SCHEDULE OF INVESTMENTS
Thornburg Ultra Short Income Fund | December 31, 2023 (Unaudited) |
Issuer-Description | SHARES/PRINCIPAL AMOUNT | VALUE | |
U.S. Treasury Securities — 14.7% | |||
United States Treasury Bill, | |||
5.243% due 3/28/2024 | $5,000,000 | $ 4,937,928 | |
5.276% due 2/15/2024 | 6,000,000 | 5,961,566 | |
5.336% due 4/16/2024 | 4,075,000 | 4,013,097 | |
5.372% due 4/30/2024 | 2,800,000 | 2,751,802 | |
5.378% due 2/13/2024 | 2,800,000 | 2,782,378 | |
United States Treasury Notes, | |||
1.75% due 6/30/2024 | 3,000,000 | 2,949,258 | |
2.00% due 5/31/2024 | 2,750,000 | 2,713,154 | |
2.125% due 7/31/2024 | 3,000,000 | 2,948,320 | |
2.25% due 1/31/2024 - 4/30/2024 | 5,980,000 | 5,944,205 | |
4.25% due 5/31/2025 | 3,000,000 | 2,988,867 | |
5.00% due 8/31/2025 | 2,000,000 | 2,018,672 | |
United States Treasury Notes Inflationary Index, 0.625% due 1/15/2024 | 1,911,999 | 1,906,639 | |
Total U.S. Treasury Securities (Cost $41,866,305) | 41,915,886 | ||
U.S. Government Agencies — 0.0% | |||
a,b | Petroleos Mexicanos (Guaranty: Export-Import Bank of the United States), 6.006% (TSFR3M + 0.61%) due 4/15/2025 | 15,000 | 14,532 |
Small Business Administration Participation Certificates, | |||
Series 2005-20K Class 1, 5.36% due 11/1/2025 | 2,924 | 2,912 | |
Series 2009-20E Class 1, 4.43% due 5/1/2029 | 13,186 | 13,012 | |
Total U.S. Government Agencies (Cost $31,192) | 30,456 | ||
Mortgage Backed — 1.4% | |||
Arroyo Mortgage Trust, Whole Loan Securities Trust CMO, | |||
a,c | Series 2019-1 Class A1, 3.805% due 1/25/2049 | 19,378 | 18,345 |
a,c | Series 2019-3 Class A1, 2.962% due 10/25/2048 | 18,239 | 16,787 |
c | BRAVO Residential Funding Trust, Whole Loan Securities Trust CMO, Series 2019-1 Class A1C, 3.50% due 3/25/2058 | 6,306 | 6,187 |
a,c | COLT Mortgage Pass-Through Certificates, Whole Loan Securities Trust CMO, Series 2021-1R Class A1, 0.857% due 5/25/2065 | 241,946 | 199,692 |
a,c | CSMC Trust, CMBS, Series 2021-BPNY Class A, 9.191% (TSFR1M + 3.83%) due 8/15/2026 | 300,000 | 263,426 |
a,c | CSMC Trust, Whole Loan Securities Trust CMO, Series 2020-NQM1 Class A1, 1.208% due 5/25/2065 | 82,397 | 74,070 |
Federal National Mtg Assoc., UMBS Collateral, Pool MA3557, 4.00% due 1/1/2029 | 26,169 | 25,868 | |
a,c | Flagstar Mortgage Trust, Whole Loan Securities Trust CMO, Series 2017-1 Class 2A2, 3.00% due 3/25/2047 | 10,952 | 9,755 |
GCAT Trust, Whole Loan Securities Trust CMO, | |||
a,c | Series 2021-CM1 Class A, 1.469% due 4/25/2065 | 220,202 | 203,566 |
a,c | Series 2021-CM2 Class A1, 2.352% due 8/25/2066 | 138,808 | 126,818 |
c | Houston Galleria Mall Trust, CMBS, Series 2015-HGLR Class A1A2, 3.087% due 3/5/2037 | 750,000 | 717,496 |
a,c | Metlife Securitization Trust, Whole Loan Securities Trust CMO, Series 2019-1A Class A1A, 3.75% due 4/25/2058 | 59,716 | 57,902 |
a,c | MFRA Trust, Whole Loan Securities Trust CMO, Series 2022-CHM1 Class A1, 3.875% due 9/25/2056 | 519,409 | 492,538 |
a,c | New Residential Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2017-5A Class A1, 6.97% (TSFR1M + 1.61%) due 6/25/2057 | 13,530 | 13,434 |
a,c | Residential Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2020-2 Class A1, 1.654% due 5/25/2060 | 250,479 | 244,325 |
Seasoned Credit Risk Transfer, Whole Loan Securities Trust CMO, | |||
a | Series 2017-3 Class HA, 3.25% due 7/25/2056 | 26,973 | 24,770 |
a | Series 2018-1 Class HA, 3.00% due 5/25/2057 | 18,881 | 17,121 |
a | Series 2018-2 Class HA, 3.00% due 11/25/2057 | 71,452 | 65,590 |
a,c | SG Residential Mortgage Trust, Whole Loan Securities Trust CMO, Series 2019-3 Class A1, 2.703% due 9/25/2059 | 486,970 | 469,263 |
Towd Point Mortgage Trust, Whole Loan Securities Trust CMO, | |||
a,c | Series 2016-5 Class A1, 2.50% due 10/25/2056 | 1,752 | 1,738 |
a,c | Series 2018-2 Class A1, 3.25% due 3/25/2058 | 20,361 | 19,724 |
a,c | Series 2018-6 Class A1A, 3.75% due 3/25/2058 | 721,008 | 704,669 |
a,c | Verus Securitization Trust, Whole Loan Securities Trust CMO, Series 2019-INV3 Class A1B, 3.192% due 11/25/2059 | 233,056 | 227,008 |
Total Mortgage Backed (Cost $4,178,485) | 4,000,092 | ||
Asset Backed Securities — 28.1% | |||
Auto Receivables — 15.0% | |||
ACC Auto Trust, | |||
c | Series 2021-A Class C, 3.79% due 4/15/2027 | 1,000,000 | 988,512 |
c | Series 2022-A Class A, 4.58% due 7/15/2026 | 117,887 | 117,180 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Ultra Short Income Fund | December 31, 2023 (Unaudited) |
Issuer-Description | SHARES/PRINCIPAL AMOUNT | VALUE | |
ACM Auto Trust, | |||
c | Series 2023-1A Class A, 6.61% due 1/22/2030 | $ 240,246 | $ 240,082 |
c | Series 2023-2A Class A, 7.97% due 6/20/2030 | 580,654 | 582,607 |
American Credit Acceptance Receivables Trust, | |||
c | Series 2021-4 Class C, 1.32% due 2/14/2028 | 1,260,549 | 1,247,987 |
c | Series 2023-1 Class A, 5.45% due 9/14/2026 | 483,252 | 482,688 |
AmeriCredit Automobile Receivables Trust, Series 2021-1 Class B, 0.68% due 10/19/2026 | 740,280 | 729,902 | |
Arivo Acceptance Auto Loan Receivables Trust, | |||
c | Series 2021-1A Class A, 1.19% due 1/15/2027 | 259,667 | 255,414 |
c | Series 2022-1A Class A, 3.93% due 5/15/2028 | 827,413 | 810,985 |
BOF URSA VI Funding Trust I, | |||
c | Series 2023-CAR1 Class B, 6.029% due 10/27/2031 | 223,166 | 222,443 |
c | Series 2023-CAR2 Class B, 6.029% due 10/27/2031 | 633,486 | 631,432 |
c | BOF VII AL Funding Trust I, Series 2023-CAR3 Class A2, 6.291% due 7/26/2032 | 1,012,773 | 1,019,041 |
Capital One Prime Auto Receivables Trust, Series 2022-1 Class A2, 2.71% due 6/16/2025 | 149,221 | 148,694 | |
CarMax Auto Owner Trust, | |||
Series 2020-4 Class A3, 0.50% due 8/15/2025 | 378,621 | 374,643 | |
Series 2021-1 Class A3, 0.34% due 12/15/2025 | 391,151 | 384,147 | |
Series 2021-3 Class A3, 0.55% due 6/15/2026 | 1,309,948 | 1,267,284 | |
Carvana Auto Receivables Trust, | |||
c | Series 2019-1A Class E, 5.64% due 1/15/2026 | 230,788 | 230,740 |
Series 2021-N3 Class A1, 0.35% due 6/12/2028 | 61,209 | 61,011 | |
Series 2021-N4 Class A1, 0.83% due 9/11/2028 | 121,355 | 120,066 | |
c | Series 2022-N1 Class A1, 2.31% due 12/11/2028 | 321,940 | 317,403 |
c | Series 2023-N1 Class A, 6.36% due 4/12/2027 | 482,145 | 483,428 |
c | Series 2023-N3 Class A, 6.41% due 9/10/2027 | 617,857 | 620,640 |
c | Series 2023-N4 Class A, 6.42% due 1/10/2028 | 688,928 | 692,614 |
c | CPS Auto Receivables Trust, Series 2023-A Class A, 5.54% due 3/16/2026 | 798,541 | 796,951 |
c | Credito Real USA Auto Receivables Trust, Series 2021-1A Class A, 1.35% due 2/16/2027 | 9,829 | 9,799 |
Drive Auto Receivables Trust, Series 2021-3 Class B, 1.11% due 5/15/2026 | 32,064 | 32,007 | |
DT Auto Owner Trust, | |||
c | Series 2021-2A Class C, 1.10% due 2/16/2027 | 1,351,665 | 1,331,746 |
c | Series 2022-2A Class A, 2.88% due 6/15/2026 | 211,103 | 210,509 |
c | Series 2022-3A Class A, 6.05% due 10/15/2026 | 490,200 | 490,413 |
Enterprise Fleet Financing LLC, | |||
c | Series 2021-3 Class A2, 0.77% due 8/20/2027 | 923,624 | 901,465 |
c | Series 2022-2 Class A2, 4.65% due 5/21/2029 | 1,139,871 | 1,131,600 |
Exeter Automobile Receivables Trust, | |||
c | Series 2019-3A Class D, 3.11% due 8/15/2025 | 249,913 | 248,323 |
c | Series 2019-4A Class D, 2.58% due 9/15/2025 | 378,892 | 375,062 |
Series 2021-1A Class C, 0.74% due 1/15/2026 | 16,040 | 16,010 | |
Series 2021-1A Class D, 1.08% due 11/16/2026 | 1,500,000 | 1,450,727 | |
Series 2021-3A Class C, 0.96% due 10/15/2026 | 767,684 | 751,717 | |
FHF Trust, | |||
c | Series 2021-1A Class A, 1.27% due 3/15/2027 | 23,808 | 23,022 |
c | Series 2021-2A Class A, 0.83% due 12/15/2026 | 48,698 | 46,988 |
c | Series 2022-2A Class A, 6.14% due 12/15/2027 | 807,764 | 801,713 |
c | First Investors Auto Owner Trust, Series 2021-2A Class A, 0.48% due 3/15/2027 | 671,910 | 658,939 |
Flagship Credit Auto Trust, | |||
c | Series 2019-2 Class D, 3.53% due 5/15/2025 | 1,558,689 | 1,546,189 |
c | Series 2019-4 Class D, 3.12% due 1/15/2026 | 495,888 | 488,581 |
c | Series 2022-1 Class A, 1.79% due 10/15/2026 | 618,861 | 608,202 |
GLS Auto Receivables Issuer Trust, | |||
c | Series 2019-4A Class C, 3.06% due 8/15/2025 | 176,518 | 175,719 |
c | Series 2020-1A Class C, 2.72% due 11/17/2025 | 276,380 | 275,121 |
c | Series 2021-2A Class C, 1.08% due 6/15/2026 | 428,645 | 422,649 |
c | Series 2022-2A Class A2, 3.55% due 1/15/2026 | 145,700 | 145,249 |
Honda Auto Receivables Owner Trust, Series 2020-3 Class A3, 0.37% due 10/18/2024 | 15,177 | 15,142 | |
Hyundai Auto Receivables Trust, Series 2020-A Class A4, 1.72% due 6/15/2026 | 1,358,211 | 1,348,465 | |
Lendbuzz Securitization Trust, | |||
c | Series 2021-1A Class A, 1.46% due 6/15/2026 | 114,963 | 111,155 |
c | Series 2022-1A Class A, 4.22% due 5/17/2027 | 535,706 | 522,271 |
c | Series 2023-3A Class A1, 6.03% due 10/15/2024 | 693,752 | 693,821 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Ultra Short Income Fund | December 31, 2023 (Unaudited) |
Issuer-Description | SHARES/PRINCIPAL AMOUNT | VALUE | |
Lobel Automobile Receivables Trust, | |||
c | Series 2023-1 Class A, 6.97% due 7/15/2026 | $1,042,650 | $ 1,041,176 |
c | Series 2023-2 Class A, 7.59% due 4/16/2029 | 685,949 | 690,140 |
Octane Receivables Trust, | |||
c | Series 2022-1A Class A2, 4.18% due 3/20/2028 | 1,936,665 | 1,914,414 |
c | Series 2022-2A Class A, 5.11% due 2/22/2028 | 399,344 | 396,530 |
c | OneMain Direct Auto Receivables Trust, Series 2021-1A Class A, 0.87% due 7/14/2028 | 916,390 | 881,528 |
b,c | Oscar U.S. Funding XIV LLC, Series 2022-1A Class A2, 1.60% due 3/10/2025 | 182,709 | 182,474 |
b,c | Oscar U.S. Funding XV LLC, Series 2023-1A Class A2, 6.07% due 9/10/2026 | 1,320,000 | 1,321,969 |
Research-Driven Pagaya Motor Asset Trust, | |||
c | Series 2023-3A Class A, 7.13% due 1/26/2032 | 1,283,584 | 1,291,542 |
c | Series 2023-4A Class A, 7.54% due 3/25/2032 | 1,500,000 | 1,510,624 |
Santander Drive Auto Receivables Trust, | |||
Series 2020-4 Class D, 1.48% due 1/15/2027 | 542,002 | 529,628 | |
Series 2021-2 Class C, 0.90% due 6/15/2026 | 550,946 | 548,776 | |
Series 2021-3 Class C, 0.95% due 9/15/2027 | 1,161,779 | 1,150,943 | |
Series 2022-3 Class A3, 3.40% due 12/15/2026 | 388,507 | 385,702 | |
c | Veros Auto Receivables Trust, Series 2022-1 Class A, 3.47% due 12/15/2025 | 781,729 | 776,627 |
c | Westlake Automobile Receivables Trust, Series 2021-2A Class C, 0.89% due 7/15/2026 | 2,000,000 | 1,961,746 |
World Omni Auto Receivables Trust, | |||
Series 2020-B Class A3, 0.63% due 5/15/2025 | 64,852 | 64,739 | |
Series 2020-C Class A3, 0.48% due 11/17/2025 | 488,556 | 483,027 | |
42,790,083 | |||
Credit Card — 0.9% | |||
c | Avant Credit Card Master Trust, Series 2021-1A Class A, 1.37% due 4/15/2027 | 1,500,000 | 1,439,729 |
c | Mercury Financial Credit Card Master Trust, Series 2023-1A Class A, 8.04% due 9/20/2027 | 700,000 | 700,508 |
c | Mission Lane Credit Card Master Trust, Series 2023-B Class A, 7.69% due 11/15/2028 | 500,000 | 505,206 |
2,645,443 | |||
Other Asset Backed — 10.8% | |||
c | Affirm Asset Securitization Trust, Series 2021-Z2 Class A, 1.17% due 11/16/2026 | 256,387 | 249,910 |
c | AMCR ABS Trust, Series 2023-1A Class A, 7.66% due 1/21/2031 | 1,500,000 | 1,508,246 |
Aqua Finance Trust, | |||
c | Series 2017-A Class A, 3.72% due 11/15/2035 | 112,436 | 112,162 |
c | Series 2020-AA Class A, 1.90% due 7/17/2046 | 730,573 | 671,138 |
c | Auxilior Term Funding LLC, Series 2023-1A Class A1, 5.864% due 11/15/2024 | 1,919,661 | 1,919,152 |
c | Bankers Healthcare Group Securitization Trust, Series 2020-A Class A, 2.56% due 9/17/2031 | 10,142 | 10,048 |
c | BHG Securitization Trust, Series 2021-B Class A, 0.90% due 10/17/2034 | 54,086 | 52,496 |
c | BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A Class A, 2.94% due 5/25/2029 | 32,914 | 31,942 |
c | CCG Receivables Trust, Series 2022-1 Class A2, 3.91% due 7/16/2029 | 479,018 | 473,152 |
c | CFMT Issuer Trust, Series 2021-GRN1 Class A, 1.10% due 3/20/2041 | 874,573 | 826,435 |
c | Crossroads Asset Trust, Series 2022-A Class A, 6.35% due 4/21/2031 | 1,012,139 | 1,015,447 |
c | Dell Equipment Finance Trust, Series 2021-2 Class A3, 0.53% due 12/22/2026 | 416,474 | 413,128 |
Dext ABS LLC, | |||
c | Series 2021-1 Class A, 1.12% due 2/15/2028 | 761,875 | 744,023 |
c | Series 2023-2 Class A2, 6.56% due 5/15/2034 | 715,000 | 721,111 |
Foundation Finance Trust, | |||
c | Series 2017-1A Class B, 4.14% due 7/15/2033 | 107,148 | 106,469 |
c | Series 2019-1A Class A, 3.86% due 11/15/2034 | 257,296 | 254,089 |
c | Series 2020-1A Class A, 3.54% due 7/16/2040 | 182,718 | 177,492 |
a,c | Gracie Point International Funding, Series 2023-2A Class A, 7.596% (SOFR90A + 2.25%) due 3/1/2027 | 1,000,000 | 999,916 |
a,b,c | Greystone Commercial Real Estate Notes Ltd., Series 2021-FL3 Class A, 6.496% (TSFR1M + 1.13%) due 7/15/2039 | 100,000 | 99,065 |
c | Hilton Grand Vacations Trust, Series 2019-AA Class A, 2.34% due 7/25/2033 | 34,937 | 33,377 |
c | Kubota Credit Owner Trust, Series 2021-1A Class A3, 0.62% due 8/15/2025 | 329,919 | 323,371 |
c | Lendingpoint Asset Securitization Trust, Series 2022-B Class A, 4.77% due 10/15/2029 | 60,132 | 59,701 |
c | LendingPoint Asset Securitization Trust, Series 2022-C Class A, 6.56% due 2/15/2030 | 317,418 | 317,384 |
LendingPoint Pass-Through Trust, | |||
c | Series 2022-ST1 Class A, 2.50% due 3/15/2028 | 138,501 | 134,756 |
c | Series 2022-ST2 Class A, 3.25% due 4/15/2028 | 131,710 | 127,688 |
c | Series 2022-ST3 Class A, 4.00% due 5/15/2028 | 177,078 | 173,152 |
c | LL ABS Trust, Series 2021-1A Class A, 1.07% due 5/15/2029 | 77,688 | 76,840 |
c | LP LMS Asset Securitization Trust, Series 2021-2A Class A, 1.75% due 1/15/2029 | 14,030 | 13,947 |
c | Mariner Finance Issuance Trust, Series 2019-AA Class B, 3.51% due 7/20/2032 | 119,953 | 119,715 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Ultra Short Income Fund | December 31, 2023 (Unaudited) |
Issuer-Description | SHARES/PRINCIPAL AMOUNT | VALUE | |
Marlette Funding Trust, | |||
c | Series 2019-4A Class C, 3.76% due 12/17/2029 | $ 163,317 | $ 162,524 |
c | Series 2021-2A Class B, 1.06% due 9/15/2031 | 17,415 | 17,381 |
c | Series 2021-3A Class B, 1.30% due 12/15/2031 | 654,422 | 645,679 |
c | Series 2022-1A Class B, 2.34% due 4/15/2032 | 684,018 | 674,578 |
c | Series 2022-3A Class A, 5.18% due 11/15/2032 | 119,191 | 118,823 |
c | Series 2023-2A Class A, 6.04% due 6/15/2033 | 661,167 | 660,311 |
c | MMAF Equipment Finance LLC, Series 2020-BA Class A3, 0.49% due 8/14/2025 | 87,128 | 85,190 |
c | Mosaic Solar Loan Trust, Series 2018-1A Class C, Zero coupon due 6/22/2043 | 104,904 | 96,091 |
c | NMEF Funding LLC, Series 2022-A Class A2, 2.58% due 10/16/2028 | 845,845 | 833,655 |
c | Oportun Funding LLC, Series 2022-1 Class A, 3.25% due 6/15/2029 | 41,011 | 40,925 |
c | Oportun Funding XIV LLC, Series 2021-A Class A, 1.21% due 3/8/2028 | 764,394 | 736,549 |
c | Oportun Issuance Trust, Series 2021-B Class A, 1.47% due 5/8/2031 | 830,000 | 775,675 |
Pagaya AI Debt Selection Trust, | |||
c | Series 2021-1 Class B, 2.13% due 11/15/2027 | 201,724 | 200,456 |
c | Series 2021-HG1 Class A, 1.22% due 1/16/2029 | 624,603 | 606,296 |
Pagaya AI Debt Trust, | |||
c | Series 2022-1 Class A, 2.03% due 10/15/2029 | 380,380 | 374,576 |
c | Series 2023-1 Class A, 7.556% due 7/15/2030 | 293,381 | 294,586 |
c | Pawnee Equipment Receivables LLC, Series 2021-1 Class A2, 1.10% due 7/15/2027 | 1,494,267 | 1,459,350 |
c | PFS Financing Corp., Series 2020-G Class A, 0.97% due 2/15/2026 | 1,250,000 | 1,242,617 |
c | Post Road Equipment Finance, Series 2022-1A Class A1, 3.76% due 8/16/2027 | 38,690 | 38,540 |
c | Prosper Marketplace Issuance Trust, Series 2023-1A Class A, 7.06% due 7/16/2029 | 1,185,547 | 1,190,857 |
PSNH Funding LLC 3, Series 2018-1 Class A1, 3.094% due 2/1/2026 | 4,548 | 4,538 | |
c | Reach Financial LLC, Series 2023-1A Class A, 7.05% due 2/18/2031 | 1,114,701 | 1,119,695 |
c | Republic Finance Issuance Trust, Series 2021-A Class A, 2.30% due 12/22/2031 | 1,500,000 | 1,415,477 |
a,c | SBA Tower Trust, Series 2014-2A Class C, 3.869% due 10/15/2049 | 548,000 | 538,822 |
c | Service Experts Issuer LLC, Series 2021-1A Class A, 2.67% due 2/2/2032 | 1,571,691 | 1,462,150 |
c | SpringCastle America Funding LLC, Series 2020-AA Class A, 1.97% due 9/25/2037 | 271,036 | 251,820 |
c | SPS Servicer Advance Receivables Trust, Series 2020-T2 Class A, 1.83% due 11/15/2055 | 660,000 | 610,690 |
c | Theorem Funding Trust, Series 2022-3A Class A, 7.60% due 4/15/2029 | 472,967 | 476,268 |
Upstart Pass-Through Trust, | |||
c | Series 2020-ST1 Class A, 3.75% due 2/20/2028 | 18,098 | 17,920 |
c | Series 2020-ST2 Class A, 3.50% due 3/20/2028 | 33,076 | 32,549 |
c | Series 2020-ST3 Class A, 3.35% due 4/20/2028 | 13,382 | 13,077 |
c | Series 2020-ST6 Class A, 3.00% due 1/20/2027 | 542,928 | 533,056 |
c | Series 2021-ST4 Class A, 2.00% due 7/20/2027 | 243,688 | 233,248 |
c | Series 2021-ST8 Class A, 1.75% due 10/20/2029 | 174,380 | 171,789 |
Upstart Securitization Trust, | |||
c | Series 2020-2 Class A, 2.309% due 11/20/2030 | 133,088 | 131,723 |
c | Series 2020-3 Class C, 6.25% due 11/20/2030 | 651,276 | 645,726 |
c | Series 2021-4 Class A, 0.84% due 9/20/2031 | 30,516 | 30,430 |
c | Series 2023-1 Class A, 6.59% due 2/20/2033 | 143,240 | 143,162 |
c | Series 2023-3 Class A, 6.90% due 10/20/2033 | 393,446 | 394,745 |
c | Verdant Receivables LLC, Series 2023-1A Class A1, 5.822% due 8/12/2024 | 640,178 | 640,166 |
30,887,062 | |||
Student Loan — 1.4% | |||
Laurel Road Prime Student Loan Trust, | |||
c | Series 2017-B Class BFX, 3.02% due 8/25/2042 | 944,400 | 848,068 |
c | Series 2017-C Class A2B, 2.81% due 11/25/2042 | 154,097 | 153,300 |
c | Series 2019-A Class A2FX, 2.73% due 10/25/2048 | 232,919 | 228,873 |
a | National Collegiate Student Loan Trust, Series 2006-4 Class A4, 5.78% (TSFR1M + 0.42%) due 5/25/2032 | 227,348 | 218,420 |
Navient Private Education Loan Trust, | |||
c | Series 2017-A Class A2A, 2.88% due 12/16/2058 | 62,802 | 62,620 |
a,c | Series 2017-A Class A2B, 6.376% (TSFR1M + 1.01%) due 12/16/2058 | 2,221 | 2,219 |
a,c | Series 2018-BA Class A2B, 6.196% (TSFR1M + 0.83%) due 12/15/2059 | 39,400 | 39,034 |
c | Navient Private Education Refi Loan Trust, Series 2018-CA Class A2, 3.52% due 6/16/2042 | 269,843 | 267,490 |
a,c | Navient Student Loan Trust, Series 2019-BA Class A2B, 6.456% (TSFR1M + 1.09%) due 12/15/2059 | 274,546 | 271,517 |
Nelnet Student Loan Trust, | |||
a,c | Series 2012-2A Class A, 6.252% (SOFR30A + 0.91%) due 12/26/2033 | 62,021 | 61,161 |
a,c | Series 2015-3A Class A2, 6.052% (SOFR30A + 0.71%) due 2/27/2051 | 20,955 | 20,798 |
a,c | Series 2021-DA Class AFL, 6.162% (TSFR1M + 0.80%) due 4/20/2062 | 131,942 | 129,660 |
a,c | Pennsylvania Higher Education Assistance Agency, Student Loan Trust, Series 2012-1A Class A1, 6.002% (SOFR30A + 0.66%) due 5/25/2057 | 10,638 | 10,448 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Ultra Short Income Fund | December 31, 2023 (Unaudited) |
Issuer-Description | SHARES/PRINCIPAL AMOUNT | VALUE | |
a,b,c | Prodigy Finance DAC, Series 2021-1A Class A, 6.72% (TSFR1M + 1.36%) due 7/25/2051 | $ 63,219 | $ 62,759 |
SLM Student Loan Trust, | |||
a | Series 2013-4 Class A, 6.002% (SOFR30A + 0.66%) due 6/25/2027 | 20,868 | 20,569 |
a | Series 2013-6 Class A3, 6.102% (SOFR30A + 0.76%) due 6/26/2028 | 131,594 | 129,240 |
SMB Private Education Loan Trust, | |||
a,c | Series 2016-A Class A2B, 6.976% (TSFR1M + 1.61%) due 5/15/2031 | 126,172 | 126,176 |
a,c | Series 2016-B Class A2B, 6.926% (TSFR1M + 1.56%) due 2/17/2032 | 165,160 | 165,118 |
a,c | Series 2017-A Class A2B, 6.376% (TSFR1M + 1.01%) due 9/15/2034 | 160,841 | 160,019 |
a,c | Series 2017-B Class A2B, 6.226% (TSFR1M + 0.86%) due 10/15/2035 | 344,991 | 341,446 |
a,c | Series 2018-B Class A2B, 6.196% (TSFR1M + 0.83%) due 1/15/2037 | 456,602 | 450,467 |
a,c | Series 2018-C Class A2B, 6.226% (TSFR1M + 0.86%) due 11/15/2035 | 112,129 | 110,643 |
Towd Point Asset Trust, | |||
a,c | Series 2018-SL1 Class A, 6.07% (TSFR1M + 0.71%) due 1/25/2046 | 22,034 | 22,017 |
a,c | Series 2021-SL1 Class A2, 6.172% (TSFR1M + 0.81%) due 11/20/2061 | 118,879 | 117,872 |
4,019,934 | |||
Total Asset Backed Securities (Cost $80,225,039) | 80,342,522 | ||
Corporate Bonds — 47.3% | |||
Automobiles & Components — 1.0% | |||
Automobiles — 1.0% | |||
Hyundai Capital America, | |||
c | 0.80% due 1/8/2024 | 1,259,000 | 1,258,131 |
c | 5.80% due 6/26/2025 | 500,000 | 502,890 |
c | Mercedes-Benz Finance North America LLC, 5.50% due 11/27/2024 | 1,000,000 | 1,001,210 |
2,762,231 | |||
Banks — 1.0% | |||
Banks — 1.0% | |||
HSBC USA, Inc., 3.75% due 5/24/2024 | 750,000 | 744,337 | |
c | National Securities Clearing Corp., 5.15% due 5/30/2025 | 2,000,000 | 2,010,000 |
2,754,337 | |||
Capital Goods — 2.5% | |||
Aerospace & Defense — 1.9% | |||
Boeing Co., 1.95% due 2/1/2024 | 1,500,000 | 1,495,080 | |
c | L3Harris Technologies, Inc., due 8/23/2024 | 2,000,000 | 1,922,972 |
Teledyne Technologies, Inc., 0.95% due 4/1/2024 | 2,000,000 | 1,976,640 | |
Industrial Conglomerates — 0.3% | |||
Lennox International, Inc., 1.35% due 8/1/2025 | 1,000,000 | 941,310 | |
Machinery — 0.3% | |||
a | Caterpillar Financial Services Corp., 5.647% (SOFR + 0.25%) due 5/17/2024 | 950,000 | 949,554 |
7,285,556 | |||
Commercial & Professional Services — 2.6% | |||
Automobiles — 0.6% | |||
a,c | Daimler Truck Finance North America LLC, 6.361% (SOFR + 1.00%) due 4/5/2024 | 1,545,000 | 1,546,128 |
Commercial Services & Supplies — 2.0% | |||
Avery Dennison Corp., 0.85% due 8/15/2024 | 2,557,000 | 2,481,083 | |
Equifax, Inc., 2.60% due 12/1/2024 | 1,400,000 | 1,362,858 | |
Quanta Services, Inc., 0.95% due 10/1/2024 | 2,050,000 | 1,975,585 | |
7,365,654 | |||
Consumer Discretionary Distribution & Retail — 0.7% | |||
Broadline Retail — 0.5% | |||
Dollar General Corp., 4.25% due 9/20/2024 | 1,400,000 | 1,384,390 | |
Specialty Retail — 0.2% | |||
Advance Auto Parts, Inc., 5.90% due 3/9/2026 | 750,000 | 747,218 | |
2,131,608 | |||
Consumer Services — 0.8% | |||
Hotels, Restaurants & Leisure — 0.8% | |||
a | Starbucks Corp., 5.819% (SOFRINDX + 0.42%) due 2/14/2024 | 949,000 | 949,047 |
Warnermedia Holdings, Inc., 6.412% due 3/15/2026 | 1,500,000 | 1,501,155 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Ultra Short Income Fund | December 31, 2023 (Unaudited) |
Issuer-Description | SHARES/PRINCIPAL AMOUNT | VALUE | |
2,450,202 | |||
Consumer Staples Distribution & Retail — 0.9% | |||
Consumer Staples Distribution & Retail — 0.9% | |||
c | 7-Eleven, Inc., 0.80% due 2/10/2024 | $2,513,000 | $ 2,499,103 |
2,499,103 | |||
Energy — 2.0% | |||
Gas Utilities — 0.3% | |||
Eastern Energy Gas Holdings LLC, 3.60% due 12/15/2024 | 1,000,000 | 982,930 | |
Oil, Gas & Consumable Fuels — 1.7% | |||
Energy Transfer LP, 4.90% due 2/1/2024 | 780,000 | 778,588 | |
c | Florida Gas Transmission Co. LLC, 4.35% due 7/15/2025 | 629,000 | 618,364 |
PDC Energy, Inc., 5.75% due 5/15/2026 | 1,250,000 | 1,247,750 | |
Spectra Energy Partners LP, 4.75% due 3/15/2024 | 1,500,000 | 1,496,295 | |
Williams Cos., Inc., 4.30% due 3/4/2024 | 750,000 | 747,885 | |
5,871,812 | |||
Equity Real Estate Investment Trusts (REITs) — 1.1% | |||
Diversified REITs — 1.1% | |||
American Tower Corp., 2.40% due 3/15/2025 | 1,000,000 | 967,270 | |
Crown Castle, Inc., 1.35% due 7/15/2025 | 1,218,000 | 1,150,096 | |
c | SBA Tower Trust, 2.836% due 1/15/2050 | 1,000,000 | 965,669 |
3,083,035 | |||
Financial Services — 3.3% | |||
Capital Markets — 1.1% | |||
Ares Capital Corp., 4.20% due 6/10/2024 | 1,250,000 | 1,238,100 | |
Sixth Street Specialty Lending, Inc., 3.875% due 11/1/2024 | 2,000,000 | 1,957,480 | |
Consumer Finance — 0.2% | |||
PNC Financial Services Group, Inc., 3.50% due 1/23/2024 | 500,000 | 499,297 | |
Financial Services — 2.0% | |||
c | Antares Holdings LP, 8.50% due 5/18/2025 | 750,000 | 762,330 |
a | Bank of America Corp., 0.976% (SOFR + 0.69%) due 4/22/2025 | 1,250,000 | 1,229,912 |
a | Citigroup, Inc., 6.069% (SOFR + 0.69%) due 10/30/2024 | 1,250,000 | 1,249,375 |
a | Goldman Sachs Group, Inc., 5.865% (SOFR + 0.49%) due 10/21/2024 | 1,000,000 | 998,040 |
a | JPMorgan Chase & Co., 0.768% (SOFR + 0.49%) due 8/9/2025 | 1,500,000 | 1,455,015 |
9,389,549 | |||
Food, Beverage & Tobacco — 2.2% | |||
Beverages — 0.2% | |||
Constellation Brands, Inc., 5.00% due 2/2/2026 | 700,000 | 699,881 | |
Food Products — 0.7% | |||
b,c | Mondelez International Holdings Netherlands BV, 0.75% due 9/24/2024 | 2,100,000 | 2,023,560 |
Tobacco — 1.3% | |||
Altria Group, Inc., 4.00% due 1/31/2024 | 593,000 | 591,992 | |
BAT Capital Corp., 3.222% due 8/15/2024 | 1,620,000 | 1,594,274 | |
b,c | Imperial Brands Finance plc, 3.125% due 7/26/2024 | 1,456,000 | 1,432,282 |
6,341,989 | |||
Health Care Equipment & Services — 0.9% | |||
Health Care Equipment & Supplies — 0.4% | |||
a | Baxter International, Inc., 5.853% (SOFRINDX + 0.44%) due 11/29/2024 | 1,000,000 | 997,470 |
Boston Scientific Corp., 3.45% due 3/1/2024 | 205,000 | 204,155 | |
Health Care Providers & Services — 0.5% | |||
Humana, Inc., 5.70% due 3/13/2026 | 1,500,000 | 1,501,185 | |
2,702,810 | |||
Industrials — 0.7% | |||
Transportation Infrastructure — 0.7% | |||
Penske Truck Leasing Co. LP/PTL Finance Corp., | |||
c | 2.70% due 11/1/2024 | 1,000,000 | 972,730 |
c | 3.90% due 2/1/2024 | 1,000,000 | 997,410 |
1,970,140 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Ultra Short Income Fund | December 31, 2023 (Unaudited) |
Issuer-Description | SHARES/PRINCIPAL AMOUNT | VALUE | |
Insurance — 7.1% | |||
Insurance — 7.1% | |||
b | Aon Global Ltd., 3.50% due 6/14/2024 | $2,349,000 | $ 2,325,745 |
a,c | Brighthouse Financial Global Funding, 6.127% (SOFR + 0.76%) due 4/12/2024 | 1,500,000 | 1,496,385 |
c | Equitable Financial Life Global Funding, 0.80% due 8/12/2024 | 969,000 | 939,843 |
c | F&G Global Funding, 0.90% due 9/20/2024 | 1,631,000 | 1,569,185 |
c | Fairfax U.S., Inc., 4.875% due 8/13/2024 | 850,000 | 850,000 |
a,c | Jackson National Life Global Funding, 6.586% (SOFR + 1.15%) due 6/28/2024 | 840,000 | 840,857 |
Lincoln National Corp., 3.35% due 3/9/2025 | 1,250,000 | 1,218,288 | |
a,c | Metropolitan Life Global Funding I, 5.682% (SOFR + 0.32%) due 1/7/2024 | 1,037,000 | 1,037,010 |
c | Metropolitan Life Insurance Co., 7.875% due 2/15/2024 | 1,350,000 | 1,352,740 |
a,c | Nationwide Mutual Insurance Co., 7.936% (SOFR + 2.29%) due 12/15/2024 | 1,375,000 | 1,375,137 |
a,c | Pacific Life Global Funding II, 6.236% (SOFRINDX + 0.80%) due 3/30/2025 | 235,000 | 235,179 |
c | Principal Life Global Funding II, 0.50% due 1/8/2024 | 1,500,000 | 1,498,860 |
c | Prudential Insurance Co. of America, 8.30% due 7/1/2025 | 1,000,000 | 1,032,930 |
Reliance Standard Life Global Funding II, | |||
c | 2.50% due 10/30/2024 | 1,000,000 | 972,610 |
c | 5.243% due 2/2/2026 | 850,000 | 841,611 |
c | Security Benefit Global Funding, 1.25% due 5/17/2024 | 1,400,000 | 1,367,086 |
Willis North America, Inc., 3.60% due 5/15/2024 | 1,500,000 | 1,485,465 | |
20,438,931 | |||
Materials — 0.9% | |||
Construction Materials — 0.5% | |||
Vulcan Materials Co., 5.80% due 3/1/2026 | 1,251,000 | 1,251,788 | |
Containers & Packaging — 0.4% | |||
Amcor Flexibles North America, Inc., 4.00% due 5/17/2025 | 1,250,000 | 1,228,588 | |
2,480,376 | |||
Media & Entertainment — 1.4% | |||
Media — 1.4% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.50% due 2/1/2024 | 2,000,000 | 1,997,080 | |
c | Cox Communications, Inc., 3.15% due 8/15/2024 | 2,000,000 | 1,964,680 |
3,961,760 | |||
Pharmaceuticals, Biotechnology & Life Sciences — 0.5% | |||
Biotechnology — 0.1% | |||
Amgen, Inc., 5.507% due 3/2/2026 | 250,000 | 250,113 | |
Pharmaceuticals — 0.4% | |||
Cigna Group, 5.685% due 3/15/2026 | 500,000 | 500,285 | |
McKesson Corp., 5.25% due 2/15/2026 | 686,000 | 686,144 | |
1,436,542 | |||
Semiconductors & Semiconductor Equipment — 2.1% | |||
Semiconductors & Semiconductor Equipment — 2.1% | |||
b | Broadcom Corp./Broadcom Cayman Finance Ltd., 3.625% due 1/15/2024 | 1,455,000 | 1,453,734 |
Microchip Technology, Inc., 0.972% due 2/15/2024 | 1,155,000 | 1,148,093 | |
Qorvo, Inc., 1.75% due 12/15/2024 | 1,250,000 | 1,198,650 | |
b,c | Renesas Electronics Corp., 1.543% due 11/26/2024 | 1,500,000 | 1,443,060 |
b,c | SK Hynix, Inc., 1.00% due 1/19/2024 | 700,000 | 698,565 |
5,942,102 | |||
Software & Services — 2.3% | |||
Information Technology Services — 0.9% | |||
b | Genpact Luxembourg SARL, 3.375% due 12/1/2024 | 1,000,000 | 974,050 |
Leidos, Inc., 3.625% due 5/15/2025 | 1,611,000 | 1,571,353 | |
Software — 1.4% | |||
Fidelity National Information Services, Inc., 0.60% due 3/1/2024 | 1,500,000 | 1,485,870 | |
VMware LLC, 1.00% due 8/15/2024 | 2,690,000 | 2,612,098 | |
6,643,371 | |||
Technology Hardware & Equipment — 1.8% | |||
Electronic Equipment, Instruments & Components — 1.3% | |||
Arrow Electronics, Inc., 6.125% due 3/1/2026 | 900,000 | 901,278 | |
TD SYNNEX Corp., 1.25% due 8/9/2024 | 1,731,000 | 1,685,648 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Ultra Short Income Fund | December 31, 2023 (Unaudited) |
Issuer-Description | SHARES/PRINCIPAL AMOUNT | VALUE | |
Trimble, Inc., 4.75% due 12/1/2024 | $1,250,000 | $ 1,238,162 | |
Technology Hardware, Storage & Peripherals — 0.5% | |||
Hewlett Packard Enterprise Co., 5.90% due 10/1/2024 | 1,250,000 | 1,252,625 | |
5,077,713 | |||
Telecommunication Services — 1.8% | |||
Diversified Telecommunication Services — 1.3% | |||
AT&T, Inc., | |||
c | due 3/19/2024 | 1,000,000 | 987,650 |
0.90% due 3/25/2024 | 319,000 | 315,408 | |
b,c | NTT Finance Corp., 4.142% due 7/26/2024 | 1,842,000 | 1,829,898 |
b,c | Videotron Ltd., 5.375% due 6/15/2024 | 502,000 | 500,123 |
Wireless Telecommunication Services — 0.5% | |||
Sprint LLC, 7.625% due 2/15/2025 | 1,500,000 | 1,526,580 | |
5,159,659 | |||
Transportation — 0.5% | |||
Air Freight & Logistics — 0.5% | |||
Ryder System, Inc., | |||
2.50% due 9/1/2024 | 371,000 | 363,146 | |
3.65% due 3/18/2024 | 1,000,000 | 995,200 | |
1,358,346 | |||
Utilities — 9.2% | |||
Electric Utilities — 9.2% | |||
c | 3M Co., due 3/8/2024 | 1,500,000 | 1,483,669 |
Allegion U.S. Holding Co., Inc., 3.20% due 10/1/2024 | 1,463,000 | 1,432,965 | |
American Electric Power Co., Inc., 2.031% due 3/15/2024 | 2,500,000 | 2,477,800 | |
Arizona Public Service Co., 3.35% due 6/15/2024 | 1,979,000 | 1,953,055 | |
Avangrid, Inc., 3.15% due 12/1/2024 | 1,000,000 | 977,250 | |
Black Hills Corp., 1.037% due 8/23/2024 | 1,988,000 | 1,929,076 | |
a | CenterPoint Energy, Inc., 6.046% (SOFRINDX + 0.65%) due 5/13/2024 | 795,000 | 795,072 |
Cleveland Electric Illuminating Co., 5.50% due 8/15/2024 | 1,000,000 | 998,030 | |
a | DTE Energy Co., 4.22% due 11/1/2024 | 907,000 | 895,427 |
b,c | Enel Finance International NV, 6.80% due 10/14/2025 | 1,000,000 | 1,025,520 |
Eversource Energy, 4.20% due 6/27/2024 | 1,548,000 | 1,536,653 | |
c | Jersey Central Power & Light Co., 4.70% due 4/1/2024 | 2,000,000 | 1,991,840 |
b,c | LVMH Moet Hennessy Louis Vuitton SE, due 3/21/2024 | 2,000,000 | 1,975,378 |
a | Mississippi Power Co., Series A, 5.736% (SOFR + 0.30%) due 6/28/2024 | 750,000 | 749,422 |
NextEra Energy Capital Holdings, Inc., | |||
4.255% due 9/1/2024 | 750,000 | 743,467 | |
a | 6.449% (SOFRINDX + 1.02%) due 3/21/2024 | 375,000 | 375,172 |
c | Niagara Mohawk Power Corp., 3.508% due 10/1/2024 | 1,750,000 | 1,717,065 |
Oncor Electric Delivery Co. LLC, 2.75% due 6/1/2024 | 500,000 | 493,625 | |
Southern Co., Series 21-A, 0.60% due 2/26/2024 | 1,250,000 | 1,239,950 | |
Vistra Operations Co. LLC, | |||
c | 3.55% due 7/15/2024 | 500,000 | 492,440 |
c | 4.875% due 5/13/2024 | 1,000,000 | 996,290 |
26,279,166 | |||
Total Corporate Bonds (Cost $135,237,756) | 135,385,992 | ||
Long-Term Municipal Bonds — 0.0% | |||
New Jersey Transportation Trust Fund Authority, ETM, Series B, 2.631% due 6/15/2024 | 25,000 | 24,671 | |
Total Long-Term Municipal Bonds (Cost $25,000) | 24,671 | ||
Short-Term Investments — 8.0% | |||
Mutual Fund — 8.0% | |||
d | Thornburg Capital Management Fund | 2,283,468 | 22,834,683 |
Total Mutual Fund (Cost $22,834,683) | 22,834,683 | ||
Total Short-Term Investments (Cost $22,834,683) | 22,834,683 | ||
Total Investments — 99.5% (Cost $284,398,460) | $284,534,302 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Ultra Short Income Fund | December 31, 2023 (Unaudited) |
Issuer-Description | SHARES/PRINCIPAL AMOUNT | VALUE | |
Other Assets Less Liabilities — 0.5% | 1,475,386 | ||
Net Assets — 100.0% | $286,009,688 |
Footnote Legend | |
a | Variable, floating, step, or fixed to floating rate securities are securities for which interest rate changes are based on changes in a designated base rate or on a predetermined schedule. The rates shown are those in effect on December 31, 2023. |
b | Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
c | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities are restricted but liquid and may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of December 31, 2023, the aggregate value of these securities in the Fund’s portfolio was $125,002,258, representing 43.71% of the Fund’s net assets. |
d | Investment in Affiliates. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
To simplify the listings of securities, abbreviations are used per the table below:
ABS | Asset Backed Securities |
CMBS | Commercial Mortgage-Backed Securities |
CMO | Collateralized Mortgage Obligation |
DAC | Designated Activity Company |
ETM | Escrowed to Maturity |
Mtg | Mortgage |
SOFR | Secured Overnight Financing Rate |
SOFR30A | Secured Overnight Financing Rate 30-Day Average |
SOFR90A | Secured Overnight Financing Rate 90-Day Average |
SOFRINDX | Secured Overnight Financing Rate Index |
TSFR1M | Term SOFR 1 Month |
TSFR3M | Term SOFR 3 Month |
UMBS | Uniform Mortgage Backed Securities |
NOTES TO SCHEDULE OF INVESTMENTS
Thornburg Ultra Short Income Fund | December 31, 2023 (Unaudited) |
NOTE 1 – ORGANIZATION
Thornburg Ultra Short Income Fund (the “Fund”) is a diversified series of Thornburg Investment Trust (the “Trust”). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"). The Fund is currently one of twenty-four separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes. The Fund currently offers two classes of shares of beneficial interest: Class A and Institutional Class (“Class I”).
NOTE 2 – SECURITY VALUATION
Valuation of the Fund’s portfolio investment securities is performed by Thornburg Investment Management, Inc., the Trust’s investment advisor (the "Advisor"), which has been designated by the Trustees of the Trust (the "Trustees") as the Fund’s "valuation designee," as that term is defined in rule 2a-5 under the 1940 Act. The Advisor performs this valuation function under the supervision of the Trustees and in accordance with policies and procedures that have been adopted by the Advisor and approved by the Trustees (the “Valuation Policy and Procedures”).
In its capacity as the Fund’s valuation designee, the Advisor makes good faith determinations of the fair value of portfolio securities for which market quotations are not readily available, and otherwise complies with and administers the Valuation Policy and Procedures. The Advisor performs those functions in significant measure through its Valuation and Pricing Committee (the “Committee”), though the Advisor may also obtain the assistance of others, including professional pricing service providers selected and approved by the Committee. In accordance with the Valuation Policy and Procedures, the Committee: assesses and manages the material risks associated with determining the fair value of those Fund investments for which market quotations are not readily available; selects and applies methodologies for determining and calculating such fair values; periodically reviews and tests the appropriateness and accuracy of those methodologies; monitors for circumstances that may necessitate the use of fair value; and approves, monitors, and evaluates pricing services engaged to provide evaluated prices for the Fund’s investments. The Committee provides reports on its activities to the Trustees’ Audit Committee, which is responsible for overseeing the Committee’s and the Advisor’s work in discharging the functions under the Valuation Policy and Procedures.
In those instances when the Committee assists in calculating a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods selected by the Committee. Because fair values calculated by the Committee are estimates, the calculation of a fair value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation of Securities: Investments in U.S. mutual funds are valued at net asset value ("NAV") each business day.
Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Committee.
In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee may calculate a fair value for the obligation using alternative methods selected and approved by the Committee. Additionally, in cases when the Committee believes that a valuation obtained from a pricing service provider is stale, does not reflect material factors affecting the valuation of the investment, is significantly different than the value the Fund is likely to obtain if it sought a bid for the investment, or is otherwise unreliable, the Committee may calculate a fair value for the obligation using an alternative method selected and approved by the Committee.
NOTE 3 – Investments with Affiliates
Shown below are holdings of voting securities of each portfolio company which is considered "affiliated" to the Fund under the 1940 Act, including companies for which the Fund’s holding represented 5% or more of the company’s voting securities, and a series of the Thornburg Investment Trust in which the Fund invested for cash management purposes during the period:
Market Value 9/30/23 | Purchases at Cost | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appr./(Depr.) | Market Value 12/31/23 | Dividend Income | |
Thornburg Capital Mgmt. Fund | $18,968,697 | $65,967,941 | $(62,101,955) | $- | $- | $22,834,683 | $353,223 |