SCHEDULE OF INVESTMENTS
Thornburg Core Plus Bond Fund | December 31, 2023 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Preferred Stock — 0.4% | |||
Financial Services — 0.4% | |||
Capital Markets — 0.4% | |||
a,b | Gabelli Dividend & Income Trust Series J, 1.70%, 3/26/2028 | 4 | $ 94,000 |
94,000 | |||
Total Preferred Stock (Cost $80,000) | 94,000 | ||
Asset Backed Securities — 9.7% | |||
Auto Receivables — 3.5% | |||
c | ACC Auto Trust, Series 2022-A Class A, 4.58% due 7/15/2026 | $ 20,015 | 19,895 |
c | American Credit Acceptance Receivables Trust, Series 2021-4 Class C, 1.32% due 2/14/2028 | 30,559 | 30,254 |
AmeriCredit Automobile Receivables Trust, Series 2021-1 Class B, 0.68% due 10/19/2026 | 38,962 | 38,416 | |
c | Carvana Auto Receivables Trust, Series 2023-N4 Class A, 6.42% due 1/10/2028 | 33,961 | 34,143 |
Exeter Automobile Receivables Trust, | |||
Series 2021-1A Class D, 1.08% due 11/16/2026 | 120,000 | 116,058 | |
Series 2021-3A Class C, 0.96% due 10/15/2026 | 100,807 | 98,710 | |
c | Flagship Credit Auto Trust, Series 2021-2 Class B, 0.93% due 6/15/2027 | 96,088 | 94,795 |
c | Lendbuzz Securitization Trust, Series 2023-3A Class A1, 6.03% due 10/15/2024 | 55,500 | 55,506 |
c | Lobel Automobile Receivables Trust, Series 2023-2 Class A, 7.59% due 4/16/2029 | 45,730 | 46,009 |
c | Octane Receivables Trust, Series 2022-2A Class A, 5.11% due 2/22/2028 | 125,508 | 124,624 |
c | OneMain Direct Auto Receivables Trust, Series 2022-1A Class A1, 4.65% due 3/14/2029 | 50,000 | 49,448 |
c | Research-Driven Pagaya Motor Asset Trust, Series 2023-4A Class A, 7.54% due 3/25/2032 | 35,000 | 35,248 |
Santander Drive Auto Receivables Trust, Series 2021-3 Class C, 0.95% due 9/15/2027 | 90,138 | 89,297 | |
832,403 | |||
Credit Card — 0.4% | |||
c | Avant Credit Card Master Trust, Series 2021-1A Class A, 1.37% due 4/15/2027 | 100,000 | 95,982 |
95,982 | |||
Other Asset Backed — 5.2% | |||
c | Amur Equipment Finance Receivables X LLC, Series 2022-1A Class A2, 1.64% due 10/20/2027 | 128,986 | 125,287 |
c | Auxilior Term Funding LLC, Series 2023-1A Class A2, 6.18% due 12/15/2028 | 110,000 | 111,042 |
c | BHG Securitization Trust, Series 2022-C Class A, 5.32% due 10/17/2035 | 44,092 | 43,790 |
b,c | Gracie Point International Funding, Series 2023-2A Class A, 7.596% (SOFR90A + 2.25%) due 3/1/2027 | 100,000 | 99,991 |
c | Marlette Funding Trust, Series 2022-3A Class A, 5.18% due 11/15/2032 | 23,838 | 23,765 |
c | MMAF Equipment Finance LLC, Series 2020-BA Class A3, 0.49% due 8/14/2025 | 98,251 | 96,066 |
c | Momnt Technologies Trust, Series 2023-1A Class A, 6.92% due 3/20/2045 | 125,000 | 125,300 |
c | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1 Class A1, 1.91% due 10/20/2061 | 135,000 | 118,137 |
c | NMEF Funding LLC, Series 2023-A Class A2, 6.57% due 6/17/2030 | 100,000 | 101,096 |
c | Oportun Issuance Trust, Series 2021-B Class A, 1.47% due 5/8/2031 | 100,000 | 93,455 |
c | Pagaya AI Debt Trust, Series 2023-3 Class A, 7.60% due 12/16/2030 | 70,082 | 70,458 |
c | Retained Vantage Data Centers Issuer LLC, Series 2023-1A Class A2A, 5.00% due 9/15/2048 | 25,000 | 23,371 |
c | Service Experts Issuer LLC, Series 2021-1A Class A, 2.67% due 2/2/2032 | 56,132 | 52,220 |
c | SoFi Consumer Loan Program Trust, Series 2021-1 Class B, 1.30% due 9/25/2030 | 94,663 | 93,985 |
c | Upstart Structured Pass-Through Trust, Series 2022-1A Class A, 3.40% due 4/15/2030 | 40,521 | 39,757 |
1,217,720 | |||
Student Loan — 0.6% | |||
c | Laurel Road Prime Student Loan Trust, Series 2017-C Class A2B, 2.81% due 11/25/2042 | 129,249 | 128,580 |
�� | 128,580 | ||
Total Asset Backed Securities (Cost $2,266,842) | 2,274,685 | ||
Corporate Bonds — 26.4% | |||
Automobiles & Components — 0.4% | |||
Automobiles — 0.4% | |||
c | Hyundai Capital America, 0.875% due 6/14/2024 | 97,000 | 94,901 |
94,901 | |||
Banks — 0.7% | |||
Banks — 0.7% | |||
Santander Holdings USA, Inc., 3.244% due 10/5/2026 | 50,000 | 47,376 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Core Plus Bond Fund | December 31, 2023 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
b | U.S. Bancorp, 5.775% (SOFR + 2.02%) due 6/12/2029 | $ 65,000 | $ 66,763 |
b | Wells Fargo & Co., 5.574% (SOFR + 1.74%) due 7/25/2029 | 60,000 | 61,254 |
175,393 | |||
Capital Goods — 1.2% | |||
Aerospace & Defense — 0.7% | |||
c | BWX Technologies, Inc., 4.125% due 4/15/2029 | 85,000 | 78,764 |
c | TransDigm, Inc., 6.25% due 3/15/2026 | 75,000 | 74,911 |
Machinery — 0.4% | |||
d | nVent Finance SARL, 2.75% due 11/15/2031 | 40,000 | 32,836 |
c | Regal Rexnord Corp., 6.30% due 2/15/2030 | 60,000 | 61,764 |
Trading Companies & Distributors — 0.1% | |||
LKQ Corp., 6.25% due 6/15/2033 | 30,000 | 31,351 | |
279,626 | |||
Commercial & Professional Services — 1.1% | |||
Commercial Services & Supplies — 1.0% | |||
c,d | Element Fleet Management Corp., 6.319% due 12/4/2028 | 106,000 | 109,475 |
Equifax, Inc., 2.60% due 12/1/2024 | 85,000 | 82,745 | |
c | UL Solutions, Inc., 6.50% due 10/20/2028 | 35,000 | 36,774 |
Professional Services — 0.1% | |||
c | Gartner, Inc., 3.625% due 6/15/2029 | 35,000 | 31,656 |
260,650 | |||
Consumer Discretionary Distribution & Retail — 0.6% | |||
Broadline Retail — 0.4% | |||
Dollar General Corp., 4.25% due 9/20/2024 | 100,000 | 98,885 | |
Specialty Retail — 0.2% | |||
Advance Auto Parts, Inc., 3.90% due 4/15/2030 | 40,000 | 35,719 | |
134,604 | |||
Consumer Durables & Apparel — 0.3% | |||
Leisure Products — 0.3% | |||
Polaris, Inc., 6.95% due 3/15/2029 | 75,000 | 79,683 | |
79,683 | |||
Consumer Services — 0.2% | |||
Hotels, Restaurants & Leisure — 0.2% | |||
c | Papa John’s International, Inc., 3.875% due 9/15/2029 | 48,000 | 42,541 |
42,541 | |||
Consumer Staples Distribution & Retail — 0.2% | |||
Consumer Staples Distribution & Retail — 0.2% | |||
c | U.S. Foods, Inc., 4.75% due 2/15/2029 | 45,000 | 42,808 |
42,808 | |||
Energy — 2.4% | |||
Oil, Gas & Consumable Fuels — 2.4% | |||
c | Chesapeake Energy Corp., 5.50% due 2/1/2026 | 40,000 | 39,726 |
c | CITGO Petroleum Corp., 7.00% due 6/15/2025 | 100,000 | 99,800 |
c | Columbia Pipelines Operating Co. LLC, 5.927% due 8/15/2030 | 60,000 | 62,088 |
d | Ecopetrol SA, 4.625% due 11/2/2031 | 70,000 | 59,383 |
Kinder Morgan Energy Partners LP, 5.80% due 3/15/2035 | 80,000 | 81,557 | |
d | Petroleos Mexicanos, 6.50% due 6/2/2041 | 160,000 | 108,883 |
c | Sunoco LP/Sunoco Finance Corp., 7.00% due 9/15/2028 | 100,000 | 103,232 |
554,669 | |||
Equity Real Estate Investment Trusts (REITs) — 1.3% | |||
Diversified REITs — 1.1% | |||
Crown Castle, Inc., 5.80% due 3/1/2034 | 80,000 | 82,866 | |
Extra Space Storage LP, 3.90% due 4/1/2029 | 35,000 | 33,197 | |
c | Iron Mountain Information Management Services, Inc., 5.00% due 7/15/2032 | 88,000 | 80,629 |
c | SBA Tower Trust, 1.631% due 5/15/2051 | 70,000 | 62,500 |
Retail REITs — 0.2% | |||
Retail Opportunity Investments Partnership LP, 6.75% due 10/15/2028 | 35,000 | 36,803 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Core Plus Bond Fund | December 31, 2023 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
295,995 | |||
Financial Services — 2.2% | |||
Capital Markets — 0.7% | |||
Hercules Capital, Inc., 3.375% due 1/20/2027 | $ 65,000 | $ 59,104 | |
c | LPL Holdings, Inc., 4.00% due 3/15/2029 | 35,000 | 32,198 |
Nasdaq, Inc., 5.55% due 2/15/2034 | 30,000 | 31,222 | |
c | Oaktree Strategic Credit Fund, 8.40% due 11/14/2028 | 41,000 | 43,286 |
Consumer Finance — 0.4% | |||
c | FirstCash, Inc., 4.625% due 9/1/2028 | 100,000 | 93,385 |
Financial Services — 1.1% | |||
b | Capital One Financial Corp., 7.149% (SOFR + 2.44%) due 10/29/2027 | 70,000 | 72,688 |
b | Citigroup, Inc., 4.412% (SOFR + 3.91%) due 3/31/2031 | 65,000 | 62,243 |
d | Sumitomo Mitsui Financial Group, Inc., 3.544% due 1/17/2028 | 75,000 | 71,383 |
b | Truist Financial Corp., 5.867% due 6/8/2034 | 60,000 | 61,224 |
526,733 | |||
Food, Beverage & Tobacco — 1.7% | |||
Beverages — 1.1% | |||
c,d | Becle SAB de CV, 2.50% due 10/14/2031 | 200,000 | 160,266 |
c,d | Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.25% due 4/27/2029 | 100,000 | 94,095 |
Food Products — 0.2% | |||
c | Post Holdings, Inc., 5.50% due 12/15/2029 | 44,000 | 42,494 |
Tobacco — 0.4% | |||
BAT Capital Corp., 7.75% due 10/19/2032 | 60,000 | 67,682 | |
c | Vector Group Ltd., 10.50% due 11/1/2026 | 40,000 | 40,105 |
404,642 | |||
Health Care Equipment & Services — 1.1% | |||
Health Care Equipment & Supplies — 0.2% | |||
c | Hologic, Inc., 3.25% due 2/15/2029 | 50,000 | 45,301 |
Health Care Providers & Services — 0.9% | |||
Centene Corp., 3.00% due 10/15/2030 | 68,000 | 59,191 | |
Humana, Inc., 5.70% due 3/13/2026 | 80,000 | 80,063 | |
c | Tenet Healthcare Corp., 6.75% due 5/15/2031 | 40,000 | 40,944 |
Universal Health Services, Inc., 2.65% due 10/15/2030 | 40,000 | 33,865 | |
259,364 | |||
Industrials — 0.4% | |||
Transportation Infrastructure — 0.4% | |||
c | Penske Truck Leasing Co. LP/PTL Finance Corp., 6.20% due 6/15/2030 | 80,000 | 83,924 |
83,924 | |||
Insurance — 2.5% | |||
Insurance — 2.5% | |||
c | F&G Global Funding, 2.00% due 9/20/2028 | 75,000 | 63,739 |
d | Fairfax Financial Holdings Ltd., 5.625% due 8/16/2032 | 70,000 | 70,067 |
c | Guardian Life Global Funding, 5.737% due 10/2/2028 | 0 | 0 |
Horace Mann Educators Corp., 7.25% due 9/15/2028 | 35,000 | 37,204 | |
c,d | Intact Financial Corp., 5.459% due 9/22/2032 | 60,000 | 59,698 |
c | Mutual of Omaha Cos Global Funding, 5.45% due 12/12/2028 | 80,000 | 81,661 |
c | New York Life Global Funding, 4.55% due 1/28/2033 | 0 | 0 |
d | RenaissanceRe Holdings Ltd., 5.75% due 6/5/2033 | 65,000 | 65,728 |
c | RGA Global Funding, 2.70% due 1/18/2029 | 65,000 | 57,775 |
c | Security Benefit Global Funding, 1.25% due 5/17/2024 | 85,000 | 83,002 |
Stewart Information Services Corp., 3.60% due 11/15/2031 | 90,000 | 70,079 | |
588,953 | |||
Materials — 1.5% | |||
Construction Materials — 0.4% | |||
Vulcan Materials Co., 5.80% due 3/1/2026 | 100,000 | 100,063 | |
Containers & Packaging — 0.7% | |||
Ball Corp., 2.875% due 8/15/2030 | 95,000 | 81,460 | |
c,d | CCL Industries, Inc., 3.05% due 6/1/2030 | 85,000 | 74,490 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Core Plus Bond Fund | December 31, 2023 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Metals & Mining — 0.4% | |||
c | Cleveland-Cliffs, Inc., 6.75% due 3/15/2026 | $ 75,000 | $ 75,482 |
c | Newmont Corp./Newcrest Finance Pty. Ltd., 3.25% due 5/13/2030 | 35,000 | 31,521 |
363,016 | |||
Media & Entertainment — 0.7% | |||
Media — 0.7% | |||
c | CCO Holdings LLC/CCO Holdings Capital Corp., 4.25% due 1/15/2034 | 105,000 | 85,385 |
c | Sirius XM Radio, Inc., 5.50% due 7/1/2029 | 85,000 | 82,376 |
167,761 | |||
Semiconductors & Semiconductor Equipment — 0.9% | |||
Semiconductors & Semiconductor Equipment — 0.9% | |||
c | Broadcom, Inc., 3.187% due 11/15/2036 | 80,000 | 64,924 |
Micron Technology, Inc., 6.75% due 11/1/2029 | 65,000 | 70,247 | |
c | Qorvo, Inc., 3.375% due 4/1/2031 | 85,000 | 73,010 |
208,181 | |||
Software & Services — 1.6% | |||
Information Technology Services — 0.1% | |||
Kyndryl Holdings, Inc., 2.70% due 10/15/2028 | 25,000 | 22,046 | |
Internet Software & Services — 0.4% | |||
c | Prosus NV (EUR), 1.985% due 7/13/2033 | 100,000 | 81,571 |
Software — 1.1% | |||
c | Fair Isaac Corp., 4.00% due 6/15/2028 | 85,000 | 80,428 |
Fidelity National Information Services, Inc., 0.60% due 3/1/2024 | 50,000 | 49,529 | |
c | MSCI, Inc., 3.625% due 9/1/2030 | 65,000 | 58,825 |
c,d | Open Text Corp., 3.875% due 12/1/2029 | 88,000 | 78,955 |
371,354 | |||
Technology Hardware & Equipment — 0.6% | |||
Electronic Equipment, Instruments & Components — 0.6% | |||
CDW LLC/CDW Finance Corp., 3.25% due 2/15/2029 | 35,000 | 32,012 | |
d | Flex Ltd., 4.875% due 5/12/2030 | 30,000 | 29,452 |
Vontier Corp., 2.40% due 4/1/2028 | 90,000 | 79,475 | |
140,939 | |||
Telecommunication Services — 0.5% | |||
Wireless Telecommunication Services — 0.5% | |||
c | Crown Castle Towers LLC, 4.241% due 7/15/2048 | 125,000 | 118,501 |
118,501 | |||
Utilities — 4.3% | |||
Electric Utilities — 4.0% | |||
AEP Texas, Inc., Series I, 2.10% due 7/1/2030 | 25,000 | 20,980 | |
Allegion U.S. Holding Co., Inc., 3.20% due 10/1/2024 | 85,000 | 83,255 | |
Ameren Corp., 5.00% due 1/15/2029 | 104,000 | 104,597 | |
American Electric Power Co., Inc., 2.30% due 3/1/2030 | 70,000 | 59,840 | |
Black Hills Corp., 6.15% due 5/15/2034 | 70,000 | 73,176 | |
c | Boston Gas Co., 3.757% due 3/16/2032 | 35,000 | 31,100 |
c,d | Comision Federal de Electricidad, 3.348% due 2/9/2031 | 200,000 | 166,150 |
c | Evergy Missouri West, Inc., 3.75% due 3/15/2032 | 65,000 | 57,319 |
Eversource Energy, 5.125% due 5/15/2033 | 0 | 0 | |
ITC Holdings Corp., 5.30% due 7/1/2043 | 35,000 | 33,799 | |
c | Kentucky Power Co., 7.00% due 11/15/2033 | 66,000 | 70,918 |
c | Liberty Utilities Finance GP 1, 2.05% due 9/15/2030 | 85,000 | 68,931 |
c | Monongahela Power Co., 3.55% due 5/15/2027 | 80,000 | 76,278 |
Public Service Co. of Oklahoma, Series J, 2.20% due 8/15/2031 | 35,000 | 28,953 | |
Puget Energy, Inc., 4.224% due 3/15/2032 | 85,000 | 76,903 | |
Gas Utilities — 0.3% | |||
c | KeySpan Gas East Corp., 5.994% due 3/6/2033 | 60,000 | 61,112 |
1,013,311 | |||
Total Corporate Bonds (Cost $5,941,779) | 6,207,549 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Core Plus Bond Fund | December 31, 2023 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Long-Term Municipal Bonds — 0.4% | |||
County of Miami-Dade Seaport Department, 6.224% due 11/1/2055 | $ 100,000 | $ 106,192 | |
Total Long-Term Municipal Bonds (Cost $100,000) | 106,192 | ||
U.S. Treasury Securities — 37.9% | |||
United States Treasury Inflation Indexed Bonds, 1.50%, 2/15/2053 | 615,860 | 560,556 | |
United States Treasury Notes, | |||
1.125%, 8/15/2040 | 225,000 | 143,754 | |
2.375%, 2/15/2042 | 715,000 | 549,656 | |
2.75%, 8/15/2032 | 3,925,000 | 3,596,895 | |
3.875%, 8/15/2033 | 2,637,000 | 2,635,352 | |
4.125%, 8/15/2053 | 155,000 | 157,107 | |
4.375%, 8/15/2043 | 318,000 | 325,205 | |
4.50%, 11/15/2033 | 92,000 | 96,657 | |
United States Treasury Notes Inflationary Index, | |||
1.125%, 1/15/2033 | 754,017 | 714,233 | |
1.25%, 4/15/2028 | 133,349 | 129,957 | |
Total U.S. Treasury Securities (Cost $8,395,187) | 8,909,372 | ||
Mortgage Backed — 23.1% | |||
b,c | Angel Oak Mortgage Trust, Whole Loan Securities Trust CMO, Series 2022-1 Class A1, 2.881% due 12/25/2066 | 121,567 | 108,983 |
b,c | BRAVO Residential Funding Trust, Whole Loan Securities Trust CMO, Series 2021-NQM3 Class A1, 1.699% due 4/25/2060 | 47,016 | 42,248 |
b,c | Citigroup Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2021-INV2 Class A3A, 2.50% due 5/25/2051 | 82,630 | 67,660 |
b,c | Cross Mortgage Trust, Whole Loan Securities Trust CMO, Series 2023-H1 Class A1, 6.615% due 3/25/2068 | 94,266 | 94,285 |
CSMC Trust, Whole Loan Securities Trust CMO, | |||
b,c | Series 2021-AFC1 Class-A1, 0.83% due 3/25/2056 | 54,544 | 42,245 |
b,c | Series 2022-ATH2 Class A1, 4.547% due 5/25/2067 | 122,070 | 119,235 |
c | DC Office Trust, CMBS, Series 2019-MTC Class A, 2.965% due 9/15/2045 | 100,000 | 82,575 |
b | Federal Home Loan Mtg Corp., Pool 841463, 2.155% (2.18% - SOFR30A) due 7/1/2052 | 113,487 | 98,800 |
b | Federal Home Loan Mtg Corp., Multifamily Structured Pass Through Certificates, CMBS, Series K-154 Class A2, 4.35% due 1/25/2033 | 107,000 | 106,144 |
Federal Home Loan Mtg Corp., UMBS Collateral, Pool SD8206, 3.00% due 4/1/2052 | 416,662 | 368,298 | |
b | Federal National Mtg Assoc., Pool BM7277 1.971% (2.08% - SOFR30A) due 8/1/2051 | 122,401 | 106,878 |
Federal National Mtg Assoc., UMBS Collateral, | |||
Pool CB0199 3.00% due 4/1/2051 | 207,505 | 183,315 | |
Pool CB2404 2.50% due 12/1/2051 | 318,312 | 270,748 | |
Pool CB2665 3.00% due 1/1/2052 | 285,760 | 252,447 | |
Pool FS0957 3.00% due 3/1/2052 | 533,077 | 471,241 | |
Pool FS2676 3.00% due 6/1/2052 | 358,098 | 316,353 | |
Pool FS4862 2.50% due 10/1/2051 | 288,199 | 245,234 | |
Pool FS4919 2.50% due 5/1/2053 | 365,546 | 310,888 | |
Pool MA4399 2.50% due 8/1/2051 | 362,245 | 309,242 | |
Pool MA4548, 2.50% due 2/1/2052 | 556,150 | 473,947 | |
Pool MA4730, 3.00% due 9/1/2052 | 61,381 | 54,242 | |
b,c,e | GCAT Trust, Whole Loan Securities Trust CMO, Series 2023-NQM4 Class A1, 4.25% due 5/25/2067 | 125,000 | 115,120 |
b,c | Hudson Yards Mortgage Trust, CMBS, Series 2019-55HY Class A, 2.943% due 12/10/2041 | 100,000 | 86,528 |
b,c | Imperial Fund Mortgage Trust, Whole Loan Securities Trust CMO, Series 2022-NQM4 Class A1, 4.767% due 6/25/2067 | 105,599 | 104,207 |
b,c | JPMorgan Mortgage Trust, Whole Loan Securities Trust CMO, Series 2021-INV6 Class A2, 3.00% due 4/25/2052 | 79,505 | 67,723 |
MFA Trust, Whole Loan Securities Trust CMO, | |||
b,c | Series 2021-INV2 Class A1, 1.906% due 11/25/2056 | 79,905 | 66,995 |
b,c | Series 2022-NQM2 Class A1, 4.00% due 5/25/2067 | 106,578 | 100,330 |
b,c | NMLT Trust, Whole Loan Securities Trust CMO, Series 2021-INV1 Class A1, 1.185% due 5/25/2056 | 67,610 | 56,276 |
b,c | OBX Trust, Whole Loan Securities Trust CMO, Series 2022-NQM5 Class A1, 4.31% due 5/25/2062 | 106,450 | 101,138 |
c | One Bryant Park Trust, CMBS, Series 2019-OBP Class A, 2.516% due 9/15/2054 | 100,000 | 84,654 |
b,c | RCKT Mortgage Trust, Whole Loan Securities Trust CMO, Series 2019-1 Class A13, 3.50% due 9/25/2049 | 32,902 | 28,564 |
c | SLG Office Trust, CMBS, Series 2021-OVA Class A, 2.585% due 7/15/2041 | 130,000 | 107,455 |
b,c | Spruce Hill Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2022-SH1 Class A1A, 4.10% due 7/25/2057 | 109,955 | 103,506 |
b,c | Towd Point Mortgage Trust, Whole Loan Securities Trust CMO, Series 2020-1 Class A2A, 3.10% due 1/25/2060 | 100,000 | 86,355 |
b,c | UWM Mortgage Trust, Whole Loan Securities Trust CMO, Series 2021-1 Class A3, 2.50% due 6/25/2051 | 77,346 | 63,259 |
b,c | Verus Securitization Trust, Whole Loan Securities Trust CMO, Series 2023-3 Class A1, 5.93% due 3/25/2068 | 110,613 | 110,299 |
b,c | Wells Fargo Mortgage Backed Securities Trust, Whole Loan Securities Trust CMO, Series 2021-1 Class A1, 2.50% due 12/25/2050 | 40,717 | 33,398 |
Total Mortgage Backed (Cost $5,146,421) | 5,440,815 |
SCHEDULE OF INVESTMENTS, Continued
Thornburg Core Plus Bond Fund | December 31, 2023 (Unaudited) |
Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
Short-Term Investments — 0.8% | |||
f | Thornburg Capital Management Fund | 18,975 | $ 189,743 |
Total Short-Term Investments (Cost $189,743) | 189,743 | ||
Total Investments — 98.7% (Cost $22,119,972) | $23,222,356 | ||
Other Assets Less Liabilities — 1.3% | 310,685 | ||
Net Assets — 100.0% | $23,533,041 |
Outstanding Forward Currency Contracts To Buy Or Sell At December 31, 2023 | |||||||
Contract Description | Contract Party* | Buy/Sell | Contract Amount | Contract Value Date | Value USD | Unrealized Appreciation | Unrealized Depreciation |
Euro | SSB | Sell | 63,400 | 3/25/2024 | 70,354 | $ — | $ (3,062) |
Euro | SSB | Sell | 7,600 | 3/25/2024 | 8,434 | — | (109) |
Total | — | $(3,171) | |||||
Net unrealized appreciation (depreciation) | $(3,171) |
* | Counterparty includes State Street Bank and Trust Company ("SSB"). |
Footnote Legend | |
a | Security currently fair valued by the Valuation and Pricing Committee. |
b | 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. |
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 $7,285,960, representing 30.96% of the Fund’s net assets. |
d | Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
e | When-issued security. |
f | 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:
CMBS | Commercial Mortgage-Backed Securities |
CMO | Collateralized Mortgage Obligation |
EUR | Denominated in Euro |
Mtg | Mortgage |
SOFR | Secured Overnight Financing Rate |
SOFR30A | Secured Overnight Financing Rate 30-Day Average |
SOFR90A | Secured Overnight Financing Rate 90-Day Average |
UMBS | Uniform Mortgage Backed Securities |
NOTES TO SCHEDULE OF INVESTMENTS
Thornburg Core Plus Bond Fund | December 31, 2023 (Unaudited) |
NOTE 1 – ORGANIZATION
Thornburg Core Plus Bond 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 commenced operations on October 2, 2023 and currently offers seven classes of shares of beneficial interest: Class A, Class C, Institutional Class (“Class I”), and Retirement Classes (“Class R3”, “Class R4”, “Class R5”, and “Class R6”).
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: Securities and other portfolio investments which are listed or traded on a United States securities exchange are generally valued at the last reported sale price on the valuation date or, if there has been no sale of the investment on that date, at the mean between the last reported bid and asked prices for the investment on that date. Portfolio investments reported by NASDAQ are valued at the official closing price on the valuation date. If an investment is traded on more than one exchange, the investment is considered traded on the exchange that is normally the primary market for that investment. For securities and other portfolio investments which are primarily listed or traded on an exchange outside the United States, the time for determining the investment’s value in accordance with the first sentence of this paragraph will be the close of that investment’s primary exchange preceding the Fund’s valuation time.
In any case when a market quotation is not readily available for a portfolio investment ordinarily valued by market quotation, the Committee calculates a fair value for the investment using methodologies selected and approved by the Committee as described in the Valuation Policy and Procedures, subject to changes or additions by the Committee. For this purpose, a market quotation is considered to be readily available if it is a quoted price (unadjusted) in active markets for identical investments that the Fund can access at the measurement date. Pursuant to the Valuation Policy and Procedures, the Committee shall monitor for circumstances that may necessitate the use of fair valuation methodologies, including circumstances in which a market quotation for an investment is no longer reliable or is otherwise not readily available. For that purpose, a market quotation is not readily available when the primary market or exchange for the applicable investment is not open for the entire scheduled day of trading. A market quotation may also not be readily available if: (a) developments occurring after the most recent close of the applicable investment’s primary exchange, but prior to the close of business on any business day; or (b) an unusual event or significant period of time occurring since the availability of the market quotation, create a serious question concerning the reliability of that market quotation. Additionally, a market quotation will be considered unreliable if it would require adjustment under GAAP, or where GAAP would require consideration of additional inputs in determining the value of the investment. The Committee customarily obtains valuations in those instances from pricing service providers approved by the Committee. Such pricing service providers ordinarily calculate valuations using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data, and other data.
NOTES TO SCHEDULE OF INVESTMENTS, Continued
Thornburg Core Plus Bond Fund | December 31, 2023 (Unaudited) |
Investments in U.S. mutual funds are valued at net asset value ("NAV") each business day.
Forward currency contracts are valued by a third-party pricing service provider.
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.
If the market quotation for an investment is expressed in a foreign currency, that market quotation will be converted to U.S. dollars using a foreign exchange quotation from a third-party service at the time of valuation. Foreign investments held by the Fund may be traded on days and at times when the Fund is not open for business. Consequently, the value of Fund’s investments may be significantly affected on days when shareholders cannot purchase or sell Fund’s shares.
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 | $- | $12,197,874 | $(12,008,131) | $- | $- | $189,743 | $14,891 |