,101 | Hong Kong Dollar | 17,162,025 | 04/07/21 | Merrill Lynch | 466 | ||||||||||||||||
U.S. Dollar | 1,801,808 | Hong Kong Dollar | 13,994,675 | 04/07/21 | Merrill Lynch | 1,604 | ||||||||||||||||
U.S. Dollar | 59,337,639 | Hong Kong Dollar | 460,848,744 | 04/07/21 | Merrill Lynch | 56,417 | ||||||||||||||||
U.S. Dollar | 2,259,066 | Japanese Yen | 245,547,235 | 04/07/21 | Merrill Lynch | 41,267 | ||||||||||||||||
U.S. Dollar | 19,938,657 | Japanese Yen | 2,167,234,878 | 04/07/21 | Merrill Lynch | 364,041 | ||||||||||||||||
U.S. Dollar | 6,110,337 | Japanese Yen | 666,766,059 | 04/07/21 | Merrill Lynch | 88,060 | ||||||||||||||||
U.S. Dollar | 6,411,498 | Japanese Yen | 702,345,417 | 04/07/21 | Merrill Lynch | 67,866 | ||||||||||||||||
U.S. Dollar | 2,652,068 | Japanese Yen | 288,204,003 | 04/07/21 | Merrill Lynch | 48,989 |
The accompanying notes are an integral part of these financial statements.
8
Table of Contents
AMG Boston Common Global Impact Fund Schedule of Portfolio Investments (continued) |
Currency Purchased | Amount | Currency Sold | Amount | Expiration | Counterparty | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
U.S. Dollar | 65,777,545 | Japanese Yen | 7,141,895,629 | 04/07/21 | Merrill Lynch | $1,271,449 | ||||||||||||||||
U.S. Dollar | 4,288,727 | Norwegian Krone | 36,676,640 | 04/07/21 | Merrill Lynch | 622 | ||||||||||||||||
U.S. Dollar | 2,592,386 | Norwegian Krone | 22,395,498 | 04/07/21 | Merrill Lynch | (26,017 | ) | |||||||||||||||
U.S. Dollar | 24,555,509 | Norwegian Krone | 210,897,932 | 04/07/21 | Merrill Lynch | (101,946 | ) | |||||||||||||||
U.S. Dollar | 4,516,800 | Norwegian Krone | 38,747,236 | 04/07/21 | Merrill Lynch | (13,393 | ) | |||||||||||||||
U.S. Dollar | 1,104,606 | Norwegian Krone | 9,416,810 | 04/07/21 | Merrill Lynch | 3,625 | ||||||||||||||||
U.S. Dollar | 4,879,930 | Sweden Krona | 42,209,732 | 04/07/21 | Merrill Lynch | 46,506 | ||||||||||||||||
U.S. Dollar | 8,994,786 | Sweden Krona | 77,853,439 | 04/07/21 | Merrill Lynch | 79,813 | ||||||||||||||||
U.S. Dollar | 1,300,370 | Sweden Krona | 11,243,665 | 04/07/21 | Merrill Lynch | 12,862 | ||||||||||||||||
Net Unrealized Appreciation/(Depreciation) on Forward Foreign Currency Contracts | $(245,011 | ) | ||||||||||||||||||||
|
|
The following table summarizes the inputs used to value the Fund’s investments by the fair value hierarchy levels as of March 31, 2021:
Level 1
| Level 21
| Level 3
| Total
| |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Industrials |
| $90,087,501 |
|
| $86,587,939 |
|
| — |
|
| $176,675,440 |
| ||||
Information Technology |
| 139,892,241 |
|
| 19,128,125 |
|
| — |
|
| 159,020,366 |
| ||||
Consumer Discretionary |
| 62,211,163 |
|
| 72,118,754 |
|
| — |
|
| 134,329,917 |
| ||||
Materials |
| 36,602,139 |
|
| 83,774,146 |
|
| — |
|
| 120,376,285 |
| ||||
Health Care |
| 61,580,499 |
|
| 51,862,538 |
|
| — |
|
| 113,443,037 |
| ||||
Financials |
| 43,573,380 |
|
| 34,384,756 |
|
| — |
|
| 77,958,136 |
| ||||
Consumer Staples |
| 16,462,580 |
|
| 34,535,479 |
|
| — |
|
| 50,998,059 |
| ||||
Utilities |
| 18,071,806 |
|
| 19,701,843 |
|
| — |
|
| 37,773,649 |
| ||||
Real Estate |
| — |
|
| 12,355,195 |
|
| — |
|
| 12,355,195 |
| ||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities |
| $468,481,309 |
|
| $414,448,775 |
|
| — |
|
| $882,930,084 |
| ||||
|
|
|
|
|
|
|
| |||||||||
Financial Derivative Instruments - Assets | ||||||||||||||||
Foreign Currency Exchange Contracts |
| — |
|
| $4,179,166 |
|
| — |
|
| $4,179,166 |
| ||||
Equity Futures Contracts |
| $339,554 |
|
| — |
|
| — |
|
| 339,554 |
| ||||
Financial Derivative Instruments - Liabilities | ||||||||||||||||
Foreign Currency Exchange Contracts |
| — |
|
| (4,424,177 | ) |
| — |
|
| (4,424,177 | ) | ||||
Equity Futures Contracts |
| (61,706 | ) |
| — |
|
| — |
|
| (61,706 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Total Financial Derivative Instruments |
| $277,848 |
|
| $(245,011 | ) |
| — |
|
| $32,837 |
| ||||
|
|
|
|
|
|
|
|
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, 2021, there were no transfers in or out of Level 3.
The accompanying notes are an integral part of these financial statements.
9
Table of Contents
AMG Boston Common Global Impact Fund Schedule of Portfolio Investments (continued) |
The following schedule shows the value of derivative instruments at March 31, 2021:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted | Statement of Assets and | Statement of Assets and | ||||||||||
for as hedging instruments | Liabilities Location | Fair Value | Liabilities Location | Fair Value | ||||||||
Equity contracts | Receivable for variation margin1 | $90,636 | Payable for variation margin1 | — | ||||||||
Foreign currency exchange contracts | Unrealized appreciation on foreign currency contracts | 4,179,166 | Unrealized depreciation on foreign currency contracts | $4,424,177 | ||||||||
|
|
|
| |||||||||
Totals | $4,269,802 | $4,424,177 | ||||||||||
|
|
|
|
For the six months ended March 31, 2021, the effect of derivative instruments on the Statement of Operations for the Fund and the amount of realized gain/loss and unrealized appreciation/depreciation on derivatives recognized in income was as follows:
Realized Gain/(Loss) | Change in Unrealized Appreciation/Depreciation | |||||||||||
Derivatives not accounted | Statement of Operations | Realized | Statement of Operations | Change in Unrealized Appreciation/ | ||||||||
for as hedging instruments | Location | Gain/(Loss) | Location | Depreciation | ||||||||
Equity contracts | Net realized loss on futures contracts | $(398,094) | Net change in unrealized appreciation/ depreciation on futures contracts | $277,848 | ||||||||
Foreign currency exchange contracts | Net realized gain on forward contracts | 131,877 | Net change in unrealized appreciation/ depreciation on forward contracts | (245,011 | ) | |||||||
|
|
|
| |||||||||
Totals | $(266,217) | $32,837 | ||||||||||
|
|
|
|
1 | Only current day’s variation margin is reported within the Statement of Assets and Liabilities. The variation margin is included in the open futures cumulative appreciation of $277,848. |
The country allocation in the Schedule of Portfolio Investments at March 31, 2021, was as follows:
Country | % of Long-Term Investments | |||
| ||||
Australia | 1.2 | |||
Belgium | 2.2 | |||
Brazil | 1.6 | |||
Canada | 0.1 | |||
China | 5.6 | |||
Denmark | 6.7 | |||
France | 2.8 | |||
Germany | 1.4 | |||
Hong Kong | 1.3 | |||
India | 1.3 | |||
Indonesia | 2.2 | |||
Ireland | 2.3 |
Country | % of Long-Term Investments | |||
| ||||
Japan | 9.4 | |||
Netherlands | 1.1 | |||
Norway | 4.5 | |||
Spain | 1.0 | |||
Sweden | 1.6 | |||
Switzerland | 1.9 | |||
Taiwan | 0.9 | |||
United Kingdom | 7.3 | |||
United States | 43.6 | |||
|
| |||
100.0 | ||||
|
|
The accompanying notes are an integral part of these financial statements.
10
Table of Contents
AMG Veritas Global Real Return Fund Fund Snapshots (unaudited) March 31, 2021 |
PORTFOLIO BREAKDOWN
Sector | % of Net Assets | |
Health Care | 33.0 | |
Industrials | 24.3 | |
Communication Services | 18.3 | |
Information Technology | 10.7 | |
Consumer Staples | 5.3 | |
Financials | 5.3 | |
Consumer Discretionary | 3.6 | |
Materials | 1.1 | |
Other Assets Less Liabilities | (1.6) |
TOP TEN HOLDINGS
Security Name | % of Net Assets | |
Alphabet, Inc., Class A | 8.4 | |
Charter Communications, Inc., Class A | 6.6 | |
BAE Systems PLC (United Kingdom) | 4.2 | |
Canadian Pacific Railway, Ltd. (Canada) | 4.1 | |
Fiserv, Inc. | 4.1 | |
Vinci SA (France) | 4.0 | |
Baxter International, Inc. | 3.9 | |
UnitedHealth Group, Inc. | 3.9 | |
Safran SA (France) | 3.9 | |
The Cooper Cos, Inc. | 3.8 | |
| ||
Top Ten as a Group | 46.9 | |
|
|
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.
11
Table of Contents
AMG Veritas Global Real Return Fund Schedule of Portfolio Investments (unaudited) March 31, 2021 |
Shares | Value | |||||||
Common Stocks - 101.6% |
| |||||||
Communication Services - 18.3% |
| |||||||
Alphabet, Inc., Class A (United States)* | 7,158 | $14,763,518 | ||||||
Charter Communications, Inc., Class A (United States)* | 18,865 | 11,640,082 | ||||||
Facebook, Inc., Class A (United States)* | 19,677 | 5,795,467 | ||||||
Total Communication Services | 32,199,067 | |||||||
Consumer Discretionary - 3.6% |
| |||||||
Alibaba Group Holding, Ltd., Sponsored ADR (China)* | 27,942 | 6,335,290 | ||||||
Consumer Staples - 5.3% |
| |||||||
Nestle SA (Switzerland) | 25,559 | 2,849,225 | ||||||
Unilever PLC (United Kingdom) | 116,683 | 6,510,569 | ||||||
Total Consumer Staples | 9,359,794 | |||||||
Financials - 5.3% |
| |||||||
Intercontinental Exchange, Inc. (United States) | 49,152 | 5,489,295 | ||||||
Moody’s Corp. (United States) | 12,711 | 3,795,632 | ||||||
Total Financials | 9,284,927 | |||||||
Health Care - 33.0% |
| |||||||
Abbott Laboratories (United States) | 39,330 | 4,713,307 | ||||||
Baxter International, Inc. (United States) | 81,817 | 6,900,446 | ||||||
Becton Dickinson and Co. (United States) | 27,239 | 6,623,163 | ||||||
Catalent, Inc. (United States)* | 43,919 | 4,625,110 | ||||||
Cochlear, Ltd. (Australia) | 23,026 | 3,703,846 | ||||||
The Cooper Cos, Inc. (United States) | 17,353 | 6,665,114 | ||||||
CVS Health Corp. (United States) | 75,100 | 5,649,773 | ||||||
Illumina, Inc. (United States)* | 4,435 | 1,703,306 | ||||||
Shares | Value | |||||||
Sonic Healthcare, Ltd. (Australia) | 185,638 | $4,964,214 | ||||||
Thermo Fisher Scientific, Inc. (United States) | 12,627 | 5,762,710 | ||||||
UnitedHealth Group, Inc. (United States) | 18,513 | 6,888,132 | ||||||
Total Health Care | 58,199,121 | |||||||
Industrials - 24.3% |
| |||||||
Aena SME SA (Spain)*,1 | 32,546 | 5,280,204 | ||||||
Airbus SE (France)* | 46,467 | 5,270,165 | ||||||
BAE Systems PLC (United Kingdom) | 1,073,259 | 7,474,254 | ||||||
Canadian Pacific Railway, Ltd. (Canada) | 19,318 | 7,327,124 | ||||||
CoStar Group, Inc. (United States)* | 4,481 | 3,682,889 | ||||||
Safran SA (France)* | 50,627 | 6,886,665 | ||||||
Vinci SA (France) | 68,373 | 7,002,887 | ||||||
Total Industrials | 42,924,188 | |||||||
Information Technology - 10.7% |
| |||||||
Fiserv, Inc. (United States)* | 60,321 | 7,180,612 | ||||||
Mastercard, Inc., Class A (United States) | 14,758 | 5,254,586 | ||||||
Microsoft Corp. (United States) | 27,506 | 6,485,089 | ||||||
Total Information Technology | 18,920,287 | |||||||
Materials - 1.1% | ||||||||
Franco-Nevada Corp. (Canada) | 14,986 | 1,877,596 | ||||||
Total Common Stocks | 179,100,270 | |||||||
Total Investments - 101.6% | 179,100,270 | |||||||
Other Assets, less Liabilities - (1.6)% |
| (2,801,648 | ) | |||||
Net Assets - 100.0% | $176,298,622 | |||||||
* | Non-income producing security. |
1 | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2021, the value of these securities amounted to $5,280,204 or 3.0% of net assets. |
ADR American Depositary Receipt
The accompanying notes are an integral part of these financial statements.
12
Table of Contents
AMG Veritas Global Real Return 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, 2021:
Level 1
| Level 21
| Level 3
| Total
| |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Health Care | $ | 49,531,061 | $ | 8,668,060 | – | $ | 58,199,121 | |||||||||
Industrials | 11,010,013 | 31,914,175 | – | 42,924,188 | ||||||||||||
Communication Services | 32,199,067 | – | – | 32,199,067 | ||||||||||||
Information Technology | 18,920,287 | – | – | 18,920,287 | ||||||||||||
Consumer Staples | 6,510,569 | 2,849,225 | – | 9,359,794 | ||||||||||||
Financials | 9,284,927 | – | – | 9,284,927 | ||||||||||||
Consumer Discretionary | 6,335,290 | – | – | 6,335,290 | ||||||||||||
Materials | 1,877,596 | – | – | 1,877,596 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 135,668,810 |
| $ | 43,431,460 |
|
| – |
| $ | 179,100,270 |
| ||||
|
|
|
|
|
|
|
|
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, 2021, there were no transfers in or out of Level 3.
The country allocation in the Schedule of Portfolio Investments at March 31, 2021, was as follows:
Country | % of Long-Term Investments | |||
| ||||
Australia | 4.9 | |||
Canada | 5.1 | |||
China | 3.5 | |||
France | 10.7 | |||
Spain | 3.0 | |||
Switzerland | 1.6 | |||
United Kingdom | 7.8 | |||
United States | 63.4 | |||
|
| |||
100.0 | ||||
|
|
The accompanying notes are an integral part of these financial statements.
13
Table of Contents
Statement of Assets and Liabilities (unaudited) March 31, 2021 |
AMG Boston Common Global Impact Fund | AMG Veritas Global Real Return Fund | |||||||
Assets: | ||||||||
Investments at value1 | $882,930,084 | $179,100,270 | ||||||
Cash | 65,192,952 | – | ||||||
Segregated cash for futures contracts | 4,406,000 | – | ||||||
Foreign currency2 | 20,086,696 | – | ||||||
Receivable for investments sold | 25,473,353 | 1,833,470 | ||||||
Dividend and interest receivables | 729,159 | 48,909 | ||||||
Securities lending income receivable | 4,812 | 2,224 | ||||||
Receivable for Fund shares sold | 12,617 | 3,621 | ||||||
Unrealized appreciation on foreign currency contracts | 4,179,166 | – | ||||||
Receivable for variation margin | 90,636 | – | ||||||
Prepaid expenses and other assets | 39,460 | 18,540 | ||||||
Total assets | 1,003,144,935 | 181,007,034 | ||||||
Liabilities: | ||||||||
Payable for investments purchased | 43,505,817 | – | ||||||
Payable for Fund shares repurchased | 1,337,600 | 216,211 | ||||||
Interfund loan payable | – | 3,579,024 | ||||||
Unrealized depreciation on foreign currency contracts | 4,424,177 | – | ||||||
Due to custodian | – | 681,811 | ||||||
Accrued expenses: | ||||||||
Investment advisory and management fees | 746,537 | 161,637 | ||||||
Administrative fees | 127,251 | 27,552 | ||||||
Shareholder service fees | – | 1,673 | ||||||
Other | 74,522 | 40,504 | ||||||
Total liabilities | 50,215,904 | 4,708,412 | ||||||
Net Assets | $952,929,031 | $176,298,622 | ||||||
1 Investments at cost | $860,471,341 | $176,248,331 | ||||||
2 Foreign currency at cost | $20,149,727 | – | ||||||
Net Assets Represent: | ||||||||
Paid-in capital | $953,153,345 | $186,130,901 | ||||||
Total distributable loss | (224,314 | ) | (9,832,279 | ) | ||||
Net Assets | $952,929,031 | $176,298,622 | ||||||
Class I: | ||||||||
Net Assets | $952,929,031 | $176,298,622 | ||||||
Shares outstanding | 23,122,443 | 4,454,133 | ||||||
Net asset value, offering and redemption price per share | $41.21 | $39.58 |
The accompanying notes are an integral part of these financial statements.
14
Table of Contents
Statement of Operations (unaudited) For the six months ended March 31, 2021 |
AMG Boston Common Global Impact Fund | AMG Veritas Global Real Return Fund | |||||||
Investment Income: | ||||||||
Dividend income | $2,237,085 | $484,416 | ||||||
Securities lending income | 53,180 | 3,836 | ||||||
Foreign withholding tax | (88,479 | ) | (10,382 | ) | ||||
Total investment income | 2,201,786 | 477,870 | ||||||
Expenses: | ||||||||
Investment advisory and management fees | 4,196,449 | 933,380 | ||||||
Administrative fees | 715,304 | 159,099 | ||||||
Shareholder servicing fees - Class I | 89,390 | 42,891 | ||||||
Transfer agent fees | 46,011 | 6,898 | ||||||
Trustee fees and expenses | 39,842 | 8,601 | ||||||
Professional fees | 39,064 | 18,154 | ||||||
Reports to shareholders | 32,658 | 12,031 | ||||||
Custodian fees | 31,109 | 11,980 | ||||||
Registration fees | 17,635 | 12,598 | ||||||
Miscellaneous | 11,869 | 4,997 | ||||||
Total expenses | 5,219,331 | 1,210,629 | ||||||
Net investment loss | (3,017,545 | ) | (732,759 | ) | ||||
Net Realized and Unrealized Gain: | ||||||||
Net realized gain on investments | 320,707,021 | 55,245,340 | ||||||
Net realized gain on forwards contracts | 131,877 | – | ||||||
Net realized loss on futures contracts | (398,094 | ) | – | |||||
Net realized gain (loss) on foreign currency transactions | (444,008 | ) | 43,637 | |||||
Net change in unrealized appreciation/depreciation on investments | (113,983,540 | ) | (28,483,302 | ) | ||||
Net change in unrealized appreciation/depreciation on forward contracts | (245,011 | ) | – | |||||
Net change in unrealized appreciation/depreciation on futures contracts | 277,848 | – | ||||||
Net change in unrealized appreciation/depreciation on foreign currency translations | (44,218 | ) | (748 | ) | ||||
Net realized and unrealized gain | 206,001,875 | 26,804,927 | ||||||
Net increase in net assets resulting from operations | $202,984,330 | $26,072,168 |
The accompanying notes are an integral part of these financial statements.
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Statements of Changes in Net Assets For the six months ended March 31, 2021 (unaudited) and the fiscal year ended September 30, 2020
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AMG Boston Common Global Impact Fund | AMG Veritas Global Real Return Fund | |||||||||||||||
March 31, 2021 | September 30, 2020 | March 31, 2021 | September 30, 2020 | |||||||||||||
Increase in Net Assets Resulting From Operations: | ||||||||||||||||
Net investment loss | $(3,017,545 | ) | $(4,020,608 | ) | $(732,759 | ) | $(836,305 | ) | ||||||||
Net realized gain on investments | 319,996,796 | 134,871,648 | 55,288,977 | 46,015,100 | ||||||||||||
Net change in unrealized appreciation/depreciation on investments | (113,994,921 | ) | 4,073,500 | (28,484,050 | ) | (142,390 | ) | |||||||||
Net increase in net assets resulting from operations | 202,984,330 | 134,924,540 | 26,072,168 | 45,036,405 | ||||||||||||
Distributions to Shareholders: | ||||||||||||||||
Class I | (451,891,718 | ) | (78,234,351 | ) | (92,605,165 | ) | (24,116,514 | ) | ||||||||
Capital Share Transactions:1 | ||||||||||||||||
Net increase (decrease) from capital share transactions | 366,779,247 | (7,781,771 | ) | 48,184,253 | (8,516,890 | ) | ||||||||||
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Total increase (decrease) in net assets | 117,871,859 | 48,908,418 | (18,348,744 | ) | 12,403,001 | |||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 835,057,172 | 786,148,754 | 194,647,366 | 182,244,365 | ||||||||||||
End of period | $952,929,031 | $835,057,172 | $176,298,622 | $194,647,366 |
1 See Note 1(g) of the Notes to Financial Statements.
The accompanying notes are an integral part of these financial statements.
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AMG Boston Common Global Impact Fund For a share outstanding throughout each fiscal period
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Class I | For the six (unaudited) | For the fiscal years ended September 30, | ||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 20171 | 2016 | ||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $56.96 | $52.89 | $56.01 | $44.48 | $37.42 | $34.54 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment loss2 | (0.19 | ) | (0.27 | ) | (0.13 | ) | (0.21 | )3 | (0.17 | )3,4 | (0.08 | )3,5 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 13.37 | 9.70 | (2.99 | ) | 11.74 | 7.23 | 2.96 | |||||||||||||||||||||||
Total income (loss) from investment operations | 13.18 | 9.43 | (3.12 | ) | 11.53 | 7.06 | 2.88 | |||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net realized gain on investments | (28.93 | ) | (5.36 | ) | — | — | — | — | ||||||||||||||||||||||
Net Asset Value, End of Period | $41.21 | $56.96 | $52.89 | $56.01 | $44.48 | $37.42 | ||||||||||||||||||||||||
Total Return6 | 24.79 | %7 | 18.95 | % | (5.57 | )% | 25.92 | %3 | 18.87 | %3 | 8.34 | %3 | ||||||||||||||||||
Ratio of net expenses to average net assets | 1.10 | %8 | 1.11 | % | 1.10 | % | 1.10 | % | 1.11 | % | 1.11 | % | ||||||||||||||||||
Ratio of gross expenses to average net assets | 1.10 | %8 | 1.11 | % | 1.10 | % | 1.10 | %9 | 1.12 | %9 | 1.11 | %9 | ||||||||||||||||||
Ratio of net investment loss to average net assets | (0.63 | )%8 | (0.51 | )% | (0.26 | )% | (0.43 | )%3 | (0.43 | )%3 | (0.24 | )%3 | ||||||||||||||||||
Portfolio turnover | 189 | %7 | 221 | % | 145 | % | 138 | % | 187 | % | 185 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $952,929 | $835,057 | $786,149 | $893,301 | $771,474 | $720,766 |
1 | Effective February 27, 2017, the Fund’s Class S shares were renamed to Class I shares. |
2 | Per share numbers have been calculated using average shares. |
3 | Total returns and net investment income (loss) would have been lower had certain expenses not been offset. |
4 | Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.22). |
5 | Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.10). |
6 | The total return is calculated using the published Net Asset Value as of period end. |
7 | Not annualized. |
8 | Annualized. |
9 | Excludes the impact of expense reimbursement or fee waivers and expense reductions such as brokerage credits, but includes expense repayments and non-reimbursable expenses, if any, such as interest, taxes, and extraordinary expenses. (See Note 1(c) and 2 in the Notes to Financial Statements.) |
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AMG Veritas Global Real Return Fund Financial Highlights For a share outstanding throughout each fiscal period
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Class I | For the six (unaudited) | For the fiscal years ended September 30, | ||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 20171 | 2016 | ||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $55.88 | $49.78 | $56.64 | $45.69 | $36.87 | $33.95 | ||||||||||||||||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||||||||||||
Net investment loss2 | (0.19 | ) | (0.22 | ) | (0.10 | ) | (0.24 | ) | (0.12 | )3 | (0.02 | )4 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 8.02 | 12.84 | (1.40 | ) | 11.19 | 8.94 | 3.02 | |||||||||||||||||||||||
Total income (loss) from investment operations | 7.83 | 12.62 | (1.50 | ) | 10.95 | 8.82 | 3.00 | |||||||||||||||||||||||
Less Distributions to Shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | — | — | — | — | — | (0.08 | ) | |||||||||||||||||||||||
Net realized gain on investments | (24.13 | ) | (6.52 | ) | (5.36 | ) | — | — | — | |||||||||||||||||||||
Total distributions to shareholders | (24.13 | ) | (6.52 | ) | (5.36 | ) | — | — | (0.08 | ) | ||||||||||||||||||||
Net Asset Value, End of Period | $39.58 | $55.88 | $49.78 | $56.64 | $45.69 | $36.87 | ||||||||||||||||||||||||
Total Return5 | 14.14 | %6 | 27.84 | % | (0.17 | )% | 23.97 | % | 23.92 | % | 8.86 | % | ||||||||||||||||||
Ratio of expenses to average net assets | 1.14 | %7 | 1.17 | % | 1.15 | % | 1.16 | % | 1.20 | % | 1.20 | % | ||||||||||||||||||
Ratio of net investment loss to average net assets | (0.69 | )%7 | (0.46 | )% | (0.20 | )% | (0.47 | )% | (0.29 | )% | (0.05 | )% | ||||||||||||||||||
Portfolio turnover | 206 | %6 | 215 | % | 135 | % | 122 | % | 167 | % | 139 | % | ||||||||||||||||||
Net assets end of period (000’s) omitted | $176,299 | $194,647 | $182,244 | $197,000 | $172,454 | $156,953 |
1 | Effective February 27, 2017, the Fund’s Class S shares were renamed to Class I shares. |
2 | Per share numbers have been calculated using average shares. |
3 | Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.18). |
4 | Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.04). |
5 | The total return is calculated using the published Net Asset Value as of period end. |
6 | Not annualized. |
7 | Annualized. |
18
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Notes to Financial Statements (unaudited) March 31, 2021
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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 are AMG Boston Common Global Impact Fund (“Global Impact”) (formerly AMG Managers Brandywine Fund) and Veritas Global Real Return Fund (“Global Real Return”) (formerly AMG Managers Brandywine Blue Fund), each a “Fund” and collectively, the “Funds”.
A significant portion of the Global Real Return’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.
On March 17-18, 2021, the Board of Trustees of the Trust (the “Board”) approved Boston Common Asset Management, LLC (“Boston Common”) as the subadviser to Global Impact and Veritas Asset Management LLP (“Veritas”) as the subadviser to Global Real Return on an interim basis to replace Friess Associates, LLC (“Friess”) and Friess Associates of Delaware, LLC (“Friess of Delaware”), effective March 19, 2021. The Board also approved the longer-term appointment of Boston Common and Veritas, a new subadvisory agreement between the Investment Manager and each of Boston Common and Veritas and the submission of the new subadvisory agreements to shareholders for approval. In connection with the hiring of Boston Common and Veritas, effective March 19, 2021, Global Impact and Global Real Return made changes to their investment objectives, principal investments strategies and principal risks. In addition, the Board approved the following fee changes for Global Impact, to be implemented upon effectiveness of the new subadvisory agreement for Global Impact: a reduction in the management fee rate from 0.88% to 0.73% of Global Impact’s average daily net assets; the elimination of the shareholder servicing fees of up to 0.15% that Class I shares of Global Impact are authorized to pay to financial intermediaries; and the implementation of an expense cap of 0.93% of the Fund’s average daily net assets (exclusive of certain excluded expenses). The Board also approved the implementation of an expense cap for Global Real Return of 1.11% of the Fund’s average daily net assets (exclusive of certain excluded expenses), to be implemented upon effectiveness of the new subadvisory agreement for Global Real Return.
In conjunction with the respective change in investment strategy for each Fund, the Funds sold substantially all open positions around the date of the subadviser change that increased each Fund’s portfolio turnover. Also, during the transition of the Global Impact portfolio, the Fund invested in futures contacts and forward foreign currency contacts to manage exposure to foreign markets. The Funds also declared a special capital gain distribution on March 24, 2021.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the Funds and thus Fund performance.
The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), including accounting and reporting guidance pursuant to Accounting Standards Codification Topic 946 applicable to investment companies. U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those
estimates and such differences could be material. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements:
a. VALUATION OF INVESTMENTS
Equity securities traded on a national securities exchange or reported on the NASDAQ national market system (“NMS”) are valued at the last quoted sales price on the primary exchange or, if applicable, the NASDAQ official closing price or the official closing price of the relevant exchange or, lacking any sales, at the last quoted bid price or the mean between the last quoted bid and ask prices (the “mean price”). Equity securities traded in the over-the-counter market (other than NMS securities) are valued at the mean price. Foreign equity securities (securities principally traded in markets other than U.S. markets) are valued at the official closing price on the primary exchange or, for markets that either do not offer an official closing price or where the official closing price may not be representative of the overall market, the last quoted sale price.
Fixed income securities purchased with a remaining maturity of 60 days or less are valued at amortized cost, provided that the amortized cost value is approximately the same as the fair value of the security valued without the use of amortized cost. Investments in other open-end registered investment companies are valued at their end of day net asset value per share.
Futures contracts for which market quotations are readily available are valued at the settlement price as of the close of the futures exchange.
The Funds’ portfolio investments are generally valued based on independent market quotations or prices or, if none, “evaluative” or other market based valuations provided by third party pricing services approved by the Board. Under certain circumstances, the value of certain Fund portfolio investments may be based on an evaluation of fair value, pursuant to procedures established by and under the general supervision of the Board. The Valuation Committee, which is comprised of the Independent Trustees of the Board, and the Pricing Committee, which is comprised of representatives from AMG Funds LLC (the “Investment Manager”) are the committees appointed by the Board to make fair value determinations. Each Fund may use the fair value of a portfolio investment to calculate its net asset value (“NAV”) in the event that the market quotation, price or market based valuation for the portfolio investment is not readily available or otherwise not determinable pursuant to the Board’s valuation procedures, if the Investment Manager or the Pricing Committee believes the quotation, price or market based valuation to be unreliable, or in certain other circumstances. When determining the fair value of an investment, the Pricing Committee and, if required under the Trust’s securities valuation procedures, the Valuation Committee, seeks to determine the price that the Fund might reasonably expect to receive from current sale of that portfolio investment in an arms-length transaction. Fair value determinations shall be based upon consideration of all available facts and information, including, but not limited to (i) attributes specific to the investment; (ii) fundamental and analytical data relating to the investment; and (iii) the value of other comparable securities or relevant financial instruments, including derivative securities, traded on other markets or among dealers.
The values assigned to fair value portfolio investments are based on available information and do not necessarily represent amounts that might ultimately be realized in the future, since such amounts depend on future developments inherent in long-term investments. Because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the
19
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Notes to Financial Statements (continued)
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differences could be material. The Board will be presented with a quarterly report showing as of the most recent quarter end, all outstanding securities fair valued by the Funds, including a comparison with the prior quarter end and the percentage of the Funds that the security represents at each quarter end.
With respect to foreign equity securities and certain foreign fixed income securities, the Board has adopted a policy that securities held in the Funds that can be fair valued by the applicable fair value pricing service are fair valued on each business day provided that each individual price exceeds a pre-established confidence level.
U.S. GAAP defines fair value as the price that a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP also establishes a framework for measuring fair value, and a three level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Funds. Unobservable inputs reflect the Funds’ own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation.
The three-tier hierarchy of inputs is summarized below:
Level 1 – inputs are quoted prices in active markets for identical investments (e.g., equity securities, open-end investment companies)
Level 2 – other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs) (e.g., debt securities, government securities, foreign currency exchange contracts, swaps, foreign securities utilizing international fair value pricing, fair valued securities with observable inputs)
Level 3 – inputs are significant unobservable inputs (including the 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 Funds become aware of the ex-dividend date. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued
as earned. Dividend and interest income on foreign securities is recorded gross of any withholding tax. Non-cash dividends included in dividend income, if any, are reported at the fair market value of the securities received. Upon notification from issuers, distributions received from a real estate investment trust (REIT) may be redesignated as a reduction of cost of investments and/or realized gain. Other income and expenses are recorded on an accrual basis. Expenses that cannot be directly attributed to a Fund are apportioned among the funds in the 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 a net operating loss write off. Temporary differences are primarily due to qualified late year ordinary losses and wash sales.
At March 31, 2021, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The approximate cost of investments and the aggregate gross unrealized appreciation and depreciation for federal income tax purposes were as follows:
Fund | Cost | Appreciation | Depreciation | Net Appreciation | ||||||||||||
Global Impact | $860,471,341 | $31,210,010 | $(8,718,430) | $22,491,580 | ||||||||||||
Global Real Return | 176,248,331 | 4,469,300 | (1,617,361) | 2,851,939 |
e. FEDERAL TAXES
Each Fund currently qualifies as an investment company and intends to comply with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, and to distribute substantially all of its taxable income and gains to its shareholders and to meet certain diversification and income requirements with respect to investment companies. Therefore, no provision for federal income or excise tax is included in the accompanying financial statements.
Additionally, based on each Fund’s understanding of the tax rules and rates related to income, gains and transactions for the foreign jurisdictions in which it invests, each Fund will provide for foreign taxes, and where appropriate, deferred foreign taxes.
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Notes to Financial Statements (continued)
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Management has analyzed the Funds’ 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 Funds’ financial statements. Additionally, Management is not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.
f. CAPITAL LOSS CARRYOVERS AND DEFERRALS
As of September 30, 2020, the Funds had no capital loss carryovers for federal income tax purposes. Should the Funds incur net capital losses for the fiscal year ended September 30, 2021, such amounts may be used to offset future realized capital gains indefinitely, and retain their character as short-term and/or long-term.
g. CAPITAL STOCK
The Trust’s Declaration of Trust authorizes for each Fund the issuance of an unlimited number of shares of beneficial interest, without par value. Each Fund records sales and repurchases of its capital stock on the trade date.
For the six months ended March 31, 2021 (unaudited) and the fiscal year ended September 30, 2020, the capital stock transactions by class for the Funds were as follows:
Global Impact | Global Real Return | |||||||||||||||||||||||||||||||
March 31, 2021 | September 30, 2020 | March 31, 2021 | September 30, 2020 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||
Proceeds from sale of shares | 105,121 | $5,343,992 | 46,057 | $2,373,834 | 353,017 | $18,971,744 | 298,448 | $14,918,425 | ||||||||||||||||||||||||
Reinvestment of distributions | 9,562,578 | 422,164,426 | 1,413,629 | 72,476,754 | 1,900,323 | 83,737,125 | 493,674 | 23,168,103 | ||||||||||||||||||||||||
Cost of shares repurchased | (1,205,959 | ) | (60,729,171 | ) | (1,661,560 | ) | (82,632,359 | ) | (1,282,279 | ) | (54,524,616 | ) | (970,100 | ) | (46,603,418 | ) | ||||||||||||||||
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Net increase (decrease) | 8,461,740 | $366,779,247 | (201,874 | ) | $(7,781,771 | ) | 971,061 | $48,184,253 | (177,978 | ) | $(8,516,890 | ) | ||||||||||||||||||||
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h. REPURCHASE AGREEMENTS AND JOINT REPURCHASE AGREEMENTS
The Funds may enter into third-party repurchase agreements for temporary cash management purposes and third-party or bilateral joint repurchase agreements for reinvestment of cash collateral on securities lending transactions under the securities lending program offered by The Bank of New York Mellon (“BNYM”) (the “Program”) (collectively, “Repurchase Agreements”). The value of the underlying collateral, including accrued interest, must equal or exceed the value of the Repurchase Agreements during the term of the agreement. For joint repurchase agreements, the Funds participate on a pro rata basis with other clients of BNYM in its share of the underlying collateral under such joint repurchase agreements and in its share of proceeds from any repurchase or other disposition of the underlying collateral. The underlying collateral for all Repurchase Agreements is held in safekeeping by the Funds’ custodian or at the Federal Reserve Bank. If the seller defaults and the value of the collateral declines, or if bankruptcy proceedings commence with respect to the seller of the security, realization of the collateral by the Funds may be delayed or limited. Pursuant to the Program, the Funds are indemnified for such losses by BNYM on joint repurchase agreements.
At March 31, 2021, the Funds did not hold Repurchase Agreements.
i. FOREIGN CURRENCY TRANSLATION
The books and records of the Funds are maintained in U.S. dollars. The value of investments, assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon current foreign exchange rates. Purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based on currency exchange rates prevailing on the respective dates of such transactions. Net realized and unrealized gain (loss) on foreign currency transactions represent: (1) foreign exchange gains and losses from the sale and holdings of foreign currencies; (2) gains and losses between trade date
and settlement date on investment securities transactions and foreign currency exchange contracts; and (3) gains and losses from the difference between amounts of interest and dividends recorded and the amounts actually received.
The Funds do not isolate the net realized and unrealized gain or loss resulting from changes in exchange rates from the fluctuations in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
2. AGREEMENTS AND TRANSACTIONS WITH AFFILIATES
For each of the Funds, the Trust has entered into an investment advisory agreement under which the Investment Manager, a subsidiary and the U.S. retail distribution arm of Affiliated Managers Group, Inc. (“AMG”), serves as investment manager to the Funds and is responsible for the Funds’ overall administration and operations. The Investment Manager selects one or more subadvisers for the Funds (subject to Board approval) and monitors each subadviser’s investment performance, security holdings and investment strategies. Each Fund’s investment portfolio is managed by one or more portfolio managers who serve pursuant to a subadvisory agreement with the Investment Manager. Effective March 19, 2021, Global Impact is managed by Boston Common, and Global Real Return is managed by Veritas. AMG owns a minority equity interest in Boston Common and an indirect majority interest in Veritas. Prior to March 19, 2021, each Fund’s investment portfolio was managed by Friess and Friess of Delaware who served pursuant to a subadvisory agreement with the Investment Manager.
Investment management fees are paid directly by the Funds to the Investment Manager based on average daily net assets. For the six months ended March 31, 2021, the Funds’ investment management fees were paid at the following annual rate of each Fund’s respective average daily net assets:
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Notes to Financial Statements (continued)
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Global Impact | 0.88% | |||
Global Real Return | 0.88% |
The Trust, on behalf of the Funds, has entered into an amended and restated Administration Agreement under which the Investment Manager serves as the Funds’ administrator (the “Administrator”) and is responsible for all non-portfolio management aspects of managing the Funds’ operations, including administration and shareholder services to each Fund. Each Fund pays a fee to the Administrator at the rate of 0.15% per annum of the Fund’s average daily net assets for this service.
The Funds are distributed by AMG Distributors, Inc. (the “Distributor”), a wholly-owned subsidiary of the Investment Manager. The Distributor serves as the distributor and underwriter for each Fund and is a registered broker-dealer and member of the Financial Industry Regulatory Authority, Inc. (“FINRA”). Shares of each Fund will be continuously offered and will be sold directly to prospective purchasers and through brokers, dealers or other financial intermediaries who have executed selling agreements with the Distributor. Generally the Distributor bears all or a portion of the expenses of providing services pursuant to the distribution agreement, including the payment of the expenses relating to the distribution of prospectuses for sales purposes and any advertising or sales literature.
For Class 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 each 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, 2021, were as follows:
Fund | Maximum Annual Amount Approved | Actual Amount Incurred | ||||||
Global Impact | ||||||||
Class I
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| 0.15%
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| 0.02%
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Global Real Return | ||||||||
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. Certain Trustees and Officers of the Funds are Officers and/or Directors of the Investment Manager, AMG and/or the Distributor.
The Securities and Exchange Commission (the “SEC”) granted an exemptive order that permits the Funds to lend and borrow money for certain temporary purposes
directly to and from other eligible funds in the AMG Funds Family. Participation in this interfund lending program is voluntary for both the borrowing and lending funds, and an interfund loan is only made if it benefits each participating fund. The Administrator manages the program according to procedures approved by the Board, and the Board monitors the operation of the program. An interfund loan must comply with certain conditions set out in the exemptive order, which are designed to assure fairness and protect all participating funds. The interest earned and interest paid on interfund loans are included on the Statement of Operations as interest income and miscellaneous expense, respectively. At March 31, 2021, Global Impact had no interfund loans outstanding, and Global Real Return had interfund loans outstanding for $3,579,024.
The following Fund utilized the interfund loan program during the six months ended March 31, 2021 as follows:
Fund | Average Borrowed | Number of Days | Interest Paid | Average Interest Rate | ||||||||||||
Global Real Return | $9,158,919 | 7 | $1,600 | 0.911% |
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, 2021, were as follows:
Long Term Securities | ||||||||
Fund | Purchases | Sales | ||||||
Global Impact | $1,705,585,603 | $1,839,114,194 | ||||||
Global Real Return | 413,726,179 | 452,668,811 |
The Funds had no purchases or sales of U.S. Government Obligations during the six months ended March 31, 2021.
4. PORTFOLIO SECURITIES LOANED
The Funds participate in the Program providing for the lending of securities to qualified borrowers. Securities lending income includes earnings of such temporary cash investments, plus or minus any rebate to a borrower. These earnings (after any rebate) are then divided between BNYM, as a fee for its services under the Program, and the Funds, according to agreed-upon rates. Collateral on all securities loaned is accepted in cash, 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 Funds’ policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Funds if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Under the terms of the Program, the Funds are indemnified for such losses by BNYM. Cash collateral is held in separate omnibus accounts managed by BNYM, who is authorized to exclusively enter into joint repurchase agreements for that cash collateral. Securities collateral is held in separate omnibus accounts managed by BNYM that cannot be sold or pledged. BNYM bears the risk of any deficiency in the amount of the cash collateral available for return
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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 Funds did not have any securities on loan at March 31, 2021.
5. FOREIGN SECURITIES
The Funds invest in securities of foreign entities and in instruments denominated in foreign currencies which involve risks not typically associated with investments in domestic securities. Non-domestic securities carry special risks, such as exposure to currency fluctuations, less developed or less efficient trading markets, political instability, a lack of company information, differing auditing and legal standards, and, potentially, less liquidity. A Fund’s investments in emerging market countries are exposed to additional risks. A 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 Funds may enter into contracts and agreements that contain a variety of representations and warranties, which provide general indemnifications. The maximum exposure to the Funds under these arrangements is unknown, as this would involve future claims that may be made against a Fund that have not yet occurred. However, based on experience, the Funds had no prior claims or losses and expect the risks of loss to be remote.
7. FORWARD COMMITMENTS
Certain transactions, such as futures and forward transactions may have a similar effect on a Fund’s net asset value as if a Fund had created a degree of leverage in its portfolio. However, if a Fund enters into such a transaction, a Fund will establish a segregated account with its custodian in which it will maintain cash, U.S. government securities or other liquid securities equal in value to its obligations in respect to such transaction. Securities and other assets held in the segregated account may not be sold while the transaction is outstanding, unless other suitable assets are substituted.
8. DERIVATIVE INSTRUMENTS
The following disclosures contain information on how and why certain Funds use derivative instruments, the credit risk and how derivative instruments affect the Funds’ financial position, and results of operations. The location and fair value amounts of these instruments on the Statement of Assets and Liabilities, and the realized gains and losses and changes in unrealized 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 applicable Fund’s Schedule of Portfolio Investments.
For the period ended March 31, 2021, the average balances of derivative financial instruments outstanding were as follows:
Global Impact | ||||
Foreign Currency Exchange Contracts | ||||
Average daily U.S. Dollar amount purchased/sold
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| $95,836,914
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Financial Futures Contracts | ||||
Average daily number of contracts purchased | 78 | |||
Average daily notional value of contracts purchased | $5,577,845 |
9. FORWARD FOREIGN CURRENCY CONTRACTS
During the transition of the portfolio for Global Impact, the transition manager invested in forward foreign currency contracts to facilitate transactions in foreign securities and to hedge against foreign currency exchange rate risk on its non-U.S. dollar denominated investment securities. A forward foreign currency contract is an agreement between a fund and another party to buy or sell a currency at a set price at a future date. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market daily, and the change in market value is recorded as an unrealized appreciation or depreciation. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
10. FUTURES CONTRACTS
During the transition of the portfolio for Global Impact, the transition manager purchased futures contracts to achieve desired levels of investment. 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 payments (variation margin) are made or received each day. As of March 31, 2021, the Fund had cash deposits with the futures broker of $4,406,000 reported as Segregated cash for futures contracts in the Statement of Assets and Liabilities.
Variation margin on future contracts is recorded as unrealized appreciation or depreciation until the futures contract is closed or expired. The Funds recognize a realized gain or loss when the contract is closed or expires equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as Receivable for variation margin or Payable for variation margin, and in the Statement of Operations as Net change in unrealized appreciation (depreciation) on futures contracts until the contracts are closed, when they are recorded as Net realized gain or loss on futures contracts.
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11. MASTER NETTING AGREEMENTS
The Funds may enter into master netting agreements with their 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 Funds do not offset financial assets and financial liabilities that are subject to master netting agreements in the Statement of Assets and Liabilities. For securities lending transactions, see Note 4.
12. SUBSEQUENT EVENTS
The Funds have determined that no material events or transactions occurred through the issuance date of the Funds’ financial statements, which require an additional disclosure in or adjustment of the Funds’ financial statements, except on May 18, 2021, all proposals related to Global Impact and Global Real Return, as discussed in Note 1, were approved by shareholders.
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AMG Boston Common Global Impact Fund: Approval of Subadvisory Agreements on March 17-18, 2021
At a meeting held via telephone and videoconference on March 17-18, 2021,1 the Board of Trustees (the “Board” or the “Trustees”), and separately a majority of the Trustees who are not “interested persons” of AMG Funds I (the “Trust”) (the “Independent Trustees”), unanimously voted to terminate the subadvisory agreement between AMG Funds LLC (the “Investment Manager”) and Friess Associates, LLC (“Friess”) with respect to AMG Boston Common Global Impact Fund (formerly AMG Managers Brandywine Fund) (the “Global Impact Fund”) (the “Former Global Impact Subadvisory Agreement”) and the sub-subadvisory agreement among the Investment Manager, Friess and Friess Associates of Delaware, LLC with respect to the Global Impact Fund, and approve the interim subadvisory agreement between the Investment Manager and Boston Common Asset Management, LLC (“Boston Common”) with respect to the Global Impact Fund (the “Interim Global Impact Subadvisory Agreement”), the new subadvisory agreement between the Investment Manager and Boston Common with respect to the Global Impact Fund (the “New Global Impact Subadvisory Agreement” and, together with the Interim Global Impact Subadvisory Agreement, the “Global Impact Agreements”), and the presentation of the New Global Impact Subadvisory Agreement for shareholder approval at a special meeting to be held for such purpose, including a recommendation that shareholders vote to approve the New Global Impact Subadvisory Agreement. The Independent Trustees were separately represented by independent legal counsel in their consideration of the Global Impact Agreements.
In considering the Global Impact Agreements, the Trustees considered the information relating to the Global Impact Fund and Boston Common provided to them in connection with the meeting on March 17-18, 2021. Prior to voting, the Independent Trustees: (a) reviewed the foregoing information; (b) received materials from their independent legal counsel discussing the legal standards applicable to their consideration of the Global Impact Agreements; and (c) met with their independent legal counsel in a private session at which no representatives of management were present.
NATURE, EXTENT AND QUALITY OF SERVICES
In considering the nature, extent and quality of the services to be provided by Boston Common, the Trustees reviewed information relating to Boston | Common’s financial condition, operations and personnel and the investment philosophy, strategies and techniques (the “Investment Strategy”) that are intended to be used by Boston Common in managing the Global Impact Fund. The Trustees noted that the Global Impact Fund’s investment objective would be to seek long-term capital appreciation and the Fund would invest in a diversified portfolio of global equity securities, including common stocks, American Depositary Receipts, European Depositary Receipts and Global Depositary Receipts. Among other things, the Trustees reviewed information on portfolio management and other professional staff, information regarding Boston Common’s organizational and management structure, and Boston Common’s compliance policies and procedures. The Trustees noted that Boston Common was founded in 2003 and has 35 employees. The Trustees considered specific information provided regarding the experience of the individuals at Boston Common that are expected to have portfolio management responsibility for the Global Impact Fund. The Trustees noted that one proposed portfolio manager joined Boston Common in 2003, one joined in 2004, one joined in 2012 and one joined in 2014. In the course of their deliberations, the Trustees evaluated, among other things: (a) the expected services to be rendered by Boston Common to the Global Impact Fund; (b) the qualifications and experience of Boston Common’s personnel; and (c) Boston Common’s compliance program. The Trustees additionally considered Boston Common’s risk management processes. The Trustees reviewed Boston Common’s compliance policies and procedures, code of ethics, and specific information related to how Boston Common monitors, among other things, portfolio compliance and proxy voting and deemed all of them to be adequate. The Trustees also took into account the financial condition of Boston Common with respect to its ability to provide the services required under the Global Impact Agreements and noted that, as of December 31, 2020, Boston Common managed approximately $3.9 billion in assets. The Trustees concluded that, given Boston Common financial condition, it would be able to meet any reasonably foreseeable obligations under the Global Impact Agreements.
PERFORMANCE
Because Boston Common was proposing to manage the Global Impact Fund with its global impact strategy, the Trustees noted that they could not draw any conclusions regarding the performance of the Global Impact Fund to date. The Trustees, however, considered the performance provided by Boston Common with respect to Boston Common’s Global | Impact Composite, which is managed in a substantially similar manner to the Global Impact Fund. In this regard, the Trustees noted that the performance of the Global Impact Composite had not been adjusted for the fees and expenses of the Global Impact Fund. The Trustees noted that the Global Impact Composite outperformed its benchmark over the 1-year period ended December 31, 2020 and for the period since the inception of the Global Impact Composite on September 30, 2018 through December 31, 2020.
SUBADVISORY FEES, PROFITABILITY AND ECONOMIES OF SCALE
The Trustees noted that the Investment Manager, and not the Global Impact Fund, is responsible for paying the fees charged by Boston Common. In considering the anticipated profitability of Boston Common with respect to the provision of subadvisory services to the Global Impact Fund, the Trustees considered information regarding Boston Common’s organization, management and financial stability. The Trustees noted that, because Boston Common is an affiliate (“Affiliate”) of the Investment Manager, a portion of Boston Common’s revenues or anticipated profits might be shared directly or indirectly with the Investment Manager. The Trustees also noted that the subadvisory fee rate to be paid to Boston Common under each Global Impact Agreement was lower than the rate paid to Friess under the Former Global Impact Subadvisory Agreement. The Trustees further noted that the Investment Manager proposed certain fee changes for the Global Impact Fund, all of which would be implemented upon the effectiveness of the New Global Impact Subadvisory Agreement and would result in the overall reduction of the Global Impact Fund’s net expense ratios as compared with the Global Impact Fund’s current fee structure. The Trustees also considered the amount of the advisory fee retained by the Investment Manager after payment of the subadvisory fee with respect to the Global Impact Fund, which would increase if the New Global Impact Subadvisory Agreement was approved. The Trustees also noted payments made or to be made from Boston Common to the Investment Manager, and other payments made or to be made from the Investment Manager to Boston Common, including certain expense sharing arrangements related to, among other things, shareholder servicing and distribution. The Trustees concluded that these arrangements were reasonable. The Trustees took into account that, upon the effectiveness of the New Global Impact Subadvisory Agreement, a new contractual expense limitation agreement will take effect pursuant to which the Investment Manager will agree, through at least February 1, 2023, to limit the Global Impact | ||||||
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Approval of Subadvisory Agreements (continued) |
Fund’s total annual operating expenses (subject to certain excluded expenses) to the annual rate of 0.93% of the Fund’s average daily net assets, subject to later reimbursement by the Fund in certain circumstances. The Trustees noted that the management fees (which include both the advisory and administration fees) and total expenses (net of applicable expense waivers/reimbursements) of Class I shares (the Fund’s sole share class) of the Global Impact Fund would both be higher than the average for an appropriate peer group of similar mutual funds for the Fund once the new fee changes went into effect.
The Board took into account management’s discussion of the proposed subadvisory fee structure, and the services Boston Common is expected to provide in performing its functions under the Global Impact Agreements. The Trustees also were provided with the estimated profitability of Boston Common with respect to its proposed subadvisory services to the Global Impact Fund. Based on the foregoing, the Trustees concluded that the profitability to Boston Common is expected to be reasonable and that Boston Common is not expected to realize material benefits from economies of scale that would warrant adjustments to the subadvisory fees at this time. Also with respect to economies of scale, the Trustees noted that as the Global Impact Fund’s assets increase over time, the Global Impact Fund may realize economies of scale with respect to certain fees and expenses, other than the Fund’s management fee, to the extent the increase in assets is proportionally greater than the increase in such fees and expenses.
In addition, the Trustees considered other potential benefits of the subadvisory relationship to Boston Common, including, among others, the potential broadening of Boston Common’s global impact investment capabilities, as well as the indirect benefits that Boston Common may receive from Boston Common’s relationship with the Global Impact Fund, including any so-called “fallout benefits” to Boston Common, such as reputational value derived from Boston Common serving as subadviser to the Global Impact Fund, which bears Boston Common’s name. Taking into account all of the foregoing, the Trustees concluded that, in light of the nature, extent and quality of the services to be provided by Boston Common, and the other considerations noted above with respect to Boston Common, the Global Impact Fund’s subadvisory fees are reasonable.
The Trustees also considered information provided by the Investment Manager related to the benefits of the proposed strategic repositioning of the AMG | Funds complex. The Trustees considered that the strategic repositioning was expected to create value for the Global Impact Fund, the other funds in the AMG Funds complex and their shareholders through enhanced resources and competitive fee levels. The Trustees noted that the proposed changes would bring the full range of AMG’s resources to bear on the growth and success of the AMG Funds, streamline the lineup of funds in the AMG Funds complex and reduce the number of subadvisers, significantly reduce strategy overlap and provide more differentiated investment solutions for the AMG Funds complex that are otherwise not available to U.S. retail investors. The Trustees further considered that the repositioning would bring AMG’s strong partnerships in support of the Global Impact Fund and the AMG Funds complex as a whole and enable AMG Funds to bring the best capabilities of AMG’s Affiliates to the Global Impact Fund and the rest of the AMG Funds complex. The Trustees noted that AMG’s relationship with its Affiliates will also allow the Global Impact Fund to have greater insight into the Affiliate’s compliance and business platform than is generally possible with third party subadvisers, aiding the ongoing monitoring of subadvisers. In light of the foregoing, in approving the Global Impact Agreements, the Trustees, including a majority of the Independent Trustees, determined that the hiring of Boston Common is in the best interests of the Global Impact Fund and its shareholders and does not involve a conflict of interest from which the Investment Manager or an affiliated subadviser derives an inappropriate advantage.
* * * *
After consideration of the foregoing, the Trustees reached the following conclusions (in addition to the conclusions discussed above) regarding each Global Impact Agreement: (a) Boston Common has demonstrated that it possesses the capability and resources to perform the duties required of it under each Global Impact Agreement; (b) Boston Common’s Investment Strategy is appropriate for pursuing the Global Impact Fund’s investment objectives; (c) Boston Common is reasonably likely to execute its investment strategy consistently over time; and (d) Boston Common maintains appropriate compliance programs.
Based on all of the above-mentioned factors and their related conclusions, with no single factor or conclusion being determinative and with each Trustee not necessarily attributing the same weight to each factor, the Trustees concluded that approval | of each Global Impact Agreement would be in the best interests of the Global Impact Fund and its shareholders. Accordingly, on March 17-18, 2021, the Trustees, and separately a majority of the Independent Trustees, unanimously voted to approve each Global Impact Agreement.
AMG Veritas Global Real Return Fund: Approval of Subadvisory Agreements on March 17-18, 2021
At a meeting held via telephone and videoconference on March 17-18, 2021,1 the Board of Trustees (the “Board” or the “Trustees”), and separately a majority of the Trustees who are not “interested persons” of AMG Funds I (the “Trust”) (the “Independent Trustees”), unanimously voted to terminate the subadvisory agreement between AMG Funds LLC (the “Investment Manager”) and Friess Associates, LLC (“Friess”) with respect to AMG Veritas Global Real Return Fund (formerly AMG Managers Brandywine Blue Fund) (the “Global Real Return Fund”) (the “Former Global Real Return Subadvisory Agreement”) and the sub-subadvisory agreement among the Investment Manager, Friess and Friess Associates of Delaware, LLC with respect to the Global Real Return Fund, and approve the interim subadvisory agreement between the Investment Manager and Veritas Asset Management LLP (“Veritas”) with respect to the Global Real Return Fund (the “Interim Global Real Return Subadvisory Agreement”), the new subadvisory agreement between the Investment Manager and Veritas with respect to the Global Real Return Fund (the “New Global Real Return Subadvisory Agreement” and, together with the Interim Global Real Return Subadvisory Agreement, the “Global Real Return Agreements”), and the presentation of the New Global Real Return Subadvisory Agreement for shareholder approval at a special meeting to be held for such purpose, including a recommendation that shareholders vote to approve the New Global Real Return Subadvisory Agreement. The Independent Trustees were separately represented by independent legal counsel in their consideration of the Global Real Return Agreements.
In considering the Global Real Return Agreements, the Trustees considered the information relating to the Global Real Return Fund and Veritas provided to them in connection with the meeting on March 17-18, 2021. Prior to voting, the Independent Trustees: (a) reviewed the foregoing information; (b) received materials from their independent legal counsel discussing the legal standards applicable to their consideration of the Global Real Return Agreements; | ||||||
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Approval of Subadvisory Agreements (continued) |
and (c) met with their independent legal counsel in a private session at which no representatives of management were present.
NATURE, EXTENT AND QUALITY OF SERVICES
In considering the nature, extent and quality of the services to be provided by Veritas, the Trustees reviewed information relating to Veritas’ financial condition, operations and personnel and the investment philosophy, strategies and techniques (the “Investment Strategy”) that are intended to be used by Veritas in managing the Global Real Return Fund. The Trustees noted that the Global Real Return Fund’s investment objective would be to seek to deliver real returns over the medium and longer term and the Fund would seek to achieve its investment objective by investing in global equities and derivatives. The Trustees further noted that in connection with the hiring of Veritas, shareholders would be asked to approve a change in the Global Real Return Fund’s status from operating as a diversified fund to operating as a non-diversified fund. Among other things, the Trustees reviewed information on portfolio management and other professional staff, information regarding Veritas’ organizational and management structure, and Veritas’ compliance policies and procedures. The Trustees noted that Veritas was founded in 2003 and has 42 employees. The Trustees considered specific information provided regarding the experience of the individuals at Veritas that are expected to have portfolio management responsibility for the Global Real Return Fund. The Trustees noted that one proposed portfolio manager joined Veritas in 2003 and the other proposed portfolio manager joined Veritas in 2014. In the course of their deliberations, the Trustees evaluated, among other things: (a) the expected services to be rendered by Veritas to the Global Real Return Fund; (b) the qualifications and experience of Veritas’ personnel; and (c) Veritas’ compliance program. The Trustees additionally considered Veritas’ risk management processes. The Trustees reviewed Veritas’ compliance policies and procedures, code of ethics, and specific information related to how Veritas monitors, among other things, portfolio compliance and proxy voting and deemed all of them to be adequate. The Trustees also took into account the financial condition of Veritas with respect to its ability to provide the services required under the Global Real Return Agreements and noted that, as of December 31, 2020, Veritas managed approximately $33 billion in assets. The Trustees concluded that, given Veritas’ financial condition, it would be able to meet any reasonably foreseeable obligations under the Global Real Return Agreements. | PERFORMANCE
Because Veritas was proposing to manage the Global Real Return Fund with its global real return strategy, the Trustees noted that they could not draw any conclusions regarding the performance of the Global Real Return Fund to date. The Trustees, however, considered the performance provided by Veritas with respect to Veritas’ Global Long/Short GBP Hedged Composite, which is managed in a substantially similar manner to the Global Real Return Fund. In this regard, the Trustees noted that the performance of the Global Long/Short GBP Hedged Composite had not been adjusted for the fees and expenses of the Global Real Return Fund. The Trustees reviewed the year over year performance of the Global Long/Short GBP Hedged Composite from 2011 through 2019 and noted that the composite outperformed its benchmark in seven of the nine calendar years.
SUBADVISORY FEES, PROFITABILITY AND ECONOMIES OF SCALE
The Trustees noted that the Investment Manager, and not the Global Real Return Fund, is responsible for paying the fees charged by Veritas. In considering the anticipated profitability of Veritas with respect to the provision of subadvisory services to the Global Real Return Fund, the Trustees considered information regarding Veritas’ organization, management and financial stability. The Trustees noted that, because Veritas is an affiliate (“Affiliate”) of the Investment Manager, a portion of Veritas’ revenues or anticipated profits might be shared directly or indirectly with the Investment Manager. The Trustees also noted that the subadvisory fee rate to be paid to Veritas under each Global Real Return Agreement was lower than the rate paid to Friess under the Former Global Real Return Subadvisory Agreement. The Trustees further noted that the Investment Manager proposed certain fee changes for the Global Real Return Fund, all of which would be implemented upon the effectiveness of the New Global Real Return Subadvisory Agreement and would result in the overall reduction of the Global Real Return Fund’s net expense ratios as compared with the Global Real Return Fund’s current fee structure. The Trustees also considered the amount of the advisory fee retained by the Investment Manager after payment of the subadvisory fee with respect to the Global Real Return Fund, which would increase if the New Global Real Return Subadvisory Agreement was approved. The Trustees also noted payments made or to be made from Veritas to the | Investment Manager, and other payments made or to be made from the Investment Manager to Veritas, including certain expense sharing arrangements related to, among other things, shareholder servicing and distribution. The Trustees concluded that these arrangements were reasonable. The Trustees took into account that, upon the effectiveness of the New Global Real Return Subadvisory Agreement, a new contractual expense limitation agreement will take effect pursuant to which the Investment Manager will agree, through at least February 1, 2023, to limit the Global Real Return Fund’s total annual operating expenses (subject to certain excluded expenses) to the annual rate of 1.11% of the Fund’s average daily net assets, subject to later reimbursement by the Fund in certain circumstances. The Trustees noted that the management fees (which include both the advisory and administration fees) and total expenses (net of applicable expense waivers/reimbursements) of Class I shares (the Fund’s sole share class) of the Global Real Return Fund would both be lower than the average for an appropriate peer group of similar mutual funds for the Fund once the new fee changes went into effect.
The Board took into account management’s discussion of the proposed subadvisory fee structure, and the services Veritas is expected to provide in performing its functions under the Global Real Return Agreements. The Trustees also were provided with the estimated profitability of Veritas with respect to its proposed subadvisory services to the Global Real Return Fund. Based on the foregoing, the Trustees concluded that the profitability to Veritas is expected to be reasonable and that Veritas is not expected to realize material benefits from economies of scale that would warrant adjustments to the subadvisory fees at this time. Also with respect to economies of scale, the Trustees noted that as the Global Real Return Fund’s assets increase over time, the Global Real Return Fund may realize economies of scale with respect to certain fees and expenses, other than the Fund’s management fee, to the extent the increase in assets is proportionally greater than the increase in such fees and expenses.
In addition, the Trustees considered other potential benefits of the subadvisory relationship to Veritas, including, among others, the potential broadening of Veritas’ global real return investment capabilities, as well as the indirect benefits that Veritas may receive from Veritas’ relationship with the Global Real Return Fund, including any so-called “fallout benefits” to Veritas, such as reputational value derived from | ||||||
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Approval of Subadvisory Agreements (continued) |
Veritas serving as subadviser to the Global Real Return Fund, which bears Veritas’ name. Taking into account all of the foregoing, the Trustees concluded that, in light of the nature, extent and quality of the services to be provided by Veritas, and the other considerations noted above with respect to Veritas, the Global Real Return Fund’s subadvisory fees are reasonable.
The Trustees also considered information provided by the Investment Manager related to the benefits of the proposed strategic repositioning of the AMG Funds complex. The Trustees considered that the strategic repositioning was expected to create value for the Global Real Return Fund, the other funds in the AMG Funds complex and their shareholders through enhanced resources and competitive fee levels. The Trustees noted that the proposed changes would bring the full range of AMG’s resources to bear on the growth and success of the AMG Funds, streamline the lineup of funds in the AMG Funds complex and reduce the number of subadvisers, significantly reduce strategy overlap and provide more differentiated investment solutions for the AMG Funds complex that are otherwise not available to U.S. retail investors. The Trustees further considered that the repositioning would bring AMG’s strong partnerships in support of the Global Real Return Fund and the AMG Funds complex as a whole and | enable AMG Funds to bring the best capabilities of AMG’s Affiliates to the Global Real Return Fund and the rest of the AMG Funds complex. The Trustees noted that AMG’s relationship with its Affiliates will also allow the Global Real Return Fund to have greater insight into the Affiliate’s compliance and business platform than is generally possible with third party subadvisers, aiding the ongoing monitoring of subadvisers. In light of the foregoing, in approving the Global Real Return Agreements, the Trustees, including a majority of the Independent Trustees, determined that the hiring of Veritas is in the best interests of the Global Real Return Fund and its shareholders and does not involve a conflict of interest from which the Investment Manager or an affiliated subadviser derives an inappropriate advantage.
* * * *
After consideration of the foregoing, the Trustees reached the following conclusions (in addition to the conclusions discussed above) regarding each Global Real Return Agreement: (a) Veritas has demonstrated that it possesses the capability and resources to perform the duties required of it under each Global Real Return Agreement; (b) Veritas’ Investment Strategy is appropriate for pursuing the Global Real Return Fund’s investment objectives; (c) Veritas is reasonably likely to execute its investment strategy | consistently over time; and (d) Veritas maintains appropriate compliance programs.
Based on all of the above-mentioned factors and their related conclusions, with no single factor or conclusion being determinative and with each Trustee not necessarily attributing the same weight to each factor, the Trustees concluded that approval of each Global Real Return Agreement would be in the best interests of the Global Real Return Fund and its shareholders. Accordingly, on March 17-18, 2021, the Trustees, and separately a majority of the Independent Trustees, unanimously voted to approve each Global Real Return Agreement.
1 The Trustees determined that the conditions surrounding the COVID-19 virus constituted unforeseen or emergency circumstances and that reliance on the SEC’s exemptive order, which provides relief from the in-person voting requirements of the 1940 Act in certain circumstances (the “In-Person Relief”), was necessary or appropriate due to the circumstances related to current or potential effects of COVID-19. The Trustees unanimously wished to rely on the In-Person Relief with respect to the approval of those matters on the agenda for the March 17-18, 2021 meeting that would otherwise require in-person votes under the 1940 Act. See Investment Company Release No. 33897 (June 19, 2020). This exemptive order supersedes, in part, a similar, earlier exemptive order issued by the SEC (Investment Company Release No. 33824 (March 25, 2020)). | ||||||
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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 (“AMGF”) as the Program administrator. AMGF formed a Liquidity Risk Management Committee (“LRMC”), which includes | members of various departments across AMGF, including Legal, Compliance, Mutual Fund Services, Investment Research and Product Analysis & Operations and, as needed, other representatives of AMGF and/or representatives of the subadvisers to the Funds. The LRMC meets on a periodic basis, no less frequently than monthly. The LRMC is responsible for the 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 17-18, 2021, the Board received a report from the LRMC regarding the design and operational effectiveness of the Program for the period January 1, 2020 through December 31, 2020 (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 AMGF considers reasonable, AMGF believes that the Program and Funds’ Liquidity Risk Management Policies and Procedures are adequate, effective, and reasonably designed to effectively manage the Funds’ liquidity risk.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to each 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 One Stamford Plaza 263 Tresser Blvd, Suite 949 Stamford, CT 06901 800.548.4539
DISTRIBUTOR
AMG Distributors, Inc. One Stamford Plaza 263 Tresser Blvd, Suite 949 Stamford, CT 06901 800.548.4539
CUSTODIAN The Bank of New York Mellon 111 Sanders Creek Parkway East Syracuse, NY 13057 | LEGAL COUNSEL Ropes & Gray LLP Prudential Tower, 800 Boylston Street Boston, MA 02199-3600
TRANSFER AGENT BNY Mellon Investment Servicing (US) Inc. Attn: AMG Funds 4400 Computer Drive Westborough, MA 01581 800.548.4539
TRUSTEES Bruce B. Bingham Christine C. Carsman Kurt A. Keilhacker Steven J. Paggioli Richard F. Powers III Eric Rakowski Victoria L. Sassine Thomas R. Schneeweis | This report is prepared for the Funds’ shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by an effective prospectus. To receive a free copy of the prospectus or Statement of Additional Information, which includes additional information about Fund Trustees, please contact us by calling 800.548.4539. Distributed by AMG Distributors, Inc., member FINRA/SIPC.
Current net asset values per share for each Fund are available on the Funds’ website at amgfunds.com.
A description of the policies and procedures each Fund uses to vote its proxies is available: (i) without charge, upon request, by calling 800.548.4539, or (ii) on the Securities and Exchange Commission’s (SEC) website at sec.gov. For information regarding the Funds’ proxy voting record for the 12-month period ended June 30, call 800.548.4539 or visit the SEC website at sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ portfolio holdings on Form N-PORT are available on the SEC’s website at sec.gov and the Funds’ website at amgfunds.com. To review a complete list of the Funds’ portfolio holdings, or to view the most recent semi-annual report or annual report, please visit amgfunds.com. | ||||||
amgfunds.com |
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BALANCED FUNDS AMG GW&K Global Allocation GW&K Investment Management, LLC
AMG FQ Global Risk-Balanced First Quadrant, L.P.
EQUITY FUNDS AMG Beutel Goodman International Equity Beutel, Goodman & Company Ltd.
AMG Boston Common Global Impact Boston Common Asset Management, LLC
AMG Managers CenterSquare Real Estate CenterSquare Investment Management LLC
AMG FQ Tax-Managed U.S. Equity First Quadrant, L.P.
AMG Frontier Small Cap Growth Frontier Capital Management Co., LLC
AMG GW&K Small Cap Core AMG GW&K Small Cap II AMG GW&K Small Cap Value AMG GW&K Small Cap Value II AMG GW&K Small/Mid Cap AMG GW&K Emerging Markets Equity AMG GW&K Emerging Wealth Equity AMG GW&K International Small Cap GW&K Investment Management, LLC
AMG Managers Emerging Opportunities WEDGE Capital Management L.L.P. Next Century Growth Investors LLC RBC Global Asset Management (U.S.) Inc. | AMG 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 Long-Short 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 Global Real Return Veritas Asset Management LLP
AMG Yacktman AMG Yacktman Focused AMG Yacktman Focused Fund - Security Selection Only
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 | ||||||
amgfunds.com | 033121 SAR073 |
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Item 2. | CODE OF ETHICS |
Not applicable for the semi-annual shareholder report.
Item 3. | AUDIT COMMITTEE FINANCIAL EXPERT |
Not applicable for the semi-annual shareholder report.
Item 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES |
Not applicable for the semi-annual shareholder report.
Item 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS |
Not applicable.
Item 6. | SCHEDULE OF INVESTMENTS |
The schedule of investments in unaffiliated issuers as of the close of the reporting period is included as part of the shareholder report contained in Item 1 hereof.
Item 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable.
Item 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable.
Item 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANIES AND AFFILIATED PURCHASERS |
Not applicable.
Item 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS |
Not applicable.
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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.
Item 13. | EXHIBITS |
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940—Filed herewith. |
(a)(3) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940—Filed herewith. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
AMG FUNDS I
By: | /s/ Keitha L. Kinne | |
Keitha L. Kinne, Principal Executive Officer | ||
Date: | June 3, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Keitha L. Kinne | |
Keitha L. Kinne, Principal Executive Officer | ||
Date: | June 3, 2021 |
By: | /s/ Thomas Disbrow | |
Thomas Disbrow, Principal Financial Officer | ||
Date: | June 3, 2021 |