# EDGAR Filing Document

**Accession Number:** 0001089951
**File Stem:** 0000940400-26-022976
**Filing Date:** 2026-6
**Character Count:** 90840
**Document Hash:** b8f0c88aec7eb11b4a03fca47af37b93
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-022976.hdr.sgml**: 20260601

**ACCESSION NUMBER**: 0000940400-26-022976

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260601

**DATE AS OF CHANGE**: 20260601

**PERIOD START**: 20261231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AMG FUNDS
- **CENTRAL INDEX KEY:** 0001089951

**ORGANIZATION NAME:**
- **EIN:** 061555943
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-09521
- **FILM NUMBER:** 261048696

**BUSINESS ADDRESS:**
- **STREET 1:** 680 WASHINGTON BOULEVARD, SUITE 500
- **CITY:** STAMFORD
- **STATE:** CT
- **ZIP:** 06901
- **BUSINESS PHONE:** 2032993500

**MAIL ADDRESS:**
- **STREET 1:** 680 WASHINGTON BOULEVARD, SUITE 500
- **CITY:** STAMFORD
- **STATE:** CT
- **ZIP:** 06901

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MANAGERS AMG FUNDS
- **DATE OF NAME CHANGE:** 19990706

## Series and Classes Contracts Data

### AMG GW&K Securitized Bond SMA Shares (Series ID: S000093069)

| Class ID   | Class Name                           | Ticker Symbol   |
|:---|:---|:---|
| C000261130 | AMG GW&K Securitized Bond SMA Shares | GWSBX           |

## Nport-Ex

AMG GW&K Securitized Bond SMA Shares

Schedule of Portfolio Investments *(unaudited)*

March 31, 2026

---

| | | |
|:---|:---|:---|
|  | Principal<br> Amount | &nbsp;&nbsp;Value |
| **Asset-Backed Securities - 7.4%** |  |  |
| &nbsp;&nbsp;&nbsp;AB BSL CLO 3, Ltd.<br> Series 2021-3A, Class A1R<br> (3 month SOFR + 1.250%, Cap N/A, Floor 1.250%), 4.918%, 04/20/38<sup>1,2</sup> | $400000 | &nbsp;&nbsp;$399320 |
| &nbsp;&nbsp;&nbsp;AGL CLO 23, Ltd.<br> Series 2022-23A, Class A1R<br> (3 month SOFR + 1.150%, Cap N/A, Floor 1.150%), 4.818%, 04/20/38<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;500000 | &nbsp;&nbsp;&nbsp;&nbsp;497508 |
| &nbsp;&nbsp;&nbsp;AGL CLO 39, Ltd.<br> Series 2025-39A, Class A1<br> (3 month SOFR + 1.130%, Cap N/A, Floor 1.130%), 4.798%, 04/20/38<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;600000 | &nbsp;&nbsp;&nbsp;&nbsp;599119 |
| &nbsp;&nbsp;&nbsp;AGL Core CLO, Ltd.<br> Series 2025-38A, Class A1<br> (3 month SOFR + 1.240%, Cap N/A, Floor 1.240%), 4.909%, 01/22/38<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;500000 | &nbsp;&nbsp;&nbsp;&nbsp;499296 |
| &nbsp;&nbsp;&nbsp;Aimco CLO 15, Ltd.<br> Series 2021-15A, Class AR<br> (3 month SOFR + 1.200%, Cap N/A, Floor 1.200%), 4.868%, 04/17/38<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;210000 | &nbsp;&nbsp;&nbsp;&nbsp;209795 |
| &nbsp;&nbsp;&nbsp;Apidos CLO XLII, Ltd.<br> Series 2022-42A, Class A1R<br> (3 month SOFR + 1.200%, Cap N/A, Floor 1.200%), 4.868%, 04/20/38<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;500000 | &nbsp;&nbsp;&nbsp;&nbsp;498795 |
| &nbsp;&nbsp;&nbsp;CIFC Funding, Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5A, Class A1R<br> (3 month SOFR + 1.260%, Cap N/A, Floor 1.260%), 4.932%, 01/15/38<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;500000 | &nbsp;&nbsp;&nbsp;&nbsp;498840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1A, Class A<br> (3 month SOFR + 1.320%, Cap N/A, Floor 1.320%), 4.988%, 04/17/35<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;500000 | &nbsp;&nbsp;&nbsp;&nbsp;499614 |
| &nbsp;&nbsp;&nbsp;Compass Datacenters Issuer II LLC<br> Series 2024-1A, Class A1<br> 5.250%, 02/25/49<sup>1</sup> | &nbsp;&nbsp;&nbsp;500000 | &nbsp;&nbsp;&nbsp;&nbsp;499520 |
| &nbsp;&nbsp;&nbsp;Elmwood CLO 22 Ltd.<br> Series 2023-1A, Class AR<br> (3 month SOFR + 1.200%, Cap N/A, Floor 1.200%), 4.868%, 04/17/38<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;448000 | &nbsp;&nbsp;&nbsp;&nbsp;447561 |
| &nbsp;&nbsp;&nbsp;Elmwood CLO 38, Ltd.<br> Series 2025-1A, Class A<br> (3 month SOFR + 1.150%, Cap N/A, Floor 1.150%), 4.819%, 04/22/38<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;500000 | &nbsp;&nbsp;&nbsp;&nbsp;498794 |
| &nbsp;&nbsp;&nbsp;GoldenTree Loan Management US CLO 23, Ltd.<br> Series 2024-23A, Class A<br> (3 month SOFR + 1.270%, Cap N/A, Floor 1.270%), 4.938%, 01/20/39<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;305000 | &nbsp;&nbsp;&nbsp;&nbsp;304988 |
| &nbsp;&nbsp;&nbsp;HalseyPoint CLO 3, Ltd.<br> Series 2020-3A, Class A1R<br> (3 month SOFR + 1.480%, Cap N/A, Floor 1.480%), 5.147%, 07/30/37<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;330000 | &nbsp;&nbsp;&nbsp;&nbsp;330541 |

---

---

| | | |
|:---|:---|:---|
|  | Principal<br> Amount | &nbsp;&nbsp;Value |
| &nbsp;&nbsp;&nbsp;KKR CLO 43, Ltd.<br> Series 2022-43A, Class A1R2<br> (3 month SOFR + 1.100%, Cap N/A, Floor 1.100%), 4.771%, 04/15/38<sup>1,2</sup> | $250000 | &nbsp;&nbsp;&nbsp;$248872 |
| &nbsp;&nbsp;&nbsp;Magnetite XXXIV, Ltd.<br> Series 2023-34A, Class A1R<br> (3 month SOFR + 1.140%, Cap N/A, Floor 1.140%), 4.812%, 01/15/38<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;325000 | &nbsp;&nbsp;&nbsp;&nbsp;323539 |
| &nbsp;&nbsp;&nbsp;Palmer Square CLO, Ltd.<br> Series 2021-1A, Class A1AR<br> (3 month SOFR + 1.150%, Cap N/A, Floor 1.150%), 4.818%, 04/20/38<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;191000 | &nbsp;&nbsp;&nbsp;&nbsp;190241 |
| &nbsp;&nbsp;&nbsp;Sagard-Halseypoint CLO 8, Ltd.<br> Series 2024-8A, Class A1<br> (3 month SOFR + 1.390%, Cap N/A, Floor 1.390%), 5.057%, 01/30/38<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;410000 | &nbsp;&nbsp;&nbsp;&nbsp;410538 |
| &nbsp;&nbsp;&nbsp;TCW CLO LTD<br> Series 2025-1A, Class A<br> (3 month SOFR + 1.190%, Cap N/A, Floor 1.190%), 4.858%, 04/20/38<sup>1,2</sup> | &nbsp;&nbsp;500000 | &nbsp;&nbsp;&nbsp;&nbsp;499505 |
| &nbsp;&nbsp;&nbsp;Voya CLO, Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-2A, Class A1R<br> (3 month SOFR + 1.170%, Cap N/A, Floor 1.170%), 4.838%, 04/20/38<sup>1,2</sup> | &nbsp;&nbsp;800000 | &nbsp;&nbsp;&nbsp;&nbsp;797638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2024-7A, Class A1<br> (3 month SOFR + 1.310%, Cap N/A, Floor 1.310%), 4.978%, 01/20/38<sup>1,2</sup> | &nbsp;&nbsp;550000 | &nbsp;&nbsp;&nbsp;&nbsp;548714 |
| **Total Asset-Backed Securities<br> (Cost $8,821,747)** |  | &nbsp;&nbsp;8802738 |
| **Mortgage-Backed Securities - 16.5%** |  |  |
| &nbsp;&nbsp;&nbsp;BANK |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-BN32, Class A4<br> 2.349%, 04/15/54 | &nbsp;&nbsp;&nbsp;241000 | &nbsp;&nbsp;&nbsp;&nbsp;219443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-BN35, Class A5<br> 2.285%, 06/15/64 | &nbsp;&nbsp;&nbsp;250000 | &nbsp;&nbsp;&nbsp;&nbsp;220801 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2023-BNK45, Class A5<br> 5.203%, 02/15/56 | &nbsp;&nbsp;&nbsp;100000 | &nbsp;&nbsp;&nbsp;&nbsp;100952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2024-BNK47, Class A5<br> 5.716%, 06/15/57 | &nbsp;&nbsp;&nbsp;750000 | &nbsp;&nbsp;&nbsp;&nbsp;784237 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2025-BNK49, Class A5<br> 5.623%, 03/15/58<sup>2</sup> | &nbsp;&nbsp;&nbsp;750000 | &nbsp;&nbsp;&nbsp;&nbsp;780692 |
| &nbsp;&nbsp;&nbsp;BANK5 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2023-5YR3, Class A3<br> 6.724%, 09/15/56<sup>2</sup> | &nbsp;&nbsp;&nbsp;325000 | &nbsp;&nbsp;&nbsp;&nbsp;339777 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2023-5YR4, Class A3<br> 6.500%, 12/15/56 | &nbsp;&nbsp;&nbsp;497728 | &nbsp;&nbsp;&nbsp;&nbsp;516898 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2024-5YR10, Class A3<br> 5.302%, 10/15/57 | &nbsp;&nbsp;&nbsp;635000 | &nbsp;&nbsp;&nbsp;&nbsp;647006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2024-5YR8, Class A3<br> 5.884%, 08/15/57 | &nbsp;&nbsp;500000 | &nbsp;&nbsp;&nbsp;&nbsp;518422 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2025-5YR18, Class A3<br> 5.145%, 12/15/58 | &nbsp;&nbsp;500000 | &nbsp;&nbsp;&nbsp;&nbsp;508229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2025-5YR19, Class A2<br> 4.793%, 12/15/58 | &nbsp;&nbsp;500000 | &nbsp;&nbsp;&nbsp;&nbsp;502065 |

---

------

AMG GW&K Securitized Bond SMA Shares

Schedule of Portfolio Investments *(continued)*

---

| | | |
|:---|:---|:---|
|  | Principal<br> Amount | &nbsp;&nbsp;Value |
| &nbsp;&nbsp;&nbsp;BANK5 Trust<br> Series 2025-5YR13, Class A2<br> 5.032%, 01/15/58 | $300000 | &nbsp;&nbsp;$302863 |
| &nbsp;&nbsp;&nbsp;BBCMS Mortgage Trust<br> Series 2024-C30, Class A5<br> 5.532%, 11/15/57 | &nbsp;&nbsp;&nbsp;750000 | &nbsp;&nbsp;&nbsp;&nbsp;775033 |
| &nbsp;&nbsp;&nbsp;Benchmark Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-B22, Class A5<br> 1.973%, 01/15/54 | &nbsp;&nbsp;&nbsp;350000 | &nbsp;&nbsp;&nbsp;&nbsp;307658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2023-B40, Class A5<br> 6.054%, 12/15/56 | &nbsp;&nbsp;&nbsp;250000 | &nbsp;&nbsp;&nbsp;&nbsp;266845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2025-V19, Class A3<br> 5.249%, 01/15/58 | &nbsp;&nbsp;&nbsp;300000 | &nbsp;&nbsp;&nbsp;&nbsp;305987 |
| &nbsp;&nbsp;&nbsp;BRAVO Residential Funding Trust<br> Series 2024-NQM4, Class A1A<br> 4.350%, 01/25/60<sup>1,3</sup> | &nbsp;&nbsp;&nbsp;435737 | &nbsp;&nbsp;&nbsp;&nbsp;430204 |
| &nbsp;&nbsp;&nbsp;Citigroup Mortgage Loan Trust<br> Series 2022-J1, Class A1<br> 2.500%, 02/25/52<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;301638 | &nbsp;&nbsp;&nbsp;&nbsp;280048 |
| &nbsp;&nbsp;&nbsp;COLT Mortgage Loan Trust<br> Series 2022-3, Class A2<br> 4.156%, 02/25/67<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;453640 | &nbsp;&nbsp;&nbsp;&nbsp;434175 |
| &nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Series<br> Series 2025-R01, Class 1A1<br> 4.612%, 01/25/45<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;79100 | &nbsp;&nbsp;&nbsp;&nbsp;78904 |
| &nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2024-R06, Class 1A1<br> 4.812%, 09/25/44<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;396787 | &nbsp;&nbsp;&nbsp;&nbsp;396664 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2026-R02, Class 1A1<br> 4.612%, 02/25/46<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;295026 | &nbsp;&nbsp;&nbsp;&nbsp;295141 |
| &nbsp;&nbsp;&nbsp;GS Mortgage Securities Trust<br> Series 2020-GC47, Class A5<br> 2.377%, 05/12/53 | &nbsp;&nbsp;&nbsp;601000 | &nbsp;&nbsp;&nbsp;&nbsp;550814 |
| &nbsp;&nbsp;&nbsp;GS Mortgage-Backed Securities Corp. Trust<br> Series 2021-PJ5, Class A6<br> 2.500%, 10/25/51<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;465248 | &nbsp;&nbsp;&nbsp;&nbsp;435169 |
| &nbsp;&nbsp;&nbsp;GS Mortgage-Backed Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-RPL1, Class A1A<br> 3.750%, 10/25/57<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;416421 | &nbsp;&nbsp;&nbsp;&nbsp;408523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-GR3, Class A6<br> 2.500%, 04/25/52<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;434526 | &nbsp;&nbsp;&nbsp;&nbsp;389792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-PJ8, Class A2<br> 2.500%, 01/25/52<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;559564 | &nbsp;&nbsp;&nbsp;&nbsp;464434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-PJ3, Class A7<br> 2.500%, 08/25/52<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;452184 | &nbsp;&nbsp;&nbsp;&nbsp;429331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-PJ6, Class A3<br> 2.500%, 01/25/53<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;673317 | &nbsp;&nbsp;&nbsp;&nbsp;560461 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2023-PJ2, Class A4<br> 5.500%, 05/25/53<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;306443 | &nbsp;&nbsp;&nbsp;&nbsp;304923 |
| &nbsp;&nbsp;&nbsp;JP Morgan Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-2, Class B1<br> 3.346%, 06/25/29<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;218218 | &nbsp;&nbsp;&nbsp;&nbsp;213518 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-4, Class B1<br> 3.507%, 06/25/45<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;413131 | &nbsp;&nbsp;&nbsp;&nbsp;384687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-2, Class A3<br> 3.500%, 05/25/47<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;510226 | &nbsp;&nbsp;&nbsp;&nbsp;462557 |

---

---

| | | |
|:---|:---|:---|
|  | Principal<br> Amount | &nbsp;&nbsp;Value |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-2, Class B2<br> 3.652%, 05/25/47<sup>1,2</sup> | &nbsp;&nbsp;$200637 | &nbsp;&nbsp;&nbsp;&nbsp;$185558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-INV3, Class B1<br> 4.339%, 05/25/50<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;288198 | &nbsp;&nbsp;&nbsp;&nbsp;268124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-INV3, Class B2<br> 4.339%, 05/25/50<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;165778 | &nbsp;&nbsp;&nbsp;&nbsp;154695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-5, Class B2<br> 3.568%, 12/25/50<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;305205 | &nbsp;&nbsp;&nbsp;&nbsp;268168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-INV1, Class B2A<br> 3.171%, 08/25/50<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;547796 | &nbsp;&nbsp;&nbsp;&nbsp;467249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1, Class A3A<br> 2.000%, 06/25/51<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;479947 | &nbsp;&nbsp;&nbsp;&nbsp;382957 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-3, Class A15<br> 2.500%, 07/25/51<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;432121 | &nbsp;&nbsp;&nbsp;&nbsp;356679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-1, Class A3<br> 2.500%, 07/25/52<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;1130126 | &nbsp;&nbsp;&nbsp;&nbsp;935962 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-2, Class A5A<br> 2.500%, 08/25/52<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;500000 | &nbsp;&nbsp;&nbsp;&nbsp;335842 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-2, Class A6<br> 3.000%, 08/25/52<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;243386 | &nbsp;&nbsp;&nbsp;&nbsp;228966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-4, Class A3<br> 3.000%, 10/25/52<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;680438 | &nbsp;&nbsp;&nbsp;&nbsp;588818 |
| &nbsp;&nbsp;&nbsp;OBX Trust<br> Series 2020-EXP3, Class 1A8<br> 3.000%, 01/25/60<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;341276 | &nbsp;&nbsp;&nbsp;&nbsp;299733 |
| &nbsp;&nbsp;&nbsp;Sequoia Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1, Class A1<br> 2.500%, 03/25/51<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;654290 | &nbsp;&nbsp;&nbsp;&nbsp;543545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2025-S1, Class A4<br> 2.500%, 09/25/54<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;550048 | &nbsp;&nbsp;&nbsp;&nbsp;489369 |
| &nbsp;&nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust<br> Series 2024-C63, Class A5<br> 5.309%, 08/15/57 | &nbsp;&nbsp;&nbsp;450000 | &nbsp;&nbsp;&nbsp;&nbsp;459322 |
| **Total Mortgage-Backed Securities<br> (Cost $19,565,765)** |  | &nbsp;&nbsp;19581240 |
| **U.S. Government and Agency Obligations -<br> 75.1%** |  |  |
| &nbsp;&nbsp;&nbsp;**Fannie Mae - 30.3%** |  |  |
| &nbsp;&nbsp;&nbsp;Fannie Mae REMICS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-85, Class GA<br> 2.500%, 10/25/45 | &nbsp;&nbsp;&nbsp;&nbsp;186229 | &nbsp;&nbsp;&nbsp;&nbsp;174589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-49, Class KA<br> 3.000%, 08/25/45 | &nbsp;&nbsp;&nbsp;&nbsp;142194 | &nbsp;&nbsp;&nbsp;&nbsp;134267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-33, Class LB<br> 3.000%, 05/25/39 | &nbsp;&nbsp;&nbsp;&nbsp;180677 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;170019 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-43, Class CT<br> 3.000%, 06/25/48 | &nbsp;&nbsp;&nbsp;190508 | &nbsp;&nbsp;&nbsp;&nbsp;167509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-9, Class NA<br> 3.000%, 11/25/36 | &nbsp;&nbsp;&nbsp;&nbsp;374691 | &nbsp;&nbsp;&nbsp;&nbsp;360179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-75, Class KE<br> 4.000%, 07/25/42 | &nbsp;&nbsp;&nbsp;275000 | &nbsp;&nbsp;&nbsp;&nbsp;261823 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-123, Class KU<br> 4.500%, 11/25/40 | &nbsp;&nbsp;&nbsp;250476 | &nbsp;&nbsp;&nbsp;&nbsp;247037 |
| &nbsp;&nbsp;&nbsp;FNMA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 12/01/35 to 01/01/51 | &nbsp;&nbsp;3773545 | &nbsp;&nbsp;&nbsp;2956062 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 12/01/50 to 04/01/52 | 9033508 | &nbsp;&nbsp;&nbsp;7368039 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 11/01/47 to 01/01/52 | &nbsp;&nbsp;6827075 | &nbsp;&nbsp;&nbsp;5850901 |

---

------

AMG GW&K Securitized Bond SMA Shares

Schedule of Portfolio Investments *(continued)*

---

| | | |
|:---|:---|:---|
|  | Principal<br> Amount | &nbsp;&nbsp;Value |
| &nbsp;&nbsp;&nbsp;**Fannie Mae - 30.3% (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;FNMA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/01/50 to 06/01/52 | $4421173 | &nbsp;&nbsp;&nbsp;$3969494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/01/44 | &nbsp;&nbsp;&nbsp;&nbsp;123733 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;116496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 11/01/44 to 06/01/53 | &nbsp;&nbsp;4633275 | &nbsp;&nbsp;&nbsp;&nbsp;4381335 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 11/01/39 to 08/01/42 | &nbsp;&nbsp;&nbsp;288627 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;285644 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 01/01/53 to 02/01/55 | &nbsp;&nbsp;5449041 | &nbsp;&nbsp;&nbsp;&nbsp;5411863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 10/01/52 | &nbsp;&nbsp;&nbsp;&nbsp;618617 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;628929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 05/01/54 to 07/01/54 | 2933056 | &nbsp;&nbsp;&nbsp;&nbsp;3047631 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 04/01/54 to 07/01/54 | &nbsp;&nbsp;&nbsp;&nbsp;353185 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;372569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Fannie Mae |  | &nbsp;&nbsp;35904386 |
| &nbsp;&nbsp;&nbsp;**Freddie Mac - 29.7%** |  |  |
| &nbsp;&nbsp;&nbsp;FHLMC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 05/01/51 | &nbsp;&nbsp;&nbsp;1013411 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;784956 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 05/01/51 to 01/01/52 | &nbsp;&nbsp;3164095 | &nbsp;&nbsp;&nbsp;&nbsp;2596688 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 03/01/51 | &nbsp;&nbsp;&nbsp;&nbsp;316947 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;269106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/01/52 | 3833660 | &nbsp;&nbsp;&nbsp;&nbsp;3426323 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/01/49 | &nbsp;&nbsp;5311466 | &nbsp;&nbsp;&nbsp;&nbsp;4987190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/01/52 to 06/01/54 | 6008789 | &nbsp;&nbsp;&nbsp;&nbsp;5839181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 11/01/53 | &nbsp;&nbsp;1003695 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;992747 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 02/01/54 to 03/01/55 | &nbsp;&nbsp;3412916 | &nbsp;&nbsp;&nbsp;&nbsp;3488322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 10/01/53 to 05/01/55 | &nbsp;&nbsp;5081441 | &nbsp;&nbsp;&nbsp;&nbsp;5279552 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 06/01/54 | &nbsp;&nbsp;&nbsp;&nbsp;356190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;376241 |
| &nbsp;&nbsp;&nbsp;Freddie Mac Multifamily Structured Pass Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series K1522, Class A2<br> 2.361%, 10/25/36 | &nbsp;&nbsp;1485000 | &nbsp;&nbsp;&nbsp;&nbsp;1199359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series K-159, Class A2<br> 4.500%, 07/25/33<sup>2</sup> | &nbsp;&nbsp;1681000 | &nbsp;&nbsp;&nbsp;&nbsp;1681236 |
| &nbsp;&nbsp;&nbsp;Freddie Mac REMICS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 5022, Class MB<br> 2.000%, 10/25/40 | &nbsp;&nbsp;&nbsp;1291512 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;956779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 4910, Class LZ<br> 3.000%, 09/25/49 | &nbsp;&nbsp;&nbsp;275280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;184867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 4435, Class ZB<br> 3.500%, 02/15/45 | &nbsp;&nbsp;&nbsp;433429 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;355125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 4753, Class LZ<br> 3.500%, 02/15/48 | &nbsp;&nbsp;&nbsp;232805 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;210083 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 4839, Class HP<br> 4.000%, 11/15/48 | &nbsp;&nbsp;&nbsp;510598 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;477514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 4863, Class EZ<br> 4.500%, 03/15/49 | &nbsp;&nbsp;&nbsp;&nbsp;516118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;502119 |
| &nbsp;&nbsp;&nbsp;Freddie Mac STACR REMIC Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2025-DNA4, Class A1<br> 4.562%, 10/25/45<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;150312 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;149927 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2025-DNA3, Class A1<br> 4.612%, 09/25/45<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;468875 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;467885 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2024-DNA2, Class A1<br> 4.912%, 05/25/44<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;459472 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;459614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2023-HQA3, Class A1<br> 5.512%, 11/25/43<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;410370 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;413234 |
| &nbsp;&nbsp;&nbsp;Freddie Mac Strips |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 268, Class 30<br> 3.000%, 08/15/42 | &nbsp;&nbsp;&nbsp;&nbsp;211572 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;193565 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Freddie Mac |  | &nbsp;&nbsp;&nbsp;&nbsp;35291613 |

---

---

| | | |
|:---|:---|:---|
|  | Principal<br> Amount | &nbsp;&nbsp;Value |
| &nbsp;&nbsp;&nbsp;**Ginnie Mae - 14.2%** |  |  |
| &nbsp;&nbsp;&nbsp;GNMA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 03/20/51 | $1029488 | &nbsp;&nbsp;&nbsp;$846693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 09/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;4172179 | &nbsp;&nbsp;&nbsp;3595707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-100, Class PE<br> 2.500%, 07/20/43 | &nbsp;&nbsp;&nbsp;&nbsp;206467 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;185252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4, Class PL<br> 2.500%, 09/20/42 | &nbsp;&nbsp;&nbsp;&nbsp;132000 | &nbsp;&nbsp;&nbsp;&nbsp;105420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 11/20/51 to 05/20/53 | &nbsp;&nbsp;&nbsp;1862499 | &nbsp;&nbsp;&nbsp;&nbsp;1664727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-144, Class ZX<br> 3.000%, 01/20/43 | &nbsp;&nbsp;&nbsp;&nbsp;681821 | &nbsp;&nbsp;&nbsp;&nbsp;612596 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-42, Class ZB<br> 3.000%, 03/20/45 | &nbsp;&nbsp;&nbsp;&nbsp;369948 | &nbsp;&nbsp;&nbsp;&nbsp;330863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-18, Class KM<br> 3.000%, 02/20/46 | &nbsp;&nbsp;&nbsp;&nbsp;148347 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;134983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-25, Class QW<br> 3.000%, 02/16/46 | &nbsp;&nbsp;&nbsp;&nbsp;415000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;342581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class Z3.250%, 11/16/43 | &nbsp;&nbsp;&nbsp;&nbsp;320836 | &nbsp;&nbsp;&nbsp;&nbsp;280700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 10/20/42 to 02/20/46 | &nbsp;&nbsp;2672020 | &nbsp;&nbsp;&nbsp;&nbsp;2516202 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-38, Class AZ<br> 3.500%, 03/20/48 | &nbsp;&nbsp;&nbsp;&nbsp;298906 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;219426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 04/20/49 | &nbsp;&nbsp;&nbsp;2691705 | &nbsp;&nbsp;&nbsp;&nbsp;2719551 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 04/20/55 | &nbsp;&nbsp;&nbsp;3220182 | &nbsp;&nbsp;&nbsp;3266504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Ginnie Mae |  | &nbsp;&nbsp;16821205 |
| &nbsp;&nbsp;&nbsp;**U.S. Treasury Obligations - 0.9%** |  |  |
| &nbsp;&nbsp;&nbsp;U.S. Treasury Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.625%, 02/15/55 | &nbsp;&nbsp;&nbsp;&nbsp;359400 | &nbsp;&nbsp;&nbsp;&nbsp;342792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 05/15/45 | &nbsp;&nbsp;&nbsp;&nbsp;735000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;744561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total U.S. Treasury Obligations |  | &nbsp;&nbsp;&nbsp;1087353 |
| **Total U.S. Government and Agency Obligations<br> (Cost $88,085,087)** |  | &nbsp;&nbsp;89104557 |
| **Short-Term Investments - 0.3%** |  |  |
| &nbsp;&nbsp;&nbsp;**Repurchase Agreements - 0.3%** |  |  |
| &nbsp;&nbsp;&nbsp;Fixed Income Clearing Corp., dated 03/31/26, due 04/01/26, 3.350% total to be received $346,032 (collateralized by a U.S. Treasury Note, 1.375%, 11/15/31, totaling $352,932) | &nbsp;&nbsp;&nbsp;&nbsp;346000 | &nbsp;&nbsp;&nbsp;&nbsp;346000 |

---

---

| | | |
|:---|:---|:---|
|  | Shares |  |
| &nbsp;&nbsp;&nbsp;**Other Investment Companies - 0.0%** |  |  |
| &nbsp;&nbsp;&nbsp;Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 3.60%<sup>4</sup> | 1333 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1333 |
| **Total Short-Term Investments<br> (Cost $347,333)** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;347333 |
| **Total Investments - 99.3%<br> (Cost $116,819,932)** |  | &nbsp;&nbsp;&nbsp;&nbsp; 117835868 |
| **Other Assets, less Liabilities - 0.7%** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 774385 |
| **Net Assets - 100.0%** |  | &nbsp;&nbsp;**$118610253** |

---

------

AMG GW&K Securitized Bond SMA Shares

Schedule of Portfolio Investments *(continued)*

<sup>1</sup> Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2026, the value of these securities amounted to $21,767,594 or 18.4% of net assets.

<sup>2</sup> Variable rate security. The rate shown is based on the latest available information as of March 31, 2026. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

<sup>3</sup> Step Bond: A debt instrument with either deferred interest payments or an interest rate that resets at specific times during its term.

<sup>4</sup> Yield shown represents the March 31, 2026, seven day average yield, which refers to the sum of the previous seven days' dividends paid, expressed as an annual percentage.

---

| | |
|:---|:---|
| &nbsp;&nbsp;CLO | Collateralized Loan Obligation |
| &nbsp;&nbsp;FHLMC | Freddie Mac |
| &nbsp;&nbsp;FNMA | Fannie Mae |
| &nbsp;&nbsp;GNMA | Ginnie Mae |
| &nbsp;&nbsp;REMICS | Real Estate Mortgage Investment Conduit |
| &nbsp;&nbsp;SOFR | Secured Overnight Financing Rate |
| &nbsp;&nbsp;STACR | Structured Agency Credit Risk |

---

The following table summarizes the inputs used to value the Fund's investments by the fair value hierarchy levels as of March 31, 2026:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;**Level 1** | &nbsp;&nbsp;**Level 2** | &nbsp;&nbsp;**Level 3** | &nbsp;&nbsp;**Total** |
| &nbsp;&nbsp;**Investments in Securities** | &nbsp;&nbsp;**Investments in Securities** | &nbsp;&nbsp;**Investments in Securities** | &nbsp;&nbsp;**Investments in Securities** | &nbsp;&nbsp;**Investments in Securities** |
| &nbsp;&nbsp;&nbsp;**Asset-Backed Securities** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; $8802738 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; $8802738 |
| &nbsp;&nbsp;&nbsp;**Mortgage-Backed Securities** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 19581240 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 19581240 |
| &nbsp;&nbsp;&nbsp;**U.S. Government and Agency Obligations<sup>†</sup>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 89104557 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 89104557 |
| &nbsp;&nbsp;&nbsp;**Short-Term Investments** | &nbsp;&nbsp;&nbsp;**Short-Term Investments** | &nbsp;&nbsp;&nbsp;**Short-Term Investments** | &nbsp;&nbsp;&nbsp;**Short-Term Investments** | &nbsp;&nbsp;&nbsp;**Short-Term Investments** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Repurchase Agreements | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 346000 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 346000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other Investment Companies | &nbsp;&nbsp; $1333 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1333 |
| &nbsp;&nbsp;**Total Investments in Securities** | &nbsp;&nbsp;$1333 | &nbsp;&nbsp;$117834535 | &nbsp;&nbsp;— | &nbsp;&nbsp;$117835868 |

---

<br> <sup>†</sup> All U.S. government and agency obligations held in the Fund are Level 2 securities. For a detailed breakout of U.S. government and agency obligations by agency classification, please<br> refer to the Fund's Schedule of Portfolio Investments.

For the period ended March 31, 2026, there were no transfers in or out of Level 3.

For additional information about significant accounting policies, including valuation of investments, refer to the Fund's most recent semi or annual report.

------

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** AMG Funds

- **b. Investment Company Act file number:** 811-09521

- **c. CIK number of Registrant:** 0001089951

- **d. LEI of Registrant:** 54930020IDQ6ZIPGNH13

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 680 Washington Blvd.

  - **City:** Stamford

  - **State:** CT

  - **Foreign country:** US

  - **Zip / Postal Code:** 06901

  - **Telephone number:** 800-548-4539

**Item A.2. Information about the Series.**

- **a. Name of Series:** AMG GW&K Securitized Bond SMA Shares

- **b. EDGAR series identifier (if any):** S000093069

- **c. LEI of Series:** 254900R6WXBQ1FZTO544

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2026-12-31

- **b. Date as of which information is reported:** 2026-03-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $118362976.48

**Total Liabilities:** $25515.67

**Net Assets:** $118337460.81

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 10.21976000 | **1-Year:** 2836.16274000 | **5-Year:** 46868.76596000 | **10-Year:** 14323.59303000 | **30-Year:** 317.42347000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 154.30888000 | **10-Year:** 249.85267000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000261130 | 0.53%                | 1.70%                | -1.71%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $155695.03               | $74132.45                                  |
| Month 2  | $85264.47                | $1416498.73                                |
| Month 3  | $93002.45                | $-2577843.77                               |

### Schedule of Portfolio Investments

| Name                                                    | Title                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Halseypoint CLO 3 Ltd.                                  | HLSY 2020-3A A1R                  | CUSIP: 40638UAS8<br>LEI: 549300RT6H1EOIYTDV62 | Long             | ABS-CBDO         | CORP              | KY        |    330000 | PA      | $330541.30    | 0.28%             | 2037-07-30      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B22 MORTGAGE TRUST                       | BMARK 2020-B22 A5                 | CUSIP: 08163BBA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $307657.91    | 0.26%             | 2054-01-16      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO 23 LTD                | GLM 2024-23A A                    | CUSIP: 38139KAC3<br>LEI: 254900TP00US14X9AP48 | Long             | ABS-CBDO         | CORP              | JE        |    305000 | PA      | $304988.14    | 0.26%             | 2039-01-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR10                                        | BANK5 2024-5YR10 A3               | CUSIP: 06604AAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    635000 | PA      | $647006.33    | 0.55%             | 2057-10-17      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | G2 MA0462                         | CUSIP: 36179MQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155355 | PA      | $147248.94    | 0.12%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GNR 2013-144 ZX                   | CUSIP: 38378UZQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    681821 | PA      | $612595.73    | 0.52%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | FR SD3920                         | CUSIP: 3132E0K92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3213920 | PA      | $3335959.26   | 2.82%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2020-5                         | JPMMT 2020-5 B2                   | CUSIP: 46653JBX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    305205 | PA      | $268167.91    | 0.23%             | 2050-12-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| DREYFUS INSTITUTIONAL PREFERRED MONEY MARKET FUNDS      | Dreyfus Instl Resv PFD GOVT INSTL | CUSIP: 26200X100<br>LEI: 5493001BRBYRXP4A4K56 | Long             | STIV             | RF                | US        |      1333 | NS      | $1332.66      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                   | FN FS3053                         | CUSIP: 3140XJMB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    618617 | PA      | $628928.82    | 0.53%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                         | FHMS K1522 A2                     | CUSIP: 3137H4RG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1485000 | PA      | $1199358.77   | 1.01%             | 2036-10-25      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN CA6730                         | CUSIP: 3140QEPQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2411874 | PA      | $2168661.34   | 1.83%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 15 LTD                                        | AIMCO 2021-15A AR                 | CUSIP: 00889BAE1<br>LEI: 254900QER1MDK5C1YE06 | Long             | ABS-CBDO         | CORP              | KY        |    210000 | PA      | $209794.60    | 0.18%             | 2038-04-17      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| AB BSL CLO 3 LTD                                        | ABBSL 2021-3A A1R                 | CUSIP: 00037QAJ8<br>LEI: 549300UT754V8VGM9T25 | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $399320.00    | 0.34%             | 2038-04-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN AL6729                         | CUSIP: 3138EPPP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123733 | PA      | $116495.71    | 0.10%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2017-2                         | JPMMT 2017-2 A3                   | CUSIP: 46648HAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    510226 | PA      | $462557.12    | 0.39%             | 2047-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | G2 MA8874                         | CUSIP: 36179X2F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1173693 | PA      | $1053666.93   | 0.89%             | 2053-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Voya CLO 2024-7 Ltd.                                    | VOYA 2024-7A A1                   | CUSIP: 92920XAC5<br>LEI: 254900WMSNDRG5HQ9A72 | Long             | ABS-CBDO         | CORP              | KY        |    550000 | PA      | $548714.43    | 0.46%             | 2038-01-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Gs Mortgage-backed Securities Trust 2023-PJ2            | GSMBS 2023-PJ2 A4                 | CUSIP: 362938AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    306443 | PA      | $304922.89    | 0.26%             | 2053-05-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN CB2523                         | CUSIP: 3140QMYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    997560 | PA      | $847636.02    | 0.72%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-3                         | JPMMT 2021-3 A15                  | CUSIP: 46592KBL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    432121 | PA      | $356678.67    | 0.30%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                 | FR SD7541                         | CUSIP: 3132DVLW3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGSE             | US        |    787455 | PA      | $649119.48    | 0.55%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2025-DNA3                 | STACR 2025-DNA3 A1                | CUSIP: 35564UAQ0<br>LEI: 5299009HC4IGFM6RXF30 | Long             | ABS-O            | USGSE             | US        |    468875 | PA      | $467885.20    | 0.40%             | 2045-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| AGL CORE CLO 38 LTD                                     | AGL 2025-38A A1                   | CUSIP: 00852QAA9<br>LEI: 254900ZPMRHE5M6S8F18 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $499295.70    | 0.42%             | 2038-01-22      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2024-DNA2                 | STACR 2024-DNA2 A1                | CUSIP: 35564NCW1<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-O            | USGSE             | US        |    459472 | PA      | $459614.26    | 0.39%             | 2044-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | FR SD8145                         | CUSIP: 3132DWBN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1013411 | PA      | $784955.87    | 0.66%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR13                                        | BANK5 2025-5YR13 A2               | CUSIP: 06650CAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $302864.40    | 0.26%             | 2058-01-17      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | CAS 2025-R01 1A1                  | CUSIP: 20755JAA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     79100 | PA      | $78904.32     | 0.07%             | 2045-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | FR SD7179                         | CUSIP: 3132DU6Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2628590 | PA      | $2561873.79   | 2.16%             | 2054-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC                       | CMPDC 2024-1A A1                  | CUSIP: 20469AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $499519.90    | 0.42%             | 2049-02-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AGL CLO 23 LTD                                          | AGL 2022-23A A1R                  | CUSIP: 00119EAN7<br>LEI: 54930001FYWQPYWEPQ30 | Long             | ABS-CBDO         | CORP              | JE        |    500000 | PA      | $497507.45    | 0.42%             | 2038-04-20      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | FHS 268 30                        | CUSIP: 3128HXSS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    211572 | PA      | $193564.73    | 0.16%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | FHR 4839 HP                       | CUSIP: 3137FJHF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    510598 | PA      | $477514.37    | 0.40%             | 2048-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN FM8729                         | CUSIP: 3140XCVX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636306 | PA      | $522519.72    | 0.44%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SAGARD-HALSEYPOINT CLO 8 LTD/LLC                        | HLSY 2024-8A A1                   | CUSIP: 78662AAA0<br>LEI: 254900W5MVYX9QDPHC09 | Long             | ABS-CBDO         | CORP              | KY        |    410000 | PA      | $410538.45    | 0.35%             | 2038-02-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022-J1                   | CMLTI 2022-J1 A1                  | CUSIP: 17330CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    301638 | PA      | $280047.78    | 0.24%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN FM9501                         | CUSIP: 3140XDRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4605711 | PA      | $3950124.88   | 3.34%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bbcms Mortgage Trust 2024-C30                           | BBCMS 2024-C30 A5                 | CUSIP: 05493YAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $775032.75    | 0.65%             | 2057-11-19      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO 2021-1 LTD                            | PLMRS 2021-1A A1AR                | CUSIP: 69701WAJ5<br>LEI: 549300O6Q3S8TEDA9I81 | Long             | ABS-CBDO         | CORP              | KY        |    191000 | PA      | $190241.31    | 0.16%             | 2038-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                 | FR SD7555                         | CUSIP: 3132DVMC6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGSE             | US        |   3833660 | PA      | $3426322.51   | 2.90%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN FA0724                         | CUSIP: 3140W0YW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2027632 | PA      | $2139087.67   | 1.81%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | FR SL2837                         | CUSIP: 31427QEK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    561420 | PA      | $571924.55    | 0.48%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Magnetite XXXIV Ltd.                                    | MAGNE 2023-34A A1R                | CUSIP: 55952MAJ2<br>LEI: 5493007RY5PFZOE8RF76 | Long             | ABS-CBDO         | CORP              | KY        |    325000 | PA      | $323539.45    | 0.27%             | 2038-01-15      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | FHR 5022 MB                       | CUSIP: 3137FXE53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1291512 | PA      | $956779.34    | 0.81%             | 2040-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN CB6862                         | CUSIP: 3140QSTU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    488902 | PA      | $484463.43    | 0.41%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2015-4                         | JPMMT 2015-4 B1                   | CUSIP: 46644VBQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    413132 | PA      | $384686.95    | 0.33%             | 2045-06-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3            | GSMBS 2021-GR3 A6                 | CUSIP: 36263TAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    434526 | PA      | $389791.84    | 0.33%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FNR 2017-33 LB                    | CUSIP: 3136AWFW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    180677 | PA      | $170019.22    | 0.14%             | 2039-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AGL CLO 39 LTD                                          | AGL 2025-39A A1                   | CUSIP: 00121XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $599119.02    | 0.51%             | 2038-04-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK32                                         | BANK 2021-BN32 A4                 | CUSIP: 06542BBC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    241000 | PA      | $219442.65    | 0.19%             | 2054-04-17      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                   | FN MA4236                         | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3531665 | PA      | $2737045.89   | 2.31%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2021-2 LTD                                     | VOYA 2021-2A A1R                  | CUSIP: 92919AAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $797638.16    | 0.67%             | 2038-04-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| BANK 2025-BNK49                                         | BANK 2025-BNK49 A5                | CUSIP: 05494FBT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $780692.25    | 0.66%             | 2058-03-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                         | FR SD5696                         | CUSIP: 3132DTKH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356190 | PA      | $376241.07    | 0.32%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MTG TR 2022-2                               | JPMMT 2022-2 A5A                  | CUSIP: 46655DCV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $335841.80    | 0.28%             | 2052-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-S1                          | SEMT 2025-S1 A4                   | CUSIP: 81749TAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550048 | PA      | $489368.84    | 0.41%             | 2054-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | FHR 4435 ZB                       | CUSIP: 3137BGLE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    433429 | PA      | $355124.95    | 0.30%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN FS8210                         | CUSIP: 3140XQDQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237616 | PA      | $247362.58    | 0.21%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD  | FHMS K-159 A2                     | CUSIP: 3137HAMB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1681000 | PA      | $1681235.84   | 1.42%             | 2033-07-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GNR 2018-38 AZ                    | CUSIP: 38380V2P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    298906 | PA      | $219426.39    | 0.19%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | G2 MA6865                         | CUSIP: 36179VTW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4172179 | PA      | $3595706.96   | 3.04%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN FS7848                         | CUSIP: 3140XPWJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420541 | PA      | $378607.26    | 0.32%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MTG TR 2022-2                               | JPMMT 2022-2 A6                   | CUSIP: 46655DAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    243386 | PA      | $228965.62    | 0.19%             | 2052-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-1                         | JPMMT 2021-1 A3A                  | CUSIP: 46592EAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    479947 | PA      | $382957.25    | 0.32%             | 2051-06-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | FR SD8371                         | CUSIP: 3132DWJQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1003695 | PA      | $992747.11    | 0.84%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FIXED INCOME CLEARING CORPORATION                       | FICC                              | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |    346000 | PA      | $346000.00    | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2026-R02            | CAS 2026-R02 1A1                  | CUSIP: 20753EAA4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    295026 | PA      | $295141.32    | 0.25%             | 2046-02-26      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2023-B40 MORTGAGE TRUST                       | BMARK 2023-B40 A5                 | CUSIP: 08163WAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $266845.10    | 0.23%             | 2056-12-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| KKR CLO 43 LTD                                          | KKR 2022-43A A1R2                 | CUSIP: 48255UAV6<br>LEI: 25490088LQLWORRKOM10 | Long             | ABS-O            | CORP              | JE        |    250000 | PA      | $248871.85    | 0.21%             | 2038-04-15      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN FM4419                         | CUSIP: 3140X74D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    565805 | PA      | $486470.86    | 0.41%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2014-2                       | JPMMT 2014-2 B1                   | CUSIP: 46641YAP8<br>LEI: 549300BV8AJIRLDGMR51 | Long             | ABS-O            | CORP              | US        |    218218 | PA      | $213517.75    | 0.18%             | 2029-06-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2018-RPL1           | GSMBS 2018-RPL1 A1A               | CUSIP: 36256BAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    416421 | PA      | $408523.42    | 0.35%             | 2057-10-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2021-Pj5            | GSMBS 2021-PJ5 A6                 | CUSIP: 36261HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    465248 | PA      | $435168.86    | 0.37%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | FR SD6929                         | CUSIP: 3132DUVW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5311466 | PA      | $4987190.02   | 4.21%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR8                                         | BANK5 2024-5YR8 A3                | CUSIP: 065923AY0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $518421.80    | 0.44%             | 2057-08-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN BM4636                         | CUSIP: 3140J9EJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316124 | PA      | $273600.42    | 0.23%             | 2047-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK5 2023-5YR4                                         | BANK5 2023-5YR4 A3                | CUSIP: 06211FAV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    497728 | PA      | $516898.44    | 0.44%             | 2056-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN 932124                         | CUSIP: 31412QSM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179392 | PA      | $177538.25    | 0.15%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ3            | GSMBS 2022-PJ3 A7                 | CUSIP: 362924AL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    452184 | PA      | $429330.96    | 0.36%             | 2052-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FNR 2016-49 KA                    | CUSIP: 3136ATJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    142193 | PA      | $134266.84    | 0.11%             | 2045-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN FM5768                         | CUSIP: 3140X9MS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107197 | PA      | $103515.70    | 0.09%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN CB2853                         | CUSIP: 3140QNE32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    563790 | PA      | $457204.91    | 0.39%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN FS7744                         | CUSIP: 3140XPTA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72043 | PA      | $75973.19     | 0.06%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN FS2050                         | CUSIP: 3140XHH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366181 | PA      | $350739.36    | 0.30%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FNR 2019-9 NA                     | CUSIP: 3136B34C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    374691 | PA      | $360178.77    | 0.30%             | 2036-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN CA8234                         | CUSIP: 3140QGEG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1588758 | PA      | $1422226.34   | 1.20%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Gs Mortgage-backed Securities Trust 2022-PJ6            | GSMBS 2022-PJ6 A3                 | CUSIP: 36267JAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    673317 | PA      | $560461.45    | 0.47%             | 2053-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO 38 LTD                                      | ELM38 2025-1A A                   | CUSIP: 289908AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $498793.85    | 0.42%             | 2038-04-22      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BANK 2023-BNK45                                         | BANK 2023-BNK45 A5                | CUSIP: 06541BBK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100951.48    | 0.09%             | 2056-02-17      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                   | FN MA5054                         | CUSIP: 31418ETL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4159897 | PA      | $3927080.44   | 3.32%             | 2053-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2020-INV1                      | JPMMT 2020-INV1 B2A               | CUSIP: 46591VBU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    547796 | PA      | $467248.70    | 0.39%             | 2050-08-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | FR SD7568                         | CUSIP: 3132DVMR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2851496 | PA      | $2916397.41   | 2.46%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GNR 2013-100 PE                   | CUSIP: 38378T7X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    206467 | PA      | $185251.62    | 0.16%             | 2043-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2025-DNA4                 | STACR 2025-DNA4 A1                | CUSIP: 35564UBQ9<br>LEI: 529900ZVQVVVNGMGDO97 | Long             | ABS-O            | USGSE             | US        |    150312 | PA      | $149927.22    | 0.13%             | 2045-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-INV3                      | JPMMT 2019-INV3 B1                | CUSIP: 46591LBQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    288198 | PA      | $268124.31    | 0.23%             | 2050-05-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN FA1774                         | CUSIP: 3140W16L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405255 | PA      | $405841.14    | 0.34%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | FR RA5615                         | CUSIP: 3133KMGY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    928962 | PA      | $761650.24    | 0.64%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2022-I INV LTD                             | CIFC 2022-1A A                    | CUSIP: 12570LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $499614.20    | 0.42%             | 2035-04-17      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | FHR 4910 LZ                       | CUSIP: 3137FNGY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    275280 | PA      | $184867.13    | 0.16%             | 2049-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                   | FN MA4437                         | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1623740 | PA      | $1315919.45   | 1.11%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | FHR 4753 LZ                       | CUSIP: 3137FDYB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    232805 | PA      | $210082.51    | 0.18%             | 2048-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TCW CLO 2025-1 LTD                                      | TCW 2025-1A A                     | CUSIP: 872397AC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $499505.35    | 0.42%             | 2038-04-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN CB3348                         | CUSIP: 3140QNWJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3956861 | PA      | $3219822.61   | 2.72%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK 2024-BNK47                                         | BANK 2024-BNK47 A5                | CUSIP: 06540GAV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $784236.75    | 0.66%             | 2057-06-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FNR 2010-123 KU                   | CUSIP: 31398N2Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    250476 | PA      | $247036.83    | 0.21%             | 2040-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                   | FR RA7928                         | CUSIP: 3133KPYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3380199 | PA      | $3277307.08   | 2.77%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | G2 784114                         | CUSIP: 3622A2SB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2516665 | PA      | $2368952.82   | 2.00%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | G2 787911                         | CUSIP: 3622ADVC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3220182 | PA      | $3266503.81   | 2.76%             | 2055-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GNR 2016-25 QW                    | CUSIP: 38379T3C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    415000 | PA      | $342580.59    | 0.29%             | 2046-02-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR16                                        | BANK5 2025-5YR19 A2               | CUSIP: 05494RBF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $502064.55    | 0.42%             | 2058-12-17      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-4                         | JPMMT 2022-4 A3                   | CUSIP: 46655GAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    680438 | PA      | $588818.42    | 0.50%             | 2052-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | G2 MA5878                         | CUSIP: 36179UQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2691705 | PA      | $2719551.21   | 2.30%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                            | T 4.625 02/15/55                  | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    359400 | PA      | $342791.79    | 0.29%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-PJ8            | GSMBS 2021-PJ8 A2                 | CUSIP: 36262WAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    559564 | PA      | $464434.04    | 0.39%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK35                                         | BANK 2021-BN35 A5                 | CUSIP: 06540CBF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $220801.23    | 0.19%             | 2064-06-17      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR13                                        | BANK5 2025-5YR18 A3               | CUSIP: 06604CAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $508229.15    | 0.43%             | 2058-12-17      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| COLT 2022-3 MORTGAGE LOAN TRUST                         | COLT 2022-3 A2                    | CUSIP: 12659YAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    453640 | PA      | $434175.28    | 0.37%             | 2067-02-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                            | T 5 05/15/45                      | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    735000 | PA      | $744560.74    | 0.63%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO 22 LTD                                      | ELM22 2023-1A AR                  | CUSIP: 29001YAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    448000 | PA      | $447560.47    | 0.38%             | 2038-04-19      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2021-1                           | SEMT 2021-1 A1                    | CUSIP: 81747KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    654290 | PA      | $543544.62    | 0.46%             | 2051-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2020-GC47                  | GSMS 2020-GC47 A5                 | CUSIP: 36258RBA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    601000 | PA      | $550814.40    | 0.47%             | 2053-05-14      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FNR 2018-43 CT                    | CUSIP: 3136B1Z72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    190508 | PA      | $167508.82    | 0.14%             | 2048-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2023-HQA3                 | STACR 2023-HQA3 A1                | CUSIP: 35564K3F4<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-O            | USGSE             | US        |    410370 | PA      | $413233.61    | 0.35%             | 2043-11-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GNR 2016-18 KM                    | CUSIP: 38379VNF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    148347 | PA      | $134982.79    | 0.11%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2017-2                         | JPMMT 2017-2 B2                   | CUSIP: 46648HAZ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200637 | PA      | $185558.15    | 0.16%             | 2047-05-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN BR3256                         | CUSIP: 3140L1TN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198653 | PA      | $164510.88    | 0.14%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2025-V19 MORTGAGE TRUST                       | BMARK 2025-V19 A3                 | CUSIP: 08164DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $305986.95    | 0.26%             | 2058-01-17      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN FS9605                         | CUSIP: 3140XRU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2695440 | PA      | $2800268.29   | 2.37%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN BM4600                         | CUSIP: 3140J9DE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109235 | PA      | $108105.50    | 0.09%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-INV3                      | JPMMT 2019-INV3 B2                | CUSIP: 46591LBT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165778 | PA      | $154694.84    | 0.13%             | 2050-05-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN FM5026                         | CUSIP: 3140X8SQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1771053 | PA      | $1457678.76   | 1.23%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2024-C63          | WFCM 2024-C63 A5                  | CUSIP: 94990FAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $459321.57    | 0.39%             | 2057-08-17      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-1                         | JPMMT 2022-1 A3                   | CUSIP: 46654WAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1130126 | PA      | $935962.46    | 0.79%             | 2052-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN CB5393                         | CUSIP: 3140QQ7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4554884 | PA      | $4521558.70   | 3.82%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FNR 2016-85 GA                    | CUSIP: 3136AUBX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    186229 | PA      | $174589.18    | 0.15%             | 2045-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2021-V LTD                                 | CIFC 2021-5A A1R                  | CUSIP: 12565EAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $498839.70    | 0.42%             | 2038-01-15      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Apidos Loan Fund 2024-1 Ltd/Apidos Loan Fund 2024-1 LLC | APID 2022-42A A1R                 | CUSIP: 03770GAL0<br>LEI: 213800XUV3WLXWBKOJ53 | Long             | ABS-CBDO         | CORP              | JE        |    500000 | PA      | $498794.85    | 0.42%             | 2038-04-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                 | FR SD7549                         | CUSIP: 3132DVL60<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGSE             | US        |    971446 | PA      | $799326.46    | 0.68%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | FR SL1346                         | CUSIP: 31427NP86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139076 | PA      | $144865.37    | 0.12%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GNR 2015-42 ZB                    | CUSIP: 38379LAE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    369948 | PA      | $330863.50    | 0.28%             | 2045-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bravo Residential Funding Trust 2024-NQM4               | BRAVO 2024-NQM4 A1A               | CUSIP: 10568NAA0<br>LEI: 254900NOKQW417VKV943 | Long             | ABS-O            | CORP              | US        |    435737 | PA      | $430203.86    | 0.36%             | 2060-01-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GNR 2013-169 EZ                   | CUSIP: 38378YHE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    320836 | PA      | $280700.10    | 0.24%             | 2043-11-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | FR RJ3046                         | CUSIP: 3142GTL46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1728445 | PA      | $1798727.82   | 1.52%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FN FM5101                         | CUSIP: 3140X8U39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241879 | PA      | $219015.82    | 0.19%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | G2 785359                         | CUSIP: 3622AAZY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1029488 | PA      | $846693.19    | 0.72%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GNR 2013-4 PL                     | CUSIP: 38378FNB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    132000 | PA      | $105420.27    | 0.09%             | 2042-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK5 2023-5YR3                                         | BANK5 2023-5YR3 A3                | CUSIP: 06211EAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    325000 | PA      | $339776.81    | 0.29%             | 2056-09-15      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2024-R06            | CAS 2024-R06 1A1                  | CUSIP: 20755RAA3<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    396787 | PA      | $396664.02    | 0.34%             | 2044-09-26      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FNR 2012-75 KE                    | CUSIP: 3136A6W26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    275000 | PA      | $261823.35    | 0.22%             | 2042-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Obx 2020-Exp3 Trust                                     | OBX 2020-EXP3 1A8                 | CUSIP: 67448WAP3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    341277 | PA      | $299732.69    | 0.25%             | 2060-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | FHR 4863 EZ                       | CUSIP: 3137FL2V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    516118 | PA      | $502119.39    | 0.42%             | 2049-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-28

**Name of Applicant:** AMG Funds

**Signature:** Thomas Disbrow

**Name of Signer:** Thomas Disbrow

**Title:** Principal Financial Officer