SCHEDULE OF INVESTMENTS
| Thornburg Limited Term Income Fund | December 31, 2022 (Unaudited) |
| Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
| Preferred Stock — 0.4% | |||
| Diversified Financials — 0.4% | |||
| Capital Markets — 0.4% | |||
| a,b | Gabelli Dividend & Income Trust Series J, 1.70%, 3/26/2028 | 1,162 | $ 29,012,816 |
| 29,012,816 | |||
| Total Preferred Stock (Cost $29,019,196) | 29,012,816 | ||
| Asset Backed Securities — 17.9% | |||
| Auto Receivables — 1.7% | |||
| ACC Auto Trust, | |||
| c | Series 2021-A Class A, 1.08% due 4/15/2027 | $ 4,110,893 | 4,063,398 |
| c | Series 2022-A Class A, 4.58% due 7/15/2026 | 9,498,753 | 9,321,861 |
| c | ACC Trust, Series 2022-1 Class A, 1.19% due 9/20/2024 | 4,191,965 | 4,144,230 |
| c | ACM Auto Trust, Series 2022-1A Class A, 3.23% due 4/20/2029 | 3,153,852 | 3,145,756 |
| American Credit Acceptance Receivables Trust, | |||
| c | Series 2020-2 Class C, 3.88% due 4/13/2026 | 6,069,424 | 6,018,389 |
| c | Series 2020-2 Class D, 5.65% due 5/13/2026 | 4,250,000 | 4,224,532 |
| Arivo Acceptance Auto Loan Receivables Trust, | |||
| c | Series 2019-1 Class B, 3.37% due 6/15/2025 | 3,016,346 | 2,988,256 |
| c | Series 2021-1A Class A, 1.19% due 1/15/2027 | 3,072,373 | 2,984,237 |
| c | Carvana Auto Receivables Trust, Series 2019-1A Class D, 3.88% due 10/15/2024 | 2,519,664 | 2,512,994 |
| c | Credito Real USA Auto Receivables Trust, Series 2021-1A Class A, 1.35% due 2/16/2027 | 3,070,776 | 3,001,341 |
| Drive Auto Receivables Trust, Series 2019-1 Class D, 4.09% due 6/15/2026 | 5,294,831 | 5,281,776 | |
| c | DT Auto Owner Trust, Series 2019-4A Class D, 2.85% due 7/15/2025 | 7,500,000 | 7,349,641 |
| c | Exeter Automobile Receivables Trust, Series 2019-3A Class D, 3.11% due 8/15/2025 | 1,361,999 | 1,334,189 |
| FHF Trust, | |||
| c | Series 2021-1A Class A, 1.27% due 3/15/2027 | 9,657,646 | 9,189,888 |
| c | Series 2021-2A Class A, 0.83% due 12/15/2026 | 7,772,871 | 7,373,333 |
| c | Flagship Credit Auto Trust, Series 2019-2 Class D, 3.53% due 5/15/2025 | 3,500,000 | 3,407,466 |
| Lendbuzz Securitization Trust, | |||
| c | Series 2021-1A Class A, 1.46% due 6/15/2026 | 15,709,879 | 14,996,231 |
| c | Series 2022-1A Class A, 4.22% due 5/17/2027 | 11,086,841 | 10,650,644 |
| c | Octane Receivables Trust, Series 2020-1A Class A, 1.71% due 2/20/2025 | 2,327,773 | 2,303,695 |
| c,d | Oscar US Funding Trust IX LLC, Series 2018-2A Class A4, 3.63% due 9/10/2025 | 331,409 | 330,424 |
| c,d | Oscar US Funding XII LLC, Series 2021-1A Class A3, 0.70% due 4/10/2025 | 18,000,000 | 17,450,128 |
| c | US Auto Funding, Series 2021-1A Class A, 0.79% due 7/15/2024 | 948,738 | 947,413 |
| c | Veros Auto Receivables Trust, Series 2021-1 Class A, 0.92% due 10/15/2026 | 3,021,640 | 2,964,531 |
| 125,984,353 | |||
| Credit Card — 1.6% | |||
| c | Avant Credit Card Master Trust, Series 2021-1A Class A, 1.37% due 4/15/2027 | 11,900,000 | 10,887,005 |
| c | Brex Commercial Charge Card Master Trust, Series 2021-1 Class A, 2.09% due 7/15/2024 | 3,400,000 | 3,363,112 |
| c | Continental Credit Card LLC, Series 2019-1A Class A, 3.83% due 8/15/2026 | 7,712,350 | 7,645,159 |
| c | Continental Finance Credit Card ABS Master Trust, Series 2020-1A Class A, 2.24% due 12/15/2028 | 17,500,000 | 16,458,059 |
| Mercury Financial Credit Card Master Trust, | |||
| c | Series 2021-1A Class A, 1.54% due 3/20/2026 | 31,450,000 | 30,005,033 |
| c | Series 2022-1A Class A, 2.50% due 9/21/2026 | 32,350,000 | 30,755,740 |
| c | Mission Lane Credit Card Master Trust, Series 2021-A Class A, 1.59% due 9/15/2026 | 21,455,000 | 20,777,902 |
| 119,892,010 | |||
| Other Asset Backed — 11.4% | |||
| c | Affirm Asset Securitization Trust, Series 2020-Z1 Class A, 3.46% due 10/15/2024 | 1,312,781 | 1,301,396 |
| c | Amur Equipment Finance Receivables VII LLC, Series 2019-1A Class A2, 2.63% due 6/20/2024 | 68,992 | 68,992 |
| c | Amur Equipment Finance Receivables VIII LLC, Series 2020-1A Class A2, 1.68% due 8/20/2025 | 715,223 | 713,555 |
| c | Amur Equipment Finance Receivables X LLC, Series 2022-1A Class A2, 1.64% due 10/20/2027 | 30,199,340 | 28,660,092 |
| Appalachian Consumer Rate Relief Funding LLC, Series 2013-1 Class A1, 2.008% due 2/1/2024 | 681,412 | 679,734 | |
| Aqua Finance Trust, | |||
| c | Series 2017-A Class A, 3.72% due 11/15/2035 | 589,295 | 580,971 |
| c | Series 2019-A Class A, 3.14% due 7/16/2040 | 3,145,198 | 2,942,374 |
| c | Series 2020-AA Class A, 1.90% due 7/17/2046 | 22,762,239 | 21,111,566 |
| c | Series 2020-AA Class C, 3.97% due 7/17/2046 | 6,300,000 | 5,435,232 |
| c | Series 2021-A Class A, 1.54% due 7/17/2046 | 13,717,385 | 12,318,587 |
| b,c,d | Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1 Class A, 5.257% (SOFR30A + 1.45%) due 1/15/2037 | 37,350,000 | 36,155,913 |
SCHEDULE OF INVESTMENTS, Continued
| Thornburg Limited Term Income Fund | December 31, 2022 (Unaudited) |
| Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
| c | Bankers Healthcare Group Securitization Trust, Series 2020-A Class A, 2.56% due 9/17/2031 | $ 1,948,302 | $ 1,901,206 |
| BHG Securitization Trust, | |||
| c | Series 2021-B Class A, 0.90% due 10/17/2034 | 8,595,464 | 8,077,495 |
| c | Series 2022-A Class A, 1.71% due 2/20/2035 | 26,899,083 | 25,132,572 |
| c | BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A Class A, 2.94% due 5/25/2029 | 1,109,612 | 1,060,192 |
| c | CFG Investments Ltd., Series 2021-1 Class A, 4.70% due 5/20/2032 | 6,000,000 | 5,778,262 |
| c | CFMT Issuer Trust, Series 2021-GRN1 Class A, 1.10% due 3/20/2041 | 5,649,331 | 5,200,346 |
| c | Conn’s Receivables Funding LLC, Series 2021-A Class A, 1.05% due 5/15/2026 | 12,478 | 12,457 |
| c | CP EF Asset Securitization I LLC, Series 2022-1A Class A, 5.96% due 4/15/2030 | 12,141,899 | 11,943,730 |
| c | Crossroads Asset Trust, Series 2021-A Class A2, 0.82% due 3/20/2024 | 1,038,558 | 1,030,983 |
| Dext ABS LLC, | |||
| c | Series 2020-1 Class A, 1.46% due 2/16/2027 | 5,396,804 | 5,322,349 |
| c | Series 2021-1 Class A, 1.12% due 2/15/2028 | 10,118,958 | 9,657,490 |
| c | Diamond Infrastructure Funding LLC, Series 2021-1A Class A, 1.76% due 4/15/2049 | 36,000,000 | 29,487,125 |
| c | Diamond Issuer, Series 2021-1A Class A, 2.305% due 11/20/2051 | 27,894,000 | 23,122,946 |
| c | Diamond Resorts Owner Trust, Series 2019-1A Class A, 2.89% due 2/20/2032 | 4,861,936 | 4,660,490 |
| c,d | ECAF I Ltd., Series 2015-1A Class A2, 4.947% due 6/15/2040 | 3,468,692 | 2,150,464 |
| c | Encina Equipment Finance LLC, Series 2022-1A Class A1, 3.76% due 8/16/2027 | 11,407,788 | 11,207,162 |
| Entergy New Orleans Storm Recovery Funding I LLC, Series 2015-1 Class A, 2.67% due 6/1/2027 | 2,851,725 | 2,756,641 | |
| c | ExteNet LLC, Series 2019-1A Class A2, 3.204% due 7/26/2049 | 9,855,000 | 9,251,182 |
| Federal National Mtg Assoc., Grantor Trust, Series 2017-T1 Class A, 2.898% due 6/25/2027 | 17,890,988 | 16,687,018 | |
| Foundation Finance Trust, | |||
| c | Series 2019-1A Class A, 3.86% due 11/15/2034 | 4,964,706 | 4,871,484 |
| c | Series 2020-1A Class A, 3.54% due 7/16/2040 | 5,785,793 | 5,531,545 |
| c | Series 2020-1A Class B, 4.62% due 7/16/2040 | 3,000,000 | 2,732,955 |
| c | Series 2021-1A Class A, 1.27% due 5/15/2041 | 18,133,489 | 16,040,018 |
| c | Series 2021-2A Class A, 2.19% due 1/15/2042 | 12,793,788 | 11,738,546 |
| FREED ABS Trust, | |||
| c | Series 2019-2 Class C, 4.86% due 11/18/2026 | 4,802,051 | 4,796,962 |
| c | Series 2022-3FP Class A, 4.50% due 8/20/2029 | 4,522,562 | 4,505,369 |
| Goldman Home Improvement Trust, | |||
| c | Series 2021-GRN2 Class A, 1.15% due 6/25/2051 | 16,371,223 | 14,980,429 |
| c | Series 2022-GRN1 Class A, 4.50% due 6/25/2052 | 8,776,573 | 8,523,909 |
| c | Goodgreen Trust, Series 2021-1A Class A, 2.66% due 10/15/2056 | 18,617,699 | 15,091,451 |
| GoodLeap Sustainable Home Solutions Trust, | |||
| c | Series 2021-3CS Class A, 2.10% due 5/20/2048 | 16,264,330 | 11,234,328 |
| c | Series 2021-4GS Class A, 1.93% due 7/20/2048 | 10,895,922 | 7,433,539 |
| b,c,d | Greystone Commercial Real Estate Notes Ltd., Series 2021-FL3 Class A, 5.338% (LIBOR 1 Month + 1.02%) due 7/15/2039 | 13,382,000 | 12,722,565 |
| HERO Funding Trust, | |||
| c | Series 2015-1A Class A, 3.84% due 9/21/2040 | 2,543,374 | 2,396,342 |
| c | Series 2017-2A Class A1, 3.28% due 9/20/2048 | 502,738 | 464,988 |
| Hilton Grand Vacations Trust, | |||
| c | Series 2019-AA Class A, 2.34% due 7/25/2033 | 4,370,648 | 4,092,211 |
| c | Series 2020-AA Class A, 2.74% due 2/25/2039 | 895,999 | 840,923 |
| c | HIN Timeshare Trust, Series 2020-A Class A, 1.39% due 10/9/2039 | 4,093,871 | 3,779,597 |
| c | InStar Leasing III LLC, Series 2021-1A Class A, 2.30% due 2/15/2054 | 9,085,872 | 7,534,996 |
| LendingPoint Asset Securitization Trust, | |||
| c | Series 2012-B Class A, 4.77% due 10/15/2029 | 6,992,829 | 6,826,943 |
| c | Series 2020-REV1 Class A, 2.731% due 10/15/2028 | 38,443,765 | 37,714,463 |
| c | Series 2021-B Class A, 1.11% due 2/15/2029 | 2,182,141 | 2,165,600 |
| LendingPoint Pass-Through Trust, | |||
| c | Series 2022-ST1 Class A, 2.50% due 3/15/2028 | 6,260,749 | 5,902,987 |
| c | Series 2022-ST3 Class A, 4.00% due 5/15/2028 | 7,621,305 | 7,334,836 |
| c | LL ABS Trust, Series 2021-1A Class A, 1.07% due 5/15/2029 | 7,532,125 | 7,264,292 |
| c | Loanpal Solar Loan Ltd., Series 2021-1GS Class A, 2.29% due 1/20/2048 | 17,158,232 | 12,928,727 |
| c | Marlette Funding Trust, Series 2022-3A Class A, 5.18% due 11/15/2032 | 5,844,816 | 5,794,104 |
| Mosaic Solar Loan Trust, | |||
| c | Series 2019-1A Class A, 4.37% due 12/21/2043 | 1,213,573 | 1,091,389 |
| c | Series 2021 Class A, 2.10% due 4/20/2046 | 3,957,774 | 3,423,666 |
| c | New Residential Advance Receivables Trust Advance Receivables Backed, Series 2020-T1 Class AT1, 1.426% due 8/15/2053 | 65,590,000 | 63,296,252 |
| NRZ Advance Receivables Trust, | |||
| c | Series 2020-T2 Class AT2, 1.475% due 9/15/2053 | 49,390,650 | 47,568,372 |
| c | Series 2020-T2 Class BT2, 1.724% due 9/15/2053 | 3,000,000 | 2,878,353 |
SCHEDULE OF INVESTMENTS, Continued
| Thornburg Limited Term Income Fund | December 31, 2022 (Unaudited) |
| Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
| Oportun Funding LLC, | |||
| c | Series 2019-A Class B, 3.87% due 8/8/2025 | $ 5,418,434 | $ 5,257,730 |
| c | Series 2022-1 Class A, 3.25% due 6/15/2029 | 13,371,399 | 13,140,139 |
| c | Oportun Issuance Trust, Series 2022-A Class A, 5.05% due 6/9/2031 | 22,026,000 | 21,339,804 |
| Pagaya AI Debt Selection Trust, | |||
| c | Series 2021-1 Class A, 1.18% due 11/15/2027 | 8,031,709 | 7,909,785 |
| c | Series 2021-3 Class A, 1.15% due 5/15/2029 | 10,944,991 | 10,631,557 |
| c | Series 2021-HG1 Class A, 1.22% due 1/16/2029 | 7,858,559 | 7,412,130 |
| Pagaya AI Debt Trust, | |||
| c | Series 2022-1 Class A, 2.03% due 10/15/2029 | 20,463,981 | 19,513,676 |
| c | Series 2022-2 Class A, 4.97% due 1/15/2030 | 11,735,828 | 11,450,393 |
| Pawnee Equipment Receivables LLC, | |||
| c | Series 2020-1 Class A, 1.37% due 11/17/2025 | 1,730,897 | 1,709,112 |
| c | Series 2021-1 Class A2, 1.10% due 7/15/2027 | 6,453,699 | 6,153,620 |
| b,c | SBA Tower Trust, Series 2014-2A Class C, 3.869% due 10/15/2049 | 4,610,000 | 4,404,809 |
| c | SCF Equipment Leasing LLC, Series 2019-2A Class C, 3.11% due 6/21/2027 | 3,000,000 | 2,799,613 |
| c | Service Experts Issuer LLC, Series 2021-1A Class A, 2.67% due 2/2/2032 | 18,390,026 | 16,745,093 |
| c | Sierra Timeshare Receivables Funding LLC, Series 2019-1A Class A, 3.20% due 1/20/2036 | 813,447 | 790,348 |
| c | SpringCastle America Funding LLC, Series 2020-AA Class A, 1.97% due 9/25/2037 | 28,525,697 | 25,630,947 |
| c | SPS Servicer Advance Receivables Trust, Series 2020-T2 Class A, 1.83% due 11/15/2055 | 6,000,000 | 5,437,192 |
| c | Theorem Funding Trust, Series 2021-1A Class A, 1.21% due 12/15/2027 | 5,214,924 | 5,118,873 |
| Upstart Pass-Through Trust, | |||
| c | Series 2020-ST2 Class A, 3.50% due 3/20/2028 | 448,649 | 438,224 |
| c | Series 2020-ST3 Class A, 3.35% due 4/20/2028 | 2,177,245 | 2,122,220 |
| c | Series 2021-ST4 Class A, 2.00% due 7/20/2027 | 2,230,467 | 2,062,527 |
| c | Series 2021-ST6 Class A, 1.85% due 8/20/2027 | 3,889,310 | 3,593,710 |
| c | Series 2021-ST8 Class A, 1.75% due 10/20/2029 | 6,118,528 | 5,661,341 |
| c | Series 2022-4A Class A, 7.01% due 11/15/2030 | 8,318,556 | 8,258,572 |
| Upstart Securitization Trust, | |||
| c | Series 2021-1 Class A, 0.87% due 3/20/2031 | 349,936 | 348,880 |
| c | Series 2021-2 Class A, 0.91% due 6/20/2031 | 1,848,341 | 1,816,777 |
| c | Series 2021-4 Class A, 0.84% due 9/20/2031 | 3,583,859 | 3,468,308 |
| c | Upstart Structured Pass-Through Trust, Series 2022-1A Class A, 3.40% due 4/15/2030 | 22,768,364 | 21,575,461 |
| 842,701,504 | |||
| Student Loan — 3.2% | |||
| College Ave Student Loans LLC, | |||
| b,c | Series 2021-A Class A1, 5.489% (LIBOR 1 Month + 1.10%) due 7/25/2051 | 9,045,820 | 8,648,218 |
| c | Series 2021-A Class A2, 1.60% due 7/25/2051 | 2,091,865 | 1,781,352 |
| b,c | Series 2021-C Class A1, 5.289% (LIBOR 1 Month + 0.90%) due 7/26/2055 | 14,874,592 | 13,849,642 |
| Commonbond Student Loan Trust, | |||
| c | Series 18-CGS Class A1, 3.87% due 2/25/2046 | 1,876,083 | 1,797,523 |
| c | Series 2020-1 Class A, 1.69% due 10/25/2051 | 13,672,514 | 12,190,488 |
| c | Series 2021-AGS Class A, 1.20% due 3/25/2052 | 10,136,680 | 8,598,473 |
| c | Series 2021-BGS Class A, 1.17% due 9/25/2051 | 11,740,045 | 9,528,212 |
| Navient Private Education Loan Trust, | |||
| b,c | Series 2015-AA Class A2B, 5.518% (LIBOR 1 Month + 1.20%) due 12/15/2028 | 507,847 | 507,207 |
| c | Series 2017-A Class A2A, 2.88% due 12/16/2058 | 1,246,245 | 1,218,789 |
| Navient Private Education Refi Loan Trust, | |||
| b,c | Series 2019-D Class A2B, 5.368% (LIBOR 1 Month + 1.05%) due 12/15/2059 | 9,501,659 | 9,231,502 |
| c | Series 2021-A Class A, 0.84% due 5/15/2069 | 3,464,167 | 2,991,168 |
| c | Series 2022-BA Class A, 4.16% due 10/15/2070 | 23,361,694 | 22,095,088 |
| Navient Student Loan Trust, | |||
| b | Series 2014-1 Class A3, 4.899% (LIBOR 1 Month + 0.51%) due 6/25/2031 | 5,096,129 | 4,817,320 |
| b,c | Series 2016-6A Class A2, 5.139% (LIBOR 1 Month + 0.75%) due 3/25/2066 | 730,164 | 729,189 |
| b,c | Series 2019-BA Class A2B, 5.298% (LIBOR 1 Month + 0.98%) due 12/15/2059 | 1,471,503 | 1,450,771 |
| b,c | Nelnet Private Education Loan Trust, Series 2016-A Class A1A, 6.139% (LIBOR 1 Month + 1.75%) due 12/26/2040 | 202,570 | 202,566 |
| Nelnet Student Loan Trust, | |||
| b,c | Series 2013-1A Class A, 4.989% (LIBOR 1 Month + 0.60%) due 6/25/2041 | 3,093,651 | 2,950,518 |
| b,c | Series 2015-2A Class A2, 4.989% (LIBOR 1 Month + 0.60%) due 9/25/2042 | 23,516,228 | 22,823,307 |
| b,c | Series 2015-3A Class A2, 4.989% (LIBOR 1 Month + 0.60%) due 2/27/2051 | 1,434,311 | 1,402,987 |
| b,c | Series 2021-CA Class AFL, 5.093% (LIBOR 1 Month + 0.74%) due 4/20/2062 | 13,460,560 | 13,005,074 |
| b,c | Series 2021-DA Class AFL, 5.043% (LIBOR 1 Month + 0.69%) due 4/20/2062 | 19,155,905 | 18,504,426 |
| b,c | Pennsylvania Higher Education Assistance Agency, Student Loan Trust, Series 2012-1A Class A1, 4.939% (LIBOR 1 Month + 0.55%) due 5/25/2057 | 730,098 | 701,154 |
SCHEDULE OF INVESTMENTS, Continued
| Thornburg Limited Term Income Fund | December 31, 2022 (Unaudited) |
| Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
| b,c,d | Prodigy Finance DAC, Series 2021-1A Class A, 5.639% (LIBOR 1 Month + 1.25%) due 7/25/2051 | $ 3,146,783 | $ 3,044,397 |
| SLM Student Loan Trust, | |||
| b | Series 2011-2 Class A2, 5.589% (LIBOR 1 Month + 1.20%) due 10/25/2034 | 9,703,318 | 9,633,578 |
| b | Series 2013-6 Class A3, 5.039% (LIBOR 1 Month + 0.65%) due 6/26/2028 | 25,930,226 | 24,834,562 |
| SMB Private Education Loan Trust, | |||
| b,c | Series 2015-A Class A3, 5.818% (LIBOR 1 Month + 1.50%) due 2/17/2032 | 2,706,551 | 2,706,865 |
| b,c | Series 2017-B Class A2B, 5.068% (LIBOR 1 Month + 0.75%) due 10/15/2035 | 1,017,833 | 1,003,524 |
| b,c | Series 2021-D Class A1B, 4.918% (LIBOR 1 Month + 0.60%) due 3/17/2053 | 8,337,922 | 8,057,902 |
| b,c | Series 2021-E Class A1B, 4.948% (LIBOR 1 Month + 0.63%) due 2/15/2051 | 25,092,697 | 24,187,332 |
| c | SoFi Professional Loan Program LLC, Series 2017-E Class A2B, 2.72% due 11/26/2040 | 374,683 | 372,076 |
| b,c | Towd Point Asset Trust, Series 2021-SL1 Class A2, 5.053% (LIBOR 1 Month + 0.70%) due 11/20/2061 | 6,989,342 | 6,866,615 |
| 239,731,825 | |||
| Total Asset Backed Securities (Cost $1,417,293,608) | 1,328,309,692 | ||
| Corporate Bonds — 43.6% | |||
| Automobiles & Components — 1.2% | |||
| Auto Components — 0.1% | |||
| d | Aptiv plc/Aptiv Corp., 2.396% due 2/18/2025 | 5,434,000 | 5,124,697 |
| Automobiles — 1.1% | |||
| b,c | Daimler Trucks Finance North America LLC, 5.062% (SOFR + 0.75%) due 12/13/2024 | 10,414,000 | 10,279,347 |
| Hyundai Capital America, | |||
| c | 0.875% due 6/14/2024 | 8,710,000 | 8,130,001 |
| c | 1.00% due 9/17/2024 | 8,872,000 | 8,201,277 |
| c | 1.80% due 10/15/2025 - 1/10/2028 | 9,765,000 | 8,442,108 |
| c | 2.375% due 2/10/2023 - 10/15/2027 | 14,960,000 | 14,418,466 |
| c | 3.00% due 2/10/2027 | 2,105,000 | 1,887,974 |
| Hyundai Capital Services, Inc., | |||
| c,d | 1.25% due 2/8/2026 | 2,970,000 | 2,579,861 |
| c,d | 3.75% due 3/5/2023 | 2,029,000 | 2,022,913 |
| c,d | Kia Corp., 2.375% due 2/14/2025 | 9,800,000 | 9,127,034 |
| Mercedes-Benz Finance North America LLC, | |||
| c | 2.125% due 3/10/2025 | 13,600,000 | 12,765,776 |
| c | 3.70% due 5/4/2023 | 4,725,000 | 4,697,926 |
| 87,677,380 | |||
| Banks — 1.1% | |||
| Banks — 1.1% | |||
| b | Citizens Bank NA, 5.676% (LIBOR 3 Month + 0.95%) due 3/29/2023 | 20,500,000 | 20,507,175 |
| FNB Corp., 5.15% due 8/25/2025 | 5,748,000 | 5,683,163 | |
| b,c,d | NBK SPC Ltd., 1.625% (SOFR + 1.05%) due 9/15/2027 | 13,033,000 | 11,514,265 |
| Santander Holdings USA, Inc., | |||
| 3.244% due 10/5/2026 | 6,823,000 | 6,317,620 | |
| 3.45% due 6/2/2025 | 4,453,000 | 4,239,256 | |
| 4.40% due 7/13/2027 | 4,940,000 | 4,711,278 | |
| Sumitomo Mitsui Trust Bank Ltd., | |||
| c,d | 0.80% due 9/12/2023 | 14,760,000 | 14,300,078 |
| c,d | 0.85% due 3/25/2024 | 6,550,000 | 6,195,317 |
| Synchrony Bank, 5.40% due 8/22/2025 | 7,250,000 | 7,152,125 | |
| 80,620,277 | |||
| Capital Goods — 0.6% | |||
| Aerospace & Defense — 0.3% | |||
| Boeing Co., 2.196% due 2/4/2026 | 6,256,000 | 5,686,204 | |
| Teledyne Technologies, Inc., | |||
| 2.25% due 4/1/2028 | 14,013,000 | 12,098,544 | |
| 2.75% due 4/1/2031 | 4,501,000 | 3,687,174 | |
| Industrial Conglomerates — 0.0% | |||
| Trane Technologies Co. LLC, 6.391% due 11/15/2027 | 3,000,000 | 3,021,270 | |
| Machinery — 0.3% | |||
| Flowserve Corp., 3.50% due 10/1/2030 | 5,914,000 | 4,919,857 | |
| nVent Finance Sarl, | |||
| d | 2.75% due 11/15/2031 | 6,462,000 | 4,942,719 |
| d | 4.55% due 4/15/2028 | 7,023,000 | 6,482,369 |
SCHEDULE OF INVESTMENTS, Continued
| Thornburg Limited Term Income Fund | December 31, 2022 (Unaudited) |
| Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
| Westinghouse Air Brake Technologies Corp., 4.40% due 3/15/2024 | $ 3,853,000 | $ 3,789,965 | |
| 44,628,102 | |||
| Commercial & Professional Services — 0.1% | |||
| Commercial Services & Supplies — 0.1% | |||
| Quanta Services, Inc., 0.95% due 10/1/2024 | 10,296,000 | 9,476,026 | |
| 9,476,026 | |||
| Consumer Durables & Apparel — 0.0% | |||
| Household Durables — 0.0% | |||
| c,d | Panasonic Corp., 2.679% due 7/19/2024 | 2,000,000 | 1,915,420 |
| 1,915,420 | |||
| Diversified Financials — 9.1% | |||
| Banks — 0.1% | |||
| b,c,d | DNB Bank ASA, 5.896% due 10/9/2026 | 7,500,000 | 7,507,800 |
| Capital Markets — 2.2% | |||
| Blackstone Private Credit Fund, 2.625% due 12/15/2026 | 8,137,000 | 6,738,901 | |
| Hercules Capital, Inc., | |||
| 2.625% due 9/16/2026 | 14,120,000 | 11,910,220 | |
| 3.375% due 1/20/2027 | 7,458,000 | 6,381,139 | |
| c,d | LSEGA Financing plc, 1.375% due 4/6/2026 | 9,720,000 | 8,569,541 |
| Main Street Capital Corp., 3.00% due 7/14/2026 | 8,163,000 | 7,041,649 | |
| Owl Rock Capital Corp., | |||
| 2.625% due 1/15/2027 | 2,081,000 | 1,717,782 | |
| 2.875% due 6/11/2028 | 20,499,000 | 16,227,418 | |
| Owl Rock Capital Corp. III, 3.125% due 4/13/2027 | 16,243,000 | 13,446,768 | |
| Owl Rock Core Income Corp., | |||
| 3.125% due 9/23/2026 | 19,056,000 | 16,311,745 | |
| 4.70% due 2/8/2027 | 4,870,000 | 4,364,397 | |
| 5.50% due 3/21/2025 | 6,810,000 | 6,610,808 | |
| Owl Rock Technology Finance Corp., | |||
| 2.50% due 1/15/2027 | 10,556,000 | 8,606,940 | |
| c | 3.75% due 6/17/2026 | 12,276,000 | 10,679,383 |
| c | 4.75% due 12/15/2025 | 17,883,000 | 16,328,431 |
| Sixth Street Specialty Lending, Inc., | |||
| 2.50% due 8/1/2026 | 2,591,000 | 2,268,913 | |
| 3.875% due 11/1/2024 | 14,960,000 | 14,406,031 | |
| SLR Investment Corp., 4.50% due 1/20/2023 | 13,191,000 | 13,186,119 | |
| Consumer Finance — 0.2% | |||
| Wells Fargo & Co., | |||
| b | 3.908% (SOFR + 1.32%) due 4/25/2026 | 8,792,000 | 8,539,142 |
| b | 4.808% (SOFR + 1.98%) due 7/25/2028 | 3,448,000 | 3,361,214 |
| Diversified Financial Services — 6.3% | |||
| Antares Holdings LP, | |||
| c | 2.75% due 1/15/2027 | 7,360,000 | 5,888,000 |
| c | 3.75% due 7/15/2027 | 8,520,000 | 6,841,901 |
| c | 3.95% due 7/15/2026 | 14,391,000 | 12,358,559 |
| c | 6.00% due 8/15/2023 | 10,075,000 | 9,898,385 |
| d | Banco Santander SA, 5.147% due 8/18/2025 | 10,000,000 | 9,903,500 |
| Bank of America Corp., | |||
| b | 0.976% (SOFR + 0.69%) due 4/22/2025 | 9,525,000 | 8,927,592 |
| b | 1.197% (SOFR + 1.01%) due 10/24/2026 | 3,035,000 | 2,703,457 |
| b | 1.734% (SOFR + 0.96%) due 7/22/2027 | 3,632,000 | 3,183,557 |
| b | 3.841% (SOFR + 1.11%) due 4/25/2025 | 7,305,000 | 7,130,703 |
| b | 4.948% (SOFR + 2.04%) due 7/22/2028 | 6,007,000 | 5,870,281 |
| b | 4.963% (BSBY3M + 0.43%) due 5/28/2024 | 5,093,000 | 5,045,126 |
| b,d | Barclays plc, 6.024% (LIBOR 3 Month + 1.38%) due 5/16/2024 | 17,500,000 | 17,472,525 |
| BNP Paribas SA, | |||
| b,c,d | 1.323% (SOFR + 1.00%) due 1/13/2027 | 7,000,000 | 6,117,720 |
| b,c,d | 2.159% (SOFR + 1.218%) due 9/15/2029 | 3,650,000 | 2,977,853 |
| b,c,d | 2.219% (SOFR + 2.07%) due 6/9/2026 | 4,800,000 | 4,422,432 |
| b | Charles Schwab Corp., 5.296% (SOFRINDX + 1.05%) due 3/3/2027 | 33,148,000 | 32,238,087 |
SCHEDULE OF INVESTMENTS, Continued
| Thornburg Limited Term Income Fund | December 31, 2022 (Unaudited) |
| Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
| Citigroup, Inc., | |||
| b | 1.462% (SOFR + 0.77%) due 6/9/2027 | $ 7,328,000 | $ 6,360,631 |
| b | 3.07% (SOFR + 1.28%) due 2/24/2028 | 9,000 | 8,121 |
| b | 3.106% (SOFR + 2.84%) due 4/8/2026 | 4,265,000 | 4,034,008 |
| 3.40% due 5/1/2026 | 2,425,000 | 2,302,247 | |
| b | 4.412% (SOFR + 3.91%) due 3/31/2031 | 7,315,000 | 6,723,875 |
| b | 4.734% (SOFR + 0.669%) due 5/1/2025 | 5,753,000 | 5,648,123 |
| b | 5.06% (SOFR + 0.77%) due 6/9/2027 | 3,132,000 | 2,992,000 |
| Deutsche Bank AG, | |||
| d | 0.898% due 5/28/2024 | 10,952,000 | 10,245,158 |
| b,d | 2.311% (SOFR + 1.219%) due 11/16/2027 | 4,850,000 | 4,120,414 |
| b,d | 5.966% (LIBOR 3 Month + 1.23%) due 2/27/2023 | 17,100,000 | 17,109,918 |
| Goldman Sachs Group, Inc., | |||
| b | 1.757% (SOFR + 0.73%) due 1/24/2025 | 3,991,000 | 3,819,467 |
| b | 4.232% (SOFR + 0.50%) due 7/16/2024 | 14,450,000 | 14,377,316 |
| b | 4.598% (SOFR + 0.70%) due 1/24/2025 | 6,322,000 | 6,221,986 |
| b | 4.784% (SOFR + 0.50%) due 9/10/2024 | 10,786,000 | 10,618,386 |
| b | 5.104% (SOFR + 0.82%) due 9/10/2027 | 10,881,000 | 10,309,203 |
| HSBC Holdings plc, | |||
| b,d | 1.589% (SOFR + 1.29%) due 5/24/2027 | 6,100,000 | 5,257,041 |
| b,d | 1.645% (SOFR + 1.538%) due 4/18/2026 | 3,025,000 | 2,731,454 |
| b,d | 2.013% (SOFR + 1.73%) due 9/22/2028 | 9,550,000 | 7,970,143 |
| b,d | 2.099% (SOFR + 1.93%) due 6/4/2026 | 6,800,000 | 6,198,608 |
| b,d | 2.206% (SOFR + 1.285%) due 8/17/2029 | 3,500,000 | 2,826,845 |
| b,d | 2.251% (SOFR + 1.10%) due 11/22/2027 | 3,430,000 | 2,971,272 |
| b,d | 4.18% (SOFR + 1.51%) due 12/9/2025 | 5,400,000 | 5,241,942 |
| b,d | 4.749% (SOFR + 0.58%) due 11/22/2024 | 1,585,000 | 1,547,134 |
| b,d | 5.21% (SOFR + 2.61%) due 8/11/2028 | 2,330,000 | 2,243,813 |
| JPMorgan Chase & Co., | |||
| b | 1.04% (TSFR3M + 0.695%) due 2/4/2027 | 4,690,000 | 4,083,911 |
| b | 1.045% (SOFR + 0.80%) due 11/19/2026 | 5,982,000 | 5,281,687 |
| b | 4.323% (SOFR + 1.56%) due 4/26/2028 | 3,906,000 | 3,723,629 |
| b | 4.778% (SOFR + 0.885%) due 4/22/2027 | 3,096,000 | 3,004,111 |
| b | 4.851% (SOFR + 1.99%) due 7/25/2028 | 3,040,000 | 2,967,891 |
| b | 5.119% (SOFR + 0.92%) due 2/24/2026 | 10,418,000 | 10,217,245 |
| b,d | Lloyds Banking Group plc, 3.87% (H15T1Y + 3.50%) due 7/9/2025 | 3,500,000 | 3,391,955 |
| Mitsubishi UFJ Financial Group, Inc., | |||
| b,d | 0.953% (H15T1Y + 0.55%) due 7/19/2025 | 14,075,000 | 13,081,164 |
| b,d | 1.538% (H15T1Y + 0.75%) due 7/20/2027 | 4,800,000 | 4,167,504 |
| b,d | 1.64% (H15T1Y + 0.67%) due 10/13/2027 | 6,750,000 | 5,838,817 |
| b,d | 4.788% (H15T1Y + 1.70%) due 7/18/2025 | 4,550,000 | 4,500,860 |
| b,d | 5.017% (H15T1Y + 1.95%) due 7/20/2028 | 1,250,000 | 1,220,225 |
| b,d | 5.354% (H15T1Y + 1.90%) due 9/13/2028 | 5,000,000 | 4,954,050 |
| Mizuho Financial Group, Inc., | |||
| b,d | 3.922% (LIBOR 3 Month + 1.00%) due 9/11/2024 | 10,850,000 | 10,674,121 |
| b,d | 5.387% (LIBOR 3 Month + 0.63%) due 5/25/2024 | 12,978,000 | 12,896,109 |
| Morgan Stanley, | |||
| b | 0.791% (SOFR + 0.51%) due 1/22/2025 | 11,785,000 | 11,160,749 |
| b | 1.164% (SOFR + 0.56%) due 10/21/2025 | 9,635,000 | 8,865,453 |
| b,d | Natwest Group plc, 1.642% (H15T1Y + 0.90%) due 6/14/2027 | 3,000,000 | 2,599,650 |
| Societe Generale SA, | |||
| b,c,d | 1.792% (H15T1Y + 1.00%) due 6/9/2027 | 4,933,000 | 4,239,913 |
| c,d | 2.625% due 1/22/2025 | 4,000,000 | 3,761,280 |
| c,d | 3.875% due 3/28/2024 | 8,000,000 | 7,808,960 |
| c,d | 4.25% due 9/14/2023 | 9,000,000 | 8,924,040 |
| b,c,d | 4.934% (SOFR + 1.05%) due 1/21/2026 | 6,400,000 | 6,161,984 |
| d | Sumitomo Mitsui Financial Group, Inc., 0.948% due 1/12/2026 | 11,650,000 | 10,265,863 |
| b,c,d | UBS AG, 4.565% (SOFR + 0.45%) due 8/9/2024 | 2,800,000 | 2,779,336 |
| UBS Group AG, | |||
| b,c,d | 1.494% (H15T1Y + 0.85%) due 8/10/2027 | 7,121,000 | 6,125,057 |
| b,c,d | 4.49% (H15T1Y + 1.60%) due 8/5/2025 | 9,800,000 | 9,641,436 |
| b,c,d | 4.751% (H15T1Y + 1.75%) due 5/12/2028 | 7,800,000 | 7,472,634 |
| Western Union Co., 2.85% due 1/10/2025 | 7,256,000 | 6,927,158 | |
| Insurance — 0.3% | |||
| c | Global Atlantic Fin Co., 4.40% due 10/15/2029 | 27,285,000 | 22,802,347 |
SCHEDULE OF INVESTMENTS, Continued
| Thornburg Limited Term Income Fund | December 31, 2022 (Unaudited) |
| Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
| 676,602,263 | |||
| Energy — 1.9% | |||
| Energy Equipment & Services — 0.0% | |||
| c,d,e,f | Schahin II Finance Co. SPV Ltd., 5.875% due 9/25/2023 | $ 3,997,362 | $ 40 |
| Oil, Gas & Consumable Fuels — 1.9% | |||
| Buckeye Partners LP, 4.15% due 7/1/2023 | 7,000,000 | 6,905,360 | |
| c | Colorado Interstate Gas Co. LLC/Colorado Interstate Issuing Corp., 4.15% due 8/15/2026 | 9,092,000 | 8,689,588 |
| c | Florida Gas Transmission Co. LLC, 2.30% due 10/1/2031 | 10,778,000 | 8,265,648 |
| Galaxy Pipeline Assets Bidco Ltd., | |||
| c,d | 1.75% due 9/30/2027 | 33,725,981 | 31,247,459 |
| c,d | 2.16% due 3/31/2034 | 9,283,587 | 7,889,749 |
| c,d | Gazprom PJSC via Gaz Finance plc, 3.50% due 7/14/2031 | 32,475,000 | 21,009,052 |
| Gray Oak Pipeline LLC, | |||
| c | 2.00% due 9/15/2023 | 17,190,000 | 16,693,037 |
| c | 3.45% due 10/15/2027 | 12,955,000 | 11,441,597 |
| c | Midwest Connector Capital Co. LLC, 4.625% due 4/1/2029 | 16,535,000 | 14,919,034 |
| MPLX LP, 4.95% due 9/1/2032 | 4,916,000 | 4,609,979 | |
| c | Tennessee Gas Pipeline Co. LLC, 2.90% due 3/1/2030 | 11,946,000 | 10,014,093 |
| 141,684,636 | |||
| Food & Staples Retailing — 0.2% | |||
| Food & Staples Retailing — 0.2% | |||
| 7-Eleven, Inc., | |||
| c | 0.625% due 2/10/2023 | 2,007,000 | 1,995,701 |
| c | 0.80% due 2/10/2024 | 13,945,000 | 13,265,181 |
| 15,260,882 | |||
| Food, Beverage & Tobacco — 0.9% | |||
| Beverages — 0.5% | |||
| c,d | Becle SAB de CV, 2.50% due 10/14/2031 | 28,038,000 | 21,630,756 |
| Huntington Ingalls Industries, Inc., 2.043% due 8/16/2028 | 17,717,000 | 14,607,135 | |
| Food Products — 0.1% | |||
| b | General Mills, Inc., 5.089% (LIBOR 3 Month + 1.01%) due 10/17/2023 | 2,475,000 | 2,481,138 |
| Ingredion, Inc., 2.90% due 6/1/2030 | 9,725,000 | 8,238,242 | |
| Tobacco — 0.3% | |||
| BAT Capital Corp., | |||
| 2.726% due 3/25/2031 | 2,950,000 | 2,300,676 | |
| 3.557% due 8/15/2027 | 5,838,000 | 5,316,024 | |
| BAT International Finance plc, | |||
| d | 1.668% due 3/25/2026 | 4,764,000 | 4,217,998 |
| d | 4.448% due 3/16/2028 | 3,000,000 | 2,776,770 |
| c,d | JT International Financial Services BV, 6.875% due 10/24/2032 | 5,350,000 | 5,675,173 |
| 67,243,912 | |||
| Health Care Equipment & Services — 0.5% | |||
| Health Care Equipment & Supplies — 0.2% | |||
| c,d | Olympus Corp., 2.143% due 12/8/2026 | 14,061,000 | 12,444,547 |
| Health Care Providers & Services — 0.3% | |||
| c | Highmark, Inc., 1.45% due 5/10/2026 | 20,542,000 | 18,077,371 |
| Laboratory Corp. of America Holdings, 1.55% due 6/1/2026 | 8,355,000 | 7,398,603 | |
| 37,920,521 | |||
| Household & Personal Products — 0.1% | |||
| Household Products — 0.1% | |||
| c,d | Kimberly-Clark de Mexico SAB de CV, 3.80% due 4/8/2024 | 3,900,000 | 3,804,099 |
| 3,804,099 | |||
| Insurance — 7.1% | |||
| Insurance — 7.1% | |||
| c | American National Group, Inc., 6.144% due 6/13/2032 | 25,662,000 | 24,173,861 |
| Aon Corp./Aon Global Holdings plc, 5.00% due 9/12/2032 | 3,757,000 | 3,716,387 | |
| c,d | Ascot Group Ltd., 4.25% due 12/15/2030 | 12,308,000 | 10,607,157 |
| c | Belrose Funding Trust, 2.33% due 8/15/2030 | 9,685,000 | 7,321,182 |
SCHEDULE OF INVESTMENTS, Continued
| Thornburg Limited Term Income Fund | December 31, 2022 (Unaudited) |
| Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
| Brighthouse Financial Global Funding, | |||
| c | 1.55% due 5/24/2026 | $ 7,538,000 | $ 6,637,586 |
| c | 2.00% due 6/28/2028 | 10,733,000 | 8,881,880 |
| b,c | 4.499% (SOFR + 0.76%) due 4/12/2024 | 7,247,000 | 7,165,109 |
| Brighthouse Financial, Inc., 5.625% due 5/15/2030 | 10,707,000 | 10,186,961 | |
| CNO Global Funding, | |||
| c | 1.65% due 1/6/2025 | 5,359,000 | 4,969,347 |
| c | 1.75% due 10/7/2026 | 9,414,000 | 8,335,250 |
| c,d | DaVinciRe Holdings Ltd., 4.75% due 5/1/2025 | 10,260,000 | 10,028,534 |
| Enstar Group Ltd., | |||
| d | 3.10% due 9/1/2031 | 10,106,000 | 7,379,199 |
| d | 4.95% due 6/1/2029 | 16,116,000 | 14,722,449 |
| Equitable Financial Life Global Funding, | |||
| c | 1.00% due 1/9/2026 | 8,665,000 | 7,610,989 |
| c | 1.40% due 7/7/2025 - 8/27/2027 | 16,048,000 | 14,248,357 |
| c | 1.80% due 3/8/2028 | 6,800,000 | 5,669,296 |
| F&G Global Funding, | |||
| c | 1.75% due 6/30/2026 | 20,225,000 | 18,027,958 |
| c | 2.00% due 9/20/2028 | 17,963,000 | 14,883,603 |
| c | 2.30% due 4/11/2027 | 13,520,000 | 11,908,957 |
| Fairfax Financial Holdings Ltd., | |||
| d | 3.375% due 3/3/2031 | 5,261,000 | 4,290,451 |
| d | 4.625% due 4/29/2030 | 11,984,000 | 10,891,419 |
| c,d | 5.625% due 8/16/2032 | 15,746,000 | 14,786,596 |
| c,d | Fidelis Insurance Holdings Ltd., 4.875% due 6/30/2030 | 17,531,000 | 17,031,016 |
| Fidelity National Financial, Inc., 3.40% due 6/15/2030 | 14,931,000 | 12,605,795 | |
| First American Financial Corp., 4.00% due 5/15/2030 | 4,845,000 | 4,089,519 | |
| GA Global Funding Trust, | |||
| c | 2.25% due 1/6/2027 | 11,420,000 | 10,070,727 |
| c | 3.85% due 4/11/2025 | 11,960,000 | 11,462,584 |
| b,c | 4.79% (SOFR + 0.50%) due 9/13/2024 | 6,888,000 | 6,708,292 |
| Globe Life, Inc., 4.80% due 6/15/2032 | 3,410,000 | 3,226,883 | |
| c | Guardian Life Global Funding, 5.55% due 10/28/2027 | 9,750,000 | 9,927,743 |
| Horace Mann Educators Corp., 4.50% due 12/1/2025 | 6,533,000 | 6,261,227 | |
| c | Jackson National Life Global Funding, 3.25% due 1/30/2024 | 5,000,000 | 4,893,450 |
| Mercury General Corp., 4.40% due 3/15/2027 | 2,901,000 | 2,720,210 | |
| Metropolitan Life Global Funding I, | |||
| c | 3.30% due 3/21/2029 | 4,000,000 | 3,586,480 |
| b,c | 4.012% (SOFR + 0.32%) due 1/7/2024 | 14,683,000 | 14,604,005 |
| b,c | Nationwide Mutual Insurance Co., 7.059% (LIBOR 3 Month + 2.29%) due 12/15/2024 | 16,096,000 | 16,062,842 |
| b,c | New York Life Global Funding, 4.759% (SOFR + 0.48%) due 6/9/2026 | 22,760,000 | 22,015,748 |
| Pacific Life Global Funding II, | |||
| b,c | 4.867% (SOFR + 0.62%) due 6/4/2026 | 13,475,000 | 12,888,703 |
| b,c | 5.123% (SOFRINDX + 0.80%) due 3/30/2025 | 653,000 | 639,672 |
| c | Protective Life Corp., 3.40% due 1/15/2030 | 16,787,000 | 14,584,713 |
| Protective Life Global Funding, | |||
| c | 1.618% due 4/15/2026 | 14,716,000 | 13,152,278 |
| c | 3.218% due 3/28/2025 | 4,000,000 | 3,807,760 |
| Reliance Standard Life Global Funding II, | |||
| c | 1.512% due 9/28/2026 | 10,762,000 | 9,300,198 |
| c | 2.75% due 5/7/2025 | 13,490,000 | 12,652,406 |
| c | 3.85% due 9/19/2023 | 5,950,000 | 5,866,046 |
| c | RGA Global Funding, 2.70% due 1/18/2029 | 11,803,000 | 9,996,551 |
| c | Sammons Financial Group, Inc., 4.45% due 5/12/2027 | 7,950,000 | 7,365,914 |
| c | Security Benefit Global Funding, 1.25% due 5/17/2024 | 37,488,000 | 35,147,624 |
| Stewart Information Services Corp., 3.60% due 11/15/2031 | 22,401,000 | 17,080,315 | |
| Willis North America, Inc., 4.65% due 6/15/2027 | 14,331,000 | 13,859,223 | |
| 528,050,452 | |||
| Materials — 1.6% | |||
| Chemicals — 0.5% | |||
| c,d | LG Chem Ltd., 4.375% due 7/14/2025 | 5,000,000 | 4,850,750 |
| c,d | OCP SA, 5.625% due 4/25/2024 | 8,555,000 | 8,543,793 |
SCHEDULE OF INVESTMENTS, Continued
| Thornburg Limited Term Income Fund | December 31, 2022 (Unaudited) |
| Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
| Phosagro OAO Via Phosagro Bond Funding DAC, | |||
| c,d | 3.05% due 1/23/2025 | $ 2,525,000 | $ 1,313,606 |
| c,d | 3.949% due 4/24/2023 | 29,098,000 | 18,173,156 |
| Construction Materials — 0.2% | |||
| Martin Marietta Materials, Inc., 0.65% due 7/15/2023 | 14,635,000 | 14,259,466 | |
| Containers & Packaging — 0.5% | |||
| c,d | CCL Industries, Inc., 3.05% due 6/1/2030 | 9,810,000 | 8,072,649 |
| c | Graphic Packaging International LLC, 1.512% due 4/15/2026 | 6,873,000 | 6,002,328 |
| c | Silgan Holdings, Inc., 1.40% due 4/1/2026 | 14,004,000 | 12,359,790 |
| Sonoco Products Co., 1.80% due 2/1/2025 | 11,725,000 | 10,903,547 | |
| Metals & Mining — 0.4% | |||
| d | AngloGold Ashanti Holdings plc, 3.375% due 11/1/2028 | 23,500,000 | 20,602,920 |
| c,d | Metalloinvest Finance DAC, 3.375% due 10/22/2028 | 12,700,000 | 6,824,726 |
| c,d | Newcrest Finance Pty Ltd., 3.25% due 5/13/2030 | 2,961,000 | 2,476,610 |
| 114,383,341 | |||
| Media & Entertainment — 0.2% | |||
| Media — 0.2% | |||
| Warnermedia Holdings, Inc., | |||
| c | 3.428% due 3/15/2024 | 4,090,000 | 3,969,590 |
| c | 3.528% due 3/15/2024 | 10,415,000 | 10,092,031 |
| 14,061,621 | |||
| Pharmaceuticals, Biotechnology & Life Sciences — 0.5% | |||
| Biotechnology — 0.3% | |||
| Bio-Rad Laboratories, Inc., 3.30% due 3/15/2027 | 5,820,000 | 5,369,474 | |
| Illumina, Inc., 5.80% due 12/12/2025 | 5,600,000 | 5,643,400 | |
| d | Royalty Pharma plc, 1.75% due 9/2/2027 | 7,532,000 | 6,397,681 |
| Pharmaceuticals — 0.2% | |||
| b,d | AstraZeneca plc, 5.315% (LIBOR 3 Month + 0.67%) due 8/17/2023 | 10,524,000 | 10,522,947 |
| c | Bayer US Finance II LLC, 4.25% due 12/15/2025 | 2,500,000 | 2,427,750 |
| Viatris, Inc., 2.30% due 6/22/2027 | 4,935,000 | 4,217,303 | |
| 34,578,555 | |||
| Real Estate — 2.0% | |||
| Equity Real Estate Investment Trusts — 1.8% | |||
| American Tower Corp., | |||
| 1.45% due 9/15/2026 | 4,969,000 | 4,334,657 | |
| 1.50% due 1/31/2028 | 15,000,000 | 12,424,950 | |
| 2.40% due 3/15/2025 | 12,850,000 | 12,088,637 | |
| 3.65% due 3/15/2027 | 6,380,000 | 5,967,342 | |
| 4.05% due 3/15/2032 | 1,914,000 | 1,711,767 | |
| Crown Castle, Inc., 1.05% due 7/15/2026 | 6,222,000 | 5,385,079 | |
| Digital Realty Trust LP, 5.55% due 1/15/2028 | 13,400,000 | 13,490,450 | |
| Extra Space Storage LP, 3.90% due 4/1/2029 | 4,920,000 | 4,416,536 | |
| SBA Tower Trust, | |||
| c | 1.631% due 5/15/2051 | 26,000,000 | 22,081,233 |
| c | 1.84% due 4/15/2027 | 8,140,000 | 6,895,095 |
| c | 2.836% due 1/15/2050 | 12,661,000 | 11,933,208 |
| c | 6.599% due 1/15/2028 | 7,950,000 | 7,962,454 |
| Service Properties Trust, | |||
| 4.35% due 10/1/2024 | 10,161,000 | 9,258,297 | |
| 4.65% due 3/15/2024 | 4,233,000 | 4,063,299 | |
| 5.25% due 2/15/2026 | 4,020,000 | 3,361,243 | |
| Vornado Realty LP, | |||
| 2.15% due 6/1/2026 | 7,000,000 | 5,929,840 | |
| 3.40% due 6/1/2031 | 2,916,000 | 2,163,672 | |
| Mortgage Real Estate Investment Trusts — 0.2% | |||
| Sun Communities Operating LP, 2.30% due 11/1/2028 | 13,878,000 | 11,595,485 | |
| 145,063,244 | |||
| Retailing — 0.1% | |||
| Specialty Retail — 0.1% | |||
| Advance Auto Parts, Inc., |
SCHEDULE OF INVESTMENTS, Continued
| Thornburg Limited Term Income Fund | December 31, 2022 (Unaudited) |
| Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
| 1.75% due 10/1/2027 | $ 4,763,000 | $ 4,001,301 | |
| 3.90% due 4/15/2030 | 6,584,000 | 5,785,032 | |
| 9,786,333 | |||
| Semiconductors & Semiconductor Equipment — 1.8% | |||
| Semiconductors & Semiconductor Equipment — 1.8% | |||
| Broadcom Corp./Broadcom Cayman Finance Ltd., | |||
| d | 3.50% due 1/15/2028 | 12,245,000 | 11,161,195 |
| d | 3.875% due 1/15/2027 | 1,712,000 | 1,620,750 |
| Broadcom, Inc., | |||
| c | 3.187% due 11/15/2036 | 6,583,000 | 4,751,215 |
| c | 4.00% due 4/15/2029 | 2,060,000 | 1,874,641 |
| 4.15% due 11/15/2030 | 2,980,000 | 2,669,722 | |
| 4.75% due 4/15/2029 | 3,575,000 | 3,409,513 | |
| Microchip Technology, Inc., | |||
| 0.972% due 2/15/2024 | 18,694,000 | 17,772,573 | |
| 4.25% due 9/1/2025 | 10,634,000 | 10,326,571 | |
| Micron Technology, Inc., | |||
| 4.663% due 2/15/2030 | 4,150,000 | 3,761,560 | |
| 5.327% due 2/6/2029 | 7,690,000 | 7,380,016 | |
| 6.75% due 11/1/2029 | 9,900,000 | 10,073,349 | |
| Qorvo, Inc., | |||
| c | 1.75% due 12/15/2024 | 6,858,000 | 6,327,465 |
| c | 3.375% due 4/1/2031 | 14,210,000 | 11,525,731 |
| 4.375% due 10/15/2029 | 930,000 | 821,832 | |
| c,d | Renesas Electronics Corp., 1.543% due 11/26/2024 | 17,721,000 | 16,229,778 |
| SK Hynix, Inc., | |||
| c,d | 1.00% due 1/19/2024 | 6,800,000 | 6,444,496 |
| c,d | 1.50% due 1/19/2026 | 10,200,000 | 8,824,020 |
| c,d | 2.375% due 1/19/2031 | 6,588,000 | 4,837,898 |
| Skyworks Solutions, Inc., 1.80% due 6/1/2026 | 3,574,000 | 3,146,121 | |
| 132,958,446 | |||
| Software & Services — 2.7% | |||
| Information Technology Services — 1.3% | |||
| Block Financial LLC, 2.50% due 7/15/2028 | 10,392,000 | 8,818,651 | |
| DXC Technology Co., 2.375% due 9/15/2028 | 26,644,000 | 22,404,140 | |
| d | Genpact Luxembourg Sarl, 3.375% due 12/1/2024 | 4,350,000 | 4,162,037 |
| d | Genpact Luxembourg Sarl/Genpact USA, Inc., 1.75% due 4/10/2026 | 9,063,000 | 8,072,958 |
| Global Payments, Inc., | |||
| 1.50% due 11/15/2024 | 5,624,000 | 5,233,020 | |
| 2.15% due 1/15/2027 | 3,516,000 | 3,070,593 | |
| Kyndryl Holdings, Inc., | |||
| 2.05% due 10/15/2026 | 10,562,000 | 8,732,767 | |
| 2.70% due 10/15/2028 | 22,750,000 | 17,124,835 | |
| Leidos, Inc., 2.30% due 2/15/2031 | 8,489,000 | 6,496,377 | |
| Total System Services, Inc., 4.00% due 6/1/2023 | 1,335,000 | 1,326,790 | |
| c | Wipro IT Services LLC, 1.50% due 6/23/2026 | 10,647,000 | 9,357,009 |
| Internet Software & Services — 0.5% | |||
| eBay, Inc., 5.90% due 11/22/2025 | 14,800,000 | 15,134,776 | |
| Prosus NV, | |||
| c,d | 3.061% due 7/13/2031 | 2,816,000 | 2,196,452 |
| c,d | 3.257% due 1/19/2027 | 6,400,000 | 5,764,928 |
| c,d | 4.193% due 1/19/2032 | 13,254,000 | 11,017,917 |
| c,d | Tencent Holdings Ltd., 2.39% due 6/3/2030 | 5,000,000 | 4,071,900 |
| Software — 0.9% | |||
| Fidelity National Information Services, Inc., 4.70% due 7/15/2027 | 7,167,000 | 6,998,647 | |
| c | Infor, Inc., 1.75% due 7/15/2025 | 12,382,000 | 11,170,793 |
| c,d | Open Text Corp., 6.90% due 12/1/2027 | 9,723,000 | 9,803,506 |
| Oracle Corp., | |||
| 1.65% due 3/25/2026 | 15,136,000 | 13,564,581 | |
| 2.30% due 3/25/2028 | 7,482,000 | 6,488,091 | |
| VMware, Inc., | |||
| 1.00% due 8/15/2024 | 3,304,000 | 3,073,447 | |
| 4.50% due 5/15/2025 | 15,043,000 | 14,749,511 |
SCHEDULE OF INVESTMENTS, Continued
| Thornburg Limited Term Income Fund | December 31, 2022 (Unaudited) |
| Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
| 198,833,726 | |||
| Technology Hardware & Equipment — 2.5% | |||
| Communications Equipment — 0.3% | |||
| Motorola Solutions, Inc., | |||
| 2.30% due 11/15/2030 | $ 1,582,000 | $ 1,241,253 | |
| 5.60% due 6/1/2032 | 24,026,000 | 23,442,168 | |
| Electronic Equipment, Instruments & Components — 0.9% | |||
| d | Allegion plc, 3.50% due 10/1/2029 | 3,059,000 | 2,636,736 |
| Flex Ltd., | |||
| d | 4.875% due 5/12/2030 | 12,788,000 | 11,958,954 |
| d | 6.00% due 1/15/2028 | 2,375,000 | 2,371,461 |
| TD SYNNEX Corp., 1.75% due 8/9/2026 | 28,691,000 | 24,386,489 | |
| Trimble, Inc., 4.75% due 12/1/2024 | 17,000,000 | 16,819,630 | |
| Vontier Corp., | |||
| 1.80% due 4/1/2026 | 5,272,000 | 4,459,901 | |
| 2.40% due 4/1/2028 | 5,266,000 | 4,157,033 | |
| Office Electronics — 0.2% | |||
| CDW LLC/CDW Finance Corp., 3.25% due 2/15/2029 | 16,381,000 | 13,960,707 | |
| Technology Hardware, Storage & Peripherals — 1.1% | |||
| Dell International LLC/EMC Corp., 4.90% due 10/1/2026 | 14,874,000 | 14,652,972 | |
| HP, Inc., | |||
| 1.45% due 6/17/2026 | 5,334,000 | 4,677,065 | |
| 4.75% due 1/15/2028 | 14,002,000 | 13,599,722 | |
| Lenovo Group Ltd., | |||
| d | 4.75% due 3/29/2023 | 23,428,000 | 23,374,116 |
| c,d | 5.831% due 1/27/2028 | 13,565,000 | 13,123,866 |
| d | 5.875% due 4/24/2025 | 10,600,000 | 10,418,104 |
| NetApp, Inc., 2.375% due 6/22/2027 | 46,000 | 40,957 | |
| 185,321,134 | |||
| Telecommunication Services — 0.7% | |||
| Diversified Telecommunication Services — 0.6% | |||
| AT&T, Inc., | |||
| 1.70% due 3/25/2026 | 6,405,000 | 5,780,961 | |
| 2.55% due 12/1/2033 | 1,016,000 | 781,304 | |
| NBN Co. Ltd., | |||
| c,d | 1.45% due 5/5/2026 | 29,450,000 | 26,037,334 |
| c,d | 1.625% due 1/8/2027 | 9,800,000 | 8,506,792 |
| c,d | NTT Finance Corp., 4.239% due 7/25/2025 | 2,800,000 | 2,750,188 |
| Wireless Telecommunication Services — 0.1% | |||
| T-Mobile USA, Inc., | |||
| 2.25% due 2/15/2026 | 4,275,000 | 3,893,328 | |
| 2.625% due 4/15/2026 | 4,847,000 | 4,439,319 | |
| 52,189,226 | |||
| Transportation — 0.1% | |||
| Air Freight & Logistics — 0.1% | |||
| c | TTX Co., 4.15% due 1/15/2024 | 6,000,000 | 5,923,260 |
| Airlines — 0.0% | |||
| American Airlines Pass Through Trust, Series 2013-2 Class A, 4.95% due 7/15/2024 | 1,205,396 | 1,200,587 | |
| US Airways Pass Through Trust, Series 2010-1 Class A, 6.25% due 10/22/2024 | 1,935,115 | 1,919,286 | |
| Diversified Consumer Services — 0.0% | |||
| University of Chicago, Series 12-B, 3.065% due 10/1/2024 | 360,000 | 347,623 | |
| 9,390,756 | |||
| Utilities — 8.6% | |||
| Electric Utilities — 7.6% | |||
| AEP Texas, Inc., | |||
| 4.70% due 5/15/2032 | 6,527,000 | 6,252,735 | |
| Series I, 2.10% due 7/1/2030 | 12,187,000 | 9,865,011 | |
| c | Alexander Funding Trust, 1.841% due 11/15/2023 | 38,072,000 | 35,984,132 |
| Allegion U.S. Holding Co., Inc., 5.411% due 7/1/2032 | 15,759,000 | 15,251,875 |
SCHEDULE OF INVESTMENTS, Continued
| Thornburg Limited Term Income Fund | December 31, 2022 (Unaudited) |
| Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
| Alliant Energy Finance LLC, | |||
| c | 1.40% due 3/15/2026 | $ 5,240,000 | $ 4,524,740 |
| c | 3.75% due 6/15/2023 | 9,673,000 | 9,596,100 |
| Ameren Corp., | |||
| 1.75% due 3/15/2028 | 9,990,000 | 8,473,818 | |
| 3.50% due 1/15/2031 | 5,200,000 | 4,590,352 | |
| American Electric Power Co., Inc., | |||
| 2.031% due 3/15/2024 | 3,898,000 | 3,752,916 | |
| 2.30% due 3/1/2030 | 14,211,000 | 11,633,977 | |
| Series M, 0.75% due 11/1/2023 | 9,667,000 | 9,337,065 | |
| Appalachian Power Co., | |||
| 3.40% due 6/1/2025 | 3,000,000 | 2,898,870 | |
| Series BB, 4.50% due 8/1/2032 | 6,337,000 | 5,930,545 | |
| Avangrid, Inc., | |||
| 3.15% due 12/1/2024 | 8,870,000 | 8,502,338 | |
| 3.20% due 4/15/2025 | 9,395,000 | 8,981,056 | |
| Black Hills Corp., | |||
| 1.037% due 8/23/2024 | 22,410,000 | 20,916,598 | |
| 2.50% due 6/15/2030 | 5,490,000 | 4,414,838 | |
| c | Caledonia Generating LLC, 1.95% due 2/28/2034 | 19,062,410 | 16,285,059 |
| b | CenterPoint Energy, Inc., 4.776% (SOFRINDX + 0.65%) due 5/13/2024 | 2,289,000 | 2,261,028 |
| Comision Federal de Electricidad, | |||
| c,d | 3.348% due 2/9/2031 | 8,740,000 | 6,851,373 |
| c,d | 4.688% due 5/15/2029 | 6,125,000 | 5,411,070 |
| d | 5.00% due 9/29/2036 | 18,849,600 | 15,585,792 |
| Consolidated Edison, Inc., Series A, 0.65% due 12/1/2023 | 12,309,000 | 11,823,287 | |
| Dominion Energy, Inc., | |||
| 5.375% due 11/15/2032 | 19,385,000 | 19,260,936 | |
| Series B, 3.60% due 3/15/2027 | 25,576,000 | 24,068,039 | |
| Duke Energy Corp., 4.50% due 8/15/2032 | 14,790,000 | 13,898,163 | |
| Enel Finance International NV, | |||
| c,d | 1.375% due 7/12/2026 | 12,250,000 | 10,612,910 |
| c,d | 1.875% due 7/12/2028 | 20,585,000 | 16,357,664 |
| c,d | 2.25% due 7/12/2031 | 5,957,000 | 4,364,813 |
| c,d | 5.00% due 6/15/2032 | 3,073,000 | 2,771,846 |
| c,d | 7.50% due 10/14/2032 | 4,000,000 | 4,250,800 |
| Entergy Louisiana LLC, 0.62% due 11/17/2023 | 3,963,000 | 3,814,546 | |
| Entergy Mississippi LLC, 3.25% due 12/1/2027 | 4,727,000 | 4,274,437 | |
| Entergy Texas, Inc., | |||
| 1.50% due 9/1/2026 | 8,640,000 | 7,532,179 | |
| 3.45% due 12/1/2027 | 9,000,000 | 8,299,080 | |
| c | Evergy Missouri West, Inc., 5.15% due 12/15/2027 | 9,711,000 | 9,666,718 |
| Georgia Power Co., 4.70% due 5/15/2032 | 20,681,000 | 19,917,044 | |
| ITC Holdings Corp., | |||
| c | 2.95% due 5/14/2030 | 14,800,000 | 12,516,360 |
| c | 4.95% due 9/22/2027 | 9,703,000 | 9,585,788 |
| c | Jersey Central Power & Light Co., 4.30% due 1/15/2026 | 9,414,000 | 9,086,393 |
| c | Liberty Utilities Finance GP 1, 2.05% due 9/15/2030 | 11,980,000 | 8,992,787 |
| c | Midland Cogeneration Venture LP, 6.00% due 3/15/2025 | 810,589 | 824,790 |
| b | Mississippi Power Co., Series A, 4.623% (SOFR + 0.30%) due 6/28/2024 | 6,780,000 | 6,631,654 |
| c | Monongahela Power Co., 3.55% due 5/15/2027 | 3,300,000 | 3,102,363 |
| NextEra Energy Capital Holdings, Inc., 0.65% due 3/1/2023 | 3,333,000 | 3,310,702 | |
| Northern States Power Co., 3.30% due 6/15/2024 | 2,500,000 | 2,439,725 | |
| OGE Energy Corp., 0.703% due 5/26/2023 | 6,063,000 | 5,954,775 | |
| Pacific Gas & Electric Co., 3.25% due 2/16/2024 | 20,160,000 | 19,661,645 | |
| b | PPL Electric Utilities Corp., 4.653% (SOFR + 0.33%) due 6/24/2024 | 5,094,000 | 5,027,880 |
| Public Service Co. of Oklahoma, Series J, 2.20% due 8/15/2031 | 5,905,000 | 4,696,542 | |
| Puget Energy, Inc., | |||
| 2.379% due 6/15/2028 | 8,825,000 | 7,524,460 | |
| 4.10% due 6/15/2030 | 4,742,000 | 4,242,573 | |
| San Diego Gas & Electric Co., Series NN, 3.60% due 9/1/2023 | 4,212,000 | 4,167,816 | |
| Southern California Edison Co., | |||
| b | 4.963% (SOFRINDX + 0.64%) due 4/3/2023 | 19,476,000 | 19,457,498 |
| Series C, 4.20% due 6/1/2025 | 5,722,000 | 5,607,331 | |
| Southern Co., 5.70% due 10/15/2032 | 5,000,000 | 5,108,900 |
SCHEDULE OF INVESTMENTS, Continued
| Thornburg Limited Term Income Fund | December 31, 2022 (Unaudited) |
| Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
| Transelec SA, | |||
| c,d | 4.25% due 1/14/2025 | $ 5,200,000 | $ 5,062,148 |
| c,d | 4.625% due 7/26/2023 | 2,880,000 | 2,868,682 |
| c | Vistra Operations Co. LLC, 4.875% due 5/13/2024 | 25,918,000 | 25,379,165 |
| WEC Energy Group, Inc., 2.20% due 12/15/2028 | 11,412,000 | 9,662,883 | |
| Gas Utilities — 1.0% | |||
| c | Brooklyn Union Gas Co., 4.632% due 8/5/2027 | 9,700,000 | 9,241,966 |
| b | CenterPoint Energy Resources Corp., 5.279% (LIBOR 3 Month + 0.50%) due 3/2/2023 | 4,398,000 | 4,395,977 |
| NiSource, Inc., 0.95% due 8/15/2025 | 11,850,000 | 10,688,582 | |
| Southern Co. Gas Capital Corp., 5.15% due 9/15/2032 | 12,206,000 | 11,991,052 | |
| Southwest Gas Corp., | |||
| 4.05% due 3/15/2032 | 13,150,000 | 11,531,498 | |
| 5.80% due 12/1/2027 | 4,828,000 | 4,916,015 | |
| b | Spire Missouri, Inc., 4.74% (SOFR + 0.50%) due 12/2/2024 | 24,347,000 | 24,053,375 |
| 635,945,075 | |||
| Total Corporate Bonds (Cost $3,541,917,723) | 3,227,395,427 | ||
| Long-Term Municipal Bonds — 0.2% | |||
| Colorado Educational & Cultural Facilities Authority, Series B, 2.691% due 3/1/2023 | 580,000 | 577,907 | |
| Los Angeles Community College District GO, 1.806% due 8/1/2030 | 12,115,000 | 9,880,049 | |
| New Jersey Transportation Trust Fund Authority, | |||
| 2.551% due 6/15/2023 | 1,170,000 | 1,155,372 | |
| 2.631% due 6/15/2024 | 860,000 | 830,360 | |
| Total Long-Term Municipal Bonds (Cost $13,358,933) | 12,443,688 | ||
| Other Government — 0.2% | |||
| c,d | Bermuda Government International Bond, 2.375% due 8/20/2030 | 6,800,000 | 5,748,992 |
| Carpintero Finance Ltd. (Guaranty: Export Credits Guarantee Department), | |||
| c,d | 2.004% due 9/18/2024 | 2,285,919 | 2,211,078 |
| c,d | 2.581% due 11/11/2024 | 2,460,787 | 2,400,605 |
| c,d | Khadrawy Ltd. (Guaranty: Export Credits Guarantee Department), 2.471% due 3/31/2025 | 1,660,372 | 1,607,356 |
| d | Sharjah Sukuk Program Ltd., 4.226% due 3/14/2028 | 2,000,000 | 1,903,340 |
| Total Other Government (Cost $15,343,732) | 13,871,371 | ||
| U.S. Treasury Securities — 13.9% | |||
| United States Treasury Inflation Indexed Bonds, 0.125%, 4/15/2027 - 1/15/2032 | 244,346,434 | 216,334,554 | |
| United States Treasury Notes, | |||
| 0.375%, 11/30/2025 | 123,015,000 | 110,079,204 | |
| 1.50%, 10/31/2024 | 44,520,000 | 42,175,744 | |
| 1.625%, 2/15/2026 | 52,700,000 | 48,755,734 | |
| 1.75%, 11/15/2029 | 27,136,000 | 23,676,160 | |
| 2.00%, 8/15/2025 | 30,000,000 | 28,321,875 | |
| 2.25%, 11/15/2025 | 16,967,000 | 16,060,326 | |
| 2.875%, 5/15/2032 | 154,657,000 | 142,574,422 | |
| United States Treasury Notes Inflationary Index, | |||
| 0.125%, 1/15/2031 - 7/15/2031 | 81,209,783 | 71,944,194 | |
| 0.25%, 1/15/2025 - 7/15/2029 | 147,849,476 | 136,213,603 | |
| 0.375%, 7/15/2027 | 76,594,757 | 72,179,262 | |
| 0.50%, 4/15/2024 - 1/15/2028 | 28,659,183 | 27,406,178 | |
| 0.625%, 1/15/2024 | 14,092,136 | 13,793,841 | |
| 0.875%, 1/15/2029 | 80,067,248 | 76,231,528 | |
| Total U.S. Treasury Securities (Cost $1,106,554,894) | 1,025,746,625 | ||
| U.S. Government Agencies — 0.4% | |||
| ALEX Alpha LLC (Guaranty: Export-Import Bank of the United States), 1.617%, 8/15/2024 | 760,869 | 738,862 | |
| Petroleos Mexicanos (Guaranty: Export-Import Bank of the United States), | |||
| b,d | 4.429% (LIBOR 3 Month + 0.35%), 4/15/2025 | 2,590,000 | 2,493,574 |
| d | 6.50%, 1/23/2029 | 10,007,000 | 8,579,802 |
| Reliance Industries Ltd. (Guaranty: Export-Import Bank of the United States), | |||
| d | 2.06%, 1/15/2026 | 525,000 | 490,912 |
| d | 2.512%, 1/15/2026 | 2,275,000 | 2,120,436 |
| Santa Rosa Leasing LLC (Guaranty: Export-Import Bank of the United States), 1.693%, 8/15/2024 | 877,488 | 867,493 |
SCHEDULE OF INVESTMENTS, Continued
| Thornburg Limited Term Income Fund | December 31, 2022 (Unaudited) |
| Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
| Small Business Administration Participation Certificates, | |||
| Series 2008-20D Class 1, 5.37%, 4/1/2028 | $ 306,676 | $ 299,967 | |
| Series 2009-20E Class 1, 4.43%, 5/1/2029 | 174,987 | 168,151 | |
| Series 2009-20K Class 1, 4.09%, 11/1/2029 | 1,347,063 | 1,284,132 | |
| Series 2011-20E Class 1, 3.79%, 5/1/2031 | 1,703,390 | 1,612,767 | |
| Series 2011-20F Class 1, 3.67%, 6/1/2031 | 316,217 | 298,224 | |
| Series 2011-20G Class 1, 3.74%, 7/1/2031 | 1,828,355 | 1,728,427 | |
| Series 2011-20I Class 1, 2.85%, 9/1/2031 | 3,428,275 | 3,169,519 | |
| Series 2011-20K Class 1, 2.87%, 11/1/2031 | 2,805,014 | 2,590,430 | |
| Series 2012-20D Class 1, 2.67%, 4/1/2032 | 2,356,281 | 2,164,014 | |
| Series 2012-20J Class 1, 2.18%, 10/1/2032 | 2,091,998 | 1,896,312 | |
| Series 2012-20K Class 1, 2.09%, 11/1/2032 | 1,410,574 | 1,274,178 | |
| Total U.S. Government Agencies (Cost $35,132,907) | 31,777,200 | ||
| Mortgage Backed — 19.7% | |||
| b,c | Angel Oak Mortgage Trust LLC, Whole Loan Securities Trust CMO, Series 2020-2 Class A3, 5.00% due 1/26/2065 | 5,384,548 | 5,186,713 |
| Arroyo Mortgage Trust, Whole Loan Securities Trust CMO, | |||
| b,c | Series 2019-1 Class A1, 3.805% due 1/25/2049 | 4,850,776 | 4,465,284 |
| b,c | Series 2019-1 Class A3, 4.208% due 1/25/2049 | 2,538,399 | 2,401,916 |
| b,c | Series 2019-2 Class A1, 3.347% due 4/25/2049 | 2,141,199 | 1,995,949 |
| b,c | Series 2019-3 Class A1, 2.962% due 10/25/2048 | 4,958,330 | 4,509,026 |
| c | Series 2020-1 Class A2, 2.927% due 3/25/2055 | 6,518,000 | 5,540,210 |
| c | Series 2020-1 Class A3, 3.328% due 3/25/2055 | 4,500,000 | 3,716,892 |
| c | Series 2020-1 Class M1, 4.277% due 3/25/2055 | 3,189,000 | 2,443,595 |
| b,c | Series 2021-1R Class A1, 1.175% due 10/25/2048 | 10,067,418 | 7,903,436 |
| c | Series 2022-1 Class M1, 3.65% due 12/25/2056 | 7,338,000 | 4,645,358 |
| b,c | Bayview Commercial Asset Trust, CMBS, Series 2004-3 Class A2, 5.019% (LIBOR 1 Month + 0.63%) due 1/25/2035 | 789,124 | 786,789 |
| c | BRAVO Residential Funding Trust, Whole Loan Securities Trust CMO, Series 2019-1 Class A1C, 3.50% due 3/25/2058 | 944,481 | 918,757 |
| b,c | Bunker Hill Loan Depositary Trust, Whole Loan Securities Trust CMO, Series 2020-1 Class A3, 3.253% due 2/25/2055 | 3,285,000 | 2,711,550 |
| Chase Mortgage Finance Corp., Whole Loan Securities Trust CMO, | |||
| b,c | Series 2016-SH1 Class M3, 3.75% due 4/25/2045 | 2,127,815 | 1,805,471 |
| b,c | Series 2016-SH2 Class M3, 3.75% due 12/25/2045 | 2,539,271 | 2,147,492 |
| CHNGE Mortgage Trust, Whole Loan Securities Trust CMO, | |||
| b,c | Series 2022-1 Class A1, 3.007% due 1/25/2067 | 15,856,468 | 14,056,047 |
| b,c | Series 2022-2 Class M1, 4.609% due 3/25/2067 | 14,163,000 | 11,647,365 |
| b,c | CIM Trust, Whole Loan Securities Trust CMO, Series 2018-INV1 Class A4, 4.00% due 8/25/2048 | 831,244 | 757,629 |
| Citigroup Mortgage Loan Trust, Whole Loan Securities Trust CMO, | |||
| b | Series 2004-HYB2 Class B1, 3.022% due 3/25/2034 | 51,571 | 45,676 |
| b,c | Series 2014-A Class A, 4.00% due 1/25/2035 | 558,837 | 518,648 |
| b,c | Series 2014-J1 Class B4, 3.634% due 6/25/2044 | 1,489,969 | 1,222,633 |
| b,c | Series 2019-E Class A1, 6.228% due 11/25/2070 | 6,596,489 | 6,491,710 |
| b,c | Series 2021-J2 Class A7A, 2.50% due 7/25/2051 | 24,456,807 | 21,251,747 |
| CSMC Trust, Whole Loan Securities Trust CMO, | |||
| b,c | Series 2013-HYB1 Class B3, 4.589% due 4/25/2043 | 431,440 | 425,144 |
| b,c | Series 2021-AFC1 Class-A1, 0.83% due 3/25/2056 | 9,885,216 | 7,658,348 |
| b,c | Series 2021-NQM3 Class A1, 1.015% due 4/25/2066 | 12,493,069 | 10,217,235 |
| b,c | Series 2021-NQM8 Class-A1, 1.841% due 10/25/2066 | 16,961,365 | 14,452,094 |
| b,c | Series 2022-ATH2 Class A1, 4.547% due 5/25/2067 | 12,809,713 | 12,306,000 |
| b,c | Deephaven Residential Mortgage Trust, Whole Loan Securities Trust CMO, Series 2021-1 Class A1, 0.715% due 5/25/2065 | 3,982,797 | 3,681,529 |
| Ellington Financial Mortgage Trust, Whole Loan Securities Trust CMO, | |||
| b,c | Series 2019-2 Class A1, 2.739% due 11/25/2059 | 3,959,846 | 3,693,818 |
| b,c | Series 2021-2 Class A1, 0.931% due 6/25/2066 | 11,553,215 | 9,080,465 |
| b,c | Series 2022-1 Class A1, 2.206% due 1/25/2067 | 19,490,957 | 16,242,560 |
| Federal Home Loan Mtg Corp., | |||
| Pool D98887, 3.50% due 1/1/2032 | 773,362 | 741,067 | |
| Pool G16710, 3.00% due 11/1/2030 | 318,232 | 301,790 | |
| Pool RE6097, 2.00% due 5/1/2051 | 27,722,197 | 21,989,364 | |
| Pool SE9046, 3.00% due 12/1/2051 | 24,637,372 | 21,605,887 | |
| Federal Home Loan Mtg Corp., CMO REMIC, | |||
| Series 3195 Class PD, 6.50% due 7/15/2036 | 224,364 | 232,338 | |
| Series 3919 Class VB, 4.00% due 8/15/2024 | 73,996 | 73,398 | |
| Series 3922 Class PQ, 2.00% due 4/15/2041 | 151,548 | 144,502 | |
| Series 4050 Class MV, 3.50% due 8/15/2023 | 281,832 | 280,270 | |
| Series 4120 Class TC, 1.50% due 10/15/2027 | 607,232 | 568,974 |
SCHEDULE OF INVESTMENTS, Continued
| Thornburg Limited Term Income Fund | December 31, 2022 (Unaudited) |
| Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
| Federal Home Loan Mtg Corp., Multifamily Structured Pass Through Certificates, CMBS, | |||
| Series K071 Class A2, 3.286% due 11/25/2027 | $ 4,420,000 | $ 4,200,546 | |
| Series K722 Class A2, 2.406% due 3/25/2023 | 1,181,091 | 1,175,007 | |
| Federal Home Loan Mtg Corp., Seasoned Credit Risk Transfer, Whole Loan Securities Trust CMO, | |||
| b | Series 2017-1 Class HA, 3.00% due 1/25/2056 | 4,678,313 | 4,374,395 |
| b | Series 2017-3 Class HA, 3.25% due 7/25/2056 | 8,234,829 | 7,748,534 |
| b | Series 2017-4 Class HT, 3.25% due 6/25/2057 | 7,554,013 | 6,884,607 |
| b | Series 2018-1 Class HA, 3.00% due 5/25/2057 | 5,038,494 | 4,682,654 |
| b | Series 2018-2 Class HA, 3.00% due 11/25/2057 | 11,584,699 | 10,843,286 |
| Series 2018-3 Class HA, 3.00% due 8/25/2057 | 13,775,992 | 12,844,266 | |
| b | Series 2018-3 Class MA, 3.50% due 8/25/2057 | 9,132,303 | 8,663,355 |
| Series 2018-4 Class HA, 3.00% due 3/25/2058 | 11,482,352 | 10,687,934 | |
| Series 2019-1 Class MA, 3.50% due 7/25/2058 | 23,417,317 | 22,138,723 | |
| Series 2019-2 Class MA, 3.50% due 8/25/2058 | 24,351,974 | 22,958,581 | |
| Series 2019-3 Class MA, 3.50% due 10/25/2058 | 11,552,603 | 10,930,257 | |
| Series 2019-4 Class MA, 3.00% due 2/25/2059 | 18,624,129 | 17,253,966 | |
| Series 2020-1 Class MA, 2.50% due 8/25/2059 | 3,120,767 | 2,847,732 | |
| Series 2020-2 Class A1C, 2.00% due 9/25/2030 | 25,287,558 | 22,666,100 | |
| Series 2020-2 Class A1D, 1.75% due 9/25/2030 | 33,998,539 | 30,127,669 | |
| Series 2020-2 Class MA, 2.00% due 11/25/2059 | 23,409,921 | 20,936,567 | |
| Series 2020-3 Class MA, 2.00% due 5/25/2060 | 13,362,628 | 11,904,663 | |
| Series 2020-3 Class MT, 2.00% due 5/25/2060 | 3,969,327 | 3,281,514 | |
| Federal Home Loan Mtg Corp., UMBS Collateral, | |||
| Pool RA6808 3.00% due 2/1/2052 | 12,910,544 | 11,348,589 | |
| Pool SD1374, 3.00% due 3/1/2052 | 14,882,458 | 13,061,803 | |
| Pool SD1588, 5.00% due 9/1/2052 | 9,860,800 | 9,831,891 | |
| Pool SD1626, 5.00% due 10/1/2052 | 14,879,822 | 14,861,645 | |
| Pool SD1669, 2.50% due 1/1/2052 | 27,097,383 | 22,931,309 | |
| Pool SD8219, 2.50% due 6/1/2052 | 25,348,189 | 21,457,230 | |
| Federal Home Loan Mtg Corp., UMBS Collateral , Pool RA7373, 3.00% due 5/1/2052 | 5,961,038 | 5,231,063 | |
| Federal Home Loan Mtg Corp., Whole Loan Securities Trust CMO, | |||
| Series 2016-SC01 Class 2A, 3.50% due 7/25/2046 | 995,315 | 936,090 | |
| Series 2017-SC01 Class 1A, 3.00% due 12/25/2046 | 8,962,124 | 8,130,345 | |
| Series 2017-SC02 Class 2A, 3.50% due 5/25/2047 | 616,864 | 576,672 | |
| Federal National Mtg Assoc., Pool BM7067, 2.50% due 6/1/2051 | 3,587,744 | 3,002,008 | |
| Federal National Mtg Assoc., CMO REMIC, | |||
| Series 2007-42 Class PA, 5.50% due 4/25/2037 | 6,152 | 6,129 | |
| b | Series 2009-17 Class AH, 0.583% due 3/25/2039 | 332,761 | 270,679 |
| Series 2009-52 Class AJ, 4.00% due 7/25/2024 | 104 | 103 | |
| Series 2012-129 Class LA, 3.50% due 12/25/2042 | 1,379,233 | 1,275,173 | |
| b | Series 2013-81 Class FW, 4.689% (LIBOR 1 Month + 0.30%) due 1/25/2043 | 3,397,332 | 3,309,025 |
| Federal National Mtg Assoc., UMBS Collateral, | |||
| Pool AE0704, 4.00% due 1/1/2026 | 918,784 | 900,580 | |
| Pool AS9749, 4.00% due 6/1/2047 | 9,506 | 9,070 | |
| Pool BM4324, 3.50% due 7/1/2033 | 2,801,047 | 2,710,999 | |
| Pool BP9550, 2.50% due 7/1/2035 | 9,259 | 8,498 | |
| Pool BP9589, 2.50% due 8/1/2035 | 786,743 | 722,067 | |
| Pool BW8669, 5.00% due 9/1/2052 | 9,132,320 | 9,015,788 | |
| Pool CB1810, 3.00% due 10/1/2051 | 14,455,874 | 12,687,039 | |
| Pool CB3880, 5.00% due 6/1/2052 | 5,774,375 | 5,757,446 | |
| Pool FS0898, 3.00% due 2/1/2052 | 33,694,524 | 29,646,956 | |
| Pool MA3465, 4.00% due 9/1/2038 | 3,483,386 | 3,374,479 | |
| Pool MA3953, 2.50% due 3/1/2030 | 2,986,432 | 2,777,205 | |
| Pool MA4390, 2.00% due 7/1/2031 | 1,397,031 | 1,270,119 | |
| Pool MA4579, 3.00% due 4/1/2052 | 29,936,933 | 26,281,655 | |
| Pool MA4599, 3.00% due 5/1/2052 | 18,017,049 | 15,813,681 | |
| b,c | Flagstar Mortgage Trust, Whole Loan Securities Trust CMO, Series 2017-1 Class 2A2, 3.00% due 3/25/2047 | 1,935,295 | 1,704,604 |
| b,c | FWD Securitization Trust, Whole Loan Securities Trust CMO, Series 2019-INV1 Class A1, 2.81% due 6/25/2049 | 1,695,151 | 1,518,451 |
| GCAT Trust, Whole Loan Securities Trust CMO, | |||
| b,c | Series 2019-NQM3 Class A1, 2.686% due 11/25/2059 | 4,447,234 | 4,124,351 |
| b,c | Series 2021-CM1 Class A, 1.469% due 4/25/2065 | 11,605,729 | 10,882,823 |
| b,c | Series 2021-CM2 Class A1, 2.352% due 8/25/2066 | 23,385,132 | 21,067,920 |
| b,c | Series 2021-NQM4 Class A1, 1.093% due 8/25/2066 | 13,755,886 | 10,613,508 |
| Government National Mtg Assoc., CMO, Series 2016-32 Class LJ, 2.50% due 12/20/2040 | 886,557 | 875,248 | |
| b,c | GS Mortgage-Backed Securities Corp. Trust, Whole Loan Securities Trust CMO, Series 2020-PJ2 Class B3, 3.574% due 7/25/2050 | 5,187,833 | 4,099,133 |
SCHEDULE OF INVESTMENTS, Continued
| Thornburg Limited Term Income Fund | December 31, 2022 (Unaudited) |
| Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
| b,c | Homeward Opportunities Fund Trust, Whole Loan Securities Trust CMO, Series 2022-1 A Class A1, 5.082% due 7/25/2067 | $ 5,786,877 | $ 5,642,897 |
| Imperial Fund Mortgage Trust, Whole Loan Securities Trust CMO, | |||
| b,c | Series 2021-NQM3 Class A1, 1.595% due 11/25/2056 | 17,184,560 | 13,848,156 |
| b,c | Series 2021-NQM4 Class A1, 2.091% due 1/25/2057 | 22,863,209 | 18,864,944 |
| b,c | Series 2022- NQM1 Class A1, 2.493% due 2/25/2067 | 40,250,341 | 35,290,954 |
| b,c | Series 2022-NQM2 Class A1, 3.638% due 3/25/2067 | 23,412,637 | 21,130,543 |
| b,c | Series 2022-NQM4 Class A, 4.767% due 6/25/2067 | 29,209,186 | 28,336,972 |
| JPMorgan Mortgage Trust, Whole Loan Securities Trust CMO, | |||
| b,c | Series 2014-IVR3 Class B4, 2.848% due 9/25/2044 | 1,940,616 | 1,866,798 |
| b,c | Series 2018-3 Class B2, 3.711% due 9/25/2048 | 2,479,789 | 2,166,162 |
| b,c | Series 2018-6 Class B2, 3.89% due 12/25/2048 | 1,015,550 | 854,037 |
| b,c | Series 2019-5 Class B3, 4.485% due 11/25/2049 | 8,041,546 | 7,063,297 |
| b,c | Series 2019-HYB1 Class B3, 4.184% due 10/25/2049 | 5,607,361 | 4,829,810 |
| b,c | Series 2019-INV2 Class B3A, 3.75% due 2/25/2050 | 9,302,834 | 7,238,842 |
| b,c | Series 2021-LTV2 ClassA1, 2.52% due 5/25/2052 | 38,029,250 | 29,955,334 |
| b,c | Series 2022- LTV1 Class A1, 3.25% due 7/25/2052 | 13,820,955 | 11,407,243 |
| b,c | Series 2022-2 Class A6A, 2.50% due 8/25/2052 | 34,142,646 | 30,332,576 |
| b,c | Series 2022-DSC1 Class A1, 4.75% due 1/25/2063 | 9,549,267 | 9,043,752 |
| b | Merrill Lynch Mortgage Investors Trust, Whole Loan Securities Trust CMO, Series 2004-A4 Class M1, 3.516% due 8/25/2034 | 143,855 | 127,402 |
| b,c | Metlife Securitization Trust, Whole Loan Securities Trust CMO, Series 2019-1A Class A1A, 3.75% due 4/25/2058 | 1,381,528 | 1,338,025 |
| MFA Trust, Whole Loan Securities Trust CMO, | |||
| b,c | Series 2020-NQM3 Class A1, 1.014% due 1/26/2065 | 3,614,217 | 3,181,200 |
| b,c | Series 2021-AEI1 Class A4, 2.50% due 8/25/2051 | 17,040,809 | 14,649,707 |
| b,c | Series 2021-INV1 Class A1, 0.852% due 1/25/2056 | 4,838,975 | 4,247,412 |
| b,c | Series 2021-INV2 Class A1, 1.906% due 11/25/2056 | 25,398,641 | 20,733,350 |
| b,c | Series 2022-INV1 Class A3, 4.25% due 4/25/2066 | 4,995,000 | 4,054,993 |
| b,c | Series 2022-NQM1 Class A3, 4.20% due 12/25/2066 | 13,129,000 | 10,420,817 |
| b,c | MFRA Trust, Whole Loan Securities Trust CMO, Series 2022-CHM1 Class A1, 3.875% due 9/25/2056 | 21,130,210 | 19,871,053 |
| Morgan Stanley Bank of America Merrill Lynch Trust, CMBS, Series 2015-C22 Class A4, 3.306% due 4/15/2048 | 1,100,000 | 1,043,520 | |
| New Residential Mortgage Loan Trust, Whole Loan Securities Trust CMO, | |||
| b,c | Series 2017-2A Class A3, 4.00% due 3/25/2057 | 3,273,647 | 3,067,118 |
| b,c | Series 2017-3A Class A1, 4.00% due 4/25/2057 | 3,997,174 | 3,772,164 |
| b,c | Series 2017-4A Class A1, 4.00% due 5/25/2057 | 4,306,041 | 4,001,700 |
| b,c | Series 2017-5A Class A1, 5.889% (LIBOR 1 Month + 1.50%) due 6/25/2057 | 315,804 | 308,801 |
| b,c | Series 2017-6A Class A1, 4.00% due 8/27/2057 | 1,955,109 | 1,826,740 |
| b,c | Series 2018-1A Class A1A, 4.00% due 12/25/2057 | 2,340,154 | 2,194,596 |
| b,c | Series 2018-2A Class A1, 4.50% due 2/25/2058 | 4,138,129 | 3,973,292 |
| b,c | Series 2018-RPL1 Class A1, 3.50% due 12/25/2057 | 2,356,335 | 2,220,609 |
| b,c | Series 2022-NQM3 Class A1, 3.90% due 4/25/2062 | 42,428,531 | 38,748,412 |
| b,c | OBX Trust, Whole Loan Securities Trust CMO, Series 2021-NQM2 Class A1, 1.101% due 5/25/2061 | 19,359,033 | 14,561,536 |
| b,c | Onslow Bay Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2021-NQM4 Class A1, 1.957% due 10/25/2061 | 48,890,504 | 38,832,776 |
| PRKCM Trust, Whole Loan Securities Trust CMO, | |||
| b,c | Series 2021-AFC1 Class A1, 1.51% due 8/25/2056 | 32,031,150 | 25,263,343 |
| b,c | Series 2021-AFC2 Class A1, 2.071% due 11/25/2056 | 17,788,325 | 14,738,921 |
| b,c | PRPM Trust, Whole Loan Securities Trust CMO, Series 2022-INV1 Class A1, 4.40% due 4/25/2067 | 33,992,393 | 32,189,167 |
| RAMP Trust, Whole Loan Securities Trust CMO, Series 2003-SL1 Class A31, 7.125% due 4/25/2031 | 363,522 | 361,616 | |
| b,c | Rate Mortgage Trust, Whole Loan Securities Trust CMO, Series 2022-J1 Class A9, 2.50% due 1/25/2052 | 52,513,455 | 44,960,970 |
| b,c | RCKT Mortgage Trust, Whole Loan Securities Trust CMO, Series 2020-1 Class B3, 3.472% due 2/25/2050 | 3,136,365 | 2,543,158 |
| Seasoned Loans Structured Transaction Trust, Whole Loan Securities Trust CMO, | |||
| Series 2019-2 Class A1C, 2.75% due 9/25/2029 | 16,544,116 | 15,214,816 | |
| Series 2019-3 Class A1C, 2.75% due 11/25/2029 | 2,800,218 | 2,570,569 | |
| Sequoia Mortgage Trust, Whole Loan Securities Trust CMO, | |||
| b | Series 2013-6 Class B4, 3.511% due 5/25/2043 | 716,584 | 490,649 |
| b | Series 2013-7 Class B4, 3.502% due 6/25/2043 | 511,997 | 387,176 |
| SG Residential Mortgage Trust, Whole Loan Securities Trust CMO, | |||
| b,c | Series 2019-3 Class A1, 2.703% due 9/25/2059 | 530,401 | 515,046 |
| b,c | Series 2019-3 Class A3, 3.082% due 9/25/2059 | 921,708 | 893,419 |
| b,c | Series 2020-2 Class A1, 1.381% due 5/25/2065 | 10,881,746 | 9,586,598 |
| b,c | Series 2020-2 Class A2, 1.587% due 5/25/2065 | 2,114,317 | 1,815,974 |
| b,c | Series 2020-2 Class A3, 1.895% due 5/25/2065 | 721,851 | 593,115 |
| b,c | Series 2021-2 Class A1, 1.737% due 12/25/2061 | 16,025,520 | 12,814,910 |
| b,c | Shellpoint Asset Funding Trust, Whole Loan Securities Trust CMO, Series 2013-1 Class A1, 3.75% due 7/25/2043 | 917,038 | 823,157 |
| b,c | Spruce Hill Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2020-SH1 Class A1, 2.521% due 1/28/2050 | 1,560,534 | 1,540,980 |
| b,c | Starwood Mortgage Residential Trust, Whole Loan Securities Trust CMO, Series 2021-5 Class A1, 1.92% due 9/25/2066 | 44,724,214 | 36,017,876 |
SCHEDULE OF INVESTMENTS, Continued
| Thornburg Limited Term Income Fund | December 31, 2022 (Unaudited) |
| Issuer-Description | SHARES/ PRINCIPAL AMOUNT | VALUE | |
| b | Structured Asset Securities Corp., Mortgage Pass-Through Certificates, Whole Loan Securities Trust CMO, Series 2003-9A Class 2A2, 3.857% due 3/25/2033 | $ 313,225 | $ 301,557 |
| Towd Point Mortgage Trust, Whole Loan Securities Trust CMO, | |||
| b,c | Series 2016-5 Class A1, 2.50% due 10/25/2056 | 980,440 | 963,980 |
| b,c | Series 2017-1 Class A1, 2.75% due 10/25/2056 | 486,785 | 478,598 |
| b,c | Series 2018-1 Class A1, 3.00% due 1/25/2058 | 358,830 | 345,989 |
| b,c | Series 2018-2 Class A1, 3.25% due 3/25/2058 | 15,335,158 | 14,676,221 |
| b,c | Series 2018-3 Class A1, 3.75% due 5/25/2058 | 2,877,881 | 2,720,713 |
| b,c | Series 2018-6 Class A1A, 3.75% due 3/25/2058 | 9,535,350 | 9,254,379 |
| b,c | Series 2019-HY2 Class A1, 5.389% (LIBOR 1 Month + 1.00%) due 5/25/2058 | 12,348,318 | 12,232,391 |
| b,c | TRK Trust, Whole Loan Securities Trust CMO, Series 2022-INV2 Class A1, 4.35% due 6/25/2057 | 25,595,179 | 23,968,789 |
| Verus Securitization Trust, Whole Loan Securities Trust CMO, | |||
| b,c | Series 2020-1 Class M1, 3.021% due 1/25/2060 | 5,000,000 | 3,732,356 |
| b,c | Series 2020-2 Class M1, 5.36% due 5/25/2060 | 3,275,000 | 2,995,172 |
| b,c | Series 2021-R1 Class A1, 0.82% due 10/25/2063 | 7,380,758 | 6,710,489 |
| b,c | Vista Point Securitization Trust, Whole Loan Securities Trust CMO, Series 2020-2 Class A1, 1.475% due 4/25/2065 | 5,323,752 | 4,677,404 |
| b,c | WinWater Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2015-3 Class B4, 3.851% due 3/20/2045 | 1,153,654 | 1,033,678 |
| Total Mortgage Backed (Cost $1,631,229,726) | 1,458,567,122 | ||
| Short-Term Investments — 3.4% | |||
| g | Thornburg Capital Management Fund | 25,154,938 | 251,549,386 |
| Total Short-Term Investments (Cost $251,549,386) | 251,549,386 | ||
| Total Investments — 99.7% (Cost $8,041,400,105) | $7,378,673,327 | ||
| Other Assets Less Liabilities — 0.3% | 25,603,830 | ||
| Net Assets — 100.0% | $7,404,277,157 |
| Footnote Legend | |
| a | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees’ Audit 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, 2022. |
| 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, 2022, the aggregate value of these securities in the Fund’s portfolio was $3,632,165,624, representing 49.05% 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 | Bond in default. |
| f | Non-income producing. |
| g | Investment in Affiliates. |
SCHEDULE OF INVESTMENTS, Continued
| Thornburg Limited Term Income Fund | December 31, 2022 (Unaudited) |
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:
| BSBY3M | Bloomberg Short Term Bank Yield 3 Month |
| CMBS | Commercial Mortgage-Backed Securities |
| CMO | Collateralized Mortgage Obligation |
| DAC | Designated Activity Company |
| GO | General Obligation |
| H15T1Y | US Treasury Yield Curve Rate T-Note Constant Maturity 1 Year |
| LIBOR | London Interbank Offered Rates |
| Mtg | Mortgage |
| REMIC | Real Estate Mortgage Investment Conduit |
| SOFR | Secured Overnight Financing Rate |
| SOFR30A | Secured Overnight Financing Rate 30-Day Average |
| SOFRINDX | Secured Overnight Financing Rate Index |
| SPV | Special Purpose Vehicle |
| TSFR3M | Term SOFR 3 Month |
| UMBS | Uniform Mortgage Backed Securities |
NOTES TO SCHEDULE OF INVESTMENTS
| Thornburg Limited Term Income Fund | December 31, 2022 (Unaudited) |
NOTE 1 – ORGANIZATION
Thornburg Limited Term 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-one separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes. The Fund currently offers eight classes of shares of beneficial interest: Class A, Class C, Class C2, 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 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 in accordance with policies and procedures that have been adopted by the Advisor and approved by the Trustees of the Trust (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.
Investments in U.S. mutual funds are valued at net asset value ("NAV") each business day.
NOTES TO SCHEDULE OF INVESTMENTS, Continued
| Thornburg Limited Term Income Fund | December 31, 2022 (Unaudited) |
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 9/30/22 | Purchases at Cost | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appr./(Depr.) | Market Value 12/31/22 | Dividend Income | |
| Thornburg Capital Mgmt. Fund | $118,768,589 | $692,425,601 | $(559,644,804) | $- | $- | $251,549,386 | $1,993,121 |